Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)
29 Novembre 2024 - 8:34PM
Edgar (US Regulatory)
INVESTMENT PORTFOLIO (unaudited)
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| As of September 30, 2024 |
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Highland Opportunities and Income Fund |
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| Shares |
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Value ($) |
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Common Stocks — 69.6% |
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COMMUNICATION SERVICES — 1.3% |
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27,134 |
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MidWave Wireless, Inc. (fka Terrestar Corp.)(a)(b)(c)(d) |
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8,633,225 |
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194,300 |
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Telesat(d)(e) |
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2,558,931 |
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11,192,156 |
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ENERGY — 1.2% |
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1,010,612 |
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Talos Energy, Inc.(d) |
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10,459,834 |
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1,118,286 |
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Value Creation, Inc.(a)(b)(d) |
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51,675 |
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10,511,509 |
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FINANCIALS — 1.5% |
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522,750 |
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Meaningful PDCV LP(d) |
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13,068,740 |
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HEALTHCARE — 3.9% |
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12,026,660 |
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CCS Medical Inc.(a)(b)(d)(f) |
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32,760,622 |
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MATERIALS — 0.2% |
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299,032 |
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MPM Holdings, Inc.(d) |
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1,495,160 |
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REAL ESTATE — 61.5% |
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3,115,207 |
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Allenby(a)(b)(d)(f) |
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— |
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10,934,408 |
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Claymore(a)(b)(d)(f) |
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— |
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68,830 |
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Haygood(d)(f) |
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— |
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2,006,665 |
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IQHQ, Inc.(d) |
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45,250,296 |
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34,512 |
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LLV Holdco LLC - Series A, Membership Interest(a)(b)(d)(f) |
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4,014,081 |
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436 |
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LLV Holdco LLC - Series B, Membership Interest(a)(b)(d)(f) |
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50,670 |
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1,384,722 |
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NexPoint Diversified Real Estate Trust, REIT(e)(f) |
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8,654,512 |
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4,372,286 |
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NexPoint Real Estate Finance, Inc., REIT(e)(f) |
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68,338,827 |
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200,052 |
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NexPoint Residential Trust, Inc., REIT(e)(f) |
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8,804,288 |
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32,203 |
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NexPoint Storage Partners, Inc.(d)(f) |
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25,076,601 |
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113,027,459 |
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NFRO Diversified REIT, LLC(a)(b)(d)(f) |
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102,558,969 |
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2,276,658 |
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NFRO Holdings, LLC(d)(f) |
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62,931,261 |
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90,436,434 |
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NFRO Self Storage REIT, LLC(d)(f) |
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79,302,715 |
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4,904,765 |
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NFRO SFR REIT, LLC(d)(f) |
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114,981,278 |
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519,963,498 |
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Total Common Stocks
(Cost $938,973,990) |
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588,991,685 |
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| Principal Amount ($) |
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U.S. Senior Loans (g) — 26.5% |
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COMMUNICATION SERVICES — 1.3% |
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10,502,870 |
