SecProbe.io

CORRESP
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filename1.htm

December
28, 2022

Mr. Raymond A. Be

U.S. Securities and Exchange
Commission

100 F Street, N.E.

Washington, D.C. 20549

 Re: Kingsbarn Parallel Income Fund (File Nos. 333-268026 and 811-23834)

Dear Mr. Be:

This letter provides
the responses of Kingsbarn Parallel Income Fund (the “Trust”) to the comments of the staff of the U.S. Securities and
Exchange Commission (the “Commission”) that you recently provided with respect to the Trust’s initial registration
statement on Form N-2, which was filed on October 27, 2022. For your convenience, I have summarized the comments in this letter
and provided the Trust’s response below each comment.

 General

 1. Comment: We note that portions of the filing, including the Fund’s financial statements,
are incomplete. We may have additional comments on such portions when you complete them in a pre-effective amendment, on disclosures
made in response to this letter, on information supplied supplementally, or on exhibits added in any amendments.

Response:
The Trust acknowledges this staff comment.

 2. Comment: Please supplementally explain if you have received exemptive relief or submitted,
or expect to submit, any exemptive application or no-action request in connection with the registration statement, including with
respect to manager of managers relief.

Response:
The Trust has not submitted to the Commission an application for exemptive relief or no-action request in connection with the registration
statement and does not expect to engage a sub-adviser at inception of the Fund’s operations, although it may do so in the
future.

 3. Comment: Please tell us if you have presented any test the waters materials in connection
with this offering. We may have additional comments based on your response.

Response:
The Trust has not submitted any test the waters materials in connection with the offering.

 4. Comment: Section 8(c) of the 1933 Act relates to post-effective amendments. Please remove
the check from the box next to “when declared effective pursuant to Section 8(c).”

Response:
The Trust will revise the cover page of the registration statement accordingly.

JOHN H. LIVELY ●
MANAGING PARTNER

11300 Tomahawk Creek
Pkwy ● Ste. 310 ● Leawood, KS 66211 ●
p: 913.660.0778 ● c: 913.523.6112

 Practus, LLP
● John.Lively@Practus.com ● Practus.com

Prospectus

Cover
Page

 5. Comment: Please revise the cover page to specify the anticipated timing of the Fund’s
initial repurchase offer (which, under Rule 23c-3, must occur no later than two periodic intervals after the effective date of
the registration statement). Please also include a cross-reference to the sections of the prospectus that discuss the risks relating
to the Fund’s repurchase policies. For additional information, consider Guide 10 to Form N-2.

Response:
The Trust will include the requested disclosures in the prospectus relating to the timing of the initial repurchase offer in accordance
with Rule 23c-3 and a cross-reference to the sections of the prospectus that discuss risks related to the Fund’s repurchase
policies.

 6. Comment:  Your investment objective “seeks to provide consistent cash distributions
while limiting the risk of losses due to significant movements in longer-term U.S. Treasury rates.” Please tie the objective
closer to the Fund’s name related to “income.” Later in your document (e.g., under Portfolio Hedge Construction
on page 12) please explain, in clear language, how you intend to use interest rate swaps to limit the risk of losses due to significant
movements in longer-term U.S. Treasury rates. Revised disclosure should address the principal strategies or techniques to be employed,
their costs and risks. Clarify that, while you are mitigating exposure to one potential risk, investors will continue to be exposed
to risk of losses from other factors.

 Response: The
Trust will revise its investment objective as follows: “The Fund seeks to provide a consistent level of dividend income and
the preservation of capital.”

As concerns
Portfolio Hedge Construction, the Trust will include the following disclosure as the last paragraph under the heading
“INVESTMENT OBJECTIVE, POLICIES AND STRATEGIES- Principal Investments and Investment Strategies- Derivatives” on page 14
of the prospectus:

Separately from the interest
rate risk management strategies employed by each of the Portfolio Companies, the Fund will invest in U.S. treasury note futures
and derivative instruments the Adviser believes will offset, or hedge, the aggregate risk of net income and/or net asset value
losses from movements in longer-term interest rates. Generally, the derivatives that will be used by the Adviser are either treasury
note futures or options on interest rate swaps (commonly referred to as “swaptions”). Typically, the Fund will short-sale
treasury note futures to hedge against rising longer-term interest rates as the increased value of the futures contracts will offset
the decline in value of the fixed rate mortgage-backed securities (“MBS”). On the other hand, the Fund will buy receiver
swaptions which will increase in value as longer-term rates decline and offset the decrease in Fund NAV due to the negative impact
on the value of MBS due to increased rates of mortgage prepayments. Notwithstanding these risk-mitigating measures employed by
the Adviser to manage interest rate risk, the Fund will continue to be subject to the risk of loss due to other risk factors inherent
in its investments or investment strategy, or those of the underlying Portfolio Companies.

