OFS Credit Company, Inc.

Schedule of Investments

As of July 31, 2023

(unaudited)

 

Company and

Investment(1)(2)

  Interest Rate /Effective Yield(3)   Spread Above Index(4)  Initial Acquisition Date  Maturity  

Principal

Amount

   Amortized Cost   Fair Value(5)  

Percent of

Net Assets

CLO Debt Securities                                    
Atlas Senior Loan Fund XX, Ltd.                                    
Mezzanine Debt - Class E   14.75%  (SOFR + 9.43%)  10/13/2022   10/19/2035   $2,000,000   $1,861,265   $1,879,955    1.8%
                                     
Atlas Senior Loan Fund XXI, Ltd.                                    
Mezzanine Debt - Class E   14.63%  (SOFR + 9.04%)  7/20/2023   7/20/2035    1,450,000    1,327,087    1,327,087    1.3%
                                     
Birch Grove CLO 5, Ltd.                                    
Mezzanine Debt - Class E   13.50%  (SOFR + 8.65%)  4/28/2023   4/20/2035    3,000,000    2,916,132    2,916,132    2.8%
                                     
Birch Grove CLO 6, Ltd.                                    
Mezzanine Debt - Class E   14.47%  (SOFR + 8.93%)  7/7/2023   7/7/2035    2,500,000    2,425,254    2,425,254    2.3%
                                     
Carlyle US CLO 2022-6, Ltd.                                    
Mezzanine Debt - Class E   13.98%  (SOFR + 8.63%)  12/9/2022   10/25/2034    1,000,000    956,597    1,003,703    0.9%
                                     
LCM 31 CLO                                    
Mezzanine Debt - Class E   12.41%  (SOFR + 7.08%)  12/18/2020   1/20/2032    250,000    248,640    238,701    0.2%
                                     
PPM CLO 6 Ltd.                                    
Mezzanine Debt - Class E   13.80%  (SOFR + 8.21%)  12/20/2022   1/20/2031    1,000,000    927,888    975,337    0.9%
                                     
Sandstone Peak CLO II                                    
Mezzanine Debt - Class E   14.03%  (SOFR + 8.79%)  6/9/2023   7/20/2036    2,800,000    2,690,009    2,690,009    2.5%
                                     
Sycamore Tree CLO 2023-2                                    
Mezzanine Debt - Class E   14.27%  (SOFR +8.94%)  2/22/2023   4/20/2035    4,000,000    3,835,287    3,917,524    3.7%
                                     
Sycamore Tree CLO 2023-3                                    
Mezzanine Debt - Class E   13.65%  (SOFR + 8.66%)  4/14/2023   4/20/2035    3,000,000    2,873,028    2,873,028    2.7%

 1 

 

OFS Credit Company, Inc.

Schedule of Investments

As of July 31, 2023

(unaudited)

 

Company and

Investment(1)(2)

  Interest Rate /Effective Yield(3)   Spread Above Index(4)  Initial Acquisition Date  Maturity  

Principal

Amount

   Amortized Cost   Fair Value(5)  

Percent of

Net Assets

VCP CLO II                                    
Mezzanine Debt - Class E   13.97%  (SOFR + 8.40%)  2/19/2021   4/15/2031   $500,000   $490,079   $491,518    0.5%
                                     
Total CLO Debt Securities                  $21,500,000   $20,551,266   $20,738,248    19.6%
                                     
CLO Equity Securities(6)                                     
                                     
Allegro CLO VII, Ltd.                                    
Subordinated Notes   4.12%     2/14/2019   6/13/2031   $3,100,000   $1,617,915   $802,347    0.9%
                                     
Allegro CLO 2021-2, Ltd.                                    
Subordinated Notes   19.47%     8/23/2021   10/15/2034    5,000,000    3,928,694    3,474,953    3.4%
                                     
Allegro CLO XV, LTD.                                    
Subordinated Notes   21.47%     6/10/2022   7/20/2035    4,640,000    3,365,108    3,513,350    3.3%
                                     
Anchorage Capital CLO 1-R Ltd.                                    
Subordinated Notes   8.30%     10/5/2018   4/13/2031    2,100,000    1,232,035    875,929    0.8%
                                     
Apex Credit CLO 2020 Ltd.                                    
Subordinated Notes   21.91%     11/16/2020   10/20/2031    6,170,000    5,507,886    3,904,414    3.7%
                                     
Apex Credit CLO 2021 Ltd.                                    
Subordinated Notes   19.97%     5/28/2021   7/18/2034    7,140,000    5,669,577    4,612,101    4.4%
                                     
Apex Credit CLO 2022-1A                                    
Subordinated Notes   16.16%     4/28/2022   4/22/2033    8,833,176    7,107,061    5,666,478    5.4%
                                     
Atlas Senior Loan Fund IX Ltd.                                    
Subordinated Notes(7)(8)   0.00%     10/5/2018   4/20/2028    1,200,000    432,353    110,944    0.1%

 2 

 

OFS Credit Company, Inc.

