UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-23247
(Investment Company Act File Number)
XAI Octagon Floating Rate & Alternative
Income Trust
(Exact Name of Registrant as Specified in Charter)
321 North Clark Street, Suite 2430
Chicago, IL 60654
(Address of Principal Executive Offices)
Benjamin D. McCulloch, Esq.
XA Investments LLC
321 North Clark Street, Suite 2430
Chicago, IL 60654
(Name and Address of Agent for Service)
(312) 374-6930
(Registrant’s Telephone Number)
Date of Fiscal Year End: September 30
Date of Reporting Period: March 31, 2024
Item
1. Reports to Stockholders.
(a)
TABLE OF CONTENTS
XAI
Octagon Floating Rate & Alternative Income Trust
SHAREHOLDER
LETTER
March 31, 2024 (Unaudited)
Dear Shareholder:
We thank you for your investment in the XAI Octagon
Floating Rate & Alternative Income Trust (the “Trust”). This report covers the six months ended March 31, 2024 (the “Period”).
During the Period, we observed sustained and moderately elevated levels of inflation and a pause in interest rate hikes by the U.S. Federal
Reserve (the “Fed”). The Consumer Price Index started the Period at 3.7% and ended the Period at 3.5%.1
Despite the economic uncertainty surrounding the path of interest rates and inflation, the U.S. economy remained resilient,
as evidenced by strong employment and positive GDP growth.
During the Period, the U.S. added approximately
1.4 million jobs,2 as measured by nonfarm payroll figures, while
the March 2024 unemployment rate stood at a healthy 3.8%.3 Q4
2023 real GDP increased 3.4% quarter-over-quarter, while the advance estimate of Q1 2024 real GDP increased 1.6% quarter-over-quarter
as of May 6, 2024.4 The outcome of the Fed’s monetary tightening,
its impact on the U.S. economy, and the future path of inflation, should drive subsequent monetary policy action and the level of base
interest rates in the U.S. economy. Rate changes will be an important consideration with respect to the Trust, as it invests primarily
in floating-rate securities including loans, collateralized loan obligation (“CLO”) debt tranches and CLO equity.
Amidst the backdrop of an elevated interest
rate environment, the Morningstar LSTA US Leveraged Loan Index (the “Morningstar LLI”) returned 13.32% in 2023—
the strongest annual return for the asset class since 2009—followed by a 2.46% quarterly return in Q1 2024.5 Broadly,
the strong performance in the loan market was driven by elevated reference rates, a positive economic outlook providing support for
credit fundamentals, strong corporate earnings results, and favorable market technicals. The trailing 12 month default rate for the
Morningstar LLI decreased to 1.14% as of March 31, 2024, from 1.34% as of September 30, 2023.6
For the Period, the S&P 500 Index, the Bloomberg
Barclays U.S. High Yield 1% Issuer Capped Index, and the Trust’s benchmark, the Morningstar LSTA US Leveraged Loan 100 Index, generated
total returns of 23.48%, 8.77%, and 5.28%, respectively.7
The Trust’s net asset value (“NAV”)
increased during the Period by 4.05% from $6.67 per common share to $6.94 per common share as of March 31, 2024, resulting in a total
return (including the reinvestment of dividends) of 12.02%.
During the Period, the Trust declared monthly
distributions totaling an aggregated $0.51 per common share. The monthly distribution of $0.085 per common share declared on March 1,
2024, represented an annualized distribution rate of 14.39% based on the Trust’s closing market price of $7.09 per common share
on March 31, 2024.
The market price per common share of $7.09 on
March 31, 2024, represented a 2.16% premium to the Trust’s NAV of $6.94 per common share. During the Period, the Trust’s common
shares traded on average at a 4.75% premium to NAV. From the Trust’s IPO on September 27, 2017, through March 31, 2024, the Trust’s
common shares have traded on average at a 3.41% premium to NAV.
We continue to seek operational scale by increasing
the Trust's common assets. During the Period, the Trust issued an additional 4,980,443 common shares pursuant to an at-the-market (“ATM”)
offering program, resulting in $34,887,185 of net proceeds to the Trust. It is important to note that all ATM share sales are executed
at a premium to the Trust’s NAV, meaning they are accretive to the Trust’s shareholders. In addition, on February 1, 2024,
the Trust sold 3,546,854 common shares in a registered direct placement, raising approximately $25,000,000. The offering, which was accretive
to shareholders, was also executed at a price above the Trust’s NAV per common share. Finally, $10,000,000 of the Trust’s
6.00% Series 2029 Convertible Preferred Shares were converted to common shares in two separate conversions at respective conversion prices
above NAV, resulting in the accretive issuance of an additional 1,446,179 common shares.
On October 26, 2023, the Trust announced that
the Trust’s Board of Trustees unanimously approved two proposals: a term amendment, and a new sub-advisory agreement (together,
the “Proposals”). Following a shareholder vote at the Trust’s December 19, 2023 special meeting of shareholders, which
was adjourned to January 24, 2024, the Proposals were approved.
The term amendment eliminated the Trust's termination
date of December 31, 2029, making it a perpetual closed-end fund. The change became effective on February 1, 2024, and the Trust was renamed
to the XAI Octagon Floating Rate & Alternative Income Trust. The Term Amendment allows the Trust’s shareholders to maintain
a fully invested portfolio without requiring the Trust to wind down its investments or leverage. As a perpetual trust, the Trust can continue
to pursue growth and scale efficiencies through accretive ATM share offerings and strategic follow-on share offerings.
The approval of a new sub-advisory agreement among
the Trust, XA Investments LLC, and Octagon Credit Investors, LLC (“Octagon”) allowed Octagon to remain as the Trust’s
sub-adviser following the closing of Generali Group’s acquisition of Octagon’s parent company, Conning Holdings, which was
completed on April 3, 2024.
We appreciate your investment and look forward
to serving your investment needs in the future. For the most up-to-date information on your investment, please visit the Trust’s
website at www.xainvestments.com/XFLT.
Sincerely,
Kimberly Flynn
President
XA Investments LLC
May 15, 2024
XAI
Octagon Floating Rate & Alternative Income Trust
SHAREHOLDER
LETTER
March 31, 2024 (Continued) (Unaudited)
| 1 |
Source: U.S. Bureau of Labor
Statistics, “12-month percentage change, Consumer Price Index, all items, not seasonally adjusted.” |
| 2 |
Source: Bloomberg. (May 6, 2024). |
| 3 |
Source: U.S. Bureau of Labor Statistics, “Civilian
unemployment rate.” |
| 4 |
Source: U.S. Bureau of Labor Statistics, “Gross
Domestic Product, First Quarter 2024 (Advance Estimate).” |
| 5 |
Sources: PitchBook Leveraged Commentary & Data
(“PitchBook LCD”), Morningstar LSTA (Loan Syndications and Trading Association) US Leveraged Loan Index. Represents metrics
for the Morningstar LSTA US Leveraged Loan Index as of the stated date). |
| 6 |
Source: Pitchbook LCD, LLI Default Rate & Distressed
Ratios” (April 1, 2024). |
| 7 |
Source: Bloomberg. See “Index Definitions”
in Questions & Answers for additional information). |
XAI
Octagon Floating Rate & Alternative Income Trust
QUESTIONS
& ANSWERS
March 31, 2024 (Unaudited)
XA Investments LLC (“XAI”) serves
as the investment adviser to the XAI Octagon Floating Rate & Alternative Income Trust (the “Trust”). Octagon Credit Investors,
LLC (“Octagon”) serves as the Trust’s investment sub-adviser and is responsible for the management of the Trust’s
portfolio of investments.
Lauren B. Law, Senior Portfolio Manager at Octagon
and a member of Octagon’s Investment Committee serves as lead portfolio manager of the Trust. Ms. Law is supported by a team of
Octagon investment professionals in the day-to-day management of the Trust’s portfolio, including the following members of Octagon’s
Investment Committee: Andrew D. Gordon (Octagon’s co-founder and Executive Chair), Gretchen M. Lam (Chief Executive Officer), Michael
B. Nechamkin (Chief Investment Officer and Senior Portfolio Manager), Sean M. Gleason (Portfolio Manager), and Maegan Gallagher (Head
of Trading and Capital Markets). On January 1, 2024, Ms. Law assumed the role of lead portfolio manager of the Trust from Ms. Lam, while
Ms. Lam succeeded Mr. Gordon as Chief Executive Officer of Octagon.
What is the Trust’s investment objective and how is it pursued?
The Trust’s investment objective is to seek
attractive total return with an emphasis on income generation across multiple stages of the credit cycle. The Trust seeks to achieve its
investment objective by investing in a dynamically managed portfolio of opportunities primarily within the private credit markets. The
Trust invests primarily in below investment grade credit instruments that are regarded as having predominantly speculative characteristics
with respect to capacity to pay interest and to repay principal. The Trust may invest without limitation in credit instruments that are
illiquid. Under normal market conditions, the Trust will invest at least 80% of its Managed Assets in floating-rate credit instruments
and other structured credit investments. "Managed Assets" means the total assets of the Trust, including assets attributable
to the Trust's use of leverage, minus the sum of its accrued liabilities (other than liabilities incurred for the purpose of creating
leverage).
The Trust’s investments may include (i)
structured credit investments, including collateralized loan obligation (CLO) debt and subordinated (i.e., residual or equity) securities;
(ii) traditional corporate credit investments, including leveraged loans and high yield bonds; (iii) opportunistic credit investments,
including stressed and distressed credit situations and long/short credit investments; and (iv) other credit-related instruments.
Leveraged loans are debt obligations (also commonly
referred to as “senior loans” or “floating-rate loans”) issued by a bank to a corporation that generally holds
legal claim to the borrower’s assets above all other debt obligations. Leveraged loans and CLO debt securities now typically use
Term Standard Overnight Financing Rate (SOFR) as an interest rate benchmark instead of their previous rate benchmark—one-month London
Interbank Offered Rate (LIBOR). While the industry has shifted to SOFR, one- three- and six-month U.S. dollar LIBOR will continue to be
published under a representative “synthetic” methodology until September 30, 2024, to assist in transitioning existing instruments
tied to LIBOR to an alternative rate. These “synthetic” rates are not permitted for use in new products.
CLOs are a type of structured credit vehicle that
typically invest in a diverse portfolio of broadly syndicated leveraged loans. CLOs finance this pool of loans with a capital structure
that consists of debt and equity. CLO debt includes senior and mezzanine debt (collectively, “liabilities”) of a CLO structure
with tranches rated from AAA down to BB or B. Interest earned from the underlying loan collateral pool of a CLO is used to pay the coupon
interest on the CLO liabilities. CLO debt investors earn returns based on spreads above 3-month LIBOR or SOFR, as applicable. CLO equity
represents a residual stake in the CLO structure and is the first loss position in the event of defaults and credit losses. CLO equity
investors receive the excess spread between the CLO assets and liabilities and expenses. CLO equity is junior in priority of payment and
is subject to certain payment restrictions generally set forth in an indenture governing the notes.
The Trust uses leverage to seek to enhance total
return and income. Although leverage may create an opportunity for increased return and income for shareholders, it also results in additional
risks and can magnify the effect of any losses. There is no assurance that the leverage strategy will be successful. If income and gains
on securities purchased with leverage proceeds are greater than the cost of leverage, common shareholders’ return will be greater
than if leverage had not been used. Conversely, if the income or gains from the securities purchased with the proceeds of leverage are
less than the cost of leverage, common shareholders’ return will be less than if leverage had not been used.
Describe the market conditions for leveraged loans during the six
months ended March 31, 2024, and Octagon’s outlook.
US leveraged loans returned 5.40% during the
six months ended March 31, 2024 (the “Period”), as measured by the Morningstar LSTA US Leveraged Loan Index (the
“Morningstar LLI”).1 During the Period, strong
performance in the loan market was driven by elevated reference rates, a positive economic outlook providing support for credit
fundamentals, strong corporate earnings results, and favorable market technicals. Against this supportive backdrop, loan prices
climbed in Q4 2023 and through Q1 2024. As of March 31, 2024, the average bid price for the Morningstar LLI was 96.73, 3.35% higher
than at September 30, 2023 (the Trust’s fiscal year-end).1
As measured by the Morningstar LLI, loans returned 13.32% in 2023—the strongest annual return for the asset class since
2009—followed by a 2.46% quarterly return in Q1 2024.1
Notably, leveraged loans outperformed other credit assets in 2023 and in 1Q 2024,2
which we believe underscores the benefit of floating rate coupons provided by leveraged loans. Higher base rates have propelled
outsized gains for the floating rate asset class, with interest income accounting for approximately 88% of the Morningstar
LLI’s 5.40% return during the Period.1
Lower rated loans outperformed their higher
quality cohorts over the course of 2023 and in Q1 2024, as prices advanced and investors maintained a healthy appetite for riskier
assets.1 Amid firmer market conditions, the share of
performing loans priced below 80 in the Morningstar LLI gradually declined over the Period.1
Loan ratings downgrades continued to outpace upgrades throughout 2023 and through Q1 2024 (albeit at a slower pace than observed in
2023), thereby contributing to increased performance dispersion among loan borrowers.3
The trailing 12 month default rate for the Morningstar LLI decreased to 1.14% as of March 31, 2024, from 1.34% as of September 30,
2023.3 While conventional defaults (i.e., due to missed
payments and bankruptcy filings) declined over the Period, the count of distressed exchanges increased.3 Distressed
exchanges occur when a debtor exchanges assets generally worth less than their original loan in an effort to restructure the debt.
Distressed exchanges and other liability management transactions or “LMTs” (in which a company’s debts are
restructured outside of a typical bankruptcy process), have become more prevalent between troubled companies and their lenders as a
means to reduce debt and avoid costly bankruptcy proceedings.3
We expect LMT activity to remain elevated in the near-term.
Full-year 2023 institutional loan new issuance
of $234.1 billion increased only 4% year-over-year from the 2022 total of $225.3 billion.4
In the wake of relatively subdued primary loan market activity in 2023, gross monthly new loan issuance surged to a seven-year
high in January 2024, as robust demand, continued price appreciation, and a lack of true new issue loan supply (resulting from mergers
and acquisitions and leveraged buyout transactions) spurred a wave of loan repricings and refinancings.4
After a slower February, refinancings and repricings picked up in March 2024,4
allowing many borrowers to extend loan maturities and reduce interest expenses, thereby alleviating some of the pressure
from higher rates. Year-to-date as of March 31, 2024, the amount of loans coming due between 2024 2026 decreased by 30% from December
31, 2023.5
XAI
Octagon Floating Rate & Alternative Income Trust
QUESTIONS
& ANSWERS
March 31, 2024 (Continued) (Unaudited)
Heavy new CLO issuance has provided strong technical
support for the loan market as net loan supply continues to fall short of demand. The steady pace of CLO origination over the course
of 2023, which totaled $115.8 billion in new US CLO issuance,6 precipitated persistent bids for loans and broad tightening
in CLO liability spreads that continued into the new year.7 During the Period, new US CLO issuance totaled $80.7 billion,
reflecting record deal issuance in Q1 2024.6 In addition to robust institutional demand, retail loan funds reported over $2 billion
of net inflows in Q1 2024, following sustained outflows over the course of 2023.8
Despite inflationary pressures, we expect credit
fundamentals to generally remain stable for most loan borrowers, though idiosyncratic risk remains elevated among lower-rated borrowers.
We anticipate pockets of credit stress and episodic periods of market volatility as economic and monetary conditions shift, and we will
therefore retain a disciplined approach as we seek to manage risk in the Trust’s portfolio. Broadly, we expect resilient growth
and the higher rate environment to bode well for floating rate loans, which provide valuable protection from interest rate volatility.
Given high levels of current income with price convexity (i.e., when the price increase resulting from a decline in interest rates is
greater than the price decrease that would result from an equivalent rise in rates), we believe loans should continue to offer compelling
risk/return opportunities for fundamental credit pickers.
Describe the current market conditions for the CLO market and Octagon’s
outlook.
In tandem with strong performance for loans,
CLO debt tranches produced positive returns over the Period that ranged from 4.07% for AAA-rated tranches to 14.22% for BB-rated tranches,
as measured by the J.P. Morgan Collateralized Loan Obligation Index (“CLOIE”).9 Notably, with a full-year 2023
return of 24.66%, CLO mezzanine tranches (rated BB and B, which comprise the majority of the Trust’s CLO debt holdings) posted
the strongest annual performance of credit assets.9,10
Primary CLO liability spreads tightened during
the Period, particularly in Q1 2024 amid heavy new CLO supply, a wave of loan repricings, and increased activity among traditional CLO
AAA buyers (in particular, renewed demand from US banks reentering the market).7 With nearly $50 billion of new deals priced
year-to-date as of March 31, 2024, primary CLO market activity is running 45% ahead of last year’s pace.7 As primary
CLO spreads compressed, managers sought to reprice liabilities on existing CLO AAA tranches, leading to a record volume of deal resets
and refinancings in Q1 2024.7 The momentum is expected to continue in the near-term in the wake of record-setting CLO formation
in Q1 2024.11 We believe that refinancings and resets of CLOs held by the Trust should be accretive to the Trust in 2024;
not only do CLO refinancings and resets typically help to offset the impact of loan repricings and spread compression, but CLO resets
also extend the weighted average reinvestment period of the underlying CLO equity positions in the Trust’s portfolio.
CLO spread compression and higher CLO equity
net asset values (NAVs) precipitated an uptick in CLO call volume in Q1 2024.12 A CLO can be called by the majority of equity
holders at any point after the non-call period expires—equity holders are incentivized to exercise the call option when the liquidation
value of the equity tranche (i.e., NAV) is positive. CLO equity NAVs have improved in tandem with higher loan prices, and we expect to
see increased call volume from seasoned CLOs with minimal equity payments and positive NAVs. If call volume increases, CLO investors'
cash available for investment will increase in tandem, which we believe is likely to bolster demand for CLO tranches.
CLO managers remain focused on managing portfolio
risk in underlying collateral pools amid continued loan ratings downgrades. The median CCC concentration in US broadly syndicated loan
(BSL) CLO portfolios was lower in March 2024 compared to December 2023 levels, reflecting sales of CCC loans at higher prices, as well
as ratings migrations in and out of the CCC bucket (upgrades or downgrades to D or DD) during the first quarter.13 Junior
overcollateralization ratio test cushions for reinvesting BSL CLOs generally remain healthy at a median level of 4.7% as of March 31,
2024,14 though overcollateralization cushions may face pressure from increased ratings downgrades
among underlying loans.
Despite spread tightening over the Period, we
believe BB-rated CLO debt tranches remain attractive given double digit average current yields. A higher-for-longer rate environment
should support above-average returns for CLO tranches over the intermediate term, in our view. We continue to hold a favorable view of
CLO equity, in particular, primary CLO equity tranches, as the new issue equity arbitrage has improved compared to prior periods. For
reinvesting CLOs, the median January 2024 equity distribution was 3.6% of notional value, or roughly 15% on an annualized basis.15
Absent a spike in loan defaults, quarterly CLO equity distributions are expected to increase in April and July of 2024, driven
by higher base rates and reflecting a tightening in the basis between three-month and one-month SOFR.16 At the same time,
risks remain throughout the corporate credit space, and CLO collateral portfolios are likely to be challenged by loan ratings downgrades,
defaults, and borrower-specific idiosyncratic issues. We remain focused on investing in fundamentally strong CLOs that offer compelling
yields and the potential for price appreciation.
How did the Trust perform for the period?
During the Period, the Trust’s total return
based on market price was 9.83% and total return based on NAV was 12.02%, which is net of the deduction of management fees, operating
expenses, and all other Trust expenses. All Trust total returns cited whether based on NAV or market price assume the reinvestment of
all distributions. As of March 31, 2024, the Trust’s market price of $7.09 represented a 2.16% premium to NAV of $6.94 per common
share. The market value of the Trust’s common shares fluctuates from time to time and may be higher or lower than the Trust’s
NAV. Performance data quoted represents past performance. Past performance does not guarantee future results. Current performance may
be lower or higher than the performance data quoted.
Relevant indices for the markets in which the
Trust invests include the Trust’s benchmark, the Morningstar LSTA US Leveraged Loan 100 Index (the “Morningstar 100”),
which returned 5.28% for the Period, Bloomberg Barclays U.S. High Yield 1% Issuer Capped Index, which returned 8.77% for the Period, and
the JP Morgan BB/B CLO Debt Index, which returned 14.22% for the Period. There is no representative benchmark index for CLO equity in
the marketplace.
What were the distributions over the period?
During the Period, the Trust maintained its monthly
distribution of $0.085 per share. The Trust’s distribution of $0.085 per common share declared on March 1, 2024, represented an
annualized distribution rate of 14.39% based on the Trust’s closing market price of $7.09 per common share on March 31, 2024. The
Trust’s distribution rate is not constant, and the amount of distributions, when and if declared by the Trust’s Board of Trustees,
is subject to change based on the performance of the Trust.
The Trust intends to pay substantially all its
net investment income, if any, to common shareholders through monthly distributions and to distribute any net realized long-term capital
gains to common shareholders at least annually. The Trust’s net investment income and capital gain can vary significantly over time;
however, the Trust seeks to maintain stable common share monthly distributions over time. There is no assurance the Trust will pay regular
monthly distributions or that it will do so at a particular rate. Distributions
may be paid by the Trust from any permitted source and, from time to time, all or a portion of a distribution may be a return of capital.
XAI
Octagon Floating Rate & Alternative Income Trust
QUESTIONS
& ANSWERS
March 31, 2024 (Continued) (Unaudited)
Please see Note 4 of the Notes to the Financial Statements for more
information on distributions for the Period.
What influenced the Trust’s performance over the Period?
The Trust generated positive returns across its
main portfolio segments during the Period. CLO equity represented the largest contributor to performance, with a net gain of $0.46 per
share for the Period, followed by the Trust’s performing loan investments, which produced a net gain of $0.32 per share. During
the Period, the Trust’s CLO equity positions collected quarterly distribution payments totaling $24,916,107 or $0.51 per share,
which were offset by unrealized market value losses of $2,276,766 or -$0.05 per share. It bears noting that CLO equity pricing can be
volatile. The Trust’s CLO debt portfolio segment and performing high yield bond portfolio segment posted net gains of $0.20 per
share and $0.04 per share, respectively, for the Period.
Discuss the Trust’s issuance of additional common shares.
During the Period, the Trust issued 4,980,443
common shares pursuant to an at-the-market (“ATM”) offering program, resulting in $34,887,185 of net proceeds to the Trust.
The ATM program is a form of continuous offering of the Trust’s common shares. The goal of the Trust’s ATM program is to enhance
secondary market liquidity for shareholders by increasing the size of the Trust over time and reducing operating expenses per share. In
an ATM offering, newly issued shares are sold incrementally into the secondary trading market through a placement agent at prevailing
market prices, but always at a price higher than the Trust’s NAV per common share, which is accretive to the Trust’s shareholders.
The placement agent sells the common shares on the open market and the Trust receives cash proceeds from the transaction to be invested
pursuant to the Trust’s investment objective.
The Trust issues common shares pursuant to the
ATM program only if the common shares are trading at a sufficient premium such that the issuance price, less the placement fee, exceeds
the Trust’s NAV per common share. For the Period, the Trust’s common shares traded on average at a 4.75% premium to NAV and
had an average daily trading volume of 324,897 common shares. ATM program daily issuance totals depend on the common shares’ average
daily trading volume and the relative premium or discount of the Trust’s common share price to NAV.
In addition to the ATM program, the Trust sold
3,546,854 common shares in a registered direct placement, raising approximately $25,000,000. The offering, which was accretive to shareholders,
was executed at a price above the Trust’s NAV per common share. Additionally, $10,000,000 of the Trust’s 6.00% Series 2029
Convertible Preferred Shares were converted to common shares in two separate conversions at respective conversion prices above NAV, resulting
in the issuance of an additional 1,446,179 common shares.
Discuss the Trust’s use of leverage.
The Trust uses leverage as part of its investment
strategy to finance the purchase of additional securities that may provide increased income and greater appreciation potential to common
shareholders than could be achieved from a portfolio that is unlevered. Given the average cost of leverage during the Period of 6.76%,
the leverage employed by the Trust is expected to be accretive to income generation. The Trust currently employs leverage through the
combination of a bank borrowing facility and preferred shares outstanding. As of March 31, 2024, the amount of outstanding borrowings
under the bank borrowing facility was $169,050,000, which represented approximately 27.25% of the Trust’s Managed Assets (which
includes the proceeds from borrowing and preferred shares outstanding). In addition, the Trust had 6.50% Series 2026 Preferred Shares,
6.00% Series 2029 Convertible Preferred Shares, and 6.95% Series 2029 Convertible Preferred Shares outstanding as of March 31, 2024, with
liquidation preferences of $39,900,000, $10,000,000, and $20,000,000, respectively. The Trust’s total preferred shares outstanding
were $69,900,000 as of March 31, 2024, which represented approximately 11.27% of the Trust’s Managed Assets. Total leverage, which
includes both the bank borrowing facility and preferred shares outstanding, was $238,950,000 as of March 31, 2024, representing 38.52%
of the Trust’s Managed Assets.
On November 6, 2023, the Trust entered into an
agreement to issue and sell up to 1,200,000 shares of its 6.95% Series 2029 Convertible Preferred Shares, amounting to a total liquidation
preference of $30,000,000. As of April 4, 2024, the Trust has issued each of the 1,200,000 shares of the 6.95% Series 2029 Convertible
Preferred Shares.
The Trust may use leverage through (i) the issuance
of senior securities representing indebtedness, including through borrowing from financial institutions or issuance of debt securities,
including notes or commercial paper, (ii) the issuance of preferred shares and/or (iii) reverse repurchase agreements, securities lending,
short sales or derivatives, such as swaps, futures or forward contracts, that have the effect of leverage. The Trust may utilize leverage,
to the maximum extent permitted under the Investment Company Act of 1940, as amended. Because a portion of the Trust’s assets may
consist of illiquid investments, to the extent that the Trust must dispose of portfolio holdings to meet its regulatory asset coverage
ratio, the Trust may be required to dispose of more liquid holdings at times or on terms that the Trust would otherwise consider undesirable,
which may pose particular risks during adverse or volatile market conditions. While leverage may increase the income of the Trust in yield
terms, it also amplifies the effects of changing market prices in the portfolio and can cause the Trust’s NAV to change to a greater
degree than the market as a whole. This change in NAV can create volatility in Trust pricing.
Index Definitions
The Trust is actively managed and does not seek
to track any index. Index returns are stated for illustrative purposes only, do not reflect the deduction of fees and expenses, and do
not represent the performance of the Trust. Past performance is not a predictor of future market performance. It is not possible to invest
directly in an index.
The Bloomberg Barclays U.S. High Yield 1% Issuer
Capped Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond markets. Securities are classified as high yield
if the middle rating of the Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below. Issuers are capped at 1% of the index.
XAI
Octagon Floating Rate & Alternative Income Trust
QUESTIONS
& ANSWERS
March 31, 2024 (Continued) (Unaudited)
The J.P. Morgan CLO Debt Index represents the
post-crisis J.P. Morgan Collateralized Loan Obligation Index (“CLOIE”). The CLOIE is an index that tracks the market for U.S.
dollar-denominated broadly syndicated, arbitrage CLOs. The CLOIE is divided by origination (pre- versus post-crisis) and is broken out
further into six original rating classes (AAA, AA, A, BBB, BB, B). The sub-index referenced herein tracks BB-rated CLO debt.
The Morningstar LSTA US Leveraged Loan Index (the
“Morningstar LLI”) is a market-value weighted index designed to measure the performance of the US leveraged loan market. The
index universe comprises syndicated, senior secured, US-dollar denominated leveraged loans covered by PitchBook Leveraged Commentary &
Data (“PitchBook LCD”), a Morningstar Company. Loan facilities included in the Morningstar LLI must have a one year (at inception)
minimum term, an initial minimum spread of LIBOR/SOFR +1.25%, and a minimum size of $50mm (initially funded). LSTA/Refinitiv Mark-to-Market
Pricing is used to price each loan in the index. LSTA/Refinitiv Mark-to-Market Pricing is based on bid/ask quotes gathered from dealers
and is not based upon derived pricing models. The index uses the average bid for its market value calculation. Please note, the performance
information presented herein for the Morningstar LLI reflects restated returns for the period June 25, 2022 – February 27, 2023,
pursuant to a recent notification issued by PitchBook LCD that a technical error had occurred in the calculation of accrued interest for
certain securities dating back to June 25, 2022. Consequently, previous communications reflected overstated returns.
The Morningstar LSTA US Leveraged Loan 100 Index
(the “Morningstar 100”) is designed to measure the performance of the 100 largest facilities in the US leveraged loan market.
Index constituents are market-value weighted, subject to a single loan facility weight cap of 2%. Loan facilities included in the Morningstar
100 must have a one year (at inception) minimum term, an initial minimum spread of LIBOR/SOFR + 1.25%, and a minimum size of $50mm (initially
funded). LSTA/Refinitiv Mark-to-Market Pricing is used to price each loan in the index. LSTA/Refinitiv Mark-to-Market Pricing is based
on bid/ask quotes gathered from dealers and is not based upon derived pricing models. The index uses the average bid for its market value
calculation. Please note, the performance information presented herein for the Morningstar 100 reflects restated returns for the period
June 25, 2022 – February 27, 2023, pursuant to a recent notification issued by PitchBook LCD that a technical error had occurred
in the calculation of accrued interest for certain securities dating back to June 25, 2022. Consequently, previous communications reflected
overstated returns.
Risks and Other Considerations
Investing involves risk, including the possible loss of principal and
fluctuation in value.
The views expressed in these Questions & Answers
reflect those of the portfolio managers only through the report period as stated on the cover. These views are expressed for informational
purposes only and are subject to change at any time, based on market and other conditions, and may not come to pass. These views should
not be construed as research, investment advice or a recommendation of any kind regarding the Trust or any issuer or security, do not
constitute a solicitation to buy or sell any security, and should not be considered specific legal, investment or tax advice. The information
provided does not take into account the specific objectives, financial situation, or particular needs of any specific investor.
The views expressed in this report may also include
forward-looking statements that involve risk and uncertainty, and there is no guarantee that any predictions will come to pass. Actual
results or events may differ materially from those projected, estimated, assumed, or anticipated in any such forward-looking statements.