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MidWave Wireless, Inc. (fka Terrestar Corp.), Term Loan D, 1st Lien, 12.000%, 02/27/28 |
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10,483,964 |
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76,146 |
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MidWave Wireless, Inc. (fka Terrestar Corp.), Term Loan H, 1st Lien, 12.000%, 02/28/25 |
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76,009 |
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81,613 |
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MidWave Wireless, Inc. (fka TerreStar Corp.), Term Loan, 1st Lien, 12.000%, 02/28/25
(a)(b) |
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81,467 |
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10,641,440 |
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HEALTHCARE — 5.6% |
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16,215,799 |
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Carestream Health Inc., Term Loan, 1st Lien, 12.935%, 09/30/27 |
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14,898,266 |
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17,823,953 |
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CCS Medical Inc., Junior Credit Term Loan, 1st Lien, 12.000%, 01/04/27 (f) |
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17,747,310 |
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| Principal Amount ($) |
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Value ($) |
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U.S. Senior Loans (continued) |
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HEALTHCARE (continued) |
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150,000 |
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Sapience Therapeutics Inc Promissory Note, 8.000%, |
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15,000,000 |
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47,645,576 |
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REAL ESTATE — 19.6% |
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55,000,000 |
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EDS Legacy Partners, 500%, 12/28/33 (a)(b) |
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55,000,000 |
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6,959,610 |
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LLV Holdco LLC, Revolving Exit Loan, 4.918%, 12/31/24 (a)(b)(f) |
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6,388,922 |
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50,000,000 |
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NexPoint SFR Operating Partnership L.P., 7.500%, 05/24/27 (f) |
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48,500,000 |
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5,000,000 |
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NexPoint SFR Operating Partnership, LP, 7.500%, 06/30/27 (f) |
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4,850,000 |
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6,400,000 |
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NHT Operating Partnership LLC Convertible Promissory Note, 7.500%, 09/30/42 (f) |
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5,052,800 |
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42,889,333 |
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NHT Operating Partnership LLC Promissory Note, 4.205%, 02/14/27 (f) |
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33,861,128 |
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6,500,000 |
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NREF Operating IV REIT Sub, LLC, 7.500%, 10/18/27 (f) |
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6,084,000 |
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5,852,170 |
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NXLST Operating Partnership, LP Promissory Note, 4.200%, 12/31/28 |
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5,852,170 |
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165,589,020 |
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Total U.S. Senior Loans
(Cost $262,022,352) |
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223,876,036 |
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| Shares |
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LLC Interest — 7.5% |
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960 |
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NEXLS LLC(f) |
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55,670,915 |
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9,000,000 |
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SFR WLIF III, LLC(a)(b)(f) |
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8,064,000 |
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Total LLC Interest
(Cost $46,255,217) |
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63,734,915 |
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| Principal Amount ($) |
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Collateralized Loan Obligations — 4.4% |
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6,417,149 |
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ACAS CLO, Series 2018-1A, Class FRR TSFR3M +
8.172%, 13.45%, 10/18/2028 (h)(i) |
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1,565,784 |
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1,500,000 |
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Atlas Senior Loan Fund, Series 2017- 8A, Class F TSFR3M + 7.412%, 12.70%, 1/16/2030
(h)(i) |
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904,125 |
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| |
2,400,000 |
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Atlas Senior Loan Fund XII, Series 2018-12A,
Class E TSFR3M + 6.212%, 11.50%, 10/24/2031 (h)(i) |
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1,860,000 |
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1,000,000 |
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CIFC Funding, Series 2018-1A, Class ER2 TSFR3M +