Schedule of Investments

As of July 31, 2023

(unaudited)

 

Company and

Investment(1)(2)

  Interest Rate /Effective Yield(3)   Spread Above Index(4)  Initial Acquisition Date  Maturity  

Principal

Amount

   Amortized Cost   Fair Value(5)  

Percent of

Net Assets

Atlas Senior Loan Fund X Ltd.                                    
Subordinated Notes(7)   0.00%     10/5/2018   1/15/2031   $5,000,000   $2,033,362   $595,811    0.6%
                                     
Atlas Senior Loan Fund XVII, Ltd.                                    
Subordinated Notes   23.46%     9/20/2021   10/20/2034    6,000,000    4,643,604    3,760,476    3.6%
                                     
Battalion CLO IX Ltd.                                    
Subordinated Notes - Income   8.82%     10/10/2018   7/15/2031    1,079,022    630,415    312,462    0.3%
Subordinated Notes   8.82%     10/10/2018   7/15/2031    1,770,978    1,034,640    512,839    0.5%
                    2,850,000    1,665,055    825,301    0.8%
Battalion CLO XI Ltd.                                    
Subordinated Notes   16.41%     3/20/2019   10/24/2029    5,000,000    3,916,710    3,073,997    2.9%
                                     
Battalion CLO XV Ltd.                                    
Subordinated Notes   30.99%     7/17/2023   1/17/2033    3,500,000    1,858,787    1,955,419    1.8%
Subordinated Notes   30.99%     7/17/2023   1/17/2033    3,500,000    1,858,787    1,955,419    1.8%
                    7,000,000    3,717,574    3,910,838    3.6%
Battalion CLO XIX Ltd.                                    
Subordinated Notes   23.61%     3/16/2021   4/15/2034    5,000,000    2,950,901    2,730,218    2.6%
                                     
BlueMountain Fuji U.S. CLO III, Ltd.                                    
Subordinated Notes   11.36%     9/18/2019   1/15/2030    3,701,700    2,231,840    1,214,362    1.1%
                                     
Bridge Street CLO III Ltd.                                    
Subordinated Notes   20.33%     12/28/2022   10/20/2034    6,900,000    3,725,427    4,415,204    4.2%
                                     
Crown Point CLO 4 Ltd.                                    
Subordinated Notes   8.39%     3/22/2019   4/20/2031    5,000,000    2,990,761    1,424,679    1.3%
                                     
Dryden 30 Senior Loan Fund                                    
Subordinated Notes   5.65%     10/5/2018   11/15/2028    1,000,000    323,952    137,940    0.1%

 3 

 

OFS Credit Company, Inc.

Schedule of Investments

As of July 31, 2023

(unaudited)

 

Company and

Investment(1)(2)

  Interest Rate /Effective Yield(3)   Spread Above Index(4)  Initial Acquisition Date  Maturity  

Principal

Amount

   Amortized Cost   Fair Value(5)  

Percent of

Net Assets

Dryden 38 Senior Loan Fund                                    
Subordinated Notes   5.99%     10/5/2018   7/15/2030   $2,600,000   $1,354,232   $781,455    0.7%
                                     
Dryden 41 Senior Loan Fund                                    
Subordinated Notes   4.33%     10/5/2018   4/15/2031    2,600,000    988,100    510,056    0.5%
                                     
Dryden 53 CLO, Ltd.                                    
Subordinated Notes - Income   9.54%     10/5/2018   1/15/2031    3,200,000    1,689,687    786,745    0.7%
Subordinated Notes   11.91%     10/1/2019   1/15/2031    500,000    255,052    122,929    0.1%
                    3,700,000    1,944,739    909,674    0.8%
Dryden 60 CLO, Ltd.                                    
Subordinated Notes   10.82%     4/23/2021   7/15/2031    5,950,000    4,439,676    2,924,770    2.8%
                                     