Important factors that could result in such differences, in addition to the other factors noted with such forward-looking statements,
include general economic conditions such as inflation, recession, and interest rates. Neither XAI nor Octagon has any obligation to update
or otherwise revise any forward-looking statements, including any revision to reflect changes in any circumstances arising after the date
hereof relating to any assumptions or otherwise.
There can be no assurance that the Trust will achieve its investment
objective or that any investment strategies or techniques discussed herein will be effective.
The value of the Trust will fluctuate with the value of the underlying
securities. Historically, exchange-listed closed-end funds often trade at a discount to their NAV.
Performance data quoted represents past performance.
Past performance does not guarantee future results. Current performance may be lower or higher than the performance data quoted.
Risk Considerations
Investing in closed-end funds involves risk; principal
loss is possible. There is no guarantee the Trust’s investment objective will be achieved. Exchange-listed closed-end fund shares
may frequently trade at a discount or premium to their NAV. CLOs often involve risks that are different from or more acute than risks
associated with other types of credit instruments and may be difficult to value or be illiquid. The value of CLOs may decrease if ratings
agencies revise their ratings criteria and, as a result, lower the rating of a CLO in which the Trust has invested. Senior loans may not
be fully secured by collateral, generally do not trade on exchanges, and are typically issued by unrated or below-investment grade companies,
and therefore are subject to greater liquidity and credit risk. Lower credit quality debt securities may be more likely to fail to make
timely interest or principal payments. Leverage increases return volatility and magnifies the Trust’s potential return and its risks;
there is no guarantee a trust’s leverage strategy will be successful. The Trust’s shares are not guaranteed or endorsed by
any bank or other insured depository institution and are not federally insured by the Federal Deposit Insurance Corporation.
Please see “Risks” in the Trust’s
Annual Report for the fiscal year ended September 30, 2023, which was filed on Form N-CSR on November 29, 2023 for more information regarding
the Trust’s risks and considerations.
Visit the Trust’s website (www.xainvestments.com/XFLT)
for additional information regarding the Trust. The Trust regularly updates performance and certain other data and publishes material
information as necessary from time to time on its website. Investors and others are advised to check the website for updated information
and the release of other material information about the Trust. References herein to the Trust’s website are intended to allow investors
public access to information regarding the Trust and do not, and are not intended to, incorporate the Trust’s website in this report.
This material is not intended as a recommendation
or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided
in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute
a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and
is not intended to be, and should not be construed as, legal or tax advice and/or legal opinion. Always consult a financial, tax, and/or
legal professional regarding your specific situation.
XAI
Octagon Floating Rate & Alternative Income Trust
QUESTIONS
& ANSWERS
March 31, 2024 (Continued) (Unaudited)
| 1 | Sources: PitchBook Leveraged Commentary & Data (“PitchBook LCD”), Morningstar LSTA
US Leveraged Loan Index. Represents metrics for the Morningstar LSTA US Leveraged Loan Index as of the stated date. |
| 2 | Source: Bloomberg (March 28, 2024). |
| 3 | Source: Pitchbook LCD, “LLI Default Rate & Distressed Ratios” (April 1, 2024). |
| 4 | Source: Pitchbook LCD, “US Credit Markets Quarterly Wrap, First quarter 2024” (April 1, 2024). |
| 5 | Source: Pitchbook LCD, LLI Maturity Breakdown (March 29, 2024). |
| 6 | Source: Pitchbook LCD, “Q1 CLO Wrap: New-deal issuance sets record pace as spreads compress” (March 26, 2024). |
| 7 | Source: Pitchbook LCD, “CLO Global Databank” (retrieved from www.lcdcomps.com, April 1, 2024). |
| 8 | Source: J.P. Morgan North America Credit Research, “High Yield Bond and Leveraged Loan Market Monitor” (April 1, 2024). |
| 9 | Source: J.P. Morgan Data Query, as of the stated period/date. J.P. Morgan Collateralized Loan Obligation Index. |
| 10 | Source: BofA Global Research, “CLO Factbook” (April 5, 2024). |
| 11 | Sources: Pitchbook LCD, “Global CLO Roundup: Refis/resets keep coming; Barclays lifts FY volume views” (March 19, 2024);
J.P. Morgan North America Credit Research, “CLO: Dancing with our hands
tied” (March 1, 2024); BofA Global Research, “CLO Weekly: CLO performance updates: the enigmatic Return to Innocence”
(March 1, 2024); Citi Research, “Global CLO Market Q2’2024 Outlook” (March 21, 2024). |
| 12 | Source: BofA Global Research, “Estimated Called CLO Deals” (March 31, 2024). |
| 13 | Source: Morgan Stanley Research, “Leveraged Loans and CLO Dashboard – Staying Strong” (April 12, 2024). |
| 14 | Source: BofA Global Research, “CLO Weekly: Tokyo Rates Drift: Impact on CLOs; Equity YTD returns: Higher than Pi” (March
15, 2024). |
| 15 | Source: Nomura Global Markets Research, Securitized Products – North America, “CLO Special Topics: Repayment and default
expectations,” (October 19, 2023). |
| 16 | Source: BofA Global Research, “CLO Weekly, April equity distributions see a Spring in their coupon; 2024 Q1 equity returns
at 4%” (April 19, 2024). |
XAI
Octagon Floating Rate & Alternative Income Trust
TRUST
PORTFOLIO INFORMATION
March 31, 2024 (Unaudited)
Growth of a $10,000 Investment (as of March 31, 2024)
The chart above represents historical performance
of a hypothetical investment of $10,000 in the Trust since inception. Past performance does not guarantee future results.
Performance reflects the partial waiver of the Trust’s advisory fees and/or reimbursement of expenses for certain periods since
the inception date. Without these waivers and/or reimbursements, performance would have been lower. This chart does not reflect the deduction
of taxes that a shareholder would pay on Trust distributions or the redemption of Trust shares. The chart assumes that distributions
from the Trust are reinvested.
Summary Performance (as of March 31, 2024)
| |
Cumulative |
|
Average
Annual |
| |
|
|
|
|
|
|
|
Since |
| |
|
|
|
|
|
|
|
Inception
(September |
| |
1
Month |
3
Month |
6
Month |
|
1
Year |
3
Years |
5
Years |
27, 2017) |
| XAI
Octagon Floating Rate & Alternative Income Trust - NAV |
1.66% |
4.58% |
12.02% |
|
27.55% |
8.77% |
7.84% |
6.32% |
| |
|
|
|
|
|
|
|
|
| XAI
Octagon Floating Rate & Alternative Income Trust - Market Price |
0.80% |
2.95% |
9.83% |
|
28.07% |
4.58% |
8.58% |
6.31% |
| |
|
|
|
|
|
|
|
|
| Morningstar LSTA US Leveraged Loan 100 Index* |
0.54% |
1.99% |
5.28% |
|
12.16% |
5.53% |
5.14% |
4.79% |
| * | The Morningstar LSTA US Leveraged Loan 100 Index (Loan Syndications
and Trading Association) U.S. Leveraged Loan 100 Index was the first to track the investable senior loan market. This rules-based index
consists of the 100 largest loan facilities in the benchmark S&P/LSTA Leveraged Loan Index (LLI). |
Performance data quoted represents
past performance. Past performance does not guarantee future results. Investment return and principal value of an investment will fluctuate
so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance may
be lower or higher than performance data quoted.
XAI
Octagon Floating Rate & Alternative Income Trust
TRUST
PORTFOLIO INFORMATION
March
31, 2024 (Continued) (Unaudited)
Top
Ten Portfolio Holdings (as a % of Total Investments)*
| Holding |
Type |
|
| OHA Credit Partners XII Ltd. |
Collateralized Loan Obligations Equity |
1.30% |
| Elmwood CLO 14 Ltd. |
Collateralized Loan Obligations Equity |
1.24% |
| CARLYLE US CLO 2019-4 Ltd. |
Collateralized Loan Obligations Equity |
1.06% |
| Generate CLO 12 Ltd. |
Collateralized Loan Obligations Equity |
1.01% |
| Rockland Park CLO Ltd. |
Collateralized Loan Obligations Equity |
1.00% |
| Clover CLO 2019-1 Ltd. |
Collateralized Loan Obligations Equity |
0.96% |
| Sixth Street CLO XXIV Ltd. |
Collateralized Loan Obligations Equity |
0.93% |
| RR 2 Ltd. |
Collateralized Loan Obligations Equity |
0.90% |
| Regatta XIX Funding Ltd. |
Collateralized Loan Obligations Equity |
0.86% |
| Elmwood CLO VII Ltd. |
Collateralized Loan Obligations Equity |
0.85% |
| Total |
|
10.11% |
| * | Holdings may vary, are subject to change, and exclude
Money Market Mutual Funds. |
| |
% of Total |
| Asset Allocation* |
Investments** |
| Senior Secured First Lien Loans |
43.74% |
| Collateralized Loan Obligations Equity |
35.42% |
| Collateralized Loan Obligations Debt |
15.34% |
| Corporate Bonds |
2.92% |
| Money Market Mutual Funds |
1.40% |
| Secured Second Lien Loans |
1.13% |
| Common Stocks |
0.05% |
| Rights |
0.00% |
| * | Holdings may vary and are subject to change. |
| ** | Total may not add up to 100% due to rounding. |
XAI
Octagon Floating Rate & Alternative Income Trust
SCHEDULE
OF INVESTMENTS
March
31, 2024 (Unaudited)
| | |
Reference Rate
& Spread | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| COLLATERALIZED LOAN OBLIGATIONS DEBT - 26.04%(a)(b) | |
| |
| |
| | |
| |
| Anchorage Capital CLO 13 LLC | |
3M SOFR + 6.96% | |
04/15/2034 | |
$ | 1,500,000 | | |
$ | 1,502,306 | |
| Anchorage Capital CLO 16 Ltd. | |
3M SOFR + 7.61% | |
01/19/2035 | |
| 2,000,000 | | |
| 1,929,516 | |
| Anchorage Capital CLO 17 Ltd. | |
3M SOFR + 7.12% | |
07/15/2034 | |
| 1,250,000 | | |
| 1,200,819 | |
| Anchorage Capital CLO 19 Ltd. | |
3M SOFR + 7.51% | |
10/15/2034 | |
| 1,000,000 | | |
| 864,926 | |
| Anchorage Capital CLO 21 Ltd. | |
3M SOFR + 7.61% | |
10/20/2034 | |
| 500,000 | | |
| 481,528 | |
| Anchorage Capital CLO 4-R Ltd. | |
3M SOFR + 5.76% | |
01/28/2031 | |
| 2,000,000 | | |
| 1,964,787 | |
| Anchorage Capital CLO 9 Ltd. | |
3M SOFR + 7.08% | |
07/15/2032 | |
| 2,000,000 | | |
| 1,935,222 | |
| Apidos CLO XLV Ltd. | |
3M SOFR + 8.40% | |
04/26/2036 | |
| 500,000 | | |
| 515,004 | |
| Apidos CLO XXVII | |
3M SOFR + 6.66% | |
07/17/2030 | |
| 375,000 | | |
| 374,261 | |
| Apidos CLO XXXII | |
3M SOFR + 7.01% | |
01/20/2033 | |
| 250,000 | | |
| 251,348 | |
| ARES LI CLO Ltd. | |
3M SOFR + 7.11% | |
07/15/2034 | |
| 4,250,000 | | |
| 4,243,969 | |
| Ares LV CLO Ltd. | |
3M SOFR + 6.61% | |
07/15/2034 | |
| 1,525,000 | | |
| 1,535,722 | |
| Atrium IX LLC | |
3M SOFR + 6.71% | |
05/28/2030 | |
| 900,000 | | |
| 891,002 | |
| Atrium XIV LLC | |
3M SOFR + 5.91% | |
08/23/2030 | |
| 500,000 | | |
| 497,261 | |
| Ballyrock CLO 20 Ltd. | |
3M SOFR + 7.25% | |
07/15/2034 | |
| 4,000,000 | | |
| 4,014,130 | |
| Battalion CLO XXI Ltd. | |
3M SOFR + 6.72% | |
07/15/2034 | |
| 1,000,000 | | |
| 907,241 | |
| Benefit Street Partners CLO XVII Ltd. | |
3M SOFR + 6.61% | |
07/15/2032 | |
| 1,100,000 | | |
| 1,077,451 | |
| Benefit Street Partners CLO XXIII Ltd. | |
3M SOFR + 7.07% | |
04/25/2034 | |
| 1,500,000 | | |
| 1,499,768 | |
| Benefit Street Partners CLO XXIV Ltd. | |
3M SOFR + 6.87% | |
10/20/2034 | |
| 1,000,000 | | |
| 987,528 | |
| Benefit Street Partners CLO XXIX Ltd. | |
3M SOFR + 7.81% | |
01/25/2036 | |
| 1,750,000 | | |
| 1,774,584 | |
| Benefit Street Partners CLO XXVIII Ltd. | |
3M SOFR + 7.59% | |
10/20/2035 | |
| 2,000,000 | | |
| 2,026,028 | |
| Benefit Street Partners CLO XXXII Ltd. | |
3M SOFR + 7.35% | |
10/25/2036 | |
| 2,400,000 | | |
| 2,417,144 | |
| Carlyle US CLO 2022-5 Ltd. | |
3M SOFR + 8.46% | |
10/15/2035 | |
| 2,000,000 | | |
| 2,036,976 | |
| CIFC Funding 2015-I Ltd. | |
3M SOFR + 6.26% | |
01/22/2031 | |
| 500,000 | | |
| 497,258 | |
| CIFC Funding 2018-I Ltd. | |
3M SOFR + 5.26% | |
04/18/2031 | |
| 1,750,000 | | |
| 1,722,626 | |
| CIFC Funding 2019-II Ltd. | |
3M SOFR + 6.85% | |
04/17/2034 | |
| 1,500,000 | | |
| 1,509,963 | |
| CIFC Funding 2019-III Ltd. | |
3M SOFR + 7.06% | |
10/16/2034 | |
| 2,750,000 | | |
| 2,756,739 | |
| CIFC Funding 2019-V Ltd. | |
3M SOFR + 7.04% | |
01/15/2035 | |
| 1,000,000 | | |
| 998,299 | |
| CIFC Funding 2019-VI Ltd. | |
3M SOFR + 7.66% | |
01/16/2033 | |
| 500,000 | | |
| 499,903 | |
| CIFC Funding 2022-I Ltd. | |
3M SOFR + 6.40% | |
04/17/2035 | |
| 2,000,000 | | |
| 1,999,541 | |
| CIFC Funding 2022-III Ltd. | |
3M SOFR + 7.27% | |
04/21/2035 | |
| 850,000 | | |
| 852,296 | |
| Clover CLO 2019-1 Ltd. | |
3M SOFR + 6.70% | |
04/18/2035 | |
| 2,000,000 | | |
| 2,000,814 | |
| Clover CLO 2021-3 LLC | |
3M SOFR + 6.72% | |
01/25/2035 | |
| 1,000,000 | | |
| 986,877 | |
| Elmwood CLO VI Ltd. | |
3M SOFR + 6.76% | |
10/20/2034 | |
| 1,750,000 | | |
| 1,772,592 | |
| Elmwood CLO VII Ltd. | |
3M SOFR + 7.50% | |
01/17/2034 | |
| 2,000,000 | | |
| 1,919,784 | |
| Elmwood CLO XI Ltd. | |
3M SOFR + 6.26% | |
10/20/2034 | |
| 750,000 | | |
| 748,183 | |
| HPS Loan Management 11-2017 Ltd. | |
3M SOFR + 8.11% | |
05/06/2030 | |
| 1,000,000 | | |
| 641,375 | |
| Madison Park Funding LX Ltd. | |
3M SOFR + 8.95% | |
10/25/2035 | |
| 1,250,000 | | |
| 1,274,434 | |
| Madison Park Funding LXIII Ltd. | |
3M SOFR + 8.57% | |
04/21/2035 | |
| 1,250,000 | | |
| 1,285,969 | |
| Madison Park Funding XLVI Ltd. | |
3M SOFR + 6.51% | |
10/15/2034 | |
| 550,000 | | |
| 550,269 | |
| Madison Park Funding XLVIII Ltd. | |
3M SOFR + 6.51% | |
04/19/2033 | |
| 1,500,000 | | |
| 1,497,959 | |
| Madison Park Funding XVII Ltd. | |
3M SOFR + 7.74% | |
07/21/2030 | |
| 1,000,000 | | |
| 835,775 | |
| Madison Park Funding XXVII Ltd. | |
3M SOFR + 5.26% | |
04/20/2030 | |
| 1,500,000 | | |
| 1,472,446 | |
| Madison Park Funding XXXVII Ltd. | |
3M SOFR + 6.41% | |
07/15/2033 | |
| 750,000 | | |
| 749,743 | |
| Magnetite XXIV Ltd. | |
3M SOFR + 6.40% | |
04/15/2035 | |
| 500,000 | | |
| 499,519 | |
| Neuberger Berman Loan Advisers CLO 24 Ltd. | |
3M SOFR + 6.28% | |
04/19/2030 | |
| 1,000,000 | | |
| 997,044 | |
| Neuberger Berman Loan Advisers CLO 32 Ltd. | |
3M SOFR + 6.36% | |
01/20/2032 | |
| 1,500,000 | | |
| 1,499,103 | |
| Neuberger Berman Loan Advisers CLO 40 Ltd. | |
3M SOFR + 6.11% | |
04/16/2033 | |
| 1,670,000 | | |
| 1,653,058 | |
| Neuberger Berman Loan Advisers CLO 47 Ltd. | |
3M SOFR + 6.25% | |
04/14/2035 | |
| 1,000,000 | | |
| 996,150 | |
| OHA Credit Funding 12 Ltd. | |
3M SOFR + 8.00% | |
07/20/2036 | |
| 2,000,000 | | |
| 2,017,247 | |
| OHA Credit Funding 2 Ltd. | |
3M SOFR + 6.62% | |
04/21/2034 | |
| 1,000,000 | | |
| 1,006,670 | |
| OHA Credit Funding 5 Ltd. | |
3M SOFR + 6.51% | |
04/18/2033 | |
| 1,000,000 | | |
| 1,006,762 | |
| OHA Credit Funding 7 Ltd. | |
3M SOFR + 6.25% | |
02/24/2037 | |
| 900,000 | | |
| 897,494 | |
| OHA Credit Funding 9 Ltd. | |
3M SOFR + 6.51% | |
07/19/2035 | |
| 1,000,000 | | |
| 1,005,974 | |
| Rad CLO 10 Ltd. | |
3M SOFR + 6.11% | |
04/23/2034 | |
| 2,000,000 | | |
| 1,952,520 | |
| Rad CLO 11 Ltd. | |
3M SOFR + 6.51% | |
04/15/2034 | |
| 1,300,000 | | |
| 1,262,727 | |
| Rad CLO 12 Ltd. | |
3M SOFR + 6.61% | |
10/30/2034 | |
| 2,000,000 | | |
| 1,967,064 | |
| Rad CLO 4 Ltd. | |
3M SOFR + 7.01% | |
04/25/2032 | |
| 2,328,764 | | |
| 2,300,480 | |
| Regatta VII Funding Ltd. | |
3M SOFR + 6.66% | |
06/20/2034 | |
| 1,000,000 | | |
| 983,595 | |
| Regatta VIII Funding Ltd. | |
3M SOFR + 6.36% | |
10/17/2030 | |
| 500,000 | | |
| 500,437 | |
| Regatta XII Funding Ltd. | |
3M SOFR + 6.61% | |
10/15/2032 | |
| 500,000 | | |
| 502,786 | |
| Regatta XIV Funding Ltd. | |
3M SOFR + 6.21% | |
10/25/2031 | |
| 750,000 | | |
| 745,950 | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
SCHEDULE
OF INVESTMENTS
March
31, 2024 (Unaudited) (Continued)
| | |
Reference Rate
& Spread | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| COLLATERALIZED LOAN OBLIGATIONS DEBT - 26.04%(a)(b)(Continued) | |
| |
| | |
| |
| Regatta XIX Funding Ltd. | |
3M SOFR + 6.88% | |
04/20/2035 | |
$ | 750,000 | | |
$ | 755,876 | |
| Regatta XVI Funding Ltd. | |
3M SOFR + 7.26% | |
01/15/2033 | |
| 1,400,000 | | |
| 1,411,857 | |
| Regatta XVIII Funding Ltd. | |
3M SOFR + 6.21% | |
01/15/2034 | |
| 2,375,000 | | |
| 2,347,608 | |
| Regatta XXII Funding Ltd. | |
3M SOFR + 7.19% | |
07/20/2035 | |
| 1,350,000 | | |
| 1,331,668 | |
| Regatta XXIII Funding Ltd. | |
3M SOFR + 6.96% | |
01/20/2035 | |
| 2,750,000 | | |
| 2,800,931 | |
| Regatta XXIV Funding Ltd. | |
3M SOFR + 7.06% | |
01/20/2035 | |
| 250,000 | | |
| 248,858 | |
| RR 19 Ltd. | |
3M SOFR + 6.76% | |
10/15/2035 | |
| 500,000 | | |
| 507,828 | |
| Sound Point CLO II Ltd. | |
3M SOFR + 5.76% | |
01/26/2031 | |
| 250,000 | | |
| 185,380 | |
| Sound Point CLO XVIII Ltd. | |
3M SOFR + 5.76% | |
01/21/2031 | |
| 500,000 | | |
| 370,146 | |
| Symphony CLO XXI Ltd. | |
3M SOFR + 6.86% | |
07/15/2032 | |
| 1,000,000 | | |
| 950,998 | |
| Symphony CLO XXIV Ltd. | |
3M SOFR + 7.26% | |
01/23/2032 | |
| 1,000,000 | | |
| 998,403 | |
| THL Credit Wind River 2017-1 CLO Ltd. | |
3M SOFR + 7.32% | |
04/18/2036 | |
| 1,500,000 | | |
| 1,403,902 | |
| THL Credit Wind River 2019-1 CLO Ltd. | |
3M SOFR + 6.86% | |
07/20/2034 | |
| 875,000 | | |
| 779,686 | |
| Voya CLO 2020-2 Ltd. | |
3M SOFR + 6.66% | |
07/19/2034 | |
| 1,125,000 | | |
| 1,128,492 | |
| Wind River 2021-3 CLO Ltd. | |
3M SOFR + 6.86% | |
07/20/2033 | |
| 1,000,000 | | |
| 965,095 | |
| TOTAL COLLATERALIZED LOAN OBLIGATIONS DEBT | |
| |
| |
| | | |
| | |
| (Cost $98,405,629) | |
| |
| |
| | | |
| 99,482,674 | |
| | |
Estimated Yield | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| COLLATERALIZED LOAN OBLIGATIONS EQUITY - 60.11%(a)(c) | |
| |
| | |
| |
| AIMCO CLO 16 Ltd.(d) | |
21.09% | |
01/17/2035 | |
| 1,725,000 | | |
| 1,371,548 | |
| ALM 2020 Ltd. | |
6.27% | |
10/15/2029 | |
| 5,000,000 | | |
| 2,051,090 | |
| Anchorage Capital CLO 13 LLC | |
15.47% | |
04/15/2034 | |
| 7,000,000 | | |
| 3,974,600 | |
| Anchorage Capital CLO 15 Ltd. | |
28.86% | |
07/20/2034 | |
| 1,783,000 | | |
| 1,186,587 | |
| Anchorage Capital CLO 16 Ltd. | |
14.04% | |
01/19/2035 | |
| 2,500,000 | | |
| 1,350,250 | |
| Anchorage Capital CLO 18 Ltd. | |
16.44% | |
04/15/2034 | |
| 850,000 | | |
| 493,595 | |
| Anchorage Capital CLO 19 Ltd. | |
14.24% | |
10/15/2034 | |
| 7,000,000 | | |
| 3,686,200 | |
| Anchorage Capital CLO 1-R Ltd. | |
12.00% | |
04/13/2031 | |
| 4,150,000 | | |
| 1,715,676 | |
| Anchorage Capital CLO 20 Ltd. | |
13.00% | |
01/20/2035 | |
| 1,750,000 | | |
| 920,675 | |
| Anchorage Capital CLO 3-R Ltd. | |
8.99% | |
01/28/2031 | |
| 1,400,000 | | |
| 415,548 | |
| Anchorage Capital CLO 7 Ltd. | |
20.95% | |
01/28/2031 | |
| 1,750,000 | | |
| 512,068 | |
| Apidos CLO XXVII | |
4.53% | |
07/17/2030 | |
| 1,300,000 | | |
| 256,048 | |
| ARES LI CLO Ltd. | |
15.48% | |
07/15/2034 | |
| 1,699,959 | | |
| 861,369 | |
| ARES LI CLO Ltd. | |
15.10% | |
07/15/2034 | |
| 2,646,041 | | |
| 1,340,749 | |
| Ares LIX CLO Ltd. | |
25.42% | |
04/25/2034 | |
| 3,500,000 | | |
| 2,424,450 | |
| Ares XLI CLO Ltd. | |
13.35% | |
04/15/2034 | |
| 2,343,500 | | |
| 902,248 | |
| ARES XLIV CLO Ltd. | |
20.78% | |
04/15/2034 | |
| 6,288,428 | | |
| 1,982,741 | |
| Battalion CLO XV Ltd. | |
13.65% | |
01/17/2033 | |
| 4,500,000 | | |
| 2,436,750 | |
| Battalion CLO XVI Ltd. | |
12.75% | |
12/19/2032 | |
| 3,500,000 | | |
| 1,828,050 | |
| Belmont Park View Ltd. CLO Warehouse(d)(e) | |
N/A | |
04/30/2024 | |
| 5,250,000 | | |
| 5,250,000 | |
| Benefit Street Partners CLO XXIII Ltd. | |
20.74% | |
04/25/2034 | |
| 5,000,000 | | |
| 4,103,000 | |
| Benefit Street Partners CLO XXV Ltd. | |
23.51% | |
01/15/2035 | |
| 5,250,000 | | |
| 4,376,400 | |
| Benefit Street Partners CLO XXXIV Ltd.(d)(f) | |
N/A | |
07/25/2037 | |
| 4,700,000 | | |
| 4,162,320 | |
| Carbone CLO Ltd. | |
11.95% | |
01/20/2031 | |
| 7,850,000 | | |
| 2,618,550 | |
| CARLYLE US CLO 2019-4 Ltd. | |
19.98% | |
04/15/2035 | |
| 8,740,000 | | |
| 6,895,860 | |
| CARLYLE US CLO 2021-4 Ltd. | |
22.06% | |
04/20/2034 | |
| 1,000,000 | | |
| 746,600 | |
| CARLYLE US CLO 2021-5 Ltd. | |
15.51% | |
07/20/2034 | |
| 4,000,000 | | |
| 2,638,400 | |
| CIFC Funding 2017-III Ltd. | |
4.97% | |
07/20/2030 | |
| 1,400,000 | | |
| 425,671 | |
| CIFC Funding 2017-V Ltd. | |
4.74% | |
11/16/2030 | |
| 4,500,000 | | |
| 1,569,015 | |
| CIFC Funding 2018-I Ltd. | |
11.33% | |
04/18/2031 | |
| 3,250,000 | | |
| 1,362,659 | |
| CIFC Funding 2018-III Ltd. | |
15.40% | |
07/18/2031 | |
| 3,000,000 | | |
| 1,178,816 | |
| CIFC Funding 2019-III Ltd. | |
19.10% | |
10/16/2034 | |
| 750,000 | | |
| 593,550 | |
| CIFC Funding 2019-V Ltd. | |
19.75% | |
01/15/2035 | |
| 2,500,000 | | |
| 2,020,500 | |
| CIFC Funding 2019-V Ltd. | |
21.11% | |
01/15/2035 | |
| 1,000,000 | | |
| 808,200 | |
| CIFC Funding 2020-II Ltd. | |
27.17% | |
10/20/2034 | |
| 1,000,000 | | |
| 791,600 | |
| CIFC Funding 2020-III Ltd. | |
20.83% | |
10/20/2034 | |
| 150,000 | | |
| 120,780 | |
| CIFC Funding 2021-II Ltd. | |
19.11% | |
04/15/2034 | |
| 4,750,000 | | |
| 3,602,875 | |
| CIFC Funding 2021-VII Ltd. | |
18.65% | |
01/23/2035 | |
| 1,000,000 | | |
| 794,700 | |
| CIFC Funding 2022-IV Ltd. | |
20.60% | |
07/16/2035 | |
| 2,500,000 | | |
| 2,194,250 | |
| Clover CLO 2019-1 Ltd. | |
22.45% | |
04/18/2035 | |
| 8,339,200 | | |
| 6,215,206 | |
| Clover CLO 2021-3 LLC | |
21.43% | |
01/25/2035 | |
| 5,500,000 | | |
| 4,358,200 | |
| Dryden 43 Senior Loan Fund | |
14.52% | |
04/20/2034 | |
| 3,000,000 | | |
| 1,305,900 | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
SCHEDULE
OF INVESTMENTS
March
31, 2024 (Unaudited) (Continued)
| | |
Estimated Yield | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| COLLATERALIZED LOAN OBLIGATIONS EQUITY - 60.11%(a)(c)(Continued) | |
| |
| | |
| |
| Dryden 87 CLO Ltd. | |
16.63% | |
05/20/2034 | |
$ | 2,000,000 | | |
$ | 1,280,400 | |
| Dryden 95 CLO Ltd. | |
16.56% | |
08/20/2034 | |
| 1,750,000 | | |
| 994,525 | |
| Elmwood CLO 14 Ltd. | |
23.76% | |
04/20/2035 | |
| 10,000,000 | | |
| 8,023,000 | |
| Elmwood CLO I Ltd. | |
15.24% | |
10/20/2033 | |
| 6,000,000 | | |
| 4,916,400 | |
| Elmwood CLO II Ltd. | |
18.65% | |
04/20/2034 | |
| 6,500,000 | | |
| 5,164,250 | |
| Elmwood CLO III Ltd. | |
18.73% | |
10/20/2034 | |
| 5,250,000 | | |
| 3,751,125 | |
| Elmwood CLO VII Ltd. | |