6.112%, 11.39%, 1/18/2031 (h)(i) |
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992,500 |
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2,500,000 |
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CIFC Funding, Series 2014-1A 0.00%, 1/18/2031
(h)(i)(j) |
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200,000 |
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3,324,756 |
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CIFC Funding, Series 2014-4RA 0.00%, 1/17/2035
(h)(i)(j)(k) |
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858,951 |
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INVESTMENT PORTFOLIO (unaudited) (continued)
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| As of September 30, 2024 |
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Highland Opportunities and Income Fund |
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| Principal Amount ($) |
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Value ($) |
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Collateralized Loan Obligations (continued) |
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5,462,500 |
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CIFC Funding, Series 2013-2A 0.00%, 10/18/2030
(h)(i)(j) |
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552,805 |
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3,000,000 |
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CIFC Funding, Series 2015-1A 0.00%, 1/22/2031
(h)(i)(j)(k) |
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298,200 |
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3,021,269 |
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Clover Credit Partners CLO III, Series 2017-1A,
Class F TSFR3M + 8.212%, 13.51%, 10/15/2029 (h)(i) |
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830,849 |
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1,537,000 |
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Dryden 36 Senior Loan Fund, Series 2019-36A,
Class ER2 TSFR3M + 7.142%, 12.44%, 4/15/2029 (h)(i) |
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1,460,150 |
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5,450,000 |
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Galaxy XXVI CLO, Series 2018-26A, Class F TSFR3M +
8.262%, 13.38%, 11/22/2031 (h)(i) |
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5,014,000 |
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1,000,000 |
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GoldenTree Loan Management US CLO 3, Series 2018-3A,
Class F TSFR3M + 6.762%, 12.04%, 4/20/2030 (h)(i) |
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959,520 |
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2,000,000 |
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Madison Park Funding XXIX, Series 2018-29A,
Class F TSFR3M + 7.832%, 13.11%, 10/18/2030 (h)(i) |
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1,900,000 |
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2,500,000 |
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Man GLG US CLO, Series 2018-1A, Class DR TSFR3M +
6.162%, 11.44%, 4/22/2030 (h)(i) |
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2,220,563 |
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4,000,000 |
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Northwoods Capital XII-B, Ltd., Series 2018-12BA,
Class F TSFR3M + 8.432%, 13.38%, 6/15/2031 (h)(i) |
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2,930,000 |
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3,110,000 |
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OZLM XXII, Ltd., Series 2018-22A, Class E TSFR3M +
7.652%, 12.94%, 1/17/2031 (h)(i) |
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|
1,710,500 |
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| |
2,000,000 |
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Park Avenue Institutional Advisers CLO, Series 2021-2A,
Class E TSFR3M + 7.272%, 12.57%, 7/15/2034 (h)(i) |
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|
1,920,000 |
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| |
3,150,000 |
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Saranac CLO III, Ltd., Series 2018-3A, Class ER
TSFR3M + 7.500%, 12.51%, 6/22/2030 (h)(i) |
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|
1,742,738 |
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| |
2,000,000 |
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Symphony CLO XXVI, Series 2021-26A, Class ER
TSFR3M + 7.762%, 13.04%, 4/20/2033 (h)(i) |
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|
1,952,660 |
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| |
5,955,627 |
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THL Credit Wind River, Series 2014-2A 0.00%, 1/15/2031
(h)(i)(j)(l) |
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|
857,610 |
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| |
1,000,000 |
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|
Vibrant CLO 1X, Series 2018-9A, Class D TSFR3M +
6.512%, 11.79%, 7/20/2031 (h)(i) |
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|
885,900 |
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| |
1,275,000 |
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Voya CLO, Series 2018-2A, Class DR TSFR3M +
5.862%, 11.15%, 4/25/2031 (h)(i) |
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|
1,147,500 |
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| |
3,000,000 |
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Zais CLO 3, Ltd., Series 2018-3A, Class DR TSFR3M
+ 7.172%, 12.47%, 7/15/2031 (h)(i) |
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2,115,000 |
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| Principal Amount ($) |
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Value ($) |
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Collateralized Loan Obligations (continued) |
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3,300,000 |
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Zais CLO 8, Ltd., Series 2018-1A, Class E TSFR3M +
