Company: PRIF-PJ
Filing Date: 2025-03-26
Form Type: N-2
Source: 0001554625-25-000027
Chunk: 25

Company: Priority Income Fund, Inc.
Filing Date: 2025-03-26
Form: N-2
Chunk 25
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&P Capital IQ - Leveraged Loan Index Returns Summary.

(5) Source: Pitchbook, LCD, Morningstar LSTA US Leveraged Loan Index Default Rates.

In the current environment, we believe the above attributes are particularly desirable.

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We believe that the equity and junior debt tranches of CLO securities in which we invest currently represent, as a class, an opportunity to obtain attractive risk-adjusted investment returns. We believe that a number of factors support this conclusion, including:

• The U.S. CLO market is relatively large, with a total outstanding notional balance of approximately $1.1 trillion as of February 28, 2025; (6)

• CLOs are not significantly impacted solely by the same mark to market volatility of Senior Secured Loans. Therefore, we believe a decline in Senior Secured Loan prices similar to 2008, August 2011, and March 2020 does not solely have a directly negative impact on CLOs and provides CLOs an opportunity to acquire Senior Secured Loans at discounted prices;

• CLOs are typically subject to significant investment restrictions resulting in diversified portfolios. Investment restrictions include limitations on exposure to any one borrower, Senior Secured Loan, or particular industry, requirements for minimum weighted average spreads and minimum weighted average ratings, and limitations on low rated Senior Secured Loans. Required diversity tests typically result in the average Senior Secured Loan or issuer representing less than 2% and no industry exceeding 15% of a CLO’s portfolio;

• We believe that investing in Target Securities requires high levels of research and analysis. We believe that typically this analysis can only be conducted by knowledgeable market participants, as the nature of the analysis tends to be highly specialized; and

• U.S. CLO equity tranches have delivered approximately 19% average annual cash yields from January 2003 through December 2023. (7)

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(6) Source: Intex US CLO Database, accessed 03/19/2025.

(7) Source: Citigroup Global Markets Research - Citi US CLO Scorecard – April 11, 2022; Citigroup Global Markets Research - 2012 Equity Study Spreadsheet; Citigroup Global Markets Research - Global Structured Credit Strategy - March 12, 2013; 2022 – 2024 Average CLO Equity Annualized Yields determined using Intex US CLO Database and Prospect Capital assumptions.

We caution investors that the past performance