    2

 7. Comment:  As a general matter, the
cover page disclosure, particularly in the sections captioned “Investment Process” uses unclear terms such as “risk
cohorts,” “portfolio hedge,” “notional amount,” and “aggregate net asset value exposure.”
Please revise the cover page using plain English principles to enhance its readability. See Rule 421(d) under the Securities Act
of 1933 (“Securities Act”); Office of Investor Education, A Plain English Handbook: How to create clear SEC disclosure
documents (August 1998) (“Plain English Handbook”).

Response:
 In the Prospectus Summary on page 6, under the heading “Investment Objective and Policies - Investment Process”,
the first paragraph is removed, and is replaced with the following:

Elemental to the Fund’s
investment process is developing a financial forecast for each company that extends through the end of the following fiscal year.
The financial forecasts will include a detailed balance sheet and income statement that will provide the Adviser quarterly estimates
for net income, common dividend, and tangible book value (“TBV”) that are then compared to the same estimates published
on various news services by Wall Street equity research analysts.

The Adviser executes its investment
process to select a portfolio of 11-13 companies, out of an investment universe of approximately 100 companies, that it believes
has, in aggregate, the greatest dividend yield per unit of risk (duration and convexity) with the lowest variability in dividend
yield across multiple interest rate scenarios. Duration is a measure used to determine the sensitivity of a security’s price
to changes in interest rates. Convexity is the term to describe the nonlinearity of duration for MBS. As interest rates decline,
MBS prices increase less than a bond without prepayment options because the MBS expected maturity becomes shorter due to increased
borrower prepayments rates.

For each company considered for
investment, the Adviser completes a multiple-scenario financial modeling process that allows the Adviser to construct a portfolio
hedge intended to nullify the impact of changes in longer-term interest rates to the Fund’s NAV, as follows:

 1. Company Portfolio Segmentation and Analysis. For each company, the Adviser separates the
investment portfolio, liabilities, and hedge positions into “risk buckets”, where the instruments in each risk bucket have similar characteristics such as coupon, maturity term, or product type.

 2. Scenario Analysis. The Adviser estimates the changes in the value of each risk bucket for
                                                               each company based on different under a wide range of higher and lower interest rate scenarios as compared to a base interest rate
                                                               forecast developed by the Adviser.

 3. Risk Aggregation. After completing the scenario analysis for each company, the results for
each company are aggregated to determine the portfolio-level risk to NAV across each interest rate scenario.

    3

 4. Portfolio Hedge Construction. After completing the scenario analysis and determining the
change in portfolio NAV, the Adviser constructs portfolio-level hedges using treasury note futures and interest rate swaptions
that it believes will largely nullify the negative impact on the Fund’s NAV from changes in longer-term interest rates.

Leverage (page ii)

 8. Comment: We note the disclosure in the fee table regarding anticipated
borrowings in the Fund’s first year of operations. Please briefly disclose the extent to which the Fund anticipates leveraging
itself during the first year.

Response: The Fund expects to utilize leverage by using
margin facilities secured by its portfolio securities. The Fund will limit use of any leverage through senior securities representing
indebtedness to 33 1/3% of the Fund’s net assets, including any assets purchased with borrowed money, immediately after giving effect to the leverage. The Fund’s use of leverage during its first year of operations is
expected to be up to 33 1/3% of its net assets.

 Prospectus

Principal
Investments and Investment Strategies (page 1)

 9. Comment: Briefly explain the Fund’s strategy related to “derivative instruments
that are linked to, or provide investment exposure to, interest rate swap agreements.”

Response: The following
is added as part of first paragraph under the heading “Investment Objective and Policies – Principal Investments and
Investment Strategies” on page 1 of the prospectus:

The Fund will invest in derivative
instruments the Adviser believes will offset, or hedge, the aggregate risk of net income and/or net asset value losses from movements
in longer-term interest rates. Generally, the type of derivatives that will be purchased by the Fund to offset the decline in portfolio
market value due to declining interest rates are options on interest rate swaps (commonly referred to as “swaptions”).
Specifically, the Fund will purchase “receiver” swaptions that will increase in value as longer-term interest rates
decline.