5.512%, 10.81%, 4/15/2029 (h)(i) |
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|
2,730,750 |
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Total Collateralized Loan Obligations
(Cost $53,951,313) |
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|
37,610,105 |
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| Shares |
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Preferred Stock — 3.8% |
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FINANCIALS — 0.4% |
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|
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| |
150,977 |
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NexPoint Real Estate Finance REIT 8.50%(f)(m)(n) |
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|
3,597,782 |
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HEALTHCARE — 2.7% |
|
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|
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| |
270,246 |
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Apnimed, Series C-1 (d)(m)(o) |
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3,288,894 |
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| |
144,132 |
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Apnimed, Series C-2 (d)(m)(o) |
|
|
1,856,420 |
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| |
2,361,111 |
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Sapience Therapeutics Inc 8.00%(d)(m) |
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|
7,673,611 |
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| |
3,440,476 |
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Sapience Therapeutics Inc, Class B 8.00%(d)(m) |
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|
9,461,309 |
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|
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|
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|
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22,280,234 |
|
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REAL ESTATE — 0.7% |
|
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| |
325,976 |
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Braemar Hotels & Resorts, Inc. 5.50%(d)(e)(m) |
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|
4,723,392 |
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| |
47,300 |
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Wheeler Real Estate Investment Trust 12.75%, 09/21/2025(d)(p) |
|
|
1,000,395 |
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| |
82,301 |
|
|
Wheeler Real Estate Investment Trust 9.00%(d)(m) |
|
|
192,584 |
|
|
|
|
|
|
|
|
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|
|
|
|
|
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|
5,916,371 |
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|
|
|
|
|
|
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|
|
|
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|
Total Preferred Stock
(Cost $30,461,420) |
|
|
31,794,387 |
|
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| Principal Amount ($) |
|
|
|
| |
Corporate Bonds & Notes — 0.4% |
|
|
|
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| |
COMMUNICATION SERVICES — 0.0% |
|
| |
3,100 |
|
|
iHeartCommunications, Inc. 6.38%, 05/01/26 |
|
|
2,714 |
|
|
|
|
|
|
|
|
|
|
| |
FINANCIALS — 0.4% |
|
|
|
|
| |
4,000,000 |
|
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South Street Securities Funding LLC 6.25%, 12/30/26 (i) |
|
|
3,400,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds & Notes
(Cost $4,080,699) |
|
|
3,402,714 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
|
|
|
|
| |
Registered Investment Company — 0.1% |
|
|
|
|
| |
86,246 |
|
|
Highland Global Allocation Fund (e)(f) |
|
|
677,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Registered Investment Company
(Cost $450,131) |
|
|
677,894 |
|
|
|
|
|
|
|
|
|
|
INVESTMENT PORTFOLIO (unaudited) (continued)
|
|
|
| |
|
|
| As of September 30, 2024 |
|
Highland Opportunities and Income Fund |
|
|
|
|
|
|
|
|
|
| Units |
|
Value ($) |
|
| |
Warrants — 0.0% |
|
|
|
|
|
|
| Units |
|
|
|
| |
HEALTHCARE — 0.0% |
|
|
|
|
| |
1,800,000 |
|
|
Sapience Therapeutics Inc, (d) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Total Warrants
(Cost $—) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Principal Amount ($) |
|
|
|
|
|
|
| |
Repurchase Agreement(q)(r) — 0.0% |
|
|
|
|
| |
19,447 |
|
|
RBC Dominion Securities 4.860%, dated 09/30/2024 to be repurchased on 10/01/2024, repurchase
price $19,450 (collateralized by U.S. Government and Treasury obligations, ranging in par value $1 - $6,656, 0.000% - 6.500%, 10/31/2024 – 09/20/2054; with total market value $19,836) |
|
|
19,447 |
|
|
|
|
|
|
|
|
|
|
|
Total Repurchase Agreement
(Cost $19,447) |
|
|
19,447 |
|
|
|
|
|
|
|
| |
Cash Equivalent — 1.5% |
|
|
|
|
|
|
| Shares |
|
|
|
| |
MONEY MARKET FUND(s) — 1.5% |
|
|
|
|
| |
12,754,405 |
|
|
Dreyfus Treasury Obligations Cash Management, Institutional Class 4.810% |
|
|
12,754,405 |
|
|
|
|
|
|
|
|
|
|
|
Total Cash Equivalent
(Cost $12,754,405) |
|
|
12,754,405 |
|
|
|
|
|
|
|
| |
Total Investments - 113.8% |
|
|
962,861,588 |
|
|
|
|
|
|
|
| |
(Cost $1,348,968,974) |
|
|
|
|
|
|
| Shares |
|
|
|
| |
Securities Sold Short— (1.0)% |
|
|
|
|
| |
Common Stocks — (1.0)% |
|
|
|
|
| |
INFORMATION TECHNOLOGY — (1.0)% |
|
| |
(41,100) |
|
|
Texas Instruments, Inc. |
|
|
(8,490,027 |
) |
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(Proceeds $4,920,256) |
|
|
(8,490,027 |
) |
|
|
|
|
|
|
|
|
|
|
Total Securities Sold Short - (1.0)%
(Proceeds $4,920,256) |
|
|
(8,490,027 |
) |
|
|
|
|
|
|
| |
Other Assets & Liabilities, Net - (12.8)%(t) |
|
|
(108,257,397 |
) |
|
|
|
|
|
|
| |
Net Assets - 100.0% |
|
|
846,114,164 |
|
|
|
|
|
|
|
| (a) |
Securities with a total aggregate value of $217,603,631, or 25.7% of net assets, were classified as
Level 3 within the three-tier fair value hierarchy. Please see Notes to Investment Portfolio for an explanation of this hierarchy, as well as a list of unobservable inputs used in the valuation of these instruments.