20.23% | |
01/17/2034 | |
| 8,350,000 | | |
| 5,492,630 | |
| Elmwood CLO VIII Ltd. | |
18.00% | |
01/20/2034 | |
| 5,000,000 | | |
| 3,482,000 | |
| Galaxy 33 CLO Ltd.(d)(f) | |
N/A | |
04/20/2037 | |
| 2,000,000 | | |
| 1,620,000 | |
| Generate CLO 12 Ltd.(d) | |
17.53% | |
07/20/2036 | |
| 8,000,000 | | |
| 6,544,000 | |
| Generate CLO 3 Ltd.(d) | |
19.15% | |
10/20/2029 | |
| 5,008,000 | | |
| 2,897,629 | |
| Invesco CLO 2021-1 Ltd. | |
18.85% | |
04/15/2034 | |
| 3,000,000 | | |
| 1,971,000 | |
| Invesco CLO Ltd. | |
15.32% | |
07/15/2034 | |
| 5,000,000 | | |
| 2,858,500 | |
| Invesco CLO Ltd.(d)(f) | |
N/A | |
07/15/2034 | |
| 500,000 | | |
| 117,550 | |
| Madison Park Funding XVIII Ltd. | |
13.31% | |
10/21/2030 | |
| 4,000,000 | | |
| 1,614,400 | |
| Madison Park Funding XX Ltd. | |
18.41% | |
07/27/2030 | |
| 1,740,000 | | |
| 486,127 | |
| Madison Park Funding XXIX Ltd. | |
13.55% | |
10/18/2047 | |
| 3,750,000 | | |
| 1,575,611 | |
| Madison Park Funding XXVIII Ltd. | |
16.03% | |
07/15/2030 | |
| 5,000,000 | | |
| 2,285,656 | |
| Madison Park Funding XXXVII Ltd. | |
19.94% | |
07/15/2049 | |
| 5,500,000 | | |
| 3,553,000 | |
| Magnetite XIX Ltd. | |
26.78% | |
04/17/2034 | |
| 3,200,000 | | |
| 1,888,640 | |
| Neuberger Berman Loan Advisers CLO 54 Ltd.(d) | |
17.19% | |
04/23/2038 | |
| 3,465,000 | | |
| 3,016,213 | |
| Neuberger Berman Loan Advisers CLO 55 Ltd.(d) | |
15.73% | |
04/22/2038 | |
| 4,600,000 | | |
| 4,009,401 | |
| Niagara Park CLO Ltd. | |
17.83% | |
07/17/2032 | |
| 2,648,000 | | |
| 1,486,107 | |
| NYACK Park CLO Ltd. | |
18.16% | |
10/20/2034 | |
| 1,000,000 | | |
| 763,600 | |
| Oak Hill Credit Partners X-R Ltd. | |
19.02% | |
04/20/2034 | |
| 9,091,692 | | |
| 4,113,991 | |
| OHA Credit Partners XI Ltd. | |
22.04% | |
01/20/2032 | |
| 2,750,000 | | |
| 1,518,241 | |
| OHA Credit Partners XII Ltd. | |
2.66% | |
07/23/2030 | |
| 13,537,295 | | |
| 8,460,809 | |
| OHA Credit Partners XIII Ltd. | |
23.57% | |
10/21/2034 | |
| 1,600,000 | | |
| 1,148,640 | |
| Point Au Roche Park CLO Ltd. | |
16.14% | |
07/20/2034 | |
| 5,000,000 | | |
| 3,353,500 | |
| Rad CLO 12 Ltd. | |
25.46% | |
10/30/2034 | |
| 4,500,000 | | |
| 3,142,800 | |
| Recette CLO Ltd.(d)(f) | |
N/A | |
04/20/2034 | |
| 10,400,000 | | |
| 81,444 | |
| Recette CLO Ltd. | |
13.63% | |
04/20/2034 | |
| 10,400,000 | | |
| 3,126,240 | |
| Regatta XIX Funding Ltd. | |
22.13% | |
04/20/2035 | |
| 6,017,000 | | |
| 5,578,361 | |
| Regatta XVIII Funding Ltd. | |
16.01% | |
01/15/2034 | |
| 7,175,322 | | |
| 5,227,940 | |
| Regatta XXIV Funding Ltd. | |
14.84% | |
01/20/2035 | |
| 5,000,000 | | |
| 3,471,000 | |
| Regatta XXVII Funding Ltd.(d) | |
15.45% | |
04/26/2037 | |
| 6,000,000 | | |
| 5,100,600 | |
| Rockland Park CLO Ltd.(d) | |
23.41% | |
04/20/2034 | |
| 9,750,000 | | |
| 184,994 | |
| Rockland Park CLO Ltd. | |
17.16% | |
04/20/2034 | |
| 9,750,000 | | |
| 6,483,750 | |
| Rockland Park CLO Ltd.(d) | |
16.22% | |
04/20/2034 | |
| 9,750,000 | | |
| 27,939 | |
| RR 2 Ltd. | |
23.34% | |
10/15/2117 | |
| 9,358,000 | | |
| 5,808,511 | |
| Sixth Street CLO XVII Ltd. | |
14.11% | |
01/20/2034 | |
| 1,100,000 | | |
| 750,860 | |
| Sixth Street CLO XXIV Ltd.(d) | |
15.14% | |
04/23/2037 | |
| 7,500,000 | | |
| 6,001,125 | |
| THL Credit Wind River 2018-2 CLO Ltd. | |
7.05% | |
07/15/2030 | |
| 3,031,000 | | |
| 765,308 | |
| THL Credit Wind River 2018-3 CLO Ltd. | |
12.94% | |
01/20/2031 | |
| 3,000,000 | | |
| 1,364,400 | |
| Thompson Park CLO Ltd. | |
24.02% | |
04/15/2034 | |
| 4,000,000 | | |
| 3,434,800 | |
| Unity-Peace Park CLO Ltd.(d) | |
19.55% | |
04/20/2035 | |
| 4,000,000 | | |
| 2,920,000 | |
| Wind River 2016-1 CLO Ltd.(d)(f)(g) | |
N/A | |
07/15/2028 | |
| 4,000,000 | | |
| – | |
| TOTAL COLLATERALIZED LOAN OBLIGATIONS EQUITY | |
| |
| | | |
| | |
| (Cost $255,713,218) | |
| |
| |
| | | |
| 229,700,311 | |
| | |
Coupon | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| CORPORATE BONDS - 4.96% | |
| |
| |
| | |
| |
| Chemicals - 0.30% | |
| |
| |
| | |
| |
| Herens Holdco S.a.r.l., Senior Secured Bond(a) | |
4.75% | |
05/15/2028 | |
| 444,000 | | |
| 386,498 | |
| Illuminate Buyer LLC, Senior
Unsecured Bond(a) | |
9.00% | |
07/01/2028 | |
| 750,000 | | |
| 744,359 | |
| | |
| |
| |
| | | |
| 1,130,857 | |
| Construction & Engineering - 0.18% | |
| |
| |
| | | |
| | |
| Brand Industrial Services, Inc., Senior Secured Bond(a) | |
10.38% | |
08/01/2030 | |
| 652,000 | | |
| 705,842 | |
| Diversified Consumer Services - 0.11% | |
| |
| |
| | | |
| | |
| Sabre GLBL, Inc., Senior Secured Bond(a) | |
11.25% | |
12/15/2027 | |
| 461,000 | | |
| 430,920 | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
SCHEDULE
OF INVESTMENTS
March
31, 2024 (Unaudited) (Continued)
| | |
Coupon | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| CORPORATE BONDS - 4.96%(Continued) | |
| |
| |
| | |
| |
| Diversified Telecommunication Services - 0.61% | |
| |
| |
| | |
| |
| Altice Financing S.A., Senior Secured Bond(a) | |
5.75% | |
08/15/2029 | |
$ | 1,197,000 | | |
$ | 957,600 | |
| Altice France S.A., Senior Secured Bond(a) | |
5.50% | |
10/15/2029 | |
| 667,000 | | |
| 450,225 | |
| Consolidated Communications, Inc., Senior Secured Bond(a) | |
5.00% | |
10/01/2028 | |
| 1,125,000 | | |
| 936,562 | |
| | |
| |
| |
| | | |
| 2,344,387 | |
| Electric Utilities - 0.25% | |
| |
| |
| | | |
| | |
| PG&E Corp., Senior Secured Bond | |
5.00% | |
07/01/2028 | |
| 1,000,000 | | |
| 964,716 | |
| Electronic Equipment, Instruments & Components - 0.03% | |
| |
| |
| | | |
| | |
| Coherent Corp., Senior Unsecured Bond(a) | |
5.00% | |
12/15/2029 | |
| 146,000 | | |
| 137,160 | |
| Health Care Equipment & Supplies - 0.19% | |
| |
| |
| | | |
| | |
| Medline Borrower, LP, Senior Secured Bond(a) | |
3.88% | |
04/01/2029 | |
| 727,000 | | |
| 661,570 | |
| Medline Borrower, LP, Senior Unsecured Bond(a) | |
5.25% | |
10/01/2029 | |
| 62,000 | | |
| 58,590 | |
| | |
| |
| |
| | | |
| 720,160 | |
| Health Care Providers & Services - 0.15% | |
| |
| |
| | | |
| | |
| LifePoint Health, Inc., Senior Secured Bond(a) | |
9.88% | |
08/15/2030 | |
| 552,000 | | |
| 576,230 | |
| Health Care Technology - 0.34% | |
| |
| |
| | | |
| | |
| AthenaHealth Group, Inc., Senior Unsecured Bond(a) | |
6.50% | |
02/15/2030 | |
| 1,411,000 | | |
| 1,291,065 | |
| Hotels, Restaurants & Leisure - 0.53% | |
| |
| |
| | | |
| | |
| CEC Entertainment, LLC, Senior Secured Bond(a) | |
6.75% | |
05/01/2026 | |
| 470,000 | | |
| 466,157 | |
| Fertitta Entertainment LLC, Senior Unsecured Bond(a) | |
6.75% | |
01/15/2030 | |
| 328,000 | | |
| 293,744 | |
| Hilton Grand Vacations Borrower Escrow LLC, Senior Unsecured Bond(a) | |
5.00% | |
06/01/2029 | |
| 529,000 | | |
| 493,293 | |
| Scientific Games Holdings LP, Senior Unsecured Bond(a) | |
6.63% | |
03/01/2030 | |
| 205,000 | | |
| 197,786 | |
| SeaWorld Parks & Entertainment, Inc., Senior Unsecured Bond(a) | |
5.25% | |
08/15/2029 | |
| 600,000 | | |
| 564,257 | |
| | |
| |
| |
| | | |
| 2,015,237 | |
| Industrial Conglomerates - 0.38% | |
| |
| |
| | | |
| | |
| APi Group DE, Inc., Senior Unsecured Bond(a) | |
4.75% | |
10/15/2029 | |
| 1,034,000 | | |
| 951,280 | |
| MajorDrive Holdings IV, LLC, Senior Unsecured Bond(a) | |
6.38% | |
06/01/2029 | |
| 545,000 | | |
| 510,256 | |
| | |
| |
| |
| | | |
| 1,461,536 | |
| Insurance - 0.35% | |
| |
| |
| | | |
| | |
| Alliant Holdings Intermediate, LLC, Senior Secured Bond(a) | |
4.25% | |
10/15/2027 | |
| 750,000 | | |
| 706,125 | |
| Alliant Holdings Intermediate, LLC, Senior Secured Bond(a) | |
6.75% | |
04/15/2028 | |
| 622,000 | | |
| 626,031 | |
| | |
| |
| |
| | | |
| 1,332,156 | |
| Machinery - 0.22% | |
| |
| |
| | | |
| | |
| Chart Industries, Inc., Senior Secured Bond(a) | |
7.50% | |
01/01/2030 | |
| 472,000 | | |
| 490,107 | |
| Chart Industries, Inc., Senior Unsecured Bond(a) | |
9.50% | |
01/01/2031 | |
| 316,000 | | |
| 344,440 | |
| | |
| |
| |
| | | |
| 834,547 | |
| Oil, Gas & Consumable Fuels - 0.03% | |
| |
| |
| | | |
| | |
| New Fortress Energy, Inc., Senior Secured Bond(a) | |
8.75% | |
03/15/2029 | |
| 123,000 | | |
| 122,567 | |
| Professional Services - 0.52% | |
| |
| |
| | | |
| | |
| Conduent Business Services LLC, Senior Secured Bond(a) | |
6.00% | |
11/01/2029 | |
| 2,176,000 | | |
| 1,975,482 | |
| Software - 0.27% | |
| |
| |
| | | |
| | |
| McAfee Corp., Senior Unsecured Bond(a) | |
7.38% | |
02/15/2030 | |
| 1,102,000 | | |
| 1,019,488 | |
| Transportation Infrastructure - 0.50% | |
| |
| |
| | | |
| | |
| Uber Technologies, Inc., Senior Unsecured Bond(a) | |
4.50% | |
08/15/2029 | |
| 2,000,000 | | |
| 1,904,520 | |
| TOTAL CORPORATE BONDS | |
| |
| |
| | | |
| | |
| (Cost $19,862,382) | |
| |
| |
| | | |
| 18,966,870 | |
| | |
Reference Rate
& Spread | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| SECURED SECOND LIEN LOANS - 1.92%(b) | |
| |
| |
| | |
| |
| Aerospace & Defense - 0.53% | |
| |
| |
| | |
| |
| Amentum Government Services Holdings, LLC, Tranche 2 | |
1M SOFR + 7.50% | |
02/15/2030 | |
| 2,016,807 | | |
| 2,026,891 | |
| Air Freight & Logistics - 0.16% | |
| |
| |
| | | |
| | |
| Lasership, Inc. (ASP LS Acquisition Corp.), Initial | |
3M SOFR + 7.50% | |
05/07/2029 | |
| 745,852 | | |
| 607,123 | |
| Building Products - 0.16% | |
| |
| |
| | | |
| | |
| Icebox Holdco III, Inc., Initial | |
3M SOFR + 6.75% | |
12/21/2029 | |
| 468,750 | | |
| 452,344 | |
| VC GB Holdings I Corp., Initial | |
3M SOFR + 6.75% | |
07/23/2029 | |
| 169,492 | | |
| 168,051 | |
| | |
| |
| |
| | | |
| 620,395 | |
| Chemicals - 0.06% | |
| |
| |
| | | |
| | |
| CP Iris Holdco I, Inc., Initial | |
1M SOFR + 7.00% | |
10/01/2029 | |
| 258,621 | | |
| 239,224 | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
SCHEDULE
OF INVESTMENTS
March
31, 2024 (Unaudited) (Continued)
| |
|
Reference Rate
& Spread |
|
Maturity
Date |
|
Principal
Amount |
|
|
Value |
|
| SECURED SECOND LIEN LOANS - 1.92%(b)(Continued) |
|
|
|
|
|
|
|
|
| Commercial Services & Supplies - 0.20% |
|
|
|
|
|
|
|
|
|
|
| AVSC Holding Corp., Initial |
|
1M SOFR + 7.25% |
|
09/01/2025 |
|
$ |
805,556 |
|
|
$ |
757,891 |
|
| Communications Equipment - 0.09% |
|
|
|
|
|
|
|
|
|
|
|
|
| Global Tel*Link Corp., TL |
|
1M SOFR + 10.00% |
|
11/29/2026 |
|
|
347,222 |
|
|
|
305,556 |
|
| MLN US Holdco LLC, Term B-1 |
|
3M SOFR + 6.70% |
|
10/18/2027 |
|
|
128,761 |
|
|
|
19,314 |
|
| |
|
|
|
|
|
|
|
|
|
|
324,870 |
|
| Construction & Engineering - 0.07% |
|
|
|
|
|
|
|
|
|
|
|
|
| DG Investment Intermediate Holdings 2, Inc., Initial |
|
1M SOFR + 6.75% |
|
03/30/2029 |
|
|
292,804 |
|
|
|
272,583 |
|
| Diversified Consumer Services - 0.03% |
|
|
|
|
|
|
|
|
|
|
|
|
| TruGreen LP, Initial |
|
3M SOFR + 8.50% |
|
11/02/2028 |
|
|
125,392 |
|
|
|
97,179 |
|
| Diversified Financial Services - 0.06% |
|
|
|
|
|
|
|
|
|
|
|
|
| Nexus Buyer LLC, Initial |
|
1M SOFR + 6.25% |
|
11/05/2029 |
|
|
245,536 |
|
|
|
243,591 |
|
| Electronic Equipment, Instruments & Components - 0.02% |
|
|
|
|
|
|
|
|
|
|
|
|
| Infinite Bidco LLC., Initial |
|
3M SOFR + 7.00% |
|
03/02/2029 |
|
|
69,869 |
|
|
|
58,748 |
|
| Insurance - 0.26% |
|
|
|
|
|
|
|
|
|
|
|
|
| Asurion, LLC, New B-4 |
|
1M SOFR + 5.25% |
|
01/20/2029 |
|
|
1,104,603 |
|
|
|
983,958 |
|
| Software - 0.28% |
|
|
|
|
|
|
|
|
|
|
|
|
| Ascend Learning, LLC, Initial |
|
1M SOFR + 5.75% |
|
12/10/2029 |
|
|
462,963 |
|
|
|
454,717 |
|
| DCert Buyer, Inc., First Amendment Refinancing |
|
1M SOFR + 7.00% |
|
02/19/2029 |
|
|
156,627 |
|
|
|
140,621 |
|
| EagleView Technology Corp., TL |
|
3M SOFR + 7.50% |
|
08/14/2026 |
|
|
198,167 |
|
|
|
175,378 |
|
| UKG, Inc., 2021 Incremental |
|
3M SOFR + 5.25% |
|
05/03/2027 |
|
|
49,581 |
|
|
|
49,932 |
|
| WebMD Health Corp. and MH SUB I, LLC, 2021 Replacement |
|
1M SOFR + 6.25% |
|
02/23/2029 |
|
|
276,733 |
|
|
|
265,564 |
|
| |
|
|
|
|
|
|
|
|
|
|
1,086,212 |
|
| TOTAL SECURED SECOND LIEN LOANS |
|
|
|
|
|
|
|
|
|
|
|
|
| (Cost $7,848,169) |
|
|
|
|
|
|
|
|
|
|
7,318,665 |
|
| | |
Reference Rate
& Spread | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| SENIOR SECURED FIRST LIEN LOANS - 74.24%(b) | |
| |
| |
| | | |
| | |
| Aerospace & Defense - 1.74% | |
| |
| |
| | | |
| | |
| Amentum Government Services Holdings, LLC, Tranche 3 | |
1M SOFR + 4.00% | |
02/15/2029 | |
| 1,383,107 | | |
| 1,384,836 | |
| Chromalloy Corp., Initial | |
1M SOFR + 3.75% | |
03/21/2031 | |
| 1,974,521 | | |
| 1,966,287 | |
| Dynasty Acquisition Co., Inc., 2024 Specified Refinancing Term B-1 | |
1M SOFR + 3.50% | |
08/24/2028 | |
| 553,649 | | |
| 554,274 | |
| Dynasty Acquisition Co., Inc., 2024 Specified Refinancing Term B-2 | |
1M SOFR + 3.50% | |
08/24/2028 | |
| 227,995 | | |
| 228,253 | |
| Peraton Corp., Term B | |
1M SOFR + 3.75% | |
02/01/2028 | |
| 1,326,295 | | |
| 1,323,815 | |
| Spirit AeroSystems, Inc., Initial | |
3M SOFR + 4.25% | |
01/15/2027 | |
| 112,936 | | |
| 113,336 | |
| Transdigm, Inc., Tranche J | |
3M SOFR + 3.25% | |
02/28/2031 | |
| 1,085,570 | | |
| 1,090,607 | |
| | |
| |
| |
| | | |
| 6,661,408 | |
| Air Freight & Logistics - 0.66% | |
| |
| |
| | | |
| | |
| Apple Bidco, LLC, Amendment No.1 | |
1M SOFR + 3.50% | |
09/22/2028 | |
| 528,736 | | |
| 529,836 | |
| Brown Group Holding, LLC, 2022 Incremental Term Loan B-2 | |
1M SOFR + 3.00% | |
07/02/2029 | |
| 64,029 | | |
| 63,997 | |
| Lasership, Inc. (ASP LS Acquisition Corp.), 2023 Incremental | |
6M SOFR + 7.00% | |
09/29/2027 | |
| 498,750 | | |
| 501,244 | |
| Lasership, Inc. (ASP LS Acquisition Corp.), Initial | |
6M SOFR + 4.50% | |
05/07/2028 | |
| 1,554,519 | | |
| 1,444,925 | |
| | |
| |
| |
| | | |
| 2,540,002 | |
| Airlines - 0.37% | |
| |
| |
| | | |
| | |
| United Air Lines, Inc., Class B | |
3M SOFR + 2.75% | |
02/15/2031 | |
| 1,397,967 | | |
| 1,397,744 | |
| Auto Components - 1.46% | |
| |
| |
| | | |
| | |
| First Brands Group LLC, 2022-II Incremental | |
3M SOFR + 5.00% | |
03/30/2027 | |
| 2,490,235 | | |
| 2,489,189 | |
| First Brands Group LLC, Refinanced | |
3M SOFR + 5.00% | |
03/30/2027 | |
| 562,769 | | |
| 563,050 | |
| Garrett LX I S.a.r.l., Third Amendment Incremental | |
3M SOFR + 4.50% | |
04/30/2028 | |
| 981,152 | | |
| 984,832 | |
| IXS Holdings, Inc., Initial | |
3M SOFR + 4.25% | |
03/05/2027 | |
| 860,332 | | |
| 816,378 | |
| LTR Intermediate Holdings, Inc., Initial | |
1M SOFR + 4.50% | |
05/05/2028 | |
| 362,637 | | |
| 339,367 | |
| PHINIA, Inc., Term B | |
1M SOFR + 4.00% | |
07/03/2028 | |
| 373,690 | | |
| 373,222 | |
| | |
| |
| |
| | | |
| 5,566,038 | |
| Automobiles - 0.86% | |
| |
| |
| | | |
| | |
| American Axle & Manufacturing, Inc., Term B | |
1M SOFR + 3.50% | |
12/13/2029 | |
| 217,925 | | |
| 218,197 | |
| RVR Dealership Holdings, LLC, TL | |
1M SOFR + 3.75% | |
02/08/2028 | |
| 992,143 | | |
| 927,158 | |
| Tenneco, Inc., Term B | |
3M SOFR + 5.00% | |
11/17/2028 | |
| 1,076,970 | | |
| 1,011,522 | |
| Truck Hero, Inc., Incremental | |
1M SOFR + 5.00% | |
01/31/2028 | |
| 173,306 | | |
| 172,873 | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
SCHEDULE
OF INVESTMENTS
March
31, 2024 (Unaudited) (Continued)
| | |
Reference Rate
& Spread | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| SENIOR SECURED FIRST LIEN LOANS - 74.24%(b)(Continued) | |
| |
| | |
| |
| Automobiles - 0.86% (continued) | |
| |
| |
| | |
| |
| Wand NewCo 3, Inc., Initial | |
1M SOFR + 3.75% | |
01/30/2031 | |
$ | 970,716 | | |
$ | 972,988 | |
| | |
| |
| |
| | | |
| 3,302,738 | |
| Beverages - 0.20% | |
| |
| |
| | | |
| | |
| Triton Water Holdings, Inc., 2024 Incremental | |
3M SOFR + 4.00% | |
03/31/2028 | |
| 605,363 | | |
| 598,178 | |
| Triton Water Holdings, Inc., Initial | |
3M SOFR + 3.25% | |
03/31/2028 | |
| 153,060 | | |
| 151,320 | |
| | |
| |
| |
| | | |
| 749,498 | |
| Building Products - 3.38% | |
| |
| |
| | | |
| | |
| AI Aqua Merger Sub, Inc., 2023 Incremental Term B(h) | |
1M SOFR + 2.12% | |
07/31/2028 | |
| 854,505 | | |
| 858,076 | |
| AI Aqua Merger Sub, Inc., Initial Term B | |
1M SOFR + 3.75% | |
07/31/2028 | |
| 1,272,737 | | |
| 1,274,201 | |
| Chariot Buyer LLC, Amendment No. 2 | |
1M SOFR + 3.75% | |
11/03/2028 | |
| 1,047,416 | | |
| 1,048,725 | |
| Cornerstone Building Brands, Inc., Tranche B | |
1M SOFR + 3.25% | |
04/12/2028 | |
| 1,369,936 | | |
| 1,359,662 | |
| Foundation Building Materials, Inc., Initial | |
3M SOFR + 3.25% | |
01/31/2028 | |
| 219,952 | | |
| 220,026 | |
| Groundworks, LLC, Initial | |
1M SOFR + 3.50% | |
03/06/2031 | |
| 1,497,955 | | |
| 1,496,577 | |
| Icebox Holdco III, Inc., Initial | |
3M SOFR + 3.50% | |
12/22/2028 | |
| 1,068,458 | | |
| 1,068,009 | |
| LHS Borrower, LLC, Initial | |
1M SOFR + 4.75% | |
02/16/2029 | |
| 899,543 | | |
| 856,815 | |
| Park River Holdings, Inc., Initial | |
3M SOFR + 3.25% | |
12/28/2027 | |
| 1,337,265 | | |
| 1,325,002 | |
| Quikrete Holdings, Inc., B-1 Term | |
1M SOFR + 2.50% | |
03/25/2031 | |
| 252,017 | | |
| 252,123 | |
| Snap One Holdings Corp., Initial | |
3M SOFR + 4.50% | |
12/08/2028 | |
| 747,011 | | |
| 745,144 | |
| Tamko Building Products, LLC, 2023 Specified Refinancing | |
3M SOFR + 3.50% | |
09/20/2030 | |
| 892,635 | | |
| 891,519 | |
| VC GB Holdings I Corp., Initial | |
3M SOFR + 3.00% | |
07/21/2028 | |
| 1,309,756 | | |
| 1,305,054 | |
| White Cap Buyer, LLC, Initial | |
1M SOFR + 3.75% | |
10/19/2027 | |
| 215,386 | | |
| 215,946 | |
| | |
| |
| |
| | | |
| 12,916,879 | |
| Capital Markets - 1.04% | |
| |
| |
| | | |
| | |
| Citadel Securities LP, 2024 | |
1M SOFR + 2.25% | |
07/29/2030 | |
| 2,275,123 | | |
| 2,272,142 | |
| Hudson River Trading LLC, Term Loan | |
1M SOFR + 3.00% | |
03/20/2028 | |
| 1,703,638 | | |
| 1,690,861 | |
| | |
| |
| |
| | | |
| 3,963,003 | |
| Chemicals - 3.46% | |
| |
| |
| | | |
| | |
| CP Iris Holdco I, Inc., Initial | |
1M SOFR + 3.75% | |
10/02/2028 | |
| 228,895 | | |
| 228,322 | |
| Derby Buyer LLC, Initial | |
1M SOFR + 4.25% | |
11/01/2030 | |
| 679,637 | | |
| 683,246 | |
| Discovery Purchaser Corp., Initial | |
3M SOFR + 4.38% | |
10/04/2029 | |
| 1,239,660 | | |
| 1,237,775 | |
| Herens Holdco S.a.r.l., Facility B | |
3M SOFR + 3.92% | |
07/03/2028 | |
| 1,581,600 | | |
| 1,485,265 | |
| Hexion Holdings Corp., Initial | |
3M SOFR + 4.50% | |
03/15/2029 | |
| 1,830,090 | | |
| 1,799,052 | |
| Ineos Finance LLC, 2027-II | |
1M SOFR + 3.75% | |
11/08/2027 | |
| 237,990 | | |
| 238,076 | |
| Ineos Finance LLC, 2030 | |
1M SOFR + 3.50% | |
02/18/2030 | |
| 637,298 | | |
| 636,386 | |
| Ineos Quattro Holdings UK Ltd., 2029 Tranche B TL | |
1M SOFR + 4.25% | |
04/02/2029 | |
| 661,761 | | |
| 658,869 | |
| Ineos US Finance LLC, 2031 Dollar TL | |
1M SOFR + 3.75% | |
01/31/2031 | |
| 1,091,092 | | |
| 1,091,998 | |
| LSF11 A5 HoldCo LLC, TL | |
1M SOFR + 3.50% | |
10/15/2028 | |
| 268,698 | | |
| 268,563 | |
| Lummus Technology Holdings V LLC, 2024 Term B | |
1M SOFR + 3.50% | |
12/31/2029 | |
| 2,020,672 | | |
| 2,021,946 | |
| Nouryon USA LLC, 2023 | |
1M SOFR + 4.00% | |
04/03/2028 | |
| 393,646 | | |
| 394,631 | |
| Nouryon USA LLC, 2023 Refinance | |
3M SOFR + 4.00% | |
04/03/2028 | |
| 274,919 | | |
| 275,331 | |
| Olympus Water US Holding Corp., Initial | |
3M SOFR + 3.75% | |
11/09/2028 | |
| 341,532 | | |
| 341,446 | |
| Olympus Water US Holding Corp., Term B-4 | |
3M SOFR + 4.25% | |
11/09/2028 | |
| 327,581 | | |
| 328,197 | |
| PMHC II, Inc., Initial | |
3M SOFR + 4.25% | |
04/23/2029 | |
| 1,424,802 | | |
| 1,408,773 | |
| Windsor Holdings III, LLC, 2024 Refinancing Term B | |
1M SOFR + 4.00% | |
08/01/2030 | |
| 108,287 | | |
| 108,490 | |
| | |
| |
| |
| | | |
| 13,206,366 | |
| Commercial Services & Supplies - 2.00% | |
| |
| |
| | | |
| | |
| Allied Universal Holdco LLC, Amendment No. 3 | |
1M SOFR + 4.75% | |
05/12/2028 | |
| 1,594,263 | | |
| 1,597,387 | |
| Ankura Consulting Group LLC, 2024 Repricing Term Facility | |
3M SOFR + 4.25% | |
03/17/2028 | |
| 174,779 | | |
| 174,924 | |
| Belfor USA Group, Inc., Initial Tranche B-1 Term Loan | |
1M SOFR + 3.75% | |
11/01/2030 | |
| 1,298,908 | | |
| 1,303,779 | |
| Garda World Security Corp., Fourth Additional | |
3M SOFR + 4.25% | |
02/01/2029 | |
| 935,445 | | |
| 936,034 | |
| Genuine Financial Holdings, LLC, 2023 Incremental | |
1M SOFR + 4.00% | |
09/27/2030 | |
| 1,660,583 | | |
| 1,647,299 | |
| The Action Environmental Group, Inc., Initial | |
3M SOFR + 4.50% | |
10/24/2030 | |
| 777,364 | | |
| 777,364 | |
| Viad Corp., Initial | |
1M SOFR + 5.00% | |
07/30/2028 | |
| 1,200,000 | | |
| 1,200,000 | |
| | |
| |
| |
| | | |
| 7,636,787 | |
| Communications Equipment - 0.49% | |
| |
| |
| | | |
| | |
| Casa Systems, Inc., Superpriority | |
6M SOFR + 6.50% | |
12/20/2027 | |
| 746,304 | | |
| 447,783 | |
| Global Tel*Link Corp., TL | |
3M SOFR + 4.25% | |
11/29/2025 | |
| 439,672 | | |
| 426,939 | |
| Gogo Intermediate Holdings LLC, Initial | |
1M SOFR + 3.75% | |
04/30/2028 | |
| 997,013 | | |
| 994,800 | |
| | |
| |
| |
| | | |
| 1,869,522 | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
SCHEDULE
OF INVESTMENTS
March
31, 2024 (Unaudited) (Continued)
| | |
Reference Rate
& Spread | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| SENIOR SECURED FIRST LIEN LOANS - 74.24%(b)(Continued) | |
| |
| | |
| |
| Construction & Engineering - 1.47% | |
| |
| |
| | |
| |
| Brand Industrial Services, Inc., Tranche B | |
3M SOFR + 5.50% | |
08/01/2030 | |
$ | 1,704,135 | | |
$ | 1,709,912 | |
| DG Investment Intermediate Holdings 2, Inc., Closing Date Initial | |
1M SOFR + 3.75% | |
03/31/2028 | |
| 83,987 | | |
| 83,792 | |
| DG Investment Intermediate Holdings 2, Inc., Incremental | |
1M SOFR + 4.75% | |
03/31/2028 | |
| 2,109,635 | | |
| 2,109,635 | |
| TRC Companies LLC, Initial | |
1M SOFR + 3.75% | |
12/08/2028 | |
| 1,730,987 | | |
| 1,725,119 | |
| | |
| |
| |
| | | |
| 5,628,458 | |
| | |
| |
| |
| | | |
| | |
| Construction Materials - 0.15% | |
| |
| |
| | | |
| | |
| Mativ Holdings, Inc., Term B | |
1M SOFR + 3.75% | |
04/20/2028 | |
| 215,457 | | |
| 215,097 | |
| Smyrna Ready Mix Concrete, LLC, 2023 Term Loan | |
1M SOFR + 3.50% | |
04/02/2029 | |
| 362,688 | | |
| 364,502 | |
| |
| |
| |
| | | |
| 579,599 | |
| | |
| |
| |
| | | |
| | |
| Containers & Packaging - 2.13% | |
| |
| |
| | | |
| | |
| Clydesdale Acquisition Holdings, Inc., Term B | |
1M SOFR + 3.68% | |
04/13/2029 | |
| 3,261,277 | | |
| 3,264,407 | |
| LABL, Inc., Initial | |