 10. Comment: On page 2, the disclosure states that “it is generally not expected that
the Fund will hold more than 10% of its net assets in liquid investments.” Elsewhere, the disclosure states that the Fund
expects to invest a substantial portion of its assets in publicly listed securities. To the extent these publicly listed securities
are not expected to be liquid, please clarify.

Response: The referenced
sentence has been removed from the prospectus.

    4

Investment
Process (page 2)

 11. Comment: The disclosure states that “the Adviser will have sole discretion to make
investments in the Fund but has delegated investment discretion for the portion of the Fund’s investment portfolio that is
allocated to direct investments in certain mortgage-related securities and reverse repurchase agreements.” To the extent
the Adviser has delegated discretion, it would not appear that it would continue to have “sole” discretion. Please
reconcile.

Response:
As noted above, the Fund will not engage a sub-adviser at inception and, as a result, the Fund’s investment adviser, Kingsbarn
Capital Management, LLC will have sole investment discretion to make investments in the Fund. The referenced sentence has been
removed from the prospectus.

 12. Comment: In the second paragraph of this
section, the discussion of the four quadrants of the “matrix” is dense and difficult to understand. Consider using
a diagram to explain this disclosure.

Response: The Fund has
added a diagram to accompany the disclosures with respect to the four quadrants used as part of the Fund’s investment process.

Investment Adviser (page 3)

 13. Comment: In the third paragraph of this section,
the disclosure regarding the Incentive Fee is difficult to follow. Please revise the disclosure so that it clearly describes how
the Incentive Fee will work, including how the “Preferred Return,” “catch up amount” and “Loss Carryforward”
will operate. Consider using examples, formulas, or diagrams as necessary to assist in the clarity of the disclosure.

 Response: The
Fund has revised the disclosure to add an example of the calculation of the Incentive Fee.

Summary
of Risks (page 4)

 14. Comment: The first paragraph of this section is
particularly dense, with long embedded lists. Use plain English principles, such as bullet points, to make the disclosure easier
to read and revise accordingly.

Response: The referenced
paragraph has been revised as follows:

Investing
in the Fund involves risks, including the risk that you may receive little or no return on your investment or that you may lose
part or all your investment. Therefore, before investing you should carefully consider the risks that you assume when you invest
in the Fund’s shares. The Fund is subject to substantial risks that include:

 ● Capital Markets Risks that may
arise from a lack of liquidity in the capital markets that impacts the Fund’s ability to conduct its investment and portfolio
hedging activities.

    5

 ● Hedging Strategy Risks may result
from the Adviser implementing a portfolio hedging strategy that proves ineffective in reducing the Fund’s NAV volatility
to changes in longer-term interest rates.

 ● Investment Portfolio Risks are the
                                                                                                                                                      risks inherent in investing in REITs, BDCs, and VDLs as well as the risks of investing in residential or commercial mortgage loans
                                                                                                                                                      and securities, business loans to private companies, and certain derivatives intended for investment or hedging
                                                                                                                                                      purposes.

In addition
to the Fund-level risks, as the portfolio is constructed from a portfolio of companies with differing investment and risk management
strategies, the Fund will be exposed to risks similar to those risks the portfolio companies are subject. These risks include:

 ● Credit
Risk that results from interruptions in borrower loan payments.

 ● Counterparty
Risk that results from a party to a contractual agreement declining to perform on its obligation.

 ● Liquidity
Risk that results from a company’s inability to finance an investment position which may result in the sale of the investment
at an unattractive price.

 ● Interest
Rate Risk that results from a change in interest rates adverse to the manner in which a company’s management has structured
its investment portfolio and/or portfolio hedge positions.

 ● Prepayment Risk that results from underlying borrowers prepaying
their loans. Faster or slower prepayments, versus those expected at the time a company invests in an asset, is the primary economic
risk for the Fund.

 ● Spread Risk that results when the basis, or spread, between
the interest rate for a security or a loan relative to a relevant index – generally reflect the credit and/or the demand
and supply situation for a particular security. Generally, widening investment spreads result in decreased asset values and narrowi