|
| (b) |
Represents fair value as determined by the Investment Adviser pursuant to the policies and procedures approved
by the Board of Trustees (the “Board”). The Board has designated the Investment Adviser as “valuation designee” for the Fund pursuant to Rule 2a-5 of the Investment Company Act of 1940, as
amended. The Investment Adviser considers fair valued securities to be securities for which market quotations are not readily available and these securities may be valued using a combination of observable and unobservable inputs. Securities with a
total aggregate value of $217,603,631, or 25.7% of net assets, were fair valued under the Fund’s valuation procedures as of September 30, 2024. Please see Notes to Investment Portfolio. |
| (c) |
Restricted Securities. These securities are not registered and may not be sold to the public. There are legal
and/or contractual restrictions on resale. The Fund does not have the right to demand that such securities be registered. The values of these securities are determined by valuations provided by pricing services, brokers, dealers, market makers, or
in good faith under the policies and procedures established by the Board. Additional Information regarding such securities follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Restricted
Security |
|
Security
Type |
|
Acquisition
Date |
|
|
Cost of
Security |
|
|
Fair Value at
Period End |
|
|
Percent of
Net Assets |
|
| MidWave Wireless, Inc. (fka Terrestar Corp.) |
|
Common Stock |
|
|
3/16/2018 |
|
|
$ |
3,093,276 |
|
|
$ |
8,633,225 |
|
|
|
1.0 |
% |
| (d) |
Non-income producing security. |
| (e) |
All or part of this security is pledged as collateral for short sales. The fair value of the securities pledged
as collateral was $22,276,599. |
| (f) |
Affiliated issuer. Assets with a total aggregate fair value of $697,968,575, or 82.5% of net assets, were
affiliated with the Fund as of September 30, 2024. |
| (g) |
Senior loans (also called bank loans, leveraged loans, or floating rate loans) in which the Fund invests
generally pay interest at rates which are periodically determined by reference to a base lending rate plus a spread (unless otherwise identified, all senior loans carry a variable rate of interest). These base lending rates are generally
(i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the Secured Overnight Financing Rate (“SOFR”) or (iii) the Certificate of Deposit rate.
As of September 30, 2024, the SOFR 1 Month and SOFR 3 Month rates were 5.16% and 5.31%, respectively. Senior loans, while exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”), contain certain
restrictions on resale and cannot be sold publicly. Senior secured floating rate loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual
requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity maybe substantially less than the stated maturity shown.
|
INVESTMENT PORTFOLIO (unaudited) (concluded)
|
|
|
| |
|
|
| As of September 30, 2024 |
|
Highland Opportunities and Income Fund |
| (h) |
Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates
on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically
based on prevailing interest rates. |
| (i) |
Securities exempt from registration under Rule 144A of the 1933 Act. These securities may only be resold in
transactions exempt from registration to qualified institutional buyers. The Board has determined these investments to be liquid. At September 30, 2024, these securities amounted to $41,010,105 or 4.8% of net assets. |
| (j) |
No interest rate available. |
| (k) |
Interest only security (“IO”). These types of securities represent the right to receive the monthly
interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
| (l) |
The issuer is, or is in danger of being, in default of its payment obligation. |
| (m) |
Perpetual security with no stated maturity date. |
| (n) |
Securities (or a portion of securities) on loan. As of September 30, 2024, the fair value of securities
loaned was $18,920. The loaned securities were secured with cash and/or securities collateral of $19,447. Collateral is calculated based on prior day’s prices. |
| (o) |
There is currently no rate available. |
| (p) |
Step Coupon Security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular
intervals until maturity. Interest rate shown reflects the rate currently in effect. |
| (q) |
Tri-Party Repurchase Agreement. |
| (r) |
This security was purchased with cash collateral held from securities on loan. The total value of such
securities as of September 30, 2024 was $19,447. |
| (s) |
Rate reported is 7 day effective yield. |
| (t) |
As of September 30, 2024, $8,600,662 in cash was segregated or on deposit with the brokers to cover
investments sold short and is included in “Other Assets & Liabilities, Net”.
|
NOTES TO INVESTMENT PORTFOLIO (unaudited)
|
|
|
| |
|
|
| As of September 30, 2024 |
|
Highland Opportunities and Income Fund |
Organization
Highland Opportunities and Income Fund (the “Fund”) is organized as an unincorporated business trust under the laws of The Commonwealth of
Massachusetts. The Fund is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as a
non-diversified, closed-end management investment company. On September 25, 2017, the Fund acquired the assets of Highland Floating Rate Opportunities Fund (the
“Predecessor Fund”), a series of Highland Funds I, a Delaware statutory trust. The Fund is the successor to the accounting and performance information of the Predecessor Fund.
Valuation of Investments
Pursuant to Rule 2a-5 under the 1940 Act, the Fund’s Board of Trustees (the “Board”) has designated NexPoint Asset Management, L.P. (formerly Highland Capital Management Fund Advisors, L.P.) (“NexPoint” or
the “Investment Adviser”) as the Fund’s valuation designee to perform the fair valuation determination for securities and other assets held by the Fund. NexPoint acting through its “Valuation Committee,” is responsible for
determining the fair value of investments for which market quotations are not readily available. The Valuation Committee is comprised of officers of NexPoint and certain of NexPoint’s affiliated companies and determines fair value and oversees
the calculation of the NAV. The Valuation Committee is subject to Board oversight and certain reporting and other requirements intended to provide the Board the information it needs to oversee NexPoint’s fair value determinations.