1M SOFR + 5.00% | |
10/29/2028 | |
| 950,011 | | |
| 928,741 | |
| Pelican Products, Inc., Initial | |
3M SOFR + 4.25% | |
12/29/2028 | |
| 480,213 | | |
| 443,995 | |
| Proampac PG Borrower LLC, 2023-1 | |
3M SOFR + 4.50% | |
09/15/2028 | |
| 923,380 | | |
| 923,842 | |
| RLG Holdings, LLC, Closing Date Initial | |
1M SOFR + 4.25% | |
07/07/2028 | |
| 1,635,720 | | |
| 1,615,961 | |
| Sabert Corp., 2023 Refinancing | |
1M SOFR + 3.75% | |
12/10/2026 | |
| 954,711 | | |
| 956,697 | |
| | |
| |
| |
| | | |
| 8,133,643 | |
| | |
| |
| |
| | | |
| | |
| Distributors - 0.95% | |
| |
| |
| | | |
| | |
| American Tire Distributors, Inc., Initial | |
3M SOFR + 6.25% | |
10/20/2028 | |
| 445,166 | | |
| 383,400 | |
| Aramsco Parent, Inc., Closing Date Initial | |
3M SOFR + 4.75% | |
10/10/2030 | |
| 695,140 | | |
| 696,301 | |
| BCPE Empire Holdings, Inc., Amendment No. 5 Refinancing | |
1M SOFR + 4.00% | |
12/11/2028 | |
| 2,561,822 | | |
| 2,562,949 | |
| | |
| |
| |
| | | |
| 3,642,650 | |
| | |
| |
| |
| | | |
| | |
| Diversified Consumer Services - 3.08% | |
| |
| |
| | | |
| | |
| Central Parent, Inc., 2023 Refinancing | |
3M SOFR + 4.00% | |
07/06/2029 | |
| 1,147,671 | | |
| 1,150,690 | |
| EP Purchaser, LLC, 2023 Incremental | |
3M SOFR + 4.50% | |
11/06/2028 | |
| 316,826 | | |
| 314,054 | |
| KUEHG Corp., Initial | |
3M SOFR + 5.00% | |
06/12/2030 | |
| 705,582 | | |
| 706,867 | |
| Learning Care Group US No. 2, Inc., Initial | |
3M SOFR + 4.75% | |
08/11/2028 | |
| 1,695,677 | | |
| 1,695,321 | |
| LifeMiles Ltd., Initial | |
3M SOFR + 5.25% | |
08/30/2026 | |
| 63,180 | | |
| 63,088 | |
| Sabre GLBL, Inc., 2021 Term B-1 | |
1M SOFR + 3.50% | |
12/17/2027 | |
| 177,993 | | |
| 149,895 | |
| Sabre GLBL, Inc., 2021 Term B-2 | |
1M SOFR + 3.50% | |
12/17/2027 | |
| 278,853 | | |
| 234,833 | |
| Sabre GLBL, Inc., 2022 Term B | |
1M SOFR + 4.25% | |
06/30/2028 | |
| 62,206 | | |
| 53,134 | |
| Sabre GLBL, Inc., 2022 Term B-2 | |
1M SOFR + 5.00% | |
06/30/2028 | |
| 58,182 | | |
| 50,448 | |
| Spin Holdco, Inc., Initial | |
3M SOFR + 4.00% | |
03/04/2028 | |
| 2,150,746 | | |
| 1,983,719 | |
| Staples, Inc., 2019 Refinancing B-1 | |
1M LIBOR + 5.00% | |
04/16/2026 | |
| 845,614 | | |
| 836,194 | |
| Stubhub Holdings, Inc., Extended Term B | |
1M SOFR + 4.75% | |
03/12/2030 | |
| 1,300,229 | | |
| 1,299,683 | |
| The Knot Worldwide, Inc., Amendment No. 4 | |
1M SOFR + 4.50% | |
01/31/2028 | |
| 1,095,792 | | |
| 1,093,053 | |
| TruGreen LP, Second Refinancing | |
1M SOFR + 4.00% | |
11/02/2027 | |
| 177,777 | | |
| 172,703 | |
| WestJet Loyalty LP, Initial | |
3M SOFR + 3.75% | |
02/14/2031 | |
| 1,978,921 | | |
| 1,977,278 | |
| | |
| |
| |
| | | |
| 11,780,960 | |
| | |
| |
| |
| | | |
| | |
| Diversified Financial Services - 4.29% | |
| |
| |
| | | |
| | |
| Ascensus Holdings, Inc., Initial | |
1M SOFR + 3.50% | |
08/02/2028 | |
| 1,491,330 | | |
| 1,483,874 | |
| Blackhawk Network Holdings, Inc., Term B-1 | |
3M SOFR + 5.00% | |
02/27/2029 | |
| 2,316,547 | | |
| 2,317,984 | |
| Citco Funding LLC, Additional 2023 Term B | |
3M SOFR + 3.25% | |
04/27/2028 | |
| 783,988 | | |
| 784,725 | |
| CoreLogic, Inc., Initial | |
1M SOFR + 3.50% | |
06/02/2028 | |
| 2,982,214 | | |
| 2,909,716 | |
| First Eagle Holdings, Inc., Refinancing TL | |
3M SOFR + 3.00% | |
02/22/2029 | |
| 1,289,099 | | |
| 1,274,597 | |
| Galaxy US Opco, Inc., Initial | |
3M SOFR + 4.75% | |
04/29/2029 | |
| 609,252 | | |
| 549,850 | |
| GTCR W Merger Sub LLC, Initial | |
3M SOFR + 3.00% | |
01/31/2031 | |
| 2,571,098 | | |
| 2,578,066 | |
| Hightower Holding, LLC, Initial | |
3M SOFR + 4.00% | |
04/21/2028 | |
| 1,346,268 | | |
| 1,346,268 | |
| Nexus Buyer LLC, Initial | |
1M SOFR + 3.75% | |
11/09/2026 | |
| 341,611 | | |
| 340,392 | |
| Nexus Buyer, LLC, Amendment No. 5 | |
1M SOFR + 4.50% | |
12/13/2028 | |
| 2,610,414 | | |
| 2,586,763 | |
| VeriFone Systems, Inc., TL | |
3M SOFR + 4.00% | |
08/20/2025 | |
| 249,803 | | |
| 220,388 | |
| |
| |
| |
| | | |
| 16,392,623 | |
| | |
| |
| |
| | | |
| | |
| Diversified Telecommunication Services - 3.76% | |
| |
| |
| | | |
| | |
| Altice Financing S.A., Term B | |
3M SOFR + 5.00% | |
10/31/2027 | |
| 1,286,184 | | |
| 1,202,582 | |
| Altice France S.A., Term B-14 Refinancing | |
3M SOFR + 5.50% | |
08/15/2028 | |
| 2,567,500 | | |
| 2,029,942 | |
| Consolidated Communications, Inc., Term B-1 | |
1M SOFR + 3.50% | |
10/02/2027 | |
| 545,558 | | |
| 516,578 | |
| Directv Financing, LLC, Closing Date | |
3M SOFR + 5.00% | |
08/02/2027 | |
| 925,553 | | |
| 925,942 | |
| LCPR Loan Financing LLC, 2021 Additional | |
1M SOFR + 3.75% | |
10/16/2028 | |
| 122,484 | | |
| 120,647 | |
| Sorenson Communications, LLC, Initial | |
1M SOFR + 5.50% | |
03/17/2026 | |
| 153,077 | | |
| 155,373 | |
| Syniverse Holdings, LLC, Initial | |
3M SOFR + 7.00% | |
05/13/2027 | |
| 424,094 | | |
| 402,715 | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
SCHEDULE
OF INVESTMENTS
March
31, 2024 (Unaudited) (Continued)
| | |
Reference Rate
& Spread | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| SENIOR SECURED FIRST LIEN LOANS - 74.24%(b)(Continued) | |
| |
| | |
| |
| Diversified Telecommunication Services - 3.76% (continued) | |
| |
| | |
| |
| Viasat, Inc., Incremental | |
1M SOFR + 4.50% | |
05/30/2030 | |
| 1,160,258 | | |
$ | 1,123,130 | |
| Viasat, Inc., Initial | |
1M SOFR + 4.50% | |
03/02/2029 | |
| 587,907 | | |
| 568,189 | |
| Virgin Media Bristol LLC, Facility Y | |
3M SOFR + 3.25% | |
03/31/2031 | |
| 2,109,170 | | |
| 2,073,778 | |
| WideOpenWest Finance LLC, Term B | |
3M SOFR + 3.00% | |
12/20/2028 | |
| 1,488,579 | | |
| 1,293,828 | |
| Windstream Services II, LLC, Initial | |
1M SOFR + 6.25% | |
09/21/2027 | |
| 1,415,041 | | |
| 1,377,599 | |
| Xplornet Communications, Inc., Refinancing | |
3M SOFR + 4.00% | |
10/02/2028 | |
| 138,150 | | |
| 62,535 | |
| Zacapa S.a.r.l., Initial | |
3M SOFR + 4.00% | |
03/22/2029 | |
| 2,502,734 | | |
| 2,501,682 | |
| |
| |
| |
| | | |
| 14,354,520 | |
| | |
| |
| |
| | | |
| | |
| Electric Utilities - 0.31% | |
| |
| |
| | | |
| | |
| Talen Energy Supply, LLC, Initial Term B | |
3M SOFR + 4.50% | |
05/17/2030 | |
| 777,816 | | |
| 780,181 | |
| Talen Energy Supply, LLC, Initial Term C | |
3M SOFR + 4.50% | |
05/17/2030 | |
| 419,880 | | |
| 421,157 | |
| |
| |
| |
| | | |
| 1,201,338 | |
| | |
| |
| |
| | | |
| | |
| Electrical Equipment - 0.23% | |
| |
| |
| | | |
| | |
| Energy Acquisition Co., Inc., Initial | |
1M SOFR + 4.25% | |
06/26/2025 | |
| 699,962 | | |
| 698,212 | |
| Energy Acquisition Co., Inc., Tranche B, 7.50%(i) | |
N/A | |
06/26/2025 | |
| 181,416 | | |
| 177,788 | |
| |
| |
| |
| | | |
| 876,000 | |
| | |
| |
| |
| | | |
| | |
| Electronic Equipment, Instruments & Components - 0.20% | |
| |
| | | |
| | |
| Mavenir Systems, Inc., Initial | |
3M SOFR + 4.75% | |
08/18/2028 | |
| 480,189 | | |
| 336,934 | |
| Natel Engineering Co., Inc., Initial | |
1M SOFR + 6.25% | |
04/30/2026 | |
| 498,285 | | |
| 438,241 | |
| |
| |
| |
| | | |
| 775,175 | |
| | |
| |
| |
| | | |
| | |
| Energy Equipment & Services - 0.05% | |
| |
| |
| | | |
| | |
| Lealand Finance Co. B.V., Make-Whole Term Facility | |
1M SOFR + 3.00% | |
06/28/2024 | |
| 8,469 | | |
| 4,234 | |
| Lealand Finance Co. B.V., Take-Back Term Facility | |
3M SOFR + 3.00% | |
06/30/2025 | |
| 9,080 | | |
| 3,518 | |
| WaterBridge Midstream Operating LLC, Initial | |
3M SOFR + 5.75% | |
06/22/2026 | |
| 169,916 | | |
| 169,969 | |
| |
| |
| |
| | | |
| 177,721 | |
| | |
| |
| |
| | | |
| | |
| Food & Staples Retailing - 0.22% | |
| |
| |
| | | |
| | |
| Upbound Group, Inc., Initial | |
6M SOFR + 3.25% | |
02/17/2028 | |
| 835,600 | | |
| 834,205 | |
| | |
| |
| |
| | | |
| | |
| Food Products - 0.10% | |
| |
| |
| | | |
| | |
| Pacific Bells, LLC, Initial | |
3M SOFR + 4.50% | |
11/10/2028 | |
| 358,724 | | |
| 355,944 | |
| Whole Earth Brands, Inc., TL | |
3M SOFR + 4.50% | |
02/05/2028 | |
| 32,412 | | |
| 32,280 | |
| |
| |
| |
| | | |
| 388,224 | |
| | |
| |
| |
| | | |
| | |
| Gas Utilities - 0.37% | |
| |
| |
| | | |
| | |
| Prairie Acquiror LP, Initial Term B-2 | |
1M SOFR + 4.75% | |
02/22/2029 | |
| 1,400,048 | | |
| 1,393,804 | |
| | |
| |
| |
| | | |
| | |
| Health Care Equipment & Supplies - 1.72% | |
| |
| |
| | | |
| | |
| Auris Luxembourg III S.a.r.l., Facility B4 | |
1M SOFR + 4.25% | |
02/27/2029 | |
| 952,554 | | |
| 953,745 | |
| Bausch & Lomb Corp., Initial | |
1M SOFR + 3.25% | |
05/10/2027 | |
| 2,163,282 | | |
| 2,135,160 | |
| Bausch & Lomb Corp., TL | |
1M SOFR + 4.00% | |
09/29/2028 | |
| 1,385,893 | | |
| 1,383,301 | |
| Curium Bidco S.a.r.l, Additional Term Facility | |
3M SOFR + 4.50% | |
07/31/2029 | |
| 1,231,402 | | |
| 1,236,020 | |
| Sotera Health Holdings, LLC, Initial Incremental | |
1M SOFR + 3.75% | |
12/11/2026 | |
| 448,778 | | |
| 446,816 | |
| Zest Acquisition Corp., Term B-1 | |
1M SOFR + 5.50% | |
02/08/2028 | |
| 438,922 | | |
| 435,630 | |
| |
| |
| |
| | | |
| 6,590,672 | |
| | |
| |
| |
| | | |
| | |
| Health Care Providers & Services - 3.89% | |
| |
| |
| | | |
| | |
| Accelerated Health Systems, LLC, Initial Term B | |
3M SOFR + 4.25% | |
02/15/2029 | |
| 195,852 | | |
| 145,338 | |
| AEA International Holdings, New TL | |
3M SOFR + 3.50% | |
09/07/2028 | |
| 212,357 | | |
| 212,623 | |
| Azalea Topco, Inc., Initial | |
1M SOFR + 3.50% | |
07/24/2026 | |
| 1,492,208 | | |
| 1,482,568 | |
| Cambrex Corp., Tranche B-2 | |
1M SOFR + 3.50% | |
12/04/2026 | |
| 248,322 | | |
| 241,493 | |
| Charlotte Buyer, Inc., Initial Term B Loans | |
1M SOFR + 5.25% | |
02/11/2028 | |
| 230,667 | | |
| 231,218 | |
| Cotiviti, Inc., Floating Rate TL | |
1M SOFR + 3.25% | |
02/21/2031 | |
| 1,219,466 | | |
| 1,217,429 | |
| Covetrus, Inc., Initial | |
3M SOFR + 5.00% | |
10/13/2029 | |
| 1,737,874 | | |
| 1,738,604 | |
| Eyecare Partners, LLC, Amendment No. 1 | |
3M SOFR + 3.75% | |
11/15/2028 | |
| 950,562 | | |
| 493,341 | |
| Global Medical Response, Inc., 2017-2 Incremental | |
3M SOFR + 4.25% | |
03/14/2025 | |
| 513,366 | | |
| 477,539 | |
| Global Medical Response, Inc., 2020 Refinancing | |
3M SOFR + 4.25% | |
10/02/2025 | |
| 1,105,935 | | |
| 1,029,217 | |
| Hunter US Bidco, Inc., Initial | |
3M SOFR + 4.25% | |
08/19/2028 | |
| 474,011 | | |
| 472,826 | |
| Midwest Veterinary Partners, LLC, Initial | |
1M SOFR + 4.00% | |
04/27/2028 | |
| 1,402,015 | | |
| 1,399,394 | |
| Pathway Vet Alliance LLC, 2021 Replacement | |
1M SOFR + 3.75% | |
03/31/2027 | |
| 293,498 | | |
| 256,567 | |
| Phoenix Guarantor, Inc., Tranche B-4 | |
1M SOFR + 3.25% | |
02/14/2031 | |
| 1,500,267 | | |
| 1,479,849 | |
| Phoenix Newco, Inc., Initial | |
1M SOFR + 3.25% | |
11/15/2028 | |
| 568,465 | | |
| 569,556 | |
| Sharp Services LLC, Initial | |
3M SOFR + 4.00% | |
12/31/2028 | |
| 479,873 | | |
| 478,975 | |
| Sharp Services LLC, Tranche B | |
3M SOFR + 4.50% | |
12/31/2028 | |
| 194,330 | | |
| 194,210 | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
SCHEDULE
OF INVESTMENTS
March
31, 2024 (Unaudited) (Continued)
| | |
Reference Rate
& Spread | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| SENIOR SECURED FIRST LIEN LOANS - 74.24%(b)(Continued) | |
| |
| | |
| |
| Health Care Providers & Services - 3.89% (continued) | |
| |
| | |
| |
| Southern Veterinary Partners, LLC, Initial | |
1M SOFR + 4.00% | |
10/05/2027 | |
$ | 946,991 | | |
$ | 946,517 | |
| Summit Behavioral Healthcare, LLC, Initial | |
3M SOFR + 4.75% | |
11/24/2028 | |
| 1,271,702 | | |
| 1,271,702 | |
| WCG Intermediate Corp., Initial | |
1M SOFR + 4.00% | |
01/08/2027 | |
| 528,672 | | |
| 528,545 | |
| |
| |
| |
| | | |
| 14,867,511 | |
| | |
| |
| |
| | | |
| | |
| Health Care Technology - 2.21% | |
| |
| |
| | | |
| | |
| AthenaHealth Group, Inc., Initial | |
1M SOFR + 3.25% | |
02/15/2029 | |
| 3,361,302 | | |
| 3,325,067 | |
| Gainwell Acquisition Corp., Term B | |
3M SOFR + 4.00% | |
10/01/2027 | |
| 2,480,769 | | |
| 2,367,894 | |
| R1 RCM Holdco, Inc., Initial Term B | |
3M SOFR + 3.00% | |
06/21/2029 | |
| 645,581 | | |
| 646,995 | |
| TTF Holdings, LLC, Initial | |
1M SOFR + 4.00% | |
03/31/2028 | |
| 717,439 | | |
| 717,439 | |
| Waystar Technologies, Inc., New Initial | |
1M SOFR + 4.00% | |
10/22/2029 | |
| 1,391,160 | | |
| 1,393,247 | |
| |
| |
| |
| | | |
| 8,450,642 | |
| | |
| |
| |
| | | |
| | |
| Hotels, Restaurants & Leisure - 4.88% | |
| |
| |
| | | |
| | |
| 19th Holdings Golf, LLC, Initial | |
1M SOFR + 3.25% | |
02/07/2029 | |
| 2,166,980 | | |
| 2,111,462 | |
| Aimbridge Acquisition Co., Inc., Incremental | |
1M SOFR + 4.75% | |
02/02/2026 | |
| 243,692 | | |
| 238,209 | |
| Alterra Mountain Co., Additional TL | |
1M SOFR + 3.75% | |
05/31/2030 | |
| 162,201 | | |
| 162,809 | |
| Alterra Mountain Co., Term B-3 | |
1M SOFR + 3.75% | |
05/31/2030 | |
| 233,257 | | |
| 234,132 | |
| Arcis Golf, LLC, Amendment No. 2 | |
1M SOFR + 3.75% | |
11/24/2028 | |
| 567,054 | | |
| 568,001 | |
| BCPE Grill Parent, Inc., Initial | |
3M SOFR + 4.75% | |
09/30/2030 | |
| 1,037,868 | | |
| 1,028,787 | |
| Carnival Corp., 2021 Incremental Term B Advance | |
1M SOFR + 3.25% | |
10/18/2028 | |
| 492,443 | | |
| 492,547 | |
| Dave & Buster's, Inc., 2024 Refinancing Term B | |
1M SOFR + 3.25% | |
06/29/2029 | |
| 580,165 | | |
| 580,362 | |
| Entain PLC, Facility B2 | |
3M SOFR + 3.50% | |
10/31/2029 | |
| 657,754 | | |
| 660,082 | |
| Fertitta Entertainment, LLC, Initial B TL | |
1M SOFR + 3.75% | |
01/29/2029 | |
| 210,774 | | |
| 211,191 | |
| Fitness International, LLC, Term B | |
1M SOFR + 5.25% | |
02/05/2029 | |
| 987,195 | | |
| 972,387 | |
| Kingpin Intermediate Holdings LLC, Amendment No. 8 | |
1M SOFR + 3.50% | |
02/08/2028 | |
| 603,033 | | |
| 601,526 | |
| Marriott Ownership Resorts, Inc., 2024 Incremental TL | |
1M SOFR + 2.25% | |
03/14/2031 | |
| 2,344,567 | | |
| 2,332,844 | |
| MIC Glen LLC, Incremental | |
1M SOFR + 4.25% | |
07/21/2028 | |
| 386,268 | | |
| 386,913 | |
| Motion Finco, LLC, Facility B3 | |
3M SOFR + 3.50% | |
11/12/2029 | |
| 2,561,047 | | |
| 2,555,285 | |
| Ontario Gaming GTA LP, Term B | |
3M SOFR + 4.25% | |
08/01/2030 | |
| 1,058,074 | | |
| 1,061,291 | |
| Playa Hotels & Resorts B.V., TLB, 2022 | |
1M SOFR + 3.25% | |
01/05/2029 | |
| 1,623,323 | | |
| 1,627,040 | |
| Tacala, LLC, Initial | |
1M SOFR + 4.00% | |
01/31/2031 | |
| 208,195 | | |
| 208,130 | |
| Topgolf Callaway Brands Corp., Initial | |
1M SOFR + 3.00% | |
03/15/2030 | |
| 438,954 | | |
| 439,046 | |
| Travel + Leisure Co., 2023 Incremental | |
1M SOFR + 3.25% | |
12/14/2029 | |
| 756,772 | | |
| 757,907 | |
| United PF Holdings, LLC, Initial | |
3M SOFR + 8.50% | |
12/30/2026 | |
| 347,400 | | |
| 321,345 | |
| United PF Holdings, LLC, Initial | |
3M SOFR + 4.00% | |
12/30/2026 | |
| 499,135 | | |
| 440,072 | |
| Whatabrands LLC, Initial Term B | |
1M SOFR + 3.25% | |
08/03/2028 | |
| 665,720 | | |
| 665,687 | |
| |
| |
| |
| | | |
| 18,657,055 | |
| | |
| |
| |
| | | |
| | |
| Household Durables - 1.57% | |
| |
| |
| | | |
| | |
| Conair Holdings LLC, Initial | |
1M SOFR + 3.75% | |
05/17/2028 | |
| 1,335,645 | | |
| 1,321,460 | |
| HomeServe USA Holding Corp., Initial Term B | |
1M SOFR + 3.00% | |
10/21/2030 | |
| 710,225 | | |
| 711,823 | |
| Hunter Douglas, Inc., Tranche B-1 | |
3M SOFR + 3.50% | |
02/26/2029 | |
| 2,493,856 | | |
| 2,460,738 | |
| Mattress Firm, Inc., TL | |
3M SOFR + 4.25% | |
09/25/2028 | |
| 583,625 | | |
| 584,063 | |
| TGP Holdings III LLC, Closing Date | |
1M SOFR + 3.25% | |
06/29/2028 | |
| 386,917 | | |
| 365,474 | |
| Weber-Stephen Products LLC, 2022 Incremental | |
1M SOFR + 4.25% | |
10/30/2027 | |
| 134,635 | | |
| 124,201 | |
| Weber-Stephen Products LLC, Initial Term B | |
1M SOFR + 3.25% | |
10/30/2027 | |
| 486,178 | | |
| 448,198 | |
| |
| |
| |
| | | |
| 6,015,957 | |
| | |
| |
| |
| | | |
| | |
| Household Products - 0.11% | |
| |
| |
| | | |
| | |
| American Greetings Corp., Initial | |
1M SOFR + 6.00% | |
04/06/2028 | |
| 426,035 | | |
| 426,248 | |
| | |
| |
| |
| | | |
| | |
| Independent Power/Renewable Electricity Producers - 0.20% | |
| |
| | | |
| | |
| Generation Bridge Northeast LLC, Term B | |
1M SOFR + 4.25% | |
08/22/2029 | |
| 763,066 | | |
| 762,830 | |
| | |
| |
| |
| | | |
| | |
| Industrial Conglomerates - 1.71% | |
| |
| |
| | | |
| | |
| CD&R Hydra Buyer, Inc., Initial | |
3M SOFR + 4.00% | |
03/14/2031 | |
| 749,747 | | |
| 751,156 | |
| MajorDrive Holdings IV, LLC, 2022 Incremental | |
3M SOFR + 5.50% | |
06/01/2029 | |
| 291,520 | | |
| 292,126 | |
| MajorDrive Holdings IV, LLC, Initial | |
3M SOFR + 4.00% | |
06/01/2028 | |
| 248,997 | | |
| 249,246 | |
| SPX Flow, Inc., TL | |
1M SOFR + 4.50% | |
04/05/2029 | |
| 2,183,651 | | |
| 2,191,163 | |
| Star US Bidco LLC, Initial | |
1M SOFR + 4.25% | |
03/17/2027 | |
| 1,138,302 | | |
| 1,141,501 | |
| TK Elevator Midco GmbH, Facility B2 | |
1M SOFR + 3.50% | |
04/30/2030 | |
| 1,921,419 | | |
| 1,927,030 | |
| | |
| |
| |
| | | |
| 6,552,222 | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
SCHEDULE
OF INVESTMENTS
March
31, 2024 (Unaudited) (Continued)
| | |
Reference
Rate
& Spread | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| SENIOR SECURED FIRST LIEN LOANS - 74.24%(b)(Continued) | |
| |
| | |
| |
| Insurance - 4.23% | |
| |
| |
| | |
| |
| Acrisure LLC, B-5 2023 Refiancing | |
1M SOFR + 4.50% | |
11/06/2030 | |
$ | 681,488 | | |
$ | 683,192 | |
| Acrisure, LLC, B-3 2021-2 Additional | |
1M LIBOR + 4.25% | |
02/15/2027 | |
| 289,749 | | |
| 290,111 | |
| Alliant Holdings Intermediate, LLC, Term B-6 | |
1M SOFR + 3.50% | |
11/06/2030 | |
| 24,538 | | |
| 24,625 | |
| AssuredPartners, Inc., 2024 | |
3M SOFR + 3.50% | |
02/08/2031 | |
| 156,957 | | |
| 157,105 | |
| AssuredPartners, Inc., Incremental | |
1M SOFR + 3.50% | |
02/12/2027 | |
| 1,024,824 | | |
| 1,025,592 | |
| Asurion, LLC, New B-10 | |
1M SOFR + 4.00% | |
08/19/2028 | |
| 475,584 | | |
| 457,055 | |
| Asurion, LLC, New B-9 | |
1M SOFR + 3.25% | |
07/31/2027 | |
| 1,291,540 | | |
| 1,238,729 | |
| Baldwin Risk Partners, LLC, Term B-1 | |
1M SOFR + 3.50% | |
10/14/2027 | |
| 1,496,154 | | |
| 1,491,785 | |
| BroadStreet Partners, Inc., Incremental Term B-3 | |
1M SOFR + 3.75% | |
01/27/2029 | |
| 1,662,791 | | |
| 1,666,117 | |
| HIG Finance 2 Ltd., 2024 Dollar TL | |
1M SOFR + 3.50% | |
02/15/2031 | |
| 3,039,556 | | |
| 3,039,829 | |
| Hub International Ltd., 2024 Incremental | |
3M SOFR + 3.25% | |
06/20/2030 | |
| 324,943 | | |
| 325,002 | |
| Hyperion Refinance S.a.r.l., 2023 | |
1M SOFR + 4.00% | |
04/18/2030 | |
| 1,731,673 | | |
| 1,737,093 | |
| OneDigital Borrower LLC, 2021 Refinancing | |
1M SOFR + 4.25% | |
11/16/2027 | |
| 2,245,471 | | |
| 2,242,664 | |
| Truist Insurance Holdings, LLC, Initial | |
1M SOFR + 3.25% | |
03/24/2031 | |
| 1,793,477 | | |
| 1,790,482 | |
| | |
| |
| |
| | | |
| 16,169,381 | |
| Internet and Catalog Retail - 0.19% | |
| |
| |
| | | |
| | |
| Shutterfly Finance, LLC, Exchanged Term B | |
3M SOFR + 1.00% | |
10/01/2027 | |
| 606,244 | | |
| 475,901 | |
| Titan US Finco, LLC, Initial | |
3M SOFR + 4.00% | |
10/18/2028 | |
| 265,136 | | |
| 264,640 | |
| | |
| |
| |
| | | |
| 740,541 | |
| IT Services - 1.00% | |
| |
| |
| | | |
| | |
| Ahead DB Holdings, LLC, 2024 Incremental | |
3M SOFR + 4.25% | |
02/01/2031 | |
| 963,088 | | |
| 965,650 | |
| Avaya, Inc., Exit | |
1M SOFR + 7.00% | |
08/01/2028 | |
| 125 | | |
| 111 | |
| Constant Contact, Inc., Initial | |
3M SOFR + 4.00% | |
02/10/2028 | |
| 1,649,264 | | |
| 1,599,489 | |
| iSolved, Inc., Closing Date | |
6M SOFR + 4.00% | |
10/14/2030 | |
| 519,662 | | |
| 521,938 | |
| Newfold Digital Holdings Group, Inc., Initial | |
6M SOFR + 3.50% | |
02/10/2028 | |
| 764,526 | | |
| 743,502 | |
| | |
| |
| |
| | | |
| 3,830,690 | |
| Life Sciences Tools & Services - 0.26% | |
| |
| |
| | | |
| | |
| Catalent Pharma Solutions, Inc., Term B-4 | |
1M SOFR + 3.00% | |
02/22/2028 | |
| 980,826 | | |
| 982,052 | |
| Machinery - 1.72% | |
| |
| |
| | | |
| | |
| Chart Industries, Inc., Amendment No. 5 | |
1M SOFR + 3.25% | |
03/15/2030 | |
| 639,250 | | |
| 640,049 | |
| Crosby US Acquisition Corp., Amendment No. 3 Replacement | |
1M SOFR + 4.00% | |
08/12/2029 | |
| 732,602 | | |
| 736,111 | |
| Element Materials Technology Group US Holdings, Inc., Delayed Draw Term B
Facility | |
3M SOFR + 4.25% | |
07/06/2029 | |
| 318,759 | | |
| 318,625 | |
| Element Materials Technology Group US Holdings, Inc., Initial Term B | |
3M SOFR + 4.25% | |
07/06/2029 | |
| 690,644 | | |
| 690,354 | |
| Emrld Borrower LP, Initial Term B | |
3M SOFR + 2.50% | |
05/31/2030 | |
| 1,474,117 | | |
| 1,472,643 | |
| Indicor, LLC, Tranche B Dollar Term Loan | |
3M SOFR + 4.00% | |
11/22/2029 | |
| 1,435,371 | | |
| 1,443,151 | |
| Pro Mach Group, Inc., Closing Date Initial | |
1M SOFR + 3.75% | |
08/31/2028 | |
| 1,271,829 | | |
| 1,275,580 | |
| | |
| |
| |
| | | |
| 6,576,513 | |
| Media - 1.15% | |
| |
| |
| | | |
| | |
| AppLovin Corp., Initial | |
1M SOFR + 2.50% | |
08/16/2030 | |
| 1,443,078 | | |
| 1,441,274 | |
| Aragorn Parent Corp., 2023 Replacement | |
1M SOFR + 4.25% | |
12/15/2028 | |
| 929,960 | | |
| 931,708 | |
| Castle US Holding Corp., Initial | |
3M SOFR + 3.75% | |
01/29/2027 | |
| 827,032 | | |
| 580,403 | |
| Cumulus Media New Holdings, Inc., Initial | |
1M SOFR + 3.75% | |
03/31/2026 | |
| 699,859 | | |
| 447,909 | |
| United Talent Agency, LLC, Term B | |
1M SOFR + 4.00% | |
07/07/2028 | |
| 997,200 | | |
| 997,200 | |
| | |
| |
| |
| | | |
| 4,398,494 | |
| Metals & Mining - 0.10% | |
| |
| |
| | | |
| | |
| Zekelman Industries, Inc., 2024 TL | |
1M SOFR + 2.25% | |
01/24/2031 | |
| 365,705 | | |
| 365,756 | |
| Oil, Gas & Consumable Fuels - 2.34% | |
| |
| |
| | | |
| | |
| Bangl, LLC, Initial | |
3M SOFR + 4.50% | |
02/01/2029 | |
| 1,925,806 | | |
| 1,934,839 | |
| BCP Renaissance Parent LLC, Incremental Initial Term B-4 | |
3M SOFR + 3.50% | |
10/31/2028 | |
| 1,167,773 | | |
| 1,170,330 | |
| BIP PipeCo Holdings, LLC, Initial | |
3M SOFR + 3.25% | |
12/06/2030 | |
| 603,117 | | |
| 603,497 | |
| Brazos Delaware II, LLC, Initial | |
1M SOFR + 3.75% | |
02/11/2030 | |
| 1,315,625 | | |
| 1,318,296 | |
| CQP Holdco LP, Refinancing | |
3M SOFR + 3.00% | |
12/31/2030 | |
| 55,559 | | |
| 55,717 | |
| Fleet U.S. Bidco, Inc., Facility B | |
1M SOFR + 3.25% | |
02/21/2031 | |
| 830,399 | | |
| 830,399 | |