Dryden 76 CLO, Ltd.                                    
Subordinated Notes   17.88%     9/27/2019   10/20/2032    2,250,000    1,858,238    1,524,827    1.4%
                                     
Dryden 87 CLO, Ltd.                                    
Subordinated Notes   18.63%     6/2/2021   5/20/2034    5,000,000    4,302,943    3,737,766    3.5%
                                     
Dryden 95 CLO, Ltd.                                    
Subordinated Notes   18.14%     7/29/2021   8/20/2034    6,000,000    4,909,026    4,193,618    4.0%
                                     
Dryden 98 CLO, Ltd.                                    
Subordinated Notes   19.90%     3/17/2022   4/20/2035    5,500,000    4,384,312    4,044,068    3.8%
                                     
Elevation CLO 2017-7, Ltd.                                    
Subordinated Notes(7)(8)(11)   0.00%     10/5/2018   7/15/2030    2,600,464    684,363    46,078    —%
                                     
Elevation CLO 2017-8, Ltd.                                    
Subordinated Notes(7)   0.00%     10/5/2018   10/25/2030    2,000,000    831,714    346,428    0.3%

 4 

 

OFS Credit Company, Inc.

Schedule of Investments

As of July 31, 2023

(unaudited)

 

Company and

Investment(1)(2)

  Interest Rate /Effective Yield(3)   Spread Above Index(4)  Initial Acquisition Date  Maturity  

Principal

Amount

   Amortized Cost   Fair Value(5)  

Percent of

Net Assets

Elevation CLO 2021-12, Ltd.                                    
Subordinated Notes   18.74%     5/26/2021   4/20/2032   $3,500,000   $2,511,254   $1,567,799    1.5%
                                     
Elevation CLO 2021-13, Ltd.                                    
Subordinated Notes   18.41%     6/9/2021   7/15/2034    6,026,765    4,554,954    3,479,839    3.3%
                                     
Elevation CLO 2021-14, Ltd.                                    
Subordinated Notes   15.58%     10/29/2021   10/20/2034    7,237,500    5,751,162    4,373,620    4.1%
                                     
Elevation CLO 2021-15, Ltd.                                    
Subordinated Notes   16.31%     12/23/2021   1/5/2035    9,000,000    6,392,715    4,676,054    4.4%
                                     
Flatiron CLO 2017-1, Ltd.                                    
Subordinated Notes   6.38%     3/22/2019   5/15/2030    3,000,000    1,849,711    1,260,270    1.2%
                                     
Flatiron CLO 18 Ltd.                                    
Subordinated Notes   7.67%     10/5/2018   4/17/2031    4,500,000    3,146,843    2,266,298    2.1%
                                     
Greenwood Park CLO, Ltd.                                    
Subordinated Notes   2.86%     10/5/2018   4/15/2031    4,000,000    2,384,650    1,271,472    1.2%
                                     
Halcyon Loan Advisors Funding 2018-1 Ltd.                                    
Subordinated Notes   12.93%     3/20/2019   7/20/2031    3,000,000    1,859,830    911,816    0.9%
                                     
HarbourView CLO VII-R, Ltd.                                    
Subordinated Notes(7)(8)   0.00%     10/5/2018   11/18/2026    3,100,000    1,886,533    154,370    0.1%
                                     
Jamestown CLO XVI, Ltd.                                    
Subordinated Notes   21.34%     7/29/2021   7/25/2034    3,500,000    2,558,297    2,292,213    2.2%

 5 

 

OFS Credit Company, Inc.

Schedule of Investments

As of July 31, 2023

(unaudited)

 

Company and

Investment(1)(2)

  Interest Rate /Effective Yield(3)   Spread Above Index(4)  Initial Acquisition Date  Maturity  

Principal

Amount

   Amortized Cost   Fair Value(5)  

Percent of

Net Assets

LCM 31 CLO                                    
Subordinated Notes   22.01%     12/18/2020   1/20/2032   $1,350,000   $994,923   $723,261    0.7%
                                     
Madison Park Funding XXIII, Ltd.                                    
Subordinated Notes   20.03%     10/5/2018   7/27/2047    4,000,000    2,368,496    1,835,577    1.7%
                                     
Madison Park Funding XXIX, Ltd.                                    
Subordinated Notes   20.70%     12/22/2020   10/18/2047    1,000,000    624,759    566,638    0.5%
                                     
Marble Point CLO X Ltd.                                    
Subordinated Notes   4.39%     10/5/2018   10/15/2030    7,000,000    3,205,874    1,397,847    1.3%
                                     