The Fund’s investments are recorded at fair value. In computing the Fund’s net assets attributable to shares, securities with readily available
market quotations on the NYSE, National Association of Securities Dealers Automated Quotation (“NASDAQ”) or other nationally recognized exchange, use the closing quotations on the respective exchange for valuation of those securities.
Securities for which there are no readily available market quotations will be valued pursuant to policies adopted by NexPoint and approved by the Board. Typically, such securities will be valued at the mean between the most recently quoted bid and
ask prices provided by the principal market makers. If there is more than one such principal market maker, the value shall be the average of such means. Securities without a sale price or quotations from principal market makers on the valuation day
may be priced by an independent pricing service. Generally, the Fund’s loan and bond positions are not traded on exchanges and consequently are valued based on a mean of the bid and ask price from the
third-party pricing services or broker-dealer sources that the Investment Adviser has determined to have the capability to provide appropriate pricing services.
Securities for which market quotations are not readily available, or for which the Fund has determined that the price received from a pricing service or broker-dealer is “stale” or otherwise does not represent fair value (such as when events materially affecting the value of securities occur between the time when market price is determined and calculation
of the Fund’s net asset value (“NAV”)), will be valued by the Fund at fair value, as determined by the Valuation Committee in good faith in accordance with policies and procedures established by NexPoint and approved by the Board,
taking into account factors reasonably determined to be relevant, including, but not limited to: (i) the fundamental analytical data relating to the investment; (ii) the nature and duration of restrictions on disposition of the securities; and (iii)
an evaluation of the forces that influence the market in which these securities are purchased and sold. In these cases, the Fund’s NAV will reflect the affected portfolio securities’ fair value as determined in the judgment of the
Valuation Committee instead of being determined by the market. Using a fair value pricing methodology to value securities may result in a value that is different from a security’s most recent sale price and from the prices used by other
investment companies to calculate their NAVs. Determination of fair value is uncertain because it involves subjective judgments and estimates.
There can
be no assurance that the Fund’s valuation of a security will not differ from the amount that it realizes upon the sale of such security. Those differences could have a material impact to the Fund.
NOTES TO INVESTMENT PORTFOLIO (unaudited) (continued)
|
|
|
| |
|
|
| As of September 30, 2024 |
|
Highland Opportunities and Income Fund |
Fair Value Measurements
The Fund has performed an analysis of all existing investments and derivative instruments to determine the significance and character of inputs to their fair
value determination. The levels of fair value inputs used to measure the Fund’s investments are characterized into a fair value hierarchy. Where inputs for an asset or liability fall into more than one level in the fair value hierarchy, the
investment is classified in its entirety based on the lowest level input that is significant to that investment’s valuation. The three levels of the fair value hierarchy are described below:
|
|
|
| Level 1 — |
|
Quoted unadjusted prices for identical instruments in active markets to which the Fund has access at the date of measurement; |
|
|
| Level 2 — |
|
Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active, but are valued based on executed trades; broker quotations that constitute an executable
price; and alternative pricing sources supported by observable inputs are classified within Level 2. Level 2 inputs are either directly or indirectly observable for the asset in connection with market data at the measurement date; and |
|
|
| Level 3 — |
|
Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. In certain cases, investments classified within Level 3 may include securities for which the Fund has obtained
indicative quotes from broker-dealers that do not necessarily represent prices the broker may be willing to trade on, as such quotes can be subject to material management judgment. Unobservable inputs are
those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information. |
The Investment Adviser has established policies and procedures, as described above and approved by the Board, to ensure that
valuation methodologies for investments and financial instruments that are categorized within all levels of the fair value hierarchy are fair and consistent. A Valuation Committee has been established to provide oversight of the valuation policies,
processes and procedures, and is comprised of personnel from the Investment Adviser and its affiliates. The Valuation Committee meets monthly to review the proposed valuations for investments and financial instruments and is responsible for
evaluating the overall fairness and consistent application of established policies.