| New Fortress Energy, Inc., Initial | |
3M SOFR + 5.00% | |
10/30/2028 | |
| 1,303,174 | | |
| 1,306,432 | |
| Par Petroleum, LLC, Initial | |
3M SOFR + 4.25% | |
02/28/2030 | |
| 1,149,804 | | |
| 1,150,160 | |
| Permian Production Partners, LLC, Initial | |
1M SOFR + 2.00% | |
11/24/2025 | |
| 35,501 | | |
| 34,258 | |
| Rosen Group, Initial | |
1M SOFR + 3.50% | |
02/24/2031 | |
| 519,813 | | |
| 520,463 | |
| | |
| |
| |
| | | |
| 8,924,391 | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
SCHEDULE
OF INVESTMENTS
March
31, 2024 (Unaudited) (Continued)
| | |
Reference Rate
& Spread | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| SENIOR SECURED FIRST LIEN LOANS - 74.24%(b)(Continued) | |
| |
| | |
| |
| Paper & Forest Products - 0.04% | |
| |
| |
| | |
| |
| Canister International Group, Inc., Amendment No. 4 TL | |
1M SOFR + 4.00% | |
03/13/2029 | |
$ | 144,129 | | |
$ | 144,309 | |
| Personal Products - 0.43% | |
| |
| |
| | | |
| | |
| CNT Holdings I Corp., Initial Term B | |
3M SOFR + 3.50% | |
11/08/2027 | |
| 923,698 | | |
| 924,853 | |
| KDC US Holdings, Inc., Dollar Tranche Term Loan | |
1M SOFR + 5.00% | |
08/15/2028 | |
| 721,427 | | |
| 722,214 | |
| | |
| |
| |
| | | |
| 1,647,067 | |
| Pharmaceuticals - 1.00% | |
| |
| |
| | | |
| | |
| Alvogen Pharma US, Inc., New Extended Loans | |
3M SOFR + 7.50% | |
06/30/2025 | |
| 1,475,789 | | |
| 1,313,452 | |
| Amneal Pharmaceuticals LLC, Initial | |
1M SOFR + 5.50% | |
05/04/2028 | |
| 2,280,435 | | |
| 2,274,027 | |
| Fortrea Holdings, Inc., Initial Term B | |
1M SOFR + 3.75% | |
07/01/2030 | |
| 242,869 | | |
| 243,476 | |
| | |
| |
| |
| | | |
| 3,830,955 | |
| Professional Services - 2.91% | |
| |
| |
| | | |
| | |
| AQ Carver Buyer, Inc., 2023 Refinancing | |
6M SOFR + 5.50% | |
08/02/2029 | |
| 1,244,666 | | |
| 1,245,910 | |
| Conduent Business Services, LLC, Initial Term B | |
1M SOFR + 4.25% | |
10/16/2028 | |
| 205,025 | | |
| 204,426 | |
| Eisner Advisory Group, LLC, February 2024 Incremental | |
3M SOFR + 4.00% | |
02/21/2031 | |
| 960,632 | | |
| 963,034 | |
| Equiniti Group PLC, Initial | |
6M SOFR + 4.50% | |
12/11/2028 | |
| 329,105 | | |
| 329,928 | |
| Indy US Holdco, LLC, 2023 Incremental | |
1M SOFR + 6.25% | |
03/06/2028 | |
| 1,902,838 | | |
| 1,889,156 | |
| Omnia Partners, LLC, Initial | |
3M SOFR + 3.75% | |
07/25/2030 | |
| 1,886,756 | | |
| 1,894,171 | |
| Ryan, LLC, Initial | |
1M SOFR + 4.50% | |
11/14/2030 | |
| 1,522,631 | | |
| 1,529,300 | |
| UST Global, Inc., Initial | |
1M SOFR + 3.50% | |
11/20/2028 | |
| 557,788 | | |
| 554,653 | |
| Vaco Holdings, LLC, Initial | |
6M SOFR + 5.00% | |
01/21/2029 | |
| 956,505 | | |
| 944,310 | |
| Wood Mackenzie, TL | |
3M SOFR + 3.50% | |
01/31/2031 | |
| 1,575,505 | | |
| 1,580,231 | |
| | |
| |
| |
| | | |
| 11,135,119 | |
| Real Estate Investment Trusts (REITs) - 0.12% | |
| |
| |
| | | |
| | |
| Starwood Property Mortgage, L.L.C., Initial | |
1M SOFR + 3.25% | |
11/18/2027 | |
| 472,162 | | |
| 471,572 | |
| | |
| |
| |
| | | |
| | |
| Real Estate Management & Development - 0.67% | |
| |
| |
| | | |
| | |
| BIFM CA Buyer, Inc., 2024 | |
1M SOFR + 4.25% | |
05/31/2028 | |
| 575,470 | | |
| 577,628 | |
| Cushman & Wakefield US Borrower LLC, 2023 Refinancing | |
1M SOFR + 4.00% | |
01/31/2030 | |
| 398,133 | | |
| 398,630 | |
| Forest City Enterprises, L.P., Replacement | |
1M SOFR + 3.50% | |
12/08/2025 | |
| 1,068,045 | | |
| 1,018,349 | |
| Greystar Real Estate Partners, LLC, Replacement Term B-1 | |
1M SOFR + 3.25% | |
08/21/2030 | |
| 547,677 | | |
| 547,677 | |
| | |
| |
| |
| | | |
| 2,542,284 | |
| Road & Rail - 0.43% | |
| |
| |
| | | |
| | |
| Clue Opco LLC, Term B Loans | |
1M SOFR + 4.50% | |
12/19/2030 | |
| 1,667,616 | | |
| 1,641,768 | |
| | |
| |
| |
| | | |
| | |
| Semiconductors & Semiconductor Equipment - 0.33% | |
| |
| |
| | | |
| | |
| MKS Instruments, Inc., 2023-1 Term B | |
1M SOFR + 2.50% | |
08/17/2029 | |
| 1,261,210 | | |
| 1,260,428 | |
| Software - 5.47% | |
| |
| |
| | | |
| | |
| Apex Group Treasury LLC, 2022 Incremental | |
3M SOFR + 5.00% | |
07/27/2028 | |
| 75,073 | | |
| 75,261 | |
| Apex Group Treasury LLC, TL | |
3M SOFR + 3.75% | |
07/27/2028 | |
| 1,013,990 | | |
| 1,011,881 | |
| Ascend Learning, LLC, Initial | |
1M SOFR + 3.50% | |
12/11/2028 | |
| 559,947 | | |
| 556,240 | |
| Astra Acquisition Corp., Term B | |
3M SOFR + 5.25% | |
10/25/2028 | |
| 201,340 | | |
| 80,536 | |
| Cardinal Parent, Inc., Initial | |
3M SOFR + 4.50% | |
11/12/2027 | |
| 234,789 | | |
| 220,701 | |
| CommerceHub, Inc., Initial | |
3M SOFR + 4.00% | |
12/29/2027 | |
| 806,631 | | |
| 779,237 | |
| Conservice Midco, LLC, Initial | |
1M SOFR + 4.00% | |
05/13/2027 | |
| 1,353,720 | | |
| 1,356,698 | |
| Cornerstone OnDemand, Inc., Initial | |
1M SOFR + 3.75% | |
10/16/2028 | |
| 627,501 | | |
| 614,430 | |
| CT Technologies Intermediate Holdings, Inc., New | |
1M SOFR + 4.25% | |
12/16/2025 | |
| 256,008 | | |
| 255,048 | |
| EagleView Technology Corp., Initial | |
3M SOFR + 3.50% | |
08/14/2025 | |
| 779,667 | | |
| 754,468 | |
| Fiserv Investment Solutions, Inc., Initial | |
3M SOFR + 4.00% | |
02/18/2027 | |
| 430,789 | | |
| 410,460 | |
| Flexera Software, LLC, Term B-1 | |
1M SOFR + 3.75% | |
03/03/2028 | |
| 650,106 | | |
| 651,166 | |
| Genesys Cloud Services, Inc., 2024 Incremental | |
1M SOFR + 3.75% | |
12/01/2027 | |
| 389,652 | | |
| 390,872 | |
| Greeneden U.S. Holdings I, LLC, 2024 Incremental No. 2 TL | |
1M SOFR + 3.50% | |
12/01/2027 | |
| 1,404,799 | | |
| 1,407,440 | |
| Idera, Inc., Initial | |
3M SOFR + 3.75% | |
03/02/2028 | |
| 192,966 | | |
| 191,931 | |
| Magenta Buyer LLC, Initial | |
3M SOFR + 5.00% | |
07/27/2028 | |
| 1,626,412 | | |
| 956,428 | |
| McAfee Corp., Tranche B-1 | |
1M SOFR + 3.75% | |
03/01/2029 | |
| 2,883,354 | | |
| 2,880,269 | |
| Mosel Bidco SE, Facility B | |
3M SOFR + 4.75% | |
09/16/2030 | |
| 402,724 | | |
| 403,227 | |
| Planview Parent, Inc., Closing Date | |
3M SOFR + 4.00% | |
12/17/2027 | |
| 1,228,035 | | |
| 1,223,835 | |
| Plusgrade, Inc., Initial | |
3M SOFR + 4.50% | |
01/29/2031 | |
| 686,970 | | |
| 686,970 | |
| Quartz AcquireCo, LLC, TL | |
3M SOFR + 3.50% | |
06/28/2030 | |
| 1,994,987 | | |
| 1,997,481 | |
| Skillsoft Finance II, Inc., Initial | |
1M SOFR + 5.25% | |
07/14/2028 | |
| 352,522 | | |
| 313,745 | |
| UKG, Inc., 2024 Refinancing | |
3M SOFR + 3.50% | |
01/30/2031 | |
| 769,922 | | |
| 773,579 | |
| Upland Software, Inc., Initial | |
1M SOFR + 3.75% | |
08/06/2026 | |
| 890,185 | | |
| 844,287 | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
SCHEDULE
OF INVESTMENTS
March
31, 2024 (Unaudited) (Continued)
| | |
Reference Rate
& Spread | |
Maturity
Date | |
Principal
Amount | | |
Value | |
| SENIOR SECURED FIRST LIEN LOANS - 74.24%(b)(Continued) | |
| |
| | |
| |
| Software - 5.47% (continued) | |
| |
| |
| | |
| |
| WebMD Health Corp. and MH SUB I, LLC, 2023 | |
1M SOFR + 4.25% | |
05/03/2028 | |
$ | 2,066,918 | | |
$ | 2,052,347 | |
| | |
| |
| |
| | | |
| 20,888,537 | |
| Specialty Retail - 0.87% | |
| |
| |
| | | |
| | |
| Fender Musical Instruments Corp., Initial | |
1M SOFR + 4.00% | |
12/01/2028 | |
| 199,354 | | |
| 195,533 | |
| Franchise Group, Inc., Initial | |
6M SOFR + 4.75% | |
03/10/2026 | |
| 1,116,957 | | |
| 995,488 | |
| Franchise Group, Inc., Third Amendment | |
6M SOFR + 4.75% | |
03/10/2026 | |
| 342,903 | | |
| 306,898 | |
| Great Outdoors Group, LLC, Term B-2 Loans | |
1M SOFR + 3.75% | |
03/06/2028 | |
| 984,685 | | |
| 984,547 | |
| Jo-Ann Stores, LLC, Term B-1(j) | |
3M SOFR + 4.75% | |
07/07/2028 | |
| 1,101,381 | | |
| 6,884 | |
| Needle Holdings LLC, Tranche A DIP | |
3M SOFR + 9.50% | |
05/17/2024 | |
| 423,383 | | |
| 423,383 | |
| Rising Tide Holdings, Inc., 2023 | |
3M SOFR + 7.00% | |
04/11/2024 | |
| 90,059 | | |
| 79,702 | |
| Sweetwater Borrower, LLC, Initial | |
1M SOFR + 4.25% | |
08/07/2028 | |
| 160,648 | | |
| 160,848 | |
| Torrid LLC, Closing Date | |
3M SOFR + 5.50% | |
06/14/2028 | |
| 181,089 | | |
| 152,455 | |
| | |
| |
| |
| | | |
| 3,305,738 | |
| Textiles, Apparel & Luxury Goods - 1.32% | |
| |
| |
| | | |
| | |
| ABG Intermediate Holdings 2 LLC, Tranche Term B-1 | |
1M SOFR + 3.50% | |
12/21/2028 | |
| 3,366,679 | | |
| 3,377,418 | |
| Amer Sports Co., Initial | |
3M SOFR + 3.25% | |
02/07/2031 | |
| 587,714 | | |
| 587,714 | |
| Champ Acquisition Corp., Initial | |
3M SOFR + 5.50% | |
12/19/2025 | |
| 426,201 | | |
| 426,734 | |
| Elevate Textiles, Inc., First Out | |
3M SOFR + 8.50% | |
09/30/2027 | |
| 243,845 | | |
| 241,406 | |
| Elevate Textiles, Inc., Last Out | |
3M SOFR + 5.50% | |
09/30/2027 | |
| 553,878 | | |
| 401,102 | |
| | |
| |
| |
| | | |
| 5,034,374 | |
| Wireless Telecommunication Services - 0.40% | |
| |
| |
| | | |
| | |
| LSF9 Atlantis Holdings, LLC, Closing Date | |
1M SOFR + 6.50% | |
03/31/2029 | |
| 1,511,168 | | |
| 1,519,676 | |
| TOTAL SENIOR SECURED FIRST LIEN LOANS | |
| |
| |
| | | |
| | |
| (Cost $286,578,333) | |
| |
| |
| | | |
| 283,701,687 | |
| | |
Shares | | |
Value | |
| COMMON STOCKS - 0.08%(g) | |
| | |
| |
| Carestream Health, Inc. | |
| 873 | | |
| 262 | |
| CEC Brands, LLC | |
| 10,454 | | |
| 188,172 | |
| Elevate Textiles, Inc. | |
| 20,088 | | |
| 65,286 | |
| Marine One Holdco, LLC | |
| 6,326 | | |
| 29,258 | |
| New Constellis Holdings, Inc. | |
| 6,795 | | |
| 2,208 | |
| Permian Production Partners | |
| 18,995 | | |
| 12,347 | |
| TOTAL COMMON STOCKS | |
| | | |
| | |
| (Cost $165,550) | |
| | | |
| 297,533 | |
| | |
Subscription
Price | | |
Expiration
Date | |
Shares | | |
Value | |
| RIGHTS - 0.00% | |
| | |
| |
| | |
| |
| Casa Systems, Inc.(d)(g) | |
$ | 0.01 | | |
N/A | |
| 59,949 | | |
| – | |
| TOTAL RIGHTS | |
| | | |
| |
| | | |
| | |
| (Cost $—) | |
| | | |
| |
| | | |
| – | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
SCHEDULE
OF INVESTMENTS
March
31, 2024 (Unaudited) (Continued)
| | |
Shares | | |
Value | |
| MONEY MARKET MUTUAL FUNDS - 2.38% | |
| | |
| |
| Invesco Short Term Investments Trust Treasury
Portfolio, Institutional Class, 0.05% (7-day yield) | |
| 9,098,324 | | |
| 9,098,324 | |
| TOTAL MONEY MARKET MUTUAL FUNDS | |
| | | |
| | |
| (Cost $9,098,324) | |
| | | |
| 9,098,324 | |
| | |
| | | |
| | |
| TOTAL INVESTMENTS - 169.73% | |
| | | |
| | |
| (Cost $677,671,605) | |
| | | |
| 648,566,064 | |
| | |
| | | |
| | |
| Liabilities in Excess of Other Assets - (8.20)% | |
| | | |
| (31,324,768 | ) |
| Preferred Shares (Net of $3,827,884 Deferred Financing Costs) - (17.29)% | |
| | | |
| (66,072,115 | ) |
| Leverage Facility (Net of $6,251 Deferred Leverage Costs) - (44.24)% | |
| | | |
| (169,043,749 | ) |
| NET ASSETS - 100.00% | |
| | | |
$ | 382,125,432 | |
All securities held as of March 31, 2024 are pledged as collateral
for the Trust’s credit facility. See Note 6 of the Notes to Financial Statements.
| (a) | All or a portion of the security is exempt from registration
of the Securities Act of 1933. These securities may be resold in transactions exempt from registration under Rule 144A, normally to qualified
institutional buyers. As of March 31, 2024, these securities had an aggregate value of $347,185,139 or 90.86% of net assets. |
| (b) | Variable rate investment. Interest rates reset periodically.
Interest rate shown reflects the rate in effect at March 31, 2024. For securities based on a published reference rate and spread, the
reference rate and spread are indicated in the description above. Leveraged loans and CLO debt securities typically have reference Rate
Floors (“Rate Floors”) embedded in their loan agreements and organizational documents. Leveraged loans generally have Rate
Floors of 0% or more, while CLO debt securities often set Rate Floors at 0%. Rate Floors serve to establish a minimum base rate to be
paid by the borrower before the fixed spread. Certain variable rate securities are not based on a published reference rate and spread
but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate
and spread in their description above. |
| (c) | CLO subordinated notes, income notes, Y notes and M notes
are considered CLO equity positions. CLO equity positions are entitled to recurring distributions which are generally equal to the remaining
cash flow of payments made by underlying securities less contractual payments to debt holders and fund expenses. The effective yield
is estimated based upon the amount and timing of these recurring distributions in addition to the estimated amount of terminal principal
payment. Effective yields for the CLO equity positions are updated generally once per quarter or on a transaction such as an add-on purchase,
refinancing or reset. The estimated yield and investment cost may ultimately not be realized. Estimated yields shown are as of March
31, 2024. |
| (d) | As a result of the use of significant unobservable inputs
to determine fair value, these investments have been classified as Level 3 assets. |
| (e) | Represents an investment in a warehouse facility, which is
a financing structure intended to aggregate loans that may be used to form the basis of a CLO security. |
| (f) | When-issued or delivery-delayed security. All or a portion
of this position has not settled as of March 31, 2024. The interest rate shown represents the stated spread over the applicable reference
rate floor; the Trust will not accrue interest until the settlement date, at which point the reference rate floor will be established.
The total value of securities purchased on a when-issued or delivery-delayed basis was $5,981,314 as of March 31, 2024. |
| (g) | Non-income producing security. |
| (h) | This investment has an unfunded commitment as of March 31,
2024. |
| (i) | Investment has a fixed rate coupon, which is shown as of
March 31, 2024. |
| (j) | Security is in default. |
Investment Abbreviations:
LIBOR – Synthetic USD London Interbank Offered Rate
LLC – Limited Liability Company
LP – Limited Partnership
S.A. – Societe Anonyme (French: Public Limited Company)
S.a.r.l. – Societe Anonyme a Responsabilite Limitee (French:
Limited Liability Company)
SOFR – Secured Overnight Financing Rate
Reference Rates:
1M SOFR as of March 31, 2024 was 5.32%
3M SOFR as of March 31, 2024 was 5.35%
6M SOFR as of March 31, 2024 was 5.39%
1M LIBOR as of March 31, 2024 was 5.44%
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
STATEMENT OF ASSETS AND LIABILITIES
March 31, 2024 (Unaudited)
| ASSETS: | |
| |
| Investments, at value (Cost $677,671,605) | |
$ | 648,566,064 | |
| Cash | |
| 7,396,216 | |
| Receivable for investment securities sold | |
| 8,677,958 | |
| Interest receivable | |
| 4,831,542 | |
| Receivable for trust shares sold | |
| 1,310,188 | |
| Prepaid offering costs, net (Note 5) | |
| 503,334 | |
| Prepaid expenses and other assets | |
| 74,558 | |
| Total Assets | |
| 671,359,860 | |
| LIABILITIES: | |
| |
| Leverage facility (Net of $6,251 deferred financing costs) (Note 6) | |
| 169,043,749 | |
| Preferred shares (Net of $3,827,884 deferred financing costs) (Note 6) | |
| 66,072,115 | |
| Payable for investment securities purchased | |
| 46,350,196 | |
| Distributions payable to common shareholders | |
| 4,640,289 | |
| Interest due on leverage facility (Note 6) | |
| 971,640 | |
| Accrued investment advisory fees payable (Note 3) | |
| 882,366 | |
| Interest payable on preferred shares (Note 6) | |
| 699,732 | |
| Accrued professional fees payable | |
| 140,909 | |
| Accrued fund accounting and administration fees payable | |
| 132,144 | |
| Accrued investor support services fees payable (Note 3) | |
| 103,808 | |
| Accrued printing fees payable | |
| 48,263 | |
| Accrued custodian fees payable | |
| 14,807 | |
| Accrued transfer agent fees payable | |
| 13,703 | |
| Other payables and accrued expenses | |
| 120,707 | |
| Total Liabilities | |
| 289,234,428 | |
| NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS | |
$ | 382,125,432 | |
| COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS: | |
| |
| Paid in capital | |
$ | 423,314,716 | |
| Distributable earnings/(Accumulated loss) | |
| (41,189,284 | ) |
| NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS | |
$ | 382,125,432 | |
| | |
| | |
| Common shares of beneficial interest outstanding, at $0.01 par value per share, and unlimited common shares authorized | |
| 55,077,079 | |
| Net Asset Value Applicable to Common Shareholders, per share | |
$ | 6.94 | |
See Notes to Financial Statements.
XAI Octagon Floating Rate & Alternative Income Trust
STATEMENT OF OPERATIONS
March 31, 2024 (Unaudited)
| INVESTMENT INCOME: | |
| |
| Interest and other income | |
$ | 39,287,409 | |
| Dividends | |
| 349,761 | |
| Total Investment Income | |
| 39,637,170 | |
| EXPENSES: | |
| | |
| Interest expense and amortization of deferred leverage costs (Note 6) | |
| 5,574,313 | |
| Investment advisory fees (Note 3) | |
| 4,688,919 | |
| Distributions to preferred shares | |
| 1,891,528 | |
| Investor support services fees (Note 3) | |
| 551,637 | |
| Fund accounting and administration fees | |
| 349,060 | |
| Professional fees | |
| 275,256 | |
| Amortization of financing costs (Note 6) | |
| 240,184 | |
| Trustees' fees and expenses | |
| 176,525 | |
| Custodian fees | |
| 47,015 | |
| Printing expenses | |
| 39,308 | |
| Chief financial officer fees (Note 3) | |
| 30,282 | |
| Chief compliance officer fees (Note 3) | |
| 21,221 | |
| Transfer agent fees | |
| 15,543 | |
| Other expenses | |
| 114,147 | |
| Total Expenses | |
| 14,014,938 | |
| NET
INVESTMENT INCOME | |
| 25,622,232 | |
| | |
| | |
| REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: | |
| | |
| Net realized loss on: | |
| | |
| Investment securities | |
| (528,473 | ) |
| Net change in unrealized appreciation/depreciation on: | |
| | |
| Investment securities | |
| 11,516,213 | |
| NET
REALIZED AND UNREALIZED GAIN ON INVESTMENTS | |
| 10,987,740 | |
| NET INCREASE IN
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS | |
$ | 36,609,972 | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
STATEMENTS OF CHANGES IN NET ASSETS
March 31, 2024
| | |
Six Months Ended
March 31,
2024 | | |
Year Ended
September 30, | |
| | |
(Unaudited) | | |
2023 | |
| OPERATIONS: | |
| | |
| |
| Net investment income | |
$ | 25,622,232 | | |
$ | 35,608,288 | |
| Net realized loss | |
| (528,473 | ) | |
| (10,513,376 | ) |
| Net change in unrealized appreciation/depreciation | |
| 11,516,213 | | |
| 21,531,679 | |
| Net increase in net assets applicable to common shareholders from operations | |
| 36,609,972 | | |
| 46,626,591 | |
| | |
| | | |
| | |
| DISTRIBUTIONS TO COMMON SHAREHOLDERS: | |
| | | |
| | |
| From net investment income | |
| (25,144,284 | ) | |
| (36,302,859 | ) |
| Total distributions to common shareholders | |
| (25,144,284 | ) | |
| (36,302,859 | ) |
| | |
| | | |
| | |
| CAPITAL SHARE TRANSACTIONS: | |
| | | |
| | |
| Proceeds from sales of common shares (net of offering costs of $24,300 and $16,311) | |
| 69,917,052 | | |
| 58,249,625 | |
| Net asset value of common shares issued to shareholders from reinvestment of dividends | |
| 2,462,284 | | |
| 2,906,219 | |
| Net increase in net assets applicable to common shareholders from capital share transactions | |
| 72,379,336 | | |
| 61,155,844 | |
| Net increase in net assets applicable to common shareholders | |
| 83,845,024 | | |
| 71,479,576 | |
| | |
| | | |
| | |
| NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS: | |
| | | |
| | |
| Beginning of period | |
| 298,280,408 | | |
| 226,800,832 | |
| End of period | |
$ | 382,125,432 | | |
$ | 298,280,408 | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
STATEMENT OF CASH FLOWS
March 31, 2024 (Unaudited)
| CASH FLOWS FROM OPERATING ACTIVITIES: | |
| | |
| Net increase in net assets applicable to common shareholders from operations | |
$ | 36,609,972 | |
| Adjustments to reconcile net increase in net assets
applicable to common shareholders resulting from operations to net cash used in operating activities: | |
| | |
| Purchase of investment securities | |
| (228,712,701 | ) |
| Proceeds from sale of investment securities | |
| 104,510,245 | |
| Discounts accreted/premiums amortized | |
| 5,261,103 | |
| Net realized loss on investment securities | |
| 528,473 | |
| Net change in unrealized appreciation/depreciation on investment securities | |
| (11,516,213 | ) |
| Net sales of short-term investment securities | |
| 1,856,453 | |
| Payment-in-kind interest | |
| 31,430 | |
| Amortization of deferred financing costs | |
| 149,079 | |
| (Increase)/Decrease in assets: | |
| | |
| Receivable for investment securities sold | |
| 7,466,409 | |
| Interest receivable | |
| (809,627 | ) |
| Prepaid offering costs | |
| (124,010 | ) |
| Prepaid expenses and other assets | |
| (11,075 | ) |
| Increase/(Decrease) in liabilities: | |
| | |
| Payable for investment securities purchased | |
| 15,509,681 | |
| Interest due on leverage facility | |
| 174,319 | |
| Interest payable on preferred shares | |
| 22,277 | |
| Accrued investment advisory fees payable | |
| 145,799 | |
| Accrued fund accounting and administration fees payable | |
| 72,121 | |
| Accrued professional fees payable | |
| (27,580 | ) |
| Accrued investor support services payable | |
| 21,686 | |
| Accrued printing fees payable | |
| 35,488 | |
| Accrued custodian fees payable | |
| 2,170 | |
| Accrued transfer agent fees payable | |
| 4,721 | |
| Accrued expenses and other payables | |
| 116,232 | |
| Net Cash Used in Operating Activities | |
| (68,683,548 | ) |
| CASH FLOWS FROM FINANCING ACTIVITIES: | |
| | |
| Proceeds from leverage facility | |
| 33,700,000 | |
| Payments on leverage facility | |
| (15,000,000 | ) |
| Proceeds from offering of preferred shares | |
| 18,600,000 | |
| Proceeds from shares sold - common shares | |
| 59,353,950 | |
| Distributions paid - common shareholders | |
| (21,788,864 | ) |
| Net Cash Provided by Financing Activities | |
| 74,865,086 | |
| Net increase in cash | |
| 6,181,538 | |
| Cash, beginning balance | |
| 1,214,678 | |
| Cash, ending balance | |
$ | 7,396,216 | |
| | |
| | |
| SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | |
| | |
| Cash paid for interest on leverage facility | |
$ | 5,322,349 | |
| Reinvestment of distributions | |
| 2,462,284 | |
| Conversion of preferred shares to common shares | |
| 10,000,000 | |
See Notes to Financial Statements.