Marble Point CLO XI Ltd.                                    
Subordinated Notes - Income   0.66%     10/5/2018   12/18/2047    1,500,000    735,235    221,969    0.2%
                                     
Marble Point CLO XX, Ltd.                                    
Subordinated Notes   17.65%     4/9/2021   4/23/2051    5,125,000    3,939,290    3,001,219    2.8%
                                     
Marble Point CLO XXI, Ltd.                                    
Subordinated Notes   17.29%     8/24/2021   10/17/2051    5,250,000    4,104,293    3,053,903    2.9%
                                     
Marble Point CLO XXIII Ltd.                                    
Subordinated Notes   17.13%     12/3/2021   1/22/2052    1,750,000    1,437,374    1,151,718    1.1%
                                     
MidOcean Credit CLO VII Ltd.                                    
Subordinated Notes - Income(7)(8)   0.00%     3/20/2019   7/15/2029    3,275,000    1,056,168    164,500    0.2%
                                     
MidOcean Credit CLO VIII Ltd.                                    
Subordinated Notes - Income   16.04%     1/14/2019   2/20/2031    3,225,000    1,978,289    1,041,021    1.0%

 6 

 

OFS Credit Company, Inc.

Schedule of Investments

As of July 31, 2023

(unaudited)

 

Company and

Investment(1)(2)

  Interest Rate /Effective Yield(3)   Spread Above Index(4)  Initial Acquisition Date  Maturity  

Principal

Amount

   Amortized Cost   Fair Value(5)  

Percent of

Net Assets

MidOcean Credit CLO IX Ltd.                                    
Subordinated Notes - Income   12.60%     11/21/2018   7/20/2031   $3,000,000   $1,742,481   $981,905    0.9%
                                     
Niagara Park CLO, Ltd.                                    
Subordinated Notes   16.71%     11/8/2019   7/17/2032    4,500,000    3,506,145    2,578,356    2.4%
                                     
Octagon Investment Partners 39, Ltd.                                    
Subordinated Notes   12.90%     2/27/2020   10/20/2030    3,600,000    2,056,057    1,236,427    1.2%
                                     
Sound Point CLO IV-R, Ltd.                                    
Subordinated Notes(7)(8)   0.00%     11/2/2018   4/18/2031    4,000,000    746,358    251,465    0.2%
                                     
Steele Creek CLO 2022-1, Ltd.                                    
Subordinated Notes   19.80%     3/28/2022   4/15/2035    5,000,000    3,665,626    3,238,969    3.1%
                                     
THL Credit Wind River 2014-3 CLO Ltd.                                    
Subordinated Notes(7)   0.00%     10/10/2018   10/22/2031    2,778,000    1,319,034    631,712    0.6%
                                     
Trinitas CLO VIII                                    
Subordinated Notes   10.22%     4/28/2021   7/20/2117    2,800,000    1,617,668    935,065    0.9%
                                     
Venture 33 CLO Limited                                    
Subordinated Notes   10.83%     3/21/2019   7/15/2031    3,150,000    1,785,672    634,961    0.6%
                                     
Vibrant CLO X Ltd.                                    
Subordinated Notes   0.64%     5/23/2019   10/20/2031    8,000,000    4,372,144    1,916,727    1.8%
                                     
Vibrant CLO XIII, Ltd.                                    
Subordinated Notes   17.17%     6/3/2021   7/15/2034    5,000,000    4,035,940    3,179,596    3.0%

 7 

 

OFS Credit Company, Inc.

Schedule of Investments

As of July 31, 2023

(unaudited)

 

Company and

Investment(1)(2)

  Interest Rate /Effective Yield(3)   Spread Above Index(4)  Initial Acquisition Date  Maturity  

Principal

Amount

   Amortized Cost   Fair Value(5)  

Percent of

Net Assets

Voya CLO 2017-4, Ltd.                                    
Subordinated Notes   6.48%     10/5/2018   10/15/2030   $1,000,000   $586,137   $261,080    0.2%
                                     
Wind River 2015-1 CLO                                    
Subordinated Notes   13.45%     4/28/2021   10/20/2030    2,600,000    1,233,063    738,738    0.7%
                                     
Webster Park CLO                                    
Subordinated Notes   7.96%     4/23/2021   1/20/2027    3,363,000    1,945,177    989,974    0.9%
                                     
Zais CLO 3, Limited                                    
Subordinated Notes - Income(7)   0.00%     10/10/2018   7/15/2031    1,038,255    540,793    147,724    0.1%
Subordinated Notes(7)   0.00%     10/10/2018   7/15/2031    1,761,745    910,272    250,663    0.2%
                    2,800,000    1,451,065    398,387    0.3%
                                     
Total CLO Equity Securities                  $255,765,605   $166,160,375   $117,452,848    110.8%
                                     
Loan Accumulation Facilities(9)                                    
                                     
Allegro CLO XVI, Ltd   14.50%     6/2/2023   5/5/2025   $623,750   $623,750   $623,750    0.6%
Loan Accumulation Facility                                    
                                     
Brightwood Capital MM CLO 2022-1, Ltd.                                    
Loan Accumulation Facility(8)   0.00%     1/5/2022   12/31/2032    7,500,000    7,500,000    7,364,250    7.0%
                                     
Total Loan Accumulation Facilities                  $8,123,750   $8,123,750   $7,988,000    7.6%
Other CLO equity-related investments                                    
CLO other(10)   19.40%                  $785,405   $896,387    0.8%
                                     
Total Investments                  $285,389,355   $195,620,796   $147,075,483    138.8%

 

 8 

 

OFS Credit Company, Inc.

Schedule of Investments

As of July 31, 2023

(unaudited)

 

(1)These investments are generally subject to certain limitations on resale, and may be deemed to be “restricted securities” under the Securities Act of 1933, as amended.
(2)We do not “control” and are not an “affiliate” of any of our portfolio investments, each as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). In general, under the 1940 Act, we would be presumed to “control” a portfolio investment if we owned 25% or more of its voting securities and would be an “affiliate” of a portfolio investment if we owned 5% or more of its voting securities.
(3)The rate disclosed on CLO equity securities is the estimated effective yield, generally established at purchase, and reevaluated upon the receipt of the initial distribution and each subsequent quarter thereafter. The estimated effective yield is based upon projected amounts and timing of future distributions and the projected amounts and timing of terminal principal payments at the time of estimation. The estimated effective yield and investment cost may ultimately not be realized. Projected cash flows, including the amounts and timing of terminal principal payments, which generally are projected to occur prior to the contractual maturity date, were utilized in deriving the effective yield of the investments. The rates disclosed on CLO debt securities reflect the contractual interest rate, and exclude yield related to accretion of discounts. The rate disclosed on Loan Accumulation Facilities represents the estimated yield to be earned on the investment through estimated redemption. As of July 31, 2023, the Company’s weighted-average effective yield on its total investments, based on current amortized cost, was 14.11% (excludes discount accretion on CLO debt investments).
(4)CLO debt securities bear interest at a rate determined by reference to three-month SOFR which resets quarterly. The rate provided for each CLO debt security is as of July 31, 2023.
(5)The fair value of all investments was determined in good faith by OFS Advisor using significant, unobservable inputs.
(6)Subordinated notes and income notes are considered CLO equity securities. CLO equity securities are entitled to recurring distributions, which are generally equal to the residual cash flow payments made by underlying securities less contractual payments to debt holders and fund expenses, subject to compliance with coverage tests and other provisions of the respective CLO indenture, as applicable.
(7)As of July 31, 2023, the effective accretable yield has been estimated to be 0%, as the aggregate amount of projected distributions, including projected distributions related to liquidation of the underlying portfolio upon the security’s anticipated redemption, is equal to or less than current amortized cost. Projected distributions are monitored and re-evaluated quarterly. All actual distributions received will be recognized as reductions to amortized cost until such time, if and when occurring, a future aggregate amount of then-projected distributions exceeds the security’s then-current amortized cost.
(8)Non-income producing.
(9)Loan Accumulation Facilities are financing structures intended to aggregate loans that are expected to form part of the portfolio of a future CLO. Investments in Loan Accumulation Facilities generally earn returns equal to the actual income earned on facility assets less costs and fees incurred on senior financing and manager costs. Income and return of capital distributions from investments in Loan Accumulation Facilities are generally received upon the earlier of the closing of the CLO securitization or liquidation of the underlying portfolio.
(10)Fair value represents discounted cash flows associated with fees earned from CLO equity-related investments.
(11)As of July 31, 2023, the investment has been optionally redeemed and is in the process of liquidating. Remaining residual distributions are anticipated to be recognized as return of capital.

 9 

 

 

OFS Credit (NASDAQ:OCCI)
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から 6 2023 まで 6 2024 OFS Creditのチャートをもっと見るにはこちらをクリック