The fair value of the Fund’s senior loans and bonds are
generally based on quotes received from brokers or independent pricing services. Loans, bonds and asset-backed securities with quotes that are based on actual trades with a sufficient level of activity on or
near the measurement date are classified as Level 2 assets. Loans and bonds that are priced using quotes derived from implied values, indicative bids, or a limited number of actual trades are classified as Level 3 assets because the inputs used by
the brokers and pricing services to derive the values are not readily observable.
The fair value of the Fund’s common stocks, registered investment
companies, rights and warrants that are not actively traded on national exchanges are generally priced using quotes derived from implied values, indicative bids, or a limited amount of actual trades and are classified as Level 3 assets because the
inputs used by the brokers and pricing services to derive the values are not readily observable. Exchange-traded options are valued based on the last trade price on the primary exchange on which they trade. If
an option does not trade, the mid-price, which is the mean of the bid and ask price, is utilized to value the option.
At the end of each calendar quarter, the Investment Adviser evaluates the Level 2 and 3 assets and liabilities for changes in liquidity, including but not
limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, the Investment Adviser
evaluates the Level 1 and 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent
uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ
significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other
restrictions on resale or otherwise less liquid than publicly traded securities.
NOTES TO INVESTMENT PORTFOLIO (unaudited) (concluded)
|
|
|
| |
|
|
| As of September 30, 2024 |
|
Highland Opportunities and Income Fund |
Under Section 2 (a)(3) of the Investment Company Act of 1940, as amended, a portfolio company is defined as
“affiliated” if a fund owns five percent or more of its outstanding voting securities or if the portfolio company is under common control. The table below shows affiliated issuers of the Fund for the period ended September 30, 2024:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Issuer |
|
Shares at
December 31,
2023 |
|
|
Beginning
Value as of
December 31,
2023
$ |
|
|
Value of
Transfers In
$ |
|
|
Value of
Transfer Out
$ |
|
|
Purchases at
Cost
$ |
|
|
Proceeds
from Sales
$ |
|
|
Distribution
to
Return of
Capital
$ |
|
|
Net
Retirement of
Tendered
Shares
$ |
|
|
Net
Realized
Gain/(Loss)
on Sales
$ |
|
|
Change in
Unrealized
Appreciation/
(Depreciation)
$ |
|
|
Ending Value
as of
September 30,
2024
$ |
|
|
Shares at
September 30,
2024 |
|
|
Affiliated
Income
$ |
|
| Majority Owned, Not Consolidated |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Allenby (Common Stocks) |
|
|
2,142,803 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
972,404 |
|
|
|
— |
|
|
|
316 |
|
|
|
— |
|
|
|
— |
|
|
|
(972,720 |
) |
|
|
— |
|
|
|
3,115,207 |
|
|
|
— |
|
| Claymore (Common Stocks) |
|
|
10,359,801 |
|
|
|
168,482 |
|
|
|
— |
|
|
|
— |
|
|
|
574,607 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(743,089 |
) |
|
|
— |
|
|
|
10,934,408 |
|
|
|
— |
|
| Haygood (Common Stocks) |
|
|
68,830 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
68,830 |
|
|
|
— |
|
| Other Affiliates |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CCS Medical, Inc. (U.S. Senior Loans & Common Stocks) |
|
|
28,566,014 |
|
|
|
50,852,884 |
|
|
|
— |
|
|
|
— |
|
|
|
1,284,599 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,629,551 |
) |
|
|
50,507,932 |
|
|
|
29,850,613 |
|
|
|
1,590,669 |
|
| Highland Global Allocation Fund (Registered Investment Company) |
|
|
86,246 |
|
|
|
677,894 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
677,894 |
|
|
|
86,246 |
|
|
|
62,875 |
|
| Highland Opportunities and Income Fund (Registered Investment Company) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
20,116,558 |
|
|
|
(40,217,502 |
) |
|
|
— |
|
|
|
20,100,944 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| LLV Holdco LLC (U.S. Senior Loans & Common Stocks) |
|
|
13,879,492 |
|
|
|
15,627,469 |
|
|
|
— |
|
|
|
— |
|
|
|
250,953 |
|
|
|
(7,135,886 |
)† |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,711,137 |
|
|
|
10,453,673 |
|
|
|
6,994,558 |
|
|
|
537,794 |
|
| NEXLS LLC
(LLC Interest) |
|
|
957 |
|
|
|
52,032,835 |
|
|
|
— |
|
|
|
— |
|
|
|
170,000 |
|
|
|
— |
|
|
|
854 |
|
|
|
— |
|
|
|
— |
|
|
|
3,467,226 |
|
|
|
55,670,915 |
|
|
|
960 |
|
|
|
— |
|
| NexPoint Diversified Real Estate Trust REIT (Common Stocks) |
|
|
1,307,416 |
|
|
|
10,393,957 |
|
|
|
— |
|
|
|
— |
|
|
|
435,957 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(2,175,402 |
) |
|
|
8,654,512 |
|
|
|
1,384,722 |
|
|
|
599,962 |
|
| NexPoint Real Estate Finance REIT (Common Stocks & Preferred Stock) |
|
|
4,523,263 |
|
|
|
72,035,513 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,599,819 |
) |
|
|
— |
|
|
|
— |
|
|
|
1,500,915 |
|
|
|
71,936,609 |
|
|
|
4,523,263 |
|
|
|
5,199,239 |
|
| NexPoint Residential Trust, Inc. (Common Stocks) |
|
|
194,932 |
|
|
|
6,711,509 |
|
|
|
— |
|
|
|
— |
|
|
|
181,549 |
|
|
|
— |
|
|
|
(60,203 |
) |
|
|
— |
|
|
|
— |
|
|
|
1,971,433 |
|
|
|
8,804,288 |
|
|
|
200,052 |
|
|
|
213,878 |
|
| NexPoint SFR Operating Partnership, LP (U.S. Senior Loans) |
|
|
61,000,000 |
|
|
|
59,170,000 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(6,000,000 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
180,000 |
|
|
|
53,350,000 |
|
|
|
55,000,000 |
|
|
|
3,577,499 |
|
| NexPoint Storage Partners, Inc. (Common Stocks) |
|
|
32,203 |
|
|
|
25,670,427 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(593,826 |
) |
|
|
25,076,601 |
|
|
|
32,203 |
|
|
|
— |
|
| NFRO Diversified REIT, LLC, NFRO Self Storage REIT, LLC, NFRO SFR REIT, LLC (Common
Stocks) |
|
|
94,554,073 |
|
|
|
271,618,289 |
|
|
|
— |
|
|
|
— |
|
|
|
24,418,747 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
805,926 |
|
|
|
296,842,962 |
|
|
|
208,368,658 |
|
|
|
— |
|
| NFRO Holdings, LLC (Common Stocks) |
|
|
2,276,658 |
|
|
|
71,084,839 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(5,000,000 |
) |
|
|
— |
|
|
|
— |
|
|
|
(3,153,578 |
) |
|
|
62,931,261 |
|
|
|
2,276,658 |
|
|
|
5,000,000 |
|
| NHT Operating Partnership LLC Convertible Promissory Note (U.S. Senior Loans) |
|
|
6,400,000 |
|
|
|
5,619,200 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(566,400 |
) |
|
|
5,052,800 |
|
|
|
6,400,000 |
|
|
|
446,506 |
|
| NHT Operating Partnership LLC Secured Promissory Note (U.S. Senior Loans) |
|
|
42,889,333 |
|
|
|
37,664,394 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(3,803,266 |
) |
|
|
33,861,128 |
|
|
|
42,889,333 |
|
|
|
1,341,417 |
|
| NREF Operating IV REIT Sub, LLC (U.S. Senior Loans) |
|
|
6,500,000 |
|
|
|
6,126,250 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(42,250 |
) |
|
|
6,084,000 |
|
|
|
6,500,000 |
|
|
|
365,625 |
|
| SFR WLIF I, III, LLC (LLC Interest) |
|
|
10,000,000 |
|
|
|
9,134,000 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,000,000 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(70,000 |
) |
|
|
8,064,000 |
|
|
|
9,000,000 |
|
|
|
986,606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
284,782,021 |
|
|
|
694,587,942 |
|
|
|
— |
|
|
|
— |
|
|
|
48,405,374 |
|
|
|
(54,353,388 |
) |
|
|
(6,658,852 |
) |
|
|
20,100,944 |
|
|
|
— |
|
|
|
(4,113,445 |
) |
|
|
697,968,575 |
|
|
|
387,625,711 |
|
|
|
19,922,070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Grafico Azioni Highland Opportunities a... (NYSE:HFRO-A)
Storico
Da Dic 2024 a Gen 2025
Grafico Azioni Highland Opportunities a... (NYSE:HFRO-A)
Storico
Da Gen 2024 a Gen 2025