XAI Octagon Floating Rate & Alternative Income Trust
FINANCIAL HIGHLIGHTS
March 31, 2024
| | |
For
the Six Months Ended March
31,
2024 (Unaudited) | | |
For
the
Year Ended September 30,
2023 | | |
For
the
Year Ended
September 30,
2022 | | |
For
the
Year Ended
September 30,
2021 | | |
For
the
Year Ended
September 30,
2020 | | |
For
the
Year Ended
September 30,
2019 | |
| PER COMMON SHARE OPERATING PERFORMANCE: | |
| | |
| | |
| | |
| | |
| | |
| |
| Net Asset Value, Beginning of Period | |
$ | 6.67 | | |
$ | 6.39 | | |
$ | 8.19 | | |
$ | 6.56 | | |
$ | 8.22 | | |
$ | 9.50 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| INCOME FROM INVESTMENT OPERATIONS: | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net investment income(a) | |
| 0.52 | | |
| 0.92 | | |
| 0.82 | | |
| 0.76 | | |
| 0.72 | | |
| 0.89 | |
| Net realized and unrealized gain/(loss) on
investments | |
| 0.26 | | |
| 0.30 | | |
| (1.91 | ) | |
| 1.41 | | |
| (1.58 | ) | |
| (1.32 | ) |
| Total Income/(Loss) from Investment Operations | |
| 0.78 | | |
| 1.22 | | |
| (1.09 | ) | |
| 2.17 | | |
| (0.86 | ) | |
| (0.43 | ) |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM:(b) | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net investment income | |
| (0.51 | ) | |
| (0.94 | ) | |
| (0.84 | ) | |
| (0.34 | ) | |
| (0.57 | ) | |
| (0.77 | ) |
| Tax return of capital | |
| – | | |
| – | | |
| (0.04 | ) | |
| (0.54 | ) | |
| (0.23 | ) | |
| (0.08 | ) |
| Total Distributions to Common Shareholders | |
| (0.51 | ) | |
| (0.94 | ) | |
| (0.88 | ) | |
| (0.88 | ) | |
| (0.80 | ) | |
| (0.85 | ) |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| CAPITAL SHARE TRANSACTIONS: | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Impact of capital share transactions(a) | |
| 0.00 | (c) | |
| 0.00 | (c) | |
| 0.17 | | |
| 0.34 | | |
| 0.00 | (c) | |
| 0.00 | (c) |
| Total Capital Share Transactions | |
| 0.00 | (c) | |
| 0.00 | (c) | |
| 0.17 | | |
| 0.34 | | |
| 0.00 | (c) | |
| 0.00 | (c) |
| Net Asset Value Per Common Share - End of Period | |
$ | 6.94 | | |
$ | 6.67 | | |
$ | 6.39 | | |
$ | 8.19 | | |
$ | 6.56 | | |
$ | 8.22 | |
| Market Value Per Common Share - End of Period | |
$ | 7.09 | | |
$ | 6.95 | | |
$ | 5.94 | | |
$ | 8.58 | | |
$ | 5.99 | | |
$ | 8.95 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Total Investment Return per Common Share - Net Asset
Value(d) | |
| 12.02 | % | |
| 20.48 | % | |
| (12.63 | %) | |
| 39.14 | % | |
| (9.54 | %) | |
| (4.55 | %) |
| Total Investment Return per Common Share - Market
Price(d) | |
| 9.83 | % | |
| 35.05 | % | |
| (22.47 | %) | |
| 59.63 | % | |
| (24.14 | %) | |
| 0.75 | % |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| RATIOS AND SUPPLEMENTAL DATA: | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net assets, attributable to common shares, end of period (000s) | |
$ | 382,125 | | |
$ | 298,280 | | |
$ | 226,801 | | |
$ | 218,564 | | |
$ | 84,989 | | |
$ | 78,707 | |
| Ratio of expenses excluding waivers to average net assets | |
| 8.42 | %(e) | |
| 8.49 | % | |
| 6.29 | % | |
| 5.28 | % | |
| 5.71 | % | |
| 6.16 | % |
| Ratio of expenses including waivers to average net
assets(f) | |
| N/A | | |
| N/A | | |
| N/A | | |
| N/A | | |
| N/A | | |
| 5.22 | % |
| Ratio of expenses excluding interest expense and
distributions to preferred shares to average net assets(g) | |
| 3.94 | %(e)(h) | |
| 4.15 | %(i) | |
| 3.94 | %(i) | |
| 3.94 | %(j) | |
| 4.51 | % | |
| 3.27 | % |
| Ratio of net investment income including waivers to
average net assets(f) | |
| 15.40 | %(e) | |
| 14.30 | % | |
| 10.81 | % | |
| 9.82 | % | |
| 10.93 | % | |
| 10.03 | % |
| Portfolio turnover rate | |
| 19 | % | |
| 29 | % | |
| 29 | % | |
| 34 | % | |
| 60 | % | |
| 94 | % |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| 6.50% SERIES 2026 PREFERRED SHARES | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Liquidation value, end of period, including dividends
payable on preferred shares (000s) | |
$ | 39,900 | | |
$ | 39,900 | | |
$ | 39,900 | | |
$ | 40,258 | | |
$ | N/A | | |
$ | N/A | |
| Total shares outstanding (000s) | |
| 1,596 | | |
| 1,596 | | |
| 1,596 | | |
| 1,596 | | |
| N/A | | |
| N/A | |
| Asset coverage per $1,000 of preferred shares(k) | |
| 205 | | |
| 146 | | |
| 139 | | |
| 162 | | |
| N/A | | |
| N/A | |
| Liquidation preference per share | |
$ | 25 | | |
$ | 25 | | |
$ | 25 | | |
$ | 25 | | |
$ | N/A | | |
$ | N/A | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| 6.00% SERIES 2029 CONVERTIBLE PREFERRED SHARES | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Liquidation value, end of period, including dividends
payable on preferred shares (000s) | |
$ | 10,000 | | |
$ | 20,000 | | |
$ | 10,000 | | |
$ | N/A | | |
$ | N/A | | |
$ | N/A | |
| Total shares outstanding (000s) | |
| 400 | | |
| 800 | | |
| 400 | | |
| N/A | | |
| N/A | | |
| N/A | |
| Asset coverage per $1,000 of preferred shares(k) | |
| 205 | | |
| 146 | | |
| 139 | | |
| N/A | | |
| N/A | | |
| N/A | |
| Liquidation preference per share | |
$ | 25 | | |
$ | 25 | | |
$ | 25 | | |
$ | N/A | | |
$ | N/A | | |
$ | N/A | |
See Notes to Financial Statements.
XAI
Octagon Floating Rate & Alternative Income Trust
FINANCIAL HIGHLIGHTS
March 31, 2024
| | |
For
the Six Months
Ended
March 31, 2024
(Unaudited) | | |
For
the
Year Ended
September 30,
2023 | | |
For
the
Year Ended
September 30,
2022 | | |
For
the
Year Ended
September 30,
2021 | | |
For
the
Year Ended
September 30,
2020 | | |
For
the
Year Ended
September 30,
2019 | |
| 6.95%
SERIES 2029 CONVERTIBLE PREFERRED SHARES | |
| | |
| | |
| | |
| | |
| | |
| |
| Liquidation value, end of period, including
dividends payable on preferred shares (000s) | |
$ | 20,000 | | |
$ | N/A | | |
$ | N/A | | |
$ | N/A | | |
$ | N/A | | |
$ | N/A | |
| Total shares outstanding (000s) | |
| 800 | | |
| N/A | | |
| N/A | | |
| N/A | | |
| N/A | | |
| N/A | |
| Asset coverage per $1,000 of preferred shares(k) | |
| 205 | | |
| N/A | | |
| N/A | | |
| N/A | | |
| N/A | | |
| N/A | |
| Liquidation preference per share | |
$ | 25 | | |
$ | N/A | | |
$ | N/A | | |
$ | N/A | | |
$ | N/A | | |
$ | N/A | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| LEVERAGE FACILITY | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Aggregate principal amount, end of period of leverage
facility payable (000s) | |
$ | 169,050 | | |
$ | 150,350 | | |
$ | 113,150 | | |
$ | 98,150 | | |
$ | 35,650 | | |
$ | 38,965 | |
| Asset Coverage Per $1,000 of leverage facility(l) | |
| 3,260 | | |
| 2,984 | | |
| 3,445 | | |
| 3,227 | | |
| 3,384 | | |
| 3,020 | |
| (a) | Calculated using average common shares outstanding. |
| (b) | The per share amounts of distributions related to net
investment income and tax return of capital are based on amounts determined under U.S. federal income tax regulations which differs from
the per share amounts from investment operations which are based on amounts determined under U.S. GAAP. |
| (c) | Less than $0.005 or greater than $(0.005) per share. |
| (d) | Total investment return is calculated assuming a purchase
of a common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions
are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust's dividend reinvestment plan. Total
investment returns do not reflect brokerage commissions, if any, and are not annualized. |
| (f) | The Adviser’s expense limitation agreement to waive
and/or reimburse expenses of the Trust expired on September 27, 2019 and was not renewed. |
| (g) | Includes amortization of deferred leverage costs incurred
obtaining leverage facility. |
| (h) | The Trust issued 6.95% Series 2029 Convertible Preferred
Shares on February 14, 2024 and February 28, 2024. |
| (i) | The Trust issued 6.00% Series 2029 Convertible Preferred
Shares on June 30, 2022, May 11, 2023 and August 4, 2023. |
| (j) | The Trust issued Series 2026 Term Preferred Shares on
March 29, 2021 and September 8, 2021. |
| (k) | The asset coverage ratio for a class of senior securities
representing stock is calculated as the Trust's total assets, less all liabilities and indebtedness not represented by the Trust's senior
securities, divided by secured senior securities representing indebtedness plus the aggregate of the involuntary liquidation preference
of secured senior securities which are stock. With respect to the Preferred Shares, the asset coverage per unit figure is expressed in
terms of dollar amounts per share of outstanding Preferred Shares (based on a liquidation preference of $25). |
| (l) | Calculated by subtracting the Trust's total liabilities
(excluding the liquidation value of the Preferred Shares, including dividends payable on the Preferred Shares, and the principal amount
of the Leverage Facility) from the Trust's total assets and dividing by the principal amount of the Leverage Facility and then multiplying
by $1,000. |
See Notes to Financial Statements.
XAI Octagon Floating Rate & Alternative Income Trust
NOTES TO FINANCIAL STATEMENTS
March 31, 2024 (Unaudited)
NOTE 1 - ORGANIZATION
XAI Octagon Floating Rate & Alternative Income
Trust (the “Trust”) (formerly known as XAI Octagon Floating Rate & Alternative Income Term Trust) is a diversified, closed-end
management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust
commenced operations on September 27, 2017.
The Trust seeks to achieve its investment objective
by investing in a dynamically managed portfolio of opportunities primarily within the private credit markets. Under normal market conditions,
the Trust will invest at least 80% of its Managed Assets in floating rate credit instruments and other structured credit investments.
“Managed Assets” means the total assets of the Trust, including assets attributable to the Trust’s use of leverage,
minus the sum of its accrued liabilities (other than liabilities incurred for the purpose of creating leverage).
NOTE 2 - SIGNIFICANT
ACCOUNTING POLICIES
Basis of Accounting and Use of Estimates
– The financial statements are prepared in accordance with accounting principles generally accepted in the United States of America
(“U.S. GAAP”), which requires management to make estimates and assumptions that affect the reported amounts and disclosures,
including contingent assets and liabilities, in the financial statements during the period reported. Management believes the estimates
and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected
in the financial statements may differ from the value the Trust ultimately realizes upon sale of the securities. The Trust is considered
an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in the Financial
Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The financial statements
have been prepared as of the close of the New York Stock Exchange (“NYSE”) on March 31, 2024.
Expense Recognition – Expenses are recorded on the accrual
basis of accounting.
Calculation of Net Asset Value –
The calculation of net asset value ("NAV") per common share of the Trust is determined daily, on each day that the NYSE is
open for trading, as of the close of regular trading on the NYSE (normally 4:00 p.m. Eastern Time). The Trust’s net asset value
per common share is calculated by dividing the value of the Trust’s total assets, less its liabilities, by the number of shares
outstanding.
Cash – The Trust considers its investment
in an FDIC insured interest bearing account to be cash. Cash is valued at cost plus any accrued interest. The Trust maintains cash balances,
which at times may exceed federally insured limits. The Trust maintains these balances with a high quality financial institution.
Securities Transactions and Investment Income
– Investment security transactions are accounted for on a trade date basis. Dividend income is recorded on the ex-dividend
date. Realized gains and losses from securities transactions and unrealized appreciation and depreciation of securities are determined
using the identified cost basis method for financial reporting purposes.
Interest income from investments is recorded using
the accrual basis of accounting to the extent such amounts are expected to be collected. Amortization of premium or accretion of discount
is recognized using the effective interest method. Collateralized loan obligation (“CLO”) equity investments recognize investment
income on the accrual basis utilizing an effective interest methodology based upon an effective yield to maturity utilizing projected
cash flows. ASC Topic 325-40, Beneficial Interests in Securitized Financial Assets, requires investment income from CLO equity investments
and fee rebates to be recognized under the effective interest method, with any difference between the cash distribution and the amount
calculated pursuant to the effective interest method being recorded as an adjustment to the cost basis of the investment. There were no
fee rebates for CLO equity investments held by the Trust as of March 31, 2024.
Effective yields for the Trust’s CLO equity
positions are monitored and evaluated on a quarterly basis. The Trust also updates a CLO equity investment’s effective yield in
each instance where there is a respective add-on purchase, refinancing or reset involving the CLO equity investment held. The effective
yield will be set to 0.00% if: (1) the aggregate projected amount of future recurring distributions is less than the amortized investment
cost, and/or (2) there is significant uncertainty with respect to the timing of future residual distributions from equity positions that
are in the process of being redeemed or that have missed or are not currently making distributions. The future distributions for CLO equity
positions with a 0.00% effective yield will be recognized solely as return of cost basis until the aggregate projected amount of future
recurring distributions exceeds the amortized investment cost.
Preferred Shares – Distributions
to holders of the Trust’s 6.50% Series 2026 Term Preferred Shares, 6.00% Series 2029 Convertible Preferred Shares and 6.95% Series
2029 Convertible Preferred Shares (collectively, "Preferred Shares") are accrued on a daily basis as described in Note 6 and
are treated as an expense as required by U.S. GAAP. For tax purposes, the payments made to the holders of the Trust's Preferred Shares
are treated as dividends or distributions. The character of distributions to the holders of the Trust’s Preferred Shares made during
the year may differ from their ultimate characterization for federal income tax purposes.
Fair Value Measurements – The Trust
records investments at fair value. The Trust values debt securities at the last available bid price for such securities or, if such
prices are not available, at prices for securities of comparable maturity, quality, and type. The Trust values exchange traded options
and other exchange traded derivative contracts at the midpoint of the best bid and asked prices at the close on those exchanges on which
they are traded.
The Trust values equity securities at the last
reported sale price on the principal exchange or in the principal off-exchange market in which such securities are traded, as of the close
of regular trading on the NYSE on the day the securities are being valued or, if there are no sales, at the mean between the last available
bid and asked prices on that day. Securities traded primarily on the Nasdaq Stock Market (“Nasdaq”) are normally valued by
the Trust at the Nasdaq Official Closing Price (“NOCP”) provided by Nasdaq each business day. The NOCP is the most recently
reported price as of 4:00 p.m., Eastern Time, unless that price is outside the range of the “inside” bid and asked prices
(i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, Nasdaq will adjust
the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based
on the price of the last trade to occur before the market closes.
Generally, trading in many foreign securities
will be substantially completed each day at various times prior to the close of the NYSE. The values of these securities used in determining
the net asset value generally will be computed as of such times. Occasionally, events affecting the value of foreign securities may occur
between such times and the close of the NYSE which will not be reflected in the computation of net asset value unless it is determined
that such events would materially affect the net asset value, in which case adjustments would be made and reflected in such computation
pursuant to the fair valuation procedures described herein. Such adjustments may be based
upon factors such as developments in non-U.S. markets, the performance of U.S. securities markets and the performance of instruments trading
in U.S. markets that represent non-U.S. securities.
XAI
Octagon Floating Rate & Alternative Income Trust
NOTES TO FINANCIAL STATEMENTS
March 31, 2024 (Unaudited) (Continued)
Short-term securities with remaining maturities
of less than 60 days may be valued at amortized cost, to the extent that amortized cost is determined to approximate fair value.
The Trust values derivatives transactions in accordance
with valuation guidelines adopted by the Board of Trustees of the Trust (the “Board of Trustees”). Accrued payments to the
Trust under such transactions will be assets of the Trust and accrued payments by the Trust will be liabilities of the Trust.
The Trust may utilize bid quotations provided
by independent pricing services or, if independent pricing services are unavailable, dealers to value certain of its securities and other
instruments at their market value. The Trust may use independent pricing services to value certain securities held by the Trust at their
market value. The Trust periodically verifies valuations provided by independent pricing services.
If independent pricing services or dealer quotations
are not available for a given security, such security will be valued in accordance with valuation guidelines adopted by the Board of Trustees
that the Board of Trustees believes are designed to accurately reflect the fair value of securities valued in accordance with such guidelines.
The Board of Trustees has designated XA Investments
LLC (“XAI” or the “Adviser”), as the “valuation designee” for the Trust pursuant to Rule 2a-5 under
the Investment Company Act. The valuation designee is responsible for making fair value determinations pursuant to Valuation Policies
and Procedures adopted by XAI and the Trust (the “Valuation Policy”). A committee of voting members comprised of senior personnel
of XAI considers various pricing issues and establishes fair valuations of portfolio securities and other instruments held by the Trust
in accordance with the Valuation Policy (the “Pricing Committee”). XAI as valuation designee is subject to monitoring and
oversight by the Board of Trustees. As a general principle, the fair value of a portfolio instrument is the amount that an owner might
reasonably expect to receive upon the instrument’s current sale. A range of factors and analysis may be considered when determining
fair value, including relevant market data, interest rates, credit considerations and/or issuer specific news. The Pricing Committee may
consult with and receive input from third parties, such as the Sub-Adviser, and will utilize a variety of market data including yields
or prices of investments of comparable quality, type of issue, coupon, maturity, rating, indications of value from security dealers, evaluations
of anticipated cash flows or collateral, spread over U.S. Treasury obligations, and other information and analysis. In addition, the Pricing
Committee may consider valuations provided by valuation firms retained to assist in the valuation of certain of the Trust’s investments.
Fair valuation involves subjective judgments. While the Trust’s use of fair valuation is intended to result in calculation of net
asset value that fairly reflects values of the Trust’s portfolio securities as of the time of pricing, the Trust cannot guarantee
that any fair valuation will, in fact, approximate the amount the Trust would actually realize upon the sale of the securities in question.
It is possible that the fair value determined for a portfolio instrument may be materially different from the value that could be realized
upon the sale of that instrument.
The Trust may use non-binding indicative bid prices
provided by an independent pricing service or broker as the primary basis for determining the value of CLO debt and CLO equity (subordinated
securities), which may be adjusted for pending distributions, as applicable, as of the valuation date. These bid prices are non-binding,
and may not be determinative of an actual transaction price. As such, they may be considered Level 3 in the fair value hierarchy, absent
additional information. In valuing the Trust’s investments in CLO debt and CLO equity (subordinated securities), in addition to
non-binding indicative bid prices provided by an independent pricing service or broker, the Pricing Committee also may consider a variety
of relevant factors, as set forth in the Valuation Policy, including recent trading prices for specific investments, recent purchases
and sales known to the Trust in similar securities, other information known to the Trust relating to the securities, and discounted cash
flows based on output from a third-party financial model, using projected future cash flows.
Information that becomes known after the Trust’s
NAV has been calculated on a particular day will not be used to retroactively adjust the price of a security or the Trust’s previously
determined NAV.
The Trust discloses the classification of its
fair value measurements following a three-tier hierarchy based on the inputs used to measure fair value. Inputs refer broadly to the assumptions
that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable.
Observable inputs reflect the assumptions market participants would use in pricing the asset or liability that are developed based on
market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions
about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information
available.
Various inputs are used in determining the value
of the Trust’s investments as of the end of the reporting period. When inputs used fall into different levels of the fair value
hierarchy, the level in the hierarchy within which the fair value measurement falls is determined based on the lowest level input that
is significant to the fair value measurement in its entirety. The designated input levels are not necessarily an indication of the risk
or liquidity associated with these investments.
These inputs are categorized in the following hierarchy under applicable
financial accounting standards:
| Level 1 – | Unadjusted quoted prices in active markets for
identical investments, unrestricted assets or liabilities that the Trust has the ability to access at the measurement date; |
| Level 2 – | Quoted prices which are not active, quoted prices
for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly)
for substantially the full term of the asset or liability; and |
| Level 3 – | Significant unobservable prices or inputs (including
the Trust’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset
or liability at the measurement date. |
XAI
Octagon Floating Rate & Alternative Income Trust
NOTES TO FINANCIAL STATEMENTS
March 31, 2024 (Unaudited) (Continued)
The following is a summary of the inputs used to value the Trust’s
investments as of March 31, 2024:
| Investments in Securities at Value(a) | |
Level 1 -
Quoted
Prices | | |
Level 2 -
Significant
Observable Inputs | | |
Level 3 -
Significant
Unobservable Inputs | | |
Total | |
| Collateralized Loan Obligations Debt | |
$ | – | | |
$ | 99,482,674 | | |
$ | – | | |
$ | 99,482,674 | |
| Collateralized Loan Obligations Equity | |
| – | | |
| 186,395,548 | | |
| 43,304,763 | | |
| 229,700,311 | |
| Corporate Bonds | |
| – | | |
| 18,966,870 | | |
| – | | |
| 18,966,870 | |
| Secured Second Lien Loans | |
| – | | |
| 7,318,665 | | |
| – | | |
| 7,318,665 | |
| Senior Secured First Lien Loans | |
| – | | |
| 283,701,687 | | |
| – | | |
| 283,701,687 | |
| Common Stocks | |
| – | | |
| 297,533 | | |
| – | | |
| 297,533 | |
| Rights | |
| – | | |
| – | | |
| – | (b) | |
| – | |
| Money Market Mutual Funds | |
| 9,098,324 | | |
| – | | |
| – | | |
| 9,098,324 | |
| Total | |
$ | 9,098,324 | | |
$ | 596,162,977 | | |
$ | 43,304,763 | | |
$ | 648,566,064 | |
| (a) | For
detailed descriptions and other security classifications, see the accompanying Schedule of Investments. |
| (b) | Includes
$0 fair valued Rights |
The changes of the fair value of investments for which the Trust has used Level 3 inputs to determine the fair value are as follows:
| | |
Collateralized | |
| | |
Loan Obligations | |
| | |
Equity | |
| Balance as of September 30, 2023 | |
$ | 253,078 | |
| Accrued Discount/Premium Including Return of Capital(a) | |
| 461,119 | |
| Realized Gain/(Loss) | |
| – | |
| Change in Unrealized Appreciation/Depreciation | |
| (539,361 | ) |
| Purchases | |
| 43,129,927 | |
| Sales Proceeds | |
| – | |
| Transfer Into Level 3 | |
| – | |
| Transfer Out of Level 3 | |
| – | |
| Balance as of March 31, 2024 | |
$ | 43,304,763 | |
| | |
| | |
| Net change in unrealized appreciation/depreciation included in the Statement of Operations attributable
to Level 3 investments held at March 31, 2024 | |
$ | (534,964 | ) |
| (a) | Reduction to cost value on CLO equity investments represents
the difference between distributions received, or entitled to be received, and income earned for the period ended March 31, 2024. |
The following table summarizes the quantitative
inputs and assumptions used for investments categorized in Level 3 of the fair value hierarchy as of the end of the reporting period.
In addition to the techniques and inputs noted in the table below, according to the Trust’s valuation policy, the Trust may use
other valuation techniques and methodologies when determining the Trust’s fair value measurements as provided for in the valuation
policy and approved by the Board of Trustees. The table below is not intended to be all-inclusive, but rather provides information on
the significant Level 3 inputs as they relate to the fair value measurements as of the end of the reporting period.
| | |
Quantitative Information about Level 3 Value Measurements |
| Assets | |
Value as of
March 31,
2024 | | |
Valuation
Methodologies | |
Unobservable
Input | |
Range/Weighted
Average(a) |
| CLO Equity | |
$ | 43,304,763 | | |
Market Approach | |
NBIB(b) | |
$0.00-$100.00/$49.98 |
| (a) | Weighted averages are calculated based on the value of investments on March 31, 2024. |
| (b) | The Trust generally uses non-binding indicative bid (“NBIB”) prices
provided by an independent pricing service or broker on or near the valuation date as the primary basis for the fair value determination
for CLO debt and CLO equity (subordinated securities), which may be adjusted for pending equity distributions as of the valuation date.
These bid prices are non-binding, and may not be determinative of an actual transaction price. In valuing the Trust’s investments
in CLO debt and CLO equity (subordinated securities), in addition to NBIB prices provided by an independent pricing service or broker,
the Pricing Committee also may consider a variety of relevant factors as set forth in the Valuation Policy, including input from relevant
third-parties, recent trading prices for specific investments, recent purchases and sales known to the Trust in similar securities, other
information known to the Trust relating to the securities, and discounted cash flows based on output from a third-party financial model,
using projected future cash flows. |
Significant increases or decreases in any of the unobservable
inputs in isolation may result in a significantly lower or higher fair value measurement.
Indemnification – The Trust indemnifies its officers
and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course
of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnities.
The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against
the Trust that have not yet occurred. However, based on industry experience, the Trust expects the risk of loss due to these warranties
and indemnities to be remote.
XAI
Octagon Floating Rate & Alternative Income Trust
NOTES TO FINANCIAL STATEMENTS
March 31, 2024 (Unaudited) (Continued)
NOTE 3 - INVESTMENT
ADVISORY AND OTHER AGREEMENTS
XAI serves as the investment adviser to the Trust
and is responsible for overseeing the Trust’s overall investment strategy and its implementation. Octagon Credit Investors, LLC
(“Octagon” or the “Sub-Adviser”) serves as the investment sub-adviser of the Trust and is responsible for investing
the Trust’s assets. The Trust pays an advisory fee to the Adviser. The Adviser pays to the Sub-Adviser a sub-advisory fee out of
the advisory fee received by the Adviser.
On July 6, 2023, Octagon's direct parent company,
Conning Holdings Limited (together with Conning & Company, “Conning”), a global asset manager serving the needs of insurance
company and institutional clients, announced that it will be acquired by Generali Investment Holdings (“GIH”), an entity comprising
the majority of asset management activities of Generali Group (“Generali”). As part of the transaction, Conning's parent company,
Cathay Financial Holding Co., Ltd., a subsidiary of Cathay Life Insurance Co. Ltd. (together, “Cathay”) will enter into a
partnership with Generali by contributing its ownership of Conning and its affiliates (including Octagon) in exchange for 16.75% ownership
of GIH (the “Transaction”).
The closing of the Transaction constitutes an
“assignment” of the investment sub-advisory agreement among the Trust, the Adviser and the Sub-Adviser, and will cause the
agreement to terminate according to its terms. There will be no change in the portfolio management team of the Trust or the services provided
to the Trust by the Sub-Adviser as a result of the Transaction. Shareholders approved a new investment sub-advisory agreement among the
Trust, the Adviser and the Sub-Adviser (the “New Investment Sub-Advisory Agreement”) at the January 24, 2024 special meeting
of shareholders to be entered into upon the closing of the Transaction.
Pursuant to an investment advisory agreement between
the Trust and the Adviser, the Trust pays the Adviser a fee, payable monthly in arrears, in an annual amount equal to 1.70% of the Trust’s
average daily Managed Assets. “Managed Assets” means the total assets of the Trust, including assets attributable to the Trust’s
use of leverage and preferred shares, minus the sum of its accrued liabilities (other than liabilities incurred for the purpose of creating
leverage). For the six months ended March 31, 2024, the Trust incurred $4,688,918 in advisory fees.
Pursuant to an investment sub-advisory agreement
among the Trust, the Adviser and the Sub-Adviser, the sub-advisory fee, payable monthly in arrears to the Sub-Adviser, is calculated
as a specified percentage of the advisory fee payable by the Trust to the Adviser (before giving effect to any fees waived or expenses
reimbursed by the Adviser). The specified percentage is equal to the blended percentage computed by applying the following percentages
to the aggregate average daily Managed Assets of all registered investment companies in the XAI fund complex for which the Sub-Adviser
(or an affiliate of the Sub-Adviser) serves as investment sub-adviser, including the Trust (“Eligible Funds”):
| Aggregate Eligible Funds | |
Percentage of |
| Average Daily Managed Assets | |
Advisory Fee |
| First $500 million | |
60% |
| Over $500 million | |
50% |
As of March 31, 2024, the Trust was the only Eligible
Fund, and the sub-advisory fee equals 60% for the first $500 million of daily managed assets and 50% of the remaining managed assets above
$500 million of the advisory fee payable to the Adviser. The Sub-Adviser’s fees are paid by the Adviser. Pursuant to the investment
sub-advisory agreement, from time to time the Trust may reimburse the Sub-Adviser for certain costs and expenses incurred by the Sub-Adviser
in connection with the management of the Trust’s assets. For the six months ended March 31, 2024, the Trust incurred $75,323 in
reimbursements made to the Sub-Adviser. These costs are included in other expenses in the Statement of Operations.
The Trust does not pay a performance or incentive fee to the Adviser
or the Sub-Adviser.
The Trust pays all costs and expenses of its operations
in addition to the advisory fee and investor support services and secondary market support services fee paid to the Adviser. For the period
from September 27, 2017 to September 27, 2019, the Adviser and the Trust entered into a fee waiver agreement. The fee waiver agreement
expired on September 27, 2019. Under the fee waiver agreement, the Adviser had contractually agreed to waive a portion of the advisory
fee and/ or reimburse the Trust for certain operating expenses so that the annual expenses of the Trust did not exceed 0.30% of the Trust’s
Managed Assets (exclusive of investment advisory fees, investor support and secondary market services fees, taxes, expenses incurred directly
or indirectly by the Trust as a result of an investment in a permitted investment (including, without limitation, acquired fund fees and
expenses), expenses associated with the acquisition or disposition of portfolio investments (including, without limitation, brokerage
commissions and other trading or transaction expenses), leverage expenses (including, without limitation, costs associated with the issuance
or incurrence of leverage, commitment fees, interest expense or dividends on preferred shares), expenses incurred in connection with issuances
and sales of shares of the Trust (including, without limitation, fees, commissions and offering costs), dividends on short sales, if any,
securities lending costs, if any, expenses of holding and soliciting proxies for meetings of shareholders of the Trust (except to the
extent relating to routine items such as the election of Trustees), expenses of a reorganization, restructuring, reconciling or merger
of the Trust or the acquisition of all or substantially all of the assets of another fund, or any extraordinary expenses not incurred
in the ordinary course of the Trust’s business (including, without limitation, expenses related to litigation, derivative actions,
demands related to litigation, regulatory or other government investigations and proceeding)). The Adviser may recoup waived or reimbursed
amounts for three years following the date of such waiver or reimbursement, provided total expenses, including such recoupment, do not
exceed the lesser of the annual expense limit at the time such expenses were waived or reimbursed or the annual expense limit at the time
of recoupment. As of March 31, 2024, all remaining expenses that were available for recoupment by the Adviser had expired.
The Trust has also retained the Adviser to provide
investor support services and secondary market support services in connection with the ongoing operation of the Trust. Such services include
providing ongoing contact with respect to the Trust with financial intermediaries, communicating with the NYSE specialist for the shares
and with the closed-end fund analyst community regarding the Trust on a regular basis, and hosting and maintaining a website for the Trust.
The Trust pays the Adviser an investor support services and secondary market support services fee, payable monthly in arrears, in an annual
amount equal to 0.20% of the Trust’s average daily Managed Assets. For the six months ended March 31, 2024, the Trust incurred $551,637
in investor support services. A Trustee who is an "interested person," as defined in the 1940 Act, of the Trust and certain
officers of the Trust are affiliated with the Adviser and receive no compensation from the Trust for serving as officers and/or Trustee.
XAI
Octagon Floating Rate & Alternative Income Trust
NOTES TO FINANCIAL STATEMENTS
March 31, 2024 (Unaudited) (Continued)
Paralel Technologies LLC (“PRT”) serves as the
Trust’s administrator and accounting agent and receives customary fees from the Trust for such services. Administrative and
accounting fees paid by the Trust for the six months ended March 31, 2024 are disclosed in the Statement of Operations.
Employees of PINE Advisors LLC (“PINE”)
serve as the Trust’s chief compliance officer and principal financial officer. PINE provides services that assist the Trust’s
chief compliance officer in monitoring and testing the policies and procedures of the Trust in conjunction with requirements under Rule
38a-1 under the 1940 Act and receives an annual base fee. PINE receives an annual base fee for the services provided to the Trust and
is reimbursed for certain out-of-pocket expenses by the Trust. Service fees paid by the Trust for the six months ended March 31, 2024
are disclosed in the Statement of Operations.
Equiniti Trust Company LLC serves as transfer,
dividend paying and shareholder servicing agent for the Trust. U.S. Bank N.A. serves as the Trust’s custodian, under which the Custodian
holds the Fund’s assets in compliance with the 1940 Act. Transfer agent and custodian fees paid by the Trust for the six months
ended March 31, 2024, are disclosed in the Statement of Operations.
NOTE 4 - DISTRIBUTIONS
The Trust intends to pay substantially all of
its net investment income, if any, to holders of common shares (“Common Shareholders”) through periodic distributions. The
Trust intends to distribute any net long-term capital gains to Common Shareholders at least annually. The Trust intends to declare distributions
monthly. To permit the Trust to maintain more stable monthly distributions, the Trust may distribute more or less than the amount of the
net income earned in a particular period. There is no assurance the Trust will continue to pay regular monthly distributions or that it
will do so at a particular rate. Distributions may be paid by the Trust from any permitted source and, from time to time, all or a portion
of a distribution may be a return of capital. Shareholders should not assume that the source of the distribution from the Trust is net
income or profit.
The 6.50% Series 2026 Term Preferred Shares, 6.00%
Series 2029 Convertible Preferred Shares and 6.95% Series 2029 Convertible Preferred Shares pay a quarterly dividend at a fixed annual
rate of 6.50%, 6.00% and 6.95% respectively, of the Liquidation Preference, or $1.625, $1.50 and $1.7375 respectively, per share per year,
which is referred to as the “Fixed Dividend Rate.” The Fixed Dividend Rate is subject to adjustment under certain circumstances.
For the six months ended March 31, 2024, the Trust
declared the following distributions or dividends totaling $0.510 per common share, $0.8125 per 6.50% Series 2026 Term Preferred Share,
and $0.7417 per 6.00% Series 2029 Convertible Preferred Share or $25,144,284, $1,296,750, and $518,333, respectively, in the aggregate.
The Trust has not yet declared any distributions or dividends for the 6.95% Series 2029 Convertible Preferred Shares:
| | |
| |
| | |
Dividend per 6.50% | | |
Dividend per 6.00% Series | | |
Dividend per 6.95% Series |
| | |
| |
Distribution per | | |
Series 2026 Term | | |
2029 Convertible | | |
2029 Convertible |
| Payment Date | |
Record Date | |
Common Share | | |
Preferred Share | | |
Preferred Share | | |
Preferred Share |
| October 31, 2023 | |
October 16, 2023 | |
| -- | | |
$ | 0.40625 | | |
$ | 0.36667 | | |
N/A |
| November 1, 2023 | |
October 16, 2023 | |
$ | 0.085 | | |
| -- | | |
| N/A | | |
N/A |
| December 1, 2024 | |
November 15, 2023 | |
$ | 0.085 | | |
| -- | | |
| N/A | | |
N/A |
| December 28, 2023 | |
December 15, 2023 | |
$ | 0.085 | | |
| -- | | |
| N/A | | |
N/A |
| January 31, 2024 | |
January 16, 2024 | |
| -- | | |
$ | 0.40625 | | |
$ | 0.375 | | |
N/A |
| February 1, 2024 | |
January 16, 2024 | |
$ | 0.085 | | |
| -- | | |
| N/A | | |
N/A |
| March 1, 2024 | |
February 15, 2024 | |
$ | 0.085 | | |
| -- | | |
| N/A | | |
N/A |
| April 1, 2024 | |
March 15, 2024 | |
$ | 0.085 | | |
| -- | | |
| N/A | | |
N/A |
The Trust expects that distributions paid on the
common shares will consist primarily of (i) investment company taxable income, which includes ordinary income (such as interest, dividends,
and certain income from hedging or derivatives transactions) and the excess, if any, of net short-term capital gain over net long-term
capital loss, and (ii) net capital gain (which is the excess of net long-term capital gain over net short-term capital loss). All or a
portion of a distribution may be a return of capital, which is determined on a tax basis.
The Trust’s net investment income and capital
gain can vary significantly over time, however, the Trust seeks to maintain more stable monthly common share distributions over time.
To permit the Trust to maintain more stable monthly common share distributions, the Trust may initially distribute less than the entire
amount of the net investment income earned in a particular period. The undistributed net investment income may be available to supplement
future common share distributions. Undistributed net investment income is included in the common shares’ NAV, and, correspondingly,
distributions from net investment income will reduce the common shares’ NAV.
The Trust’s investments in CLOs may be subject
to complex tax rules and the calculation of taxable income attributed to an investment in CLO equity (subordinated securities) can be
dramatically different from the calculation of income for financial reporting purposes under U.S. GAAP, and, as a result, there may be
significant differences between the Trust’s U.S. GAAP income and its taxable income. The Trust’s final taxable income for
the current fiscal year will not be known until the Trust’s tax returns are filed.
All or a portion of a distribution may be a return
of capital, which is in effect a partial return of the amount a shareholder invested in the Trust, up to the amount of the shareholder’s
tax basis in their shares, which would reduce such tax basis. Although a return of capital may not be taxable, it will generally increase
the shareholder’s potential gain, or reduce the shareholder’s potential loss, on any subsequent sale or other disposition
of shares. Shareholders who periodically receive the payment of a distribution consisting of a return of capital may be under the impression
that they are receiving net income or profits when they are not. Shareholders should not assume that the source of a distribution from
the Trust is net income or profit.
XAI
Octagon Floating Rate & Alternative Income Trust
NOTES
TO FINANCIAL STATEMENTS
March
31, 2024 (Unaudited) (Continued)
Pursuant to the requirements of the 1940 Act,
in the event the Trust makes distributions from sources other than income, such as return of capital, a notice will be provided in connection
with each monthly distribution with respect to the estimated source of the distribution made. Such notices will describe the portion,
if any, of the monthly dividend which, in the Trust’s good faith judgment, constitutes long-term capital gain, short-term capital
gain, investment company taxable income or a return of capital. The characterization
of distributions paid to shareholders reflect estimates made by the Trust. Such estimates are subject to be characterized differently
for federal income tax purposes at year-end. The actual character of such dividend distributions for U.S. federal income tax purposes
will only be determined finally by the Trust at the close of its fiscal year, based on the Trust’s full year performance and its
actual net investment company taxable income and net capital gains for the year, which may result in a recharacterization of amounts distributed
during such fiscal year from the characterization in the monthly estimates.
The Trust may, but is not required to,
seek to obtain exemptive relief to permit the Trust to make periodic distributions of long-term capital gains with respect to its common
shares as frequently as monthly. Such relief, if obtained, would permit the Trust to implement a “managed distribution policy”
pursuant to which the Trust would distribute a fixed percentage of the net asset value (or market price if then applicable) of the common
shares at a particular point in time or a fixed monthly amount, any of which may be adjusted from time to time. It is anticipated that
under such a distribution policy, the minimum annual distribution rate with respect to the common shares would be independent of the Trust’s
performance during any particular period but would be expected to correlate with the Trust’s performance over time.
The Trust reserves the right to change
its distribution policy and the basis for establishing the rate of distributions at any time and may do so without prior notice to Common
Shareholders. Future distributions will be made if and when declared by the Trust’s Board of Trustees, based on a consideration
of number of factors, including the Trust’s continued compliance with terms and financial covenants of its senior securities, the
Trust’s net investment income, financial performance and available cash. There can be no assurance that the amount or timing of
distributions in the future will be equal or similar to that of past distributions or that the Board of Trustees will not decide to suspend
or discontinue the payment of distributions in the future.
Common share distributions shall be paid
on their payment date unless the payment of such distribution is deferred by the Board of Trustees upon a determination that such deferral
is required in order to comply with applicable law or the applicable terms or financial covenants of the Trust’s senior securities
or to ensure that the Trust remains solvent and able to pay its debts as they become due and continue as a going concern.
Cumulative cash dividends or distributions
on each 6.50% Series 2026 Term Preferred Share, 6.00% Series 2029 Convertible Preferred Share and 6.95% Series 2029 Convertible Preferred
Share are payable quarterly, when, as and if declared, or under authority granted, by the Board of Trustees out of funds legally available
for such payment and in preference to dividends and distributions on Common Shares. If the Trust is unable to distribute the full dividend
amount due in a dividend period on the Trust’s Preferred Shares, the dividends will be distributed on a pro rata basis among the
preferred shareholders. The Trust pays dividends on the Preferred Shares every January 31, April 30, July 31 and October 31 and such dividends
are recognized as an expense on the Statement of Operations.
NOTE 5 - CAPITAL
TRANSACTIONS
Pursuant to the Trust’s Agreement
and Declaration of Trust, the Trust is authorized to issue an unlimited number of shares of beneficial interest, par value $0.01 per share.
The tables below provide information of
the Trust's outstanding common shares of beneficial interest, par value of $0.01 per share ("Common Shares"), the Trust’s
6.50% Series 2026 Term Preferred Shares, par value of $0.01 per share, the Trust’s 6.00% Series 2029 Convertible Preferred Shares,
par value of $0.01 per share, and the Trust’s 6.95% Series 2029 Convertible Preferred Shares, par value of $0.01 per share.
| | |
Six Months
Ended
March 31,
2024 | | |
Year Ended
September 30,
2023 | |
| Common shares outstanding - beginning of period | |
| 44,743,181 | | |
| 35,468,532 | |
| Common Shares issued in connection with the at-the-market offering | |
| 4,980,443 | | |
| 7,247,127 | |
| Common Shares issued in connection with a registered direct placement | |
| 3,546,854 | | |
| – | |
| Common Shares issued in connection with conversion from 6.00% Series 2029 Convertible Preferred Shares | |
| 1,446,179 | | |
| 1,579,188 | |
| Common shares issued as reinvestment of dividends | |
| 360,422 | | |
| 448,334 | |
| Common shares outstanding - end of period | |
| 55,077,079 | | |
| 44,743,181 | |
| | |
6.50% Series 2026
Term Preferred Shares | |
| | |
Six Months
Ended
March 31,
2024 | | |
Year Ended
September 30,
2023 | |
| Preferred Shares outstanding - beginning of period | |
| 1,596,000 | | |
| 1,596,000 | |
| Preferred Shares converted | |
| – | | |
| – | |
| Preferred Shared issued in a privately negotiated direct purchase agreement | |
| – | | |
| – | |
| Preferred Shares outstanding - end of period | |
| 1,596,000 | | |
| 1,596,000 | |
| | |
6.00% Series 2029
Convertible Preferred
Shares | | |
6.95% Series
2029 Convertible
Preferred
Shares | |
| | |
Six Months
Ended
March 31,
2024 | | |
Year Ended
September 30,
2023 | | |
Six Months Ended
March 31,
2024 | |
| Preferred Shares outstanding - beginning of period | |
| 800,000 | | |
| 400,000 | | |
| – | |
| Preferred Shares converted | |
| (400,000 | ) | |
| (400,000 | ) | |
| – | |
| Preferred Shared issued in a privately negotiated direct purchase agreement | |
| – | | |
| 800,000 | | |
| 800,000 | |
| Preferred Shares outstanding - end of period | |
| 400,000 | | |
| 800,000 | | |
| 800,000 | |
XAI Octagon Floating Rate & Alternative Income Trust
NOTES TO FINANCIAL STATEMENTS
March
31, 2024 (Unaudited) (Continued)
The Board of Trustees is authorized to
classify and reclassify any unissued shares into other classes or series of shares and authorize the issuance of shares without obtaining
stockholder approval.
On February 10, 2022, the Trust
entered into a Distribution Agreement (the “Distibution Agreement”) with the Foreside Fund Services, LLC (the
“Distributor”), pursuant to which the Trust may offer and sell up to 18,300,000 Common Shares, from time to time,
through the Distributor, in transactions that are deemed to be “at-the-market” as defined in Rule 415 under the
Securities Act of 1933. The Distribution Agreement superseded all prior agreements and any amendments thereto. The minimum price on
any day at which Common Shares may be sold will not be less than the then current net asset value per Common Share plus any
commissions to be paid to the Distributor. The Trust’s at-the-market program, under the Distribution Agreement, resulted in
shares issued and proceeds generated as follows:
| | |
Six Months
Ended
March 31,
2024 | | |
Year Ended
September 30,
2023 | |
| Common Shares Issued | |
| 4,980,443 | | |
| 7,247,127 | |
| Net Proceeds | |
$ | 34,887,185 | | |
$ | 48,249,625 | |
On June 28, 2022, the Trust entered into
a direct purchase agreement between the Trust and the purchasers listed therein to sell in a privately negotiated transaction up to 1,200,000
6.00% Series 2029 Convertible Preferred Shares at a price $23.25 per share. On June 30, 2022, May 11, 2023 and August 4, 2023, the Trust
issued and sold to the purchasers 400,000, 400,000, and 400,000 6.00% Series 2029 Convertible Preferred Shares, respectively, for total
gross proceeds (before deduction of offering expenses) of $27,900,000.
On November 6, 2023, the Trust entered
into a direct purchase agreement between the Trust and the purchasers listed therein to sell in a privately negotiated transaction up
to 1,200,000 6.95% Series 2029 Convertible Preferred Shares at a price $23.25 per share. On February 15, 2024, the Trust issued and sold
to the purchasers 400,000 6.95% Series 2029 Convertible Preferred Shares, for total gross proceeds (before deduction of offering expenses)
of $9,300,000. On February 28, 2024, the Trust issued and sold to the purchasers an additional 400,000 6.95% Series 2029 Convertible Preferred
Shares, for total gross proceeds (before deduction of offering expenses) of $9,300,000.
The Trust paid $137,295 in offering costs
during the period ended March 31, 2024 relating to the at-the-market program, the direct purchase agreement and the direct placement agreement
offering costs are charged to paid-in capital upon the issuance of shares. For the six months ended March 31, 2024, the Trust deducted
$24,300 of offering costs from paid-in capital. The Statement of Assets and Liabilities as of March 31, 2024 reflect $503,334 of deferred
offering costs outstanding.
NOTE 6 - LEVERAGE
The Trust uses leverage to seek to enhance
total return and income. The Trust may use leverage through (i) the issuance of senior securities representing indebtedness, including
through borrowing from financial institutions or issuance of debt securities, including notes or commercial paper (collectively, “Indebtedness”),
(ii) the issuance of preferred shares and/or (iii) reverse repurchase agreements, securities lending, short sales or derivatives, such
as swaps, futures or forward contracts, that have the effect of leverage (“portfolio leverage”). The Trust currently intends
to use leverage through Indebtedness and may use Indebtedness to the maximum extent permitted under the 1940 Act. Under the 1940 Act,
the Trust may utilize Indebtedness up to 33 1/3% of its Managed Assets (specifically, the Trust may not incur Indebtedness if, immediately
after incurring such Indebtedness, the Trust would have asset coverage (as defined in the 1940 Act) of less than 300% and the preferred
asset coverage shall not be less than 200%).
Credit Facility
The Trust entered into a Credit
Agreement dated October 6, 2017 as amended from time to time (the “Credit Agreement”) with Société
Générale (the “Lender”) that establishes a revolving credit facility (the “Facility”).
Currently, the Trust may borrow up to $225,000,000. The Facility’s maturity date is March 21, 2025, subject to certain
reciprocal termination rights. The Trust pays interest on amounts borrowed based on daily compounded secured overnight financing
rate (“SOFR”) plus 1.525%. Interest charged to the Trust during the year is presented on the Statement of Operations
under Interest expense and amortization of deferred leverage costs. The Trust’s borrowings are secured by eligible securities
held in its portfolio of investments. The Credit Agreement includes usual and customary covenants. Among other things, these
covenants place limitations or restrictions on the Trust’s ability to (i) incur other indebtedness, (ii) change certain
investment policies, or (iii) pledge or create liens upon the assets of the Trust. In addition, the Trust is required to deliver
financial information to the Lender, maintain an asset coverage ratios with respect to its Indebtedness and Preferred Shares as
required by the 1940 Act, meet certain other coverage tests and financial covenants and maintain its registration as a closed-end
management investment company. If the Trust fails to meet such coverage tests and financial covenants, its ability to declare and
pay distributions on common and preferred shares may be restricted. No violations of the credit agreement occurred during the six
months ended March 31, 2024.
For the six months ended March 31, 2024,
the average amount borrowed under the Credit Agreement and the average interest rate for the amount borrowed was $159,403,522 and 6.7848%,
respectively. As of March 31, 2024, the amount of such outstanding borrowings was $169,050,000. The interest rate applicable to the borrowings
at period end was 6.8662%. All securities held as of March 31, 2024 are pledged as collateral for the leverage facility. The maximum amount
borrowed during the period ended was $169,050,000.
6.50% Series 2026 Term Preferred Shares
On March 29, 2021, the Trust issued
1,040,000 shares of 6.50% Series 2026 Term Preferred Shares with a liquidation preference of $25.00 per share plus accrued and
unpaid dividends (whether or not declared). On April 3, 2021, the underwriters partially exercised an overallotment option to
purchase 156,000 6.50% Series 2026 Term Preferred Shares. On September 9, 2021, the Trust issued an additional 400,000 shares of the
6.50% Series 2026 Term Preferred Shares. The 6.50% Series 2026 Term Preferred Shares are listed under the trading symbol XFLTPRA on
the NYSE. The 6.50% Series 2026 Term Preferred Shares are entitled to a dividend at a rate of 6.50% per year, paid quarterly, based
on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The 6.50% Series 2026 Term
Preferred Shares became redeemable at the Trust’s option at the close of business on March 31, 2023, and are subject to
mandatory redemption by the Trust in certain circumstances. On or after September 30, 2026, the Trust may redeem in whole, or from
time to time in part, outstanding 6.50% Series 2026 Term Preferred Shares at a redemption price per share equal to the per share
liquidation preference of $25.00 per share, plus accumulated and unpaid dividends, if any, through the date of redemption. Issuance
costs related to the 6.50% Series 2026 Term Preferred Shares of $1,285,375 are deferred and amortized over the period the 6.50%
Series 2026 Term Preferred Shares are outstanding.
XAI
Octagon Floating Rate & Alternative Income Trust
NOTES
TO FINANCIAL STATEMENTS
March
31, 2024 (Unaudited) (Continued)
6.00% Series 2029 Convertible Preferred Shares
On June 30, 2022, the Trust issued
400,000 shares of 6.00% Series 2029 Convertible Preferred Shares with a liquidation preference of $25.00 per share plus accrued and
unpaid dividends (whether or not declared). As of September 30, 2023, these shares have been converted into Common Shares of the
Trust. On May 11, 2023 and August 4, 2023, the Trust issued 400,000 and 400,000 6.00% Series 2029 Convertible Preferred Shares,
respectively, each with a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared).
The 6.00% Series 2029 Convertible Preferred Shares are entitled to a dividend at a rate of 6.00% per year, paid quarterly, based on
the $25.00 liquidation preference, before the payment of dividends to the holders of common shares. The 6.00% Series 2029
Convertible Preferred Shares are generally not redeemable at the Trust’s option prior to the close of business on June 30,
2024, and are subject to mandatory redemption by the Trust in certain circumstances. On or after June 30, 2029, the Trust may redeem
in whole, or from time to time in part, outstanding 6.00% Series 2029 Convertible Preferred Shares at a redemption price per share
equal to the per share liquidation preference of $25.00 per share, plus accumulated and unpaid dividends, if any, through the date
of redemption. Issuance costs related to the 6.00% Series 2029 Convertible Preferred Shares of $2,100,00 are deferred and amortized
over the period the 6.00% Series 2029 Convertible Preferred Shares are outstanding.
Shareholders of the 6.00% Series 2029
Convertible Preferred Shares may opt to convert the shares at any time on or after the date six months after the date of issuance into
Common Shares of the Trust in an amount equal to the liquidation preference of the 6.00% Series 2029 Convertible Preferred Share plus
an amount equal to all accumulated but unpaid dividends and distributions on the share, divided by the Conversion Price. The “Conversion
Price” is the greater of (i) the market price per Common Share of the Trust, represented by the five-day volume-weighted average
price (“VWAP”) per Common Share ending on the trading day immediately preceding the date of conversion, or (ii) the Trust’s
most recently determined NAV per Common Share immediately prior to the date of conversion. If the Trust fails to fulfill its obligations
to deliver Common Shares upon conversion, the quarterly dividend rate payable on the unfulfilled 6.00% Series 2029 Convertible Preferred
Shares will increase to a fixed annual rate of 8.00% of the liquidation preference until the date the Trust fulfills its conversion obligation.
6.95% Series 2029 Convertible Preferred Shares
On February 14, 2024 and February
28, 2024, the Trust issued 400,000 and 400,000 6.95% Series 2029 Convertible Preferred Shares with a liquidation preference of
$25.00 per share plus accrued and unpaid dividends (whether or not declared). The 6.95% Series 2029 Convertible Preferred Shares are
entitled to a dividend at a rate of 6.95% per year, paid quarterly, based on the $25.00 liquidation preference, before the payment
of dividends to the holders of common shares. The 6.95% Series 2029 Convertible Preferred Shares are generally not redeemable at the
Trust’s option prior to the close of business on June 30, 2024, and are subject to mandatory redemption by the Trust in
certain circumstances. On or after June 30, 2029, the Trust may redeem in whole, or from time to time in part, outstanding 6.95%
Series 2029 Convertible Preferred Shares at a redemption price per share equal to the per share liquidation preference of $25.00 per
share, plus accumulated and unpaid dividends, if any, through the date of redemption. Issuance costs related to the 6.95% Series
2029 Convertible Preferred Shares of $1,400,000 are deferred and amortized over the period the 6.95% Series 2029 Convertible
Preferred Shares are outstanding.
Shareholders of the 6.95% Series 2029
Convertible Preferred Shares may opt to convert the shares at any time on or after the date six months after the date of issuance into
Common Shares of the Trust in an amount equal to the liquidation preference of the 6.95% Series 2029 Convertible Preferred Share plus
an amount equal to all accumulated but unpaid dividends and distributions on the share, divided by the Conversion Price. The “Conversion
Price” is the greater of (i) the market price per Common Share of the Trust, represented by the five-day volume-weighted average
price (“VWAP”) per Common Share ending on the trading day immediately preceding the date of conversion, or (ii) the Trust’s
most recently determined NAV per Common Share immediately prior to the date of conversion. If the Trust fails to fulfill its obligations
to deliver Common Shares upon conversion, the quarterly dividend rate payable on the unfulfilled 6.95% Series 2029 Convertible Preferred
Shares will increase to a fixed annual rate of 8.95% of the liquidation preference until the date the Trust fulfills its conversion obligation.
NOTE
7 - PORTFOLIO INFORMATION
Purchase and Sale of Securities
– For the six months ended March 31, 2024, the cost of purchases and proceeds from sales of securities, excluding short-term obligations
were as follows:
| Cost of Investments Purchased | |
$ | 228,712,701 | |
| Proceeds from Investments Sold | |
$ | 104,494,277 | |
NOTE 8 - UNFUNDED
COMMITMENTS
The Trust may enter into certain credit
agreements, all or a portion of which may be unfunded. The Trust is obligated to fund these loan commitments at the borrowers’ discretion.
At March 31, 2024, the Trust had unfunded commitments with the following securities:
| The Action Environmental Group, Inc., Delayed Draw Commitment | |
$ | 92,108 | |
| Aramsco Parent, Inc., Initial Delayed Draw Term Commitment | |
| 121,245 | |
| AI Aqua Merger Sub, Inc., 2023 Incremental Term B | |
| 97,705 | |
| Groundworks, LLC, Delayed Draw TL | |
| 275,697 | |
| Ryan, LLC, Delayed Draw | |
| 160,277 | |
| | |
$ | 747,032 | |
At the time the Trust entered into each
unfunded commitment, the Trust reasonably believed it would have sufficient cash and cash equivalents to meet its obligations with respect
to such unfunded commitment.
XAI Octagon Floating Rate & Alternative Income Trust
NOTES TO FINANCIAL STATEMENTS
March
31, 2024 (Unaudited) (Continued)
NOTE
9 - TAXES
Classification of Distributions
– Because U.S. federal income tax regulations differ from U.S. GAAP, net investment income and net realized gains may differ for
financial statement and tax purposes. The “tax return of capital” referenced in the Trust’s Statement of Changes in
Net Assets and Financial Highlights is based on the characterization under tax regulations. Temporary differences arise when certain
items of income, expense, gain or loss are recognized at some time in the future. For the Trust, these differences are due to temporary
book/tax differences arising primarily from the income recognition deferral for distributions received from certain CLO equity positions
that qualify as passive foreign investment companies. Also, due to the timing of dividend distributions, the fiscal year in which the
amounts are distributed for tax purposes may differ from the fiscal year in which the income or realized gain was recorded by the Trust.
The tax character of distributions paid by the Trust during the year
ended September 30, 2023, was as follows:
| Distributions Paid From: | |
| | |
| Ordinary Income - Common Shareholders | |
$ | 35,144,908 | |
| Ordinary Income - Preferred Shareholders | |
| 3,002,666 | |
| Total | |
$ | 38,147,574 | |
Tax Basis of Investments – Net unrealized appreciation/(depreciation)
of investments based on federal tax cost as of March 31, 2024, was as follows:
| Cost of investments for income tax purposes | |
$ | 529,138,683 | |
| Gross appreciation (excess of value over tax cost) | |
$ | 36,602,774 | |
| Gross depreciation (excess of tax cost over value) | |
| (45,216,603 | ) |
| Net unrealized appreciation/depreciation | |
$ | (8,613,829 | ) |
Federal Income Tax Status – For federal income tax
purposes, the Trust currently qualifies, and intends to continue to qualify, as a regulated investment company under the provisions
of Subchapter M of the Internal Revenue Code of 1986, as amended, by distributing substantially all of its investment company
taxable net income and realized gain, not offset by capital loss carryforwards, if any, to its shareholders. No provision for
federal income taxes has been made.
As of and during the six months ended
March 31, 2024, the Trust did not have a liability for any unrecognized tax benefits. The Trust files U.S. federal, state, and local tax
returns as required. The Trust’s tax returns are subject to examination by the relevant tax authorities until expiration of the
applicable statute of limitations which is generally three years after the filing of the tax return.
As a registered investment company,
the Trust is subject to a 4% excise tax that is imposed if the Trust does not distribute by the end of any calendar year at least
the sum of (i) 98% of its ordinary income (not taking into account any capital gain or loss) for the calendar year and (ii) 98.2% of
its capital gain in excess of its capital loss (adjusted for certain ordinary losses) for a one-year period generally ending on
October 31 of the calendar year. In certain circumstances, the Trust may elect to retain income or capital gain to the extent that
the Board of Trustees, in consultation with Trust management, determines it to be in the interest of shareholders to do so.
Alternatively, the Trust may have to dispose of portfolio securities to make a distribution at a time when independent investment
judgment might not dictate such disposition.
Depending on the level of taxable income
earned in a tax year, the Trust may choose to carry forward such taxable income in excess of current year dividend distributions from
such current year taxable income into the next tax year and pay a 4% excise tax on such income, as required. To the extent that the Trust
determines that its estimated current year taxable income will be in excess of estimated dividend distributions for the current year from
such income, the Trust accrues excise tax, if any, on estimated excess taxable income as such taxable income is earned.
XAI Octagon Floating Rate & Alternative Income Trust
NOTES TO FINANCIAL STATEMENTS
March
31, 2024 (Unaudited) (Continued)
NOTE 10 - PREFERRED STOCK AND SENIOR SECURITIES
The following table sets forth information about the Trust’s
outstanding senior securities as of the end of each fiscal year since its inception:
| Fiscal Period Ended | | Title of Security | | Total
Principal
Amount
Outstanding | | | Aggregate
Liquidation
Preference | | | Liquidation
Preference
Per Share | | | Asset
Coverage(a)(b) | |
| March 31, 2024 | | Borrowings | | $ | 169,050,000 | | | $ | – | | | $ | – | | | | 3,260 | |
| – | | Preferred Shares | | | 69,900,000 | | | | – | | | | – | | | | 205 | |
| – | | 6.50% Series 2026 Term Preferred Shares | | | | | | | 39,900,000 | | | | 25.00 | | | | | |
| – | | 6.00% Series 2029 Convertible Preferred Shares | | | | | | | 10,000,000 | | | | 25.00 | | | | | |
| | | 6.95% Series 2029 Convertible Preferred Shares | | | | | | | 20,000,000 | | | | 25.00 | | | | | |
| September 30, 2023 | | Borrowings | | | 150,350,000 | | | | – | | | | – | | | | 2,984 | |
| – | | Preferred Shares | | | 59,900,000 | | | | – | | | | – | | | | 147 | |
| – | | 6.50% Series 2026 Term Preferred Shares | | | | | | | 39,900,000 | | | | 25.00 | | | | | |
| – | | 6.00% Series 2029 Convertible Preferred Shares | | | | | | | 20,000,000 | | | | 25.00 | | | | | |
| September 30, 2022 | | Borrowings | | | 113,150,000 | | | | – | | | | – | | | | 3,004 | |
| – | | Preferred Shares | | | 49,900,000 | | | | – | | | | – | | | | 139 | |
| – | | 6.50% Series 2026 Term Preferred Shares | | | | | | | 39,900,000 | | | | 25.00 | | | | | |
| – | | 6.00% Series 2029 Convertible Preferred Shares | | | | | | | 10,000,000 | | | | 25.00 | | | | | |
| September 30, 2021 | | Borrowings | | | 98,150,000 | | | | – | | | | – | | | | 3,227 | |
| | | Preferred Shares | | | 39,900,000 | | | | – | | | | – | | | | 162 | |
| – | | 6.50% Series 2026 Term Preferred Shares | | | | | | | 39,900,000 | | | | 25.00 | | | | | |
| September 30, 2020 | | Borrowings | | | 35,650,000 | | | | – | | | | – | | | | 3,384 | |
| September 30, 2019 | | Borrowings | | | 38,965,000 | | | | – | | | | – | | | | 3,020 | |
| September 30, 2018 | | Borrowings | | | 38,865,000 | | | | – | | | | – | | | | 3,041 | |
NOTE 11 - SUBSEQUENT EVENTS
On March 1, 2024, the Trust declared a distribution
of $0.085 per Common Share, which was paid on April 1, 2024 to Common Shareholders of record on March 15, 2024.
On April 1, 2024, the Trust declared a distribution
of $0.085 per Common Share, which was paid on May 1, 2024 to Common Shareholders of record on April 15, 2024. The Trust declared a quarterly
dividend of $0.40625 per Series 2026 Term Preferred Share, $0.375 per 6.00% Series 2029 Convertible Preferred Share and $0.2590 per 6.95%
Series 2029 Convertible Preferred Share, which were paid on April 30, 2024 to preferred shareholders of record on April 15, 2024.
On April 3, 2024, the Sub-Adviser’s parent
company, Conning Holdings Limited, was acquired by Generali Investment Holdings, an entity comprising the majority of asset management
activities of Generali Group (the “Transaction”). Upon the closing of the Transaction, the previous investment sub-advisory
agreement (the “Previous Sub-Advisory Agreement”) among the Fund, the Adviser and the Sub-Adviser was terminated pursuant
to its terms. At such time, the Fund entered into a new Investment Sub-Advisory Agreement (the “Post-Acquisition Sub-Advisory Agreement”)
among the Fund, the Adviser and Sub-Adviser, dated as of April 3, 2024. Under the Post-Acquisition Sub-Advisory Agreement, the Sub-Adviser
continues to provide investment advisory services to the Trust under the terms that are substantially similar in all respects to those
of the Previous Sub-Advisory Agreement and for the same fees that were previously in effect.
On April 4, 2024, the Trust issued 400,000 shares
of 6.95% Series 2029 Convertible Preferred Shares with a liquidation preference of $25.00 per share plus accrued and unpaid dividends
(whether or not declared). The Series 6.95% 2029 Convertible Preferred Shares are entitled to a dividend at a rate of 6.00% per year,
paid quarterly, based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends.
On May 1, 2024, the Trust declared a distribution of $0.085 per Common
Share, payable on June 3, 2024 to Common Shareholders of record on May 16, 2024.
XAI Octagon Floating Rate & Alternative Income Trust
DIVIDEND REINVESTMENT PLAN
March
31, 2024 (Unaudited)
Under the Trust’s Dividend Reinvestment
Plan (the “Plan”), a Common Shareholder whose Common Shares are registered in his or her own name will have all distributions
reinvested automatically by Equiniti Trust Company, LLC, which is agent under the Plan (the “Plan Agent”), unless the Common
Shareholder elects to receive cash.
Distributions with respect to Common Shares registered
in the name of a broker-dealer or other nominee (that is, in “street name”) will be reinvested in additional Common Shares
under the Plan, unless the broker or nominee does not participate in the Plan or the Common Shareholder elects to receive distributions
in cash. Investors who own Common Shares registered in street name should consult their broker-dealers for details regarding reinvestment.
All distributions to investors who do not participate in the Plan will be paid by check mailed directly to the record holder by Equiniti
Trust Company, LLC, as dividend disbursing agent. A participant in the Plan who wishes to opt out of the Plan and elect to receive distributions
in cash should contact Equiniti Trust Company, LLC in writing at the address specified below or by calling the telephone number specified
below.
Under the Plan, whenever the market price of the
Common Shares is equal to or exceeds NAV at the time Common Shares are valued for purposes of determining the number of Common Shares
equivalent to the cash dividend or capital gains distribution, participants in the Plan are issued new Common Shares from the Trust, valued
at the greater of (i) the NAV as most recently determined or (ii) 95% of the then-current market price of the Common Shares. The valuation
date is the dividend or distribution payment date or, if that date is not a NYSE trading day, the next preceding trading day. If the NAV
of the Common Shares at the time of valuation exceeds the market price of the Common Shares, the Plan Agent will buy the Common Shares
for the Plan in the open market, on the NYSE or elsewhere, for the participants’ accounts, except that the Plan Agent will endeavor
to terminate purchases in the open market and cause the Trust to issue Common Shares at the greater of NAV or 95% of market value if,
following the commencement of such purchases, the market value of the Common Shares exceeds net NAV. If the Trust should declare a distribution
or capital gains distribution payable only in cash, the Plan Agent will buy the Common Shares for the Plan in the open market, on the
NYSE or elsewhere, for the participants’ accounts. There is no charge from the Trust for reinvestment of dividends or distributions
in Common Shares pursuant to the Plan and no brokerage charges will be incurred with respect to Common Shares issued directly by the Trust
pursuant to the Plan; however, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it
makes open-market purchases.
The Plan Agent maintains all shareholder accounts
in the Plan and furnishes written confirmations of all transactions in the account, including information needed by shareholders for personal
and tax records. Common Shares in the account of each Plan participant will be held by the Plan Agent in non-certificated form in the
name of the participant.
In the case of shareholders such as banks, brokers
or nominees, which hold Common Shares for others who are the beneficial owners, and participate in the Plan, the Plan Agent will administer
the Plan on the basis of the number of Common Shares certified from time to time by the Common Shareholder as representing the total amount
registered in the shareholder’s name and held for the account of beneficial owners who participate in the Plan.
Participants that request a sale of shares through the Plan Agent will
incur brokerage charges in connection with such sales.
The automatic reinvestment of dividends and other
distributions will not relieve participants of any income tax that may be payable or required to be withheld on such dividends or distributions.
Experience under the Plan may indicate that changes
are desirable. Accordingly, the Trust reserves the right to amend or terminate its Plan as applied to any voluntary cash payments made
and any dividend or distribution paid subsequent to written notice of the change sent to the members of such Plan at least 90 days before
the record date for such dividend or distribution. The Plan also may be amended or terminated by the Plan Agent on at least 90 days’
prior written notice to the participants in such Plan. All correspondence concerning the Plan should be directed to the Plan Agent, at
XAI Octagon Floating Rate & Alternative Income Trust, c/o Equiniti Trust Company, LLC 6201 15th Ave., Brooklyn, New York 11219.
XAI Octagon Floating Rate & Alternative Income Trust
ADDITIONAL INFORMATION
March
31, 2024 (Unaudited)
PROXY VOTING
You may obtain (i) Information on how the Trust
voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 and (ii) a description of the
policies and procedures that the Trust used to determine how to vote proxies relating to portfolio securities, without charge, upon request,
by calling (888) 903-3358. This information is also available on the SEC’s website at www.sec.gov.
NOTICE TO SHAREHOLDERS REGARDING PURCHASES OF COMMON SHARES
Notice is hereby given in accordance with Section
23(c) of the 1940 Act, that the Trust from time to time may purchase its Common Shares in the open market or in private transactions.
TRUST CERTIFICATIONS
The Trust’s Chief Executive Officer (“CEO”)
has submitted to the NYSE the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. The Trust
has filed with the SEC the certification of its CEO and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.
DELAWARE STATUTORY TRUST ACT – CONTROL SHARE ACQUISITIONS
Because the Trust is organized as a Delaware statutory
trust, it is subject to the control share acquisition statute (the “Control Share Statute”) contained in Subchapter III of
the Delaware Statutory Trust Act (the “DSTA”), which became automatically applicable to listed closed-end funds, such as the
Trust, upon its effective date of August 1, 2022 (the “Effective Date”).
The Control Share Statute provides for a series of voting power thresholds
above which shares are considered control shares. These thresholds are:
| • | 10% or more, but less than 15% of all voting power; |
| • | 15% or more, but less than 20% of all voting power; |
| • | 20% or more, but less than 25% of all voting power; |
| • | 25% or more, but less than 30% of all voting power; |
| • | 30% or more, but less than a majority of all voting power;
or |
| • | A majority of all voting power. |
Voting power is defined by the Control Share Statute
as the power to directly or indirectly exercise or direct the exercise of the voting power of Trust shares in the election of trustees.
Whether a voting power threshold is met is determined by aggregating the holdings of the acquirer as well as those of its “associates,”
as defined by the Control Share Statute.
Once a threshold is reached, an acquirer has no
voting rights under the DSTA or the governing documents of the Trust with by the Board of Trustees. Approval by shareholders requires
the affirmative vote of two-thirds of all votes entitled to be cast on the matter, excluding shares held by the acquirer and its associates
as well as shares held by certain insiders of the Trust. The Control Share Statute provides procedures for an acquirer to request a shareholder
meeting for the purpose of considering whether voting rights shall be accorded to control shares. Further approval by the Trust’s
shareholders would be required with respect to additional acquisitions of control shares above the next applicable threshold level.
The Control Share Statute effectively allows non-interested shareholders
to evaluate the intentions and plans of an acquiring person above each threshold level.
Alternatively, the Board of Trustees is permitted,
but not obligated, to exempt specific acquisitions or classes of acquisitions of control shares, either in advance or retroactively. As
of the date hereof, the Board of Trustees of the Trust has not exempted, and has no present intention to exempt, any acquisition of class
of acquisitions.
The Control Share Statute does not retroactively
apply to acquisitions of shares that occurred prior to the Effective Date. However, such shares will be aggregated with any shares acquired
after the Effective Date for purposes of determining whether a voting power threshold is exceeded, resulting in the newly acquired shares
constituting control shares.
The Control Share Statute requires shareholders
to disclose to the Trust any control share acquisition within 10 days of such acquisition and, upon request, to provide any information
that the Board of Trustees reasonably believes is necessary or desirable to determine whether a control share acquisition has occurred.
Some uncertainty around the general application
under the 1940 Act of state control share statutes exists as a result of recent federal and state court decisions that have found that
certain control share by-laws adopted by certain closed-end funds and the opting in by certain closed-end funds to state control share
statutes violated the 1940 Act. Additionally, in some circumstances uncertainty may also exist in how to enforce the control share restrictions
contained in state control share statutes against beneficial owners who hold their shares through financial intermediaries. The Board
of Trustees has considered the Control Share Statute and the uncertainty around the general application under the 1940 Act of the state
control share statutes and enforcement of state control share statues. The Board of Trustees intends to continue to monitor developments
relating to the Control Share Statute and the state control share statutes generally.
The foregoing is only a summary of certain aspects
of the Control Share Statute. Shareholders should consult their own legal counsel to determine the application of the Control Share Statute
with respect to their shares of the Trust and any subsequent acquisitions of shares.
QUARTERLY SCHEDULE OF PORTFOLIO INVESTMENTS INFORMATION
The Trust is required to file its complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. You
may obtain this information on the SEC’s website at http://www.sec.gov.
XAI Octagon Floating Rate & Alternative Income Trust
ADDITIONAL INFORMATION
March
31, 2024 (Continued) (Unaudited)
AVAILABILITY OF TRUST UPDATES
The Trust regularly updates performance and certain
other data and publishes press releases and other material information as necessary from time to time on its website at www.xainvestments.com/XFLT.
Investors and others are advised to check the website for updated performance information and the release of other material information
about the Trust. References herein to the Trust’s website are intended to allow investors public access to information regarding
the Trust and do not, and are not intended to, incorporate the Trust’s website in this report.
PRIVACY PRINCIPLES OF THE TRUST
The Trust is committed to maintaining the privacy
of its shareholders and to safeguarding their non-public personal information. The following information is provided to help you understand
what personal information the Trust collects, how the Trust protects that information and why, in certain cases, the Trust may share information
with select other parties.
Generally, the Trust does not receive any non-public
personal information relating to its shareholders, although certain non-public personal information of its shareholders may become available
to the Trust. The Trust does not disclose any non-public personal information about its shareholders or former shareholders to anyone
except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third-party
administrator).
The Trust restricts access to non-public personal
information about its shareholders to employees of the Adviser and its delegates and affiliates with a legitimate business need for the
information. The Trust maintains physical, electronic and procedural safeguards designed to protect the non-public personal information
of its shareholders.
TRANSFER AGENT, CUSTODIAN, ADMINISTRATOR AND PINE ADVISORS
Equiniti Trust Company, LLC, 6201 15th Ave., Brooklyn,
New York 11219, serves as the Trust’s dividend disbursing agent, agent under the Trust’s Plan, transfer agent and registrar
with respect to the Trust’s Common Shares.
U.S. Bank N.A., 1555 N. River Center Drive, Milwaukee,
Wisconsin 53212, serves as the Trust’s custodian. Under the custody agreement, the custodian is required to hold the Trust’s
assets in compliance with the 1940 Act. For its services, the custodian receives a monthly fee based upon, among other things, the average
value of the total assets of the Trust, plus certain charges for securities transactions.
Paralel Technologies LLC (“Paralel”)
serves as the administrator of the Trust. Pursuant to an administration and fund accounting agreement, the administrator provides certain
administrative services to the Trust. The Trust pays to Paralel a monthly fee equal to the greater of an annual minimum fee or a fee equal
to a percentage of the Trust’s net assets, which percentage is subject to breakpoints at increasing levels of net assets, and reimburses
Paralel for certain out-of-pocket expenses. Paralel is located at 1700 Broadway, Suite 1850, Denver, Colorado 80290.
The Trust has entered into a Services Agreement
(the “Services Agreement”) with PINE Advisors, LLC (“PINE”), pursuant to which PINE provides Chief Financial Officer
and Chief Compliance Officer services to the Trust, and qualified employees of PINE serve as Chief Financial Officer and Treasurer of
the Trust and Chief Compliance Officer of the Trust. Notwithstanding the Services Agreement, the designations of the Chief Financial Officer
and Treasurer of the Trust and the Chief Compliance Officer of the Trust must be approved by the Board of Trustees, including, in the
case of the Chief Compliance Officer, a majority of the Trustees who are not “interested persons” (as defined in the 1940
Act) of the Trust. Pursuant to the Services Agreement, the Trust pays PINE an annual fee, payable monthly, and reimburses certain out-of-pocket
expenses. PINE’s principal business address is 501 S. Cherry Street, Suite 610, Denver, Colorado 80246.
LEGAL COUNSEL
Skadden, Arps, Slate, Meagher & Flom LLP, 155 North Wacker Drive,
Chicago, Illinois 60606, serves as the Trust’s legal counsel.
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Cohen & Company Ltd., 1350 Euclid Ave., Suite
800, Cleveland, OH 44115, is the Trust’s independent registered public accounting firm. Cohen & Company is expected to render
an opinion annually on the financial statements and financial highlights of the Trust.
UNRESOLVED SEC STAFF COMMENTS
None.
XAI Octagon Floating Rate & Alternative Income Trust
APPROVAL OF ADVISORY AGREEMENTS
March
31, 2024 (Unaudited)
BOARD CONSIDERATION OF INVESTMENT SUB-ADVISORY AGREEMENTS
At a meeting of the Board of Trustees (the “Board”),
held on October 24, 2024, the Board noted that Octagon Credit Investors, LLC’s (the “Sub-Adviser”) direct parent company,
Conning Holdings Limited (together with Conning & Company, “Conning”), recently announced that it will be acquired by
Generali Investment Holdings (“GIH”), an entity comprising the majority of asset management activities of Generali Group (“Generali”).
As part of the transaction, Conning’s parent company, Cathay Financial Holding Co., Ltd., a subsidiary of Cathay Life Insurance
Co. Ltd. (together, “Cathay”) will enter into a partnership with Generali by contributing its ownership of Conning and its
affiliates (including Octagon) in exchange for 16.75% ownership of GIH (the “Transaction”). The Board noted that the Trust’s
current sub-advisory agreement with the Sub-Adviser (the “Current Sub-Advisory Agreement”) would terminate automatically upon
consummation of the Transaction.
The Board, including those Trustees who are not
“interested persons” as defined by the 1940 Act (the “Independent Trustees”), evaluated the terms of the proposed
post-closing of the Transaction investment management agreement among the Fund, XA Investments LLC and Octagon Credit Investors, LLC (the
“Post-Closing Sub-Advisory Agreement”), and an interim investment management agreement among the Fund, XA Investments LLC
and Octagon Credit Investors, LLC (the “Interim Sub-Advisory Agreement” and together with the Post-Closing Sub-Advisory Agreement,
the “Agreements”) and reviewed the duties and responsibilities of the Trustees in evaluating and approving the Agreements.
In considering whether to approve the
Agreements, the Board, including the Independent Trustees, reviewed the materials provided by the Sub-Adviser and other information
from counsel and from the Sub-Adviser, including: (i) copies of the Agreements; (ii) information describing the nature, quality and
extent of the services that the Sub-Adviser provides to the Trust and the fees the Sub-Adviser receives for such services; (iii) the
experience and qualifications of the personnel providing such services; (iv) information concerning the Sub-Adviser’s
financial condition, business, operations, portfolio management personnel and compliance program;
(v) information describing the Trust’s advisory fees and operating expenses; and (vi)
a memorandum from counsel on the responsibilities of trustees in considering investment advisory arrangements under the Investment
Company Act of 1940.
The Board considered that, as part of the Board’s
2023 annual contract review process held in August 2023 (the “2023 Contract Review”), the Independent Trustees had requested
and received extensive information and presentations that supported the Board’s decision to renew the Current Sub-Advisory Agreement,
and that the terms of the Agreements and the Current Sub-Advisory Agreement were identical. The Board also considered presentations made
by, and discussions held with, representatives of the Adviser and Sub-Adviser. The Independent Trustees further considered and discussed
the information provided in executive session with their counsel outside the presence of management. The Board determined that the responses
provided by the Adviser and Sub-Adviser were sufficiently responsive to permit it to evaluate the Agreements.
During its review, the Board focused on and analyzed
the factors that the Board deemed relevant, including: the nature, extent and quality of the services provided to the Fund by the Adviser
and Sub-Adviser; continuity of portfolio management; continuity in investment objective, strategies and principal risks; the Sub-Adviser’s
history of managing the Trust’s portfolio; the investment performance of the Trust and the Adviser and Sub-Adviser; the financial
condition of the Sub-Adviser; the terms of the Agreements; the profitability to the Sub-Adviser under the Agreements; any “fall-out”
benefits to the Sub-Adviser; the effect of asset growth on the Trust’s expenses; and the effect of any costs or expenses of the
Transaction on the Trust. Each member of the Board may have placed different weight on different factors, and no single factor was determinative
to the decision of the Board.
| i. | The nature, extent, and quality of the services provided by the Sub-Adviser. In this regard, the
Board reviewed the services being provided by the Sub-Adviser to the Trust including, without limitation, the nature and quality of the
investment advisory services provided to the Trust. Additionally, the Sub-Adviser confirmed for the Board that following the Transaction
there will not be any diminution in the nature, quality and extent of services provided to the Trust. After reviewing the foregoing information
and further information in the questionnaire the Board concluded that the quality, extent, and nature of the services provided by the
Sub-Adviser are satisfactory and adequate for the Trust. |
| ii. | Continuity of portfolio management; continuity in investment objective, strategies and principal risks; portfolio management history.
In this regard, the Board noted the Agreements would allow continuity of investment
objective and strategies. The Board noted that the principal risks of the Trust would not be changed by approval of the Agreements. Of
note to the Board, the Sub-Adviser has managed the Trust’s portfolio since the Trust’s inception. After reviewing the foregoing,
the Board concluded that continuity of the services provided by the Sub-Adviser would likely be beneficial to the Trust. |
| iii. | Investment performance of the Fund and the Sub-Adviser. In this regard, the Board took into account
its review of the Trust’s investment performance, its benchmark index and a peer group of funds over various periods of time, in
connection with the Contract Review and its conclusion that the Trust’s performance supported renewal of the Current Sub-Advisory
Agreement. After consideration of the foregoing, the Board concluded that the investment performance of the Trust and the Sub-Adviser
was consistent with the Trust’s investment objective and policies and therefore satisfactory. |
| iv. | The costs of the services provided and profits realized by the Sub-Adviser and its affiliates from the
relationship with the Trust. In this regard, the Board took into account its consideration, in connection with the Contract Review
and its conclusion to renew the Current Sub-Advisory Agreement, of the total expense ratio of the Trust and the management fees paid to
the Sub-Adviser, including its consideration of these fees as compared to fees paid by funds in the Trust’s peer group, possible
economies of scale achieved by peer group funds and the impact of expense limitation agreements, the quality and experience of the Sub-Adviser’s
personnel, the Sub-Adviser’s business philosophies and methods of operation; the Sub-Adviser’s compliance policies and procedures;
the financial condition of the Sub-Adviser; the level of commitment to the Trust by Sub-Adviser and its principals; the asset levels of
the Trust and the overall expenses of the Trust. |
The Board also considered the sub-advisory
fee payable to the Sub-Adviser under each of the Post-Closing Sub-Advisory Agreement and Interim Sub-Advisory Agreement will be the same
as the sub-advisory fee paid to the Sub-Adviser under the Current Sub-Advisory Agreement—which the Board previously determined to
be reasonable as part of the Contract Review.
| v. | The financial strength of Generali. The Board considered information provided by the Sub-Adviser
regarding Generali’s financial condition, including its representations concerning its ongoing viability as a business enterprise
and available resources. |
XAI Octagon Floating Rate & Alternative Income Trust
APPROVAL OF ADVISORY AGREEMENTS
March
31, 2024 (Continued) (Unaudited)
| vi. | Terms of the Agreements. The Board considered the acceptability of the terms of the Post-Closing
Sub-Advisory Agreement and Interim Sub-Advisory Agreement. There are no material differences between the terms of each of the Post-Closing
Sub-Advisory Agreement and the Interim Sub-Advisory Agreement and the terms of the Current Sub-Advisory Agreement. |
| vii. | The extent to which economies of scale would be realized as the Trust grows. The Board considered,
in connection with the Contract Review and its conclusion to renew the Current Sub-Advisory Agreement, whether economies of scale could
be achieved as the Trust grows and whether the Sub-Adviser’s fee reflects these economies of scale in a manner that is fair and
reasonable and beneficial for the Trust’s investors. Following discussion of the Trust’s asset levels, expectations for growth
and level of fees, the Board determined that the Sub-Adviser’s fee was fair and reasonable when considering the Trust’s asset
levels and economies of scale. |
| viii. | Costs and expenses of the Transaction. The Board considered that Shareholders
of the Trust will not bear any costs in connection with the Transaction, inasmuch as the Sub-Adviser will bear the costs, fees and expenses
incurred by the Trust in connection with the proxy statement and any other costs of the Trust associated with the Transaction |
Conclusion
Based on the foregoing and such other matters
as were deemed relevant, the Board concluded in its reasonable business judgment that the sub-advisory fees to be fair and reasonable
in light of the services provided by the Sub-Adviser and in light of such other matters as the Board has considered relevant. As a result,
the Board, and the Independent Trustees voting separately, concluded that the approval of the Post-Closing Sub-Advisory Agreement and
Interim Sub-Advisory Agreement was in the best interests of the Trust and approved the Post-Closing Sub-Advisory Agreement and Interim
Sub-Advisory Agreement. No single factor was determinative to the decision of the Board.
(b)
Not applicable.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (a) | The Schedule of Investments is included as part of the Semi-Annual Report to Shareholders filed under
Item 1(a) of this report. |
Item 7. Disclosure of Proxy Voting Policies
and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Item 9. Purchases of Equity Securities by Closed-End
Management Investment Company and Affiliated Purchasers.
None.
Item
10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures
by which shareholders may recommend nominees to the Board of Directors of the Registrant.
Item
11. Controls and Procedures.
| (a) | The Registrant’s principal executive officer and principal financial officer have concluded that
the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended)
are effective based on an evaluation of the Registrant’s controls and procedures as of a date within 90 days of the filing date
of this document. |
| (b) | There was no change in the registrant's internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End
Management Investment Companies.
Not applicable.
Item 13. Exhibits.
| (a)(1) | Not applicable to semi-annual report. |
SIGNATURES
Pursuant to the requirements of the Securities
Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by
the undersigned, thereunto duly authorized.
XAI OCTAGON FLOATING RATE & ALTERNATIVE INCOME TRUST
| By: |
(Signature and Title) |
/s/ Theodore J. Brombach |
| |
|
Theodore J. Brombach |
| Date: |
May 29, 2024 |
President and Chief Executive Officer |
| |
|
(Principal Executive Officer) |
Pursuant to the requirements of the Securities
Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
| By: |
(Signature and Title) |
/s/ Theodore J. Brombach |
| |
|
Theodore J. Brombach |
| Date: |
May 29, 2024 |
President and Chief Executive Officer |
| |
|
(Principal Executive Officer) |
| By: |
(Signature and Title) |
/s/ Derek J. Mullins |
| |
|
Derek J. Mullins |
| Date: |
May 29, 2024 |
Treasurer and Chief Financial Officer |
| |
|
(Principal Financial Officer) |
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I, Theodore J. Brombach, certify that:
I, Derek J. Mullins, certify that:
This certification is furnished pursuant to Section
906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the for the period ended
March 31, 2024 of XAI Octagon Floating Rate & Alternative Income Trust (the “Company”).
I, Theodore J. Brombach, the President and Principal
Executive Officer of the Company, certify that:
This certification is furnished pursuant to Section
906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the for the period ended
March 31, 2024 (the “Period”) of XAI Octagon Floating Rate & Alternative Income Trust (the “Company”).
I, Derek J. Mullins, the Treasurer and Principal
Financial Officer of the Company, certify that:
A signed original of this written statement required
by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to the XAI Octagon Floating Rate & Alternative Income Trust and
will be retained by the XAI Octagon Floating Rate & Alternative Income Trust and furnished to the Securities and Exchange Commission
(the “Commission”) or its staff upon request.
This certification is being furnished to the Commission
solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission.