NPORT-EX 2 fp0078653_nportex.htm

OFS Credit Company, Inc.

Schedule of Investments

July 31, 2022

(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                                    
                                     
LCM 31 CLO                                    
Mezzanine Debt - Class E   9.79%  (L +7.08%)  12/18/2020   1/20/2032   $250,000   $248,182   $233,549    0.3%
                                     
VCP CLO II                                    
Mezzanine Debt - Class E   10.91%  (L +8.40%)  2/19/2021   4/15/2031    500,000    487,972    468,680    0.5 
                                     
Total CLO Debt Securities                  $750,000   $736,154   $702,229    0.8%
                                     
CLO Equity Securities (6)                                     
                                     
Allegro CLO VII, Ltd.                                    
Subordinated Notes   14.09%     2/14/2019   6/13/2031   $3,100,000   $1,867,637   $1,185,054    1.2%
                                     
Allegro CLO 2021-2, Ltd.                                    
Subordinated Notes   17.68%     8/23/2021   10/15/2034    5,000,000    3,949,463    3,613,826    3.9 
                                     
Allegro CLO XV, LTD.                                    
Subordinated Notes   15.81%     6/10/2022   7/20/2035    4,640,000    4,085,480    4,085,480    4.4 
                                     
Anchorage Capital CLO 1-R Ltd.                                    
Subordinated Notes   16.21%     10/5/2018   4/13/2031    2,100,000    1,397,338    1,174,614    1.3 
                                     
Apex Credit CLO 2020 Ltd.                                    
Subordinated Notes   18.37%     11/16/2020   10/20/2031    6,170,000    5,200,282    4,684,755    5.1 

 

1 

 

OFS Credit Company, Inc.

Schedule of Investments

July 31, 2022

(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

 
Apex Credit CLO 2021 Ltd.                                    
Subordinated Notes   15.84%     5/28/2021   7/18/2034    7,140,000    5,693,406    4,788,482    5.2 
                                     
Apex Credit CLO 2022-1A                                    
Subordinated Notes   13.36%     4/28/2022   4/22/2033    8,833,176    7,239,140    7,239,140    7.8 
                                     
Atlas Senior Loan Fund IX Ltd.                                    
Subordinated Notes (7) (8)   0.00%     10/5/2018   4/20/2028    1,200,000    460,137    119,078    0.1 
                                     
Atlas Senior Loan Fund X Ltd.                                    
Subordinated Notes   9.42%     10/5/2018   1/15/2031    5,000,000    2,319,097    1,281,279    1.4 
                                     
Atlas Senior Loan Fund XVII, Ltd.                                    
Subordinated Notes   19.75%     9/20/2021   10/20/2034    6,000,000    4,632,971    4,521,098    4.9 
                                     
Battalion CLO IX Ltd.                                    
Subordinated Notes - Income   18.97%     10/10/2018   7/15/2031    1,079,022    665,273    471,188    0.5 
Subordinated Notes   18.98%     10/10/2018   7/15/2031    1,770,978    1,091,837    773,352    0.8 
                    2,850,000    1,757,110    1,244,540    1.3 
Battalion CLO XI Ltd.                                    
Subordinated Notes   20.05%     3/20/2019   10/24/2029    5,000,000    3,989,276    3,615,524    3.9 
                                     
Battalion CLO XIX Ltd.                                    
Subordinated Notes   23.39%     3/16/2021   4/15/2034    5,000,000    2,944,665    3,161,079    3.4 
                                     
BlueMountain Fuji U.S. CLO III, Ltd.                                    
Subordinated Notes   21.32%     9/18/2019   1/15/2030    3,701,700    2,442,251    1,904,166    2.1 
                                     

 

2 

 

OFS Credit Company, Inc.

Schedule of Investments

July 31, 2022

(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

 
Crown Point CLO 4 Ltd.                                    
Subordinated Notes   13.13%     3/22/2019   4/20/2031    5,000,000    3,314,738    2,104,961    2.3 
                                     
Dryden 30 Senior Loan Fund                                    
Subordinated Notes   48.95%     10/5/2018   11/15/2028    1,000,000    344,134    206,174    0.2 
                                     
Dryden 38 Senior Loan Fund                                    
Subordinated Notes   15.92%     10/5/2018   7/15/2030    2,600,000    1,435,015    1,011,673    1.1 
                                     
Dryden 41 Senior Loan Fund                                    
Subordinated Notes   19.87%     10/5/2018   4/15/2031    2,600,000    1,103,145    813,003    0.9 
                                     
Dryden 53 CLO, Ltd.                                    
Subordinated Notes - Income   21.59%     10/5/2018   1/15/2031    3,200,000    1,860,997    1,341,334    1.5 
Subordinated Notes   25.13%     10/1/2019   1/15/2031    500,000    275,708    209,583    0.2 
                    3,700,000    2,136,705    1,550,917    1.7 
Dryden 60 CLO, Ltd.                                    
Subordinated Notes   19.24%     4/23/2021   7/15/2031    5,950,000    4,535,878    3,758,565    4.1 
                                     
Dryden 76 CLO, Ltd.                                    
Subordinated Notes   19.59%     9/27/2019   10/20/2032    2,250,000    1,725,260    1,569,932    1.7 
                                     
Dryden 87 CLO, Ltd.                                    
Subordinated Notes   17.46%     6/2/2021   5/20/2034    5,000,000    4,332,873    3,964,637    4.3 
                                     
Dryden 95 CLO, Ltd.                                    
Subordinated Notes   18.02%     7/29/2021   8/20/2034    6,000,000    4,891,877    4,508,015    4.9 
                                     

 

3 

 

OFS Credit Company, Inc.

Schedule of Investments

July 31, 2022

(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 98 CLO, Ltd.                                    
Subordinated Notes   14.00%     3/17/2022   4/20/2035    5,500,000    5,237,813    5,237,813    5.7 
                                     
Elevation CLO 2017-7, Ltd.                                    
Subordinated Notes (7) (8)   0.00%     10/5/2018   7/15/2030    2,800,897    884,797    253,469    0.3 
                                     
Elevation CLO 2017-8, Ltd.                                    
Subordinated Notes   13.35%     10/5/2018   10/25/2030    2,000,000    1,024,929    601,961    0.7 
                                     
Elevation CLO 2021-12, Ltd.                                    
Subordinated Notes   19.95%     5/26/2021   4/20/2032    3,500,000    2,470,575    1,953,329    2.1 
                                     
Elevation CLO 2021-13, Ltd.                                    
Subordinated Notes   18.81%     6/9/2021   7/15/2034    6,026,765    4,529,107    4,061,672    4.4 
                                     
Elevation CLO 2021-14, Ltd.                                    
Subordinated Notes   17.66%     10/29/2021   10/20/2034    7,237,500    5,698,060    5,276,611    5.7 
                                     
Elevation CLO 2021-15, Ltd.                                    
Subordinated Notes   17.94%     12/6/2021   1/5/2035    9,000,000    6,253,245    5,801,154    6.3 
                                     
Flatiron CLO 2017-1, Ltd.                                    
Subordinated Notes   21.41%     3/22/2019   5/15/2030    3,000,000    1,902,855    1,532,443    1.7 
                                     
Flatiron CLO 18 Ltd.                                    
Subordinated Notes   18.20%     10/5/2018   4/17/2031    4,500,000    3,256,950    2,585,846    2.8 
                                     
Greenwood Park CLO, Ltd.                                    
Subordinated Notes   16.77%     10/5/2018   4/15/2031    4,000,000    2,658,797    2,214,957    2.4 
                                     

 

4 

 

OFS Credit Company, Inc.

Schedule of Investments

July 31, 2022

(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

 
Halcyon Loan Advisors Funding 2018-1 Ltd.                                    
Subordinated Notes   19.22%     3/20/2019   7/20/2031    3,000,000    1,935,608    1,349,608    1.5 
                                     
HarbourView CLO VII-R, Ltd.                                    
Subordinated Notes (7) (8)   0.00%     10/5/2018   11/18/2026    3,100,000    1,886,533    143,759    0.2 
                                     
Jamestown CLO XVI, Ltd.                                    
Subordinated Notes   20.12%     7/29/2021   7/25/2034    3,500,000    2,374,989    2,208,062    2.4 
                                     
LCM 31 CLO                                    
Subordinated Notes   24.59%     12/18/2020   1/20/2032    1,350,000    975,138    951,757    1.0 
                                     
Madison Park Funding XXIII, Ltd.                                    
Subordinated Notes   16.53%     10/5/2018   7/27/2047    4,000,000    2,569,276    2,129,539    2.3 
                                     
Madison Park Funding XXIX, Ltd.                                    
Subordinated Notes   17.60%     12/22/2020   10/18/2047    1,000,000    657,994    597,874    0.6 
                                     
Marble Point CLO X Ltd.                                    
Subordinated Notes   10.33%     10/5/2018   10/15/2030    7,000,000    3,640,846    1,862,468    2.0 
                                     
Marble Point CLO XI Ltd.                                    
Subordinated Notes - Income   6.87%     10/5/2018   12/18/2047    1,500,000    809,133    371,721    0.4 
                                     
Marble Point CLO XX, Ltd.                                    
Subordinated Notes   15.27%     4/9/2021   4/23/2051    5,125,000    3,943,541    3,214,124    3.5 

 

5 

 

OFS Credit Company, Inc.

Schedule of Investments

July 31, 2022

(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

 
Marble Point CLO XXI, Ltd.                                    
Subordinated Notes   15.20%     8/24/2021   10/17/2051    5,250,000    4,150,963    3,424,681    3.7 
                                     
Marble Point CLO XXIII Ltd.                                    
Subordinated Notes   14.44%     12/3/2021   1/22/2052    1,750,000    1,443,678    1,214,786    1.3 
                                     
MidOcean Credit CLO VII Ltd.                                    
Subordinated Notes - Income (7) (8)   0.00%     3/20/2019   7/15/2029    3,275,000    1,228,875    359,937    0.4 
                                     
MidOcean Credit CLO VIII Ltd.                                    
Subordinated Notes - Income   17.13%     1/14/2019   2/20/2031    3,225,000    2,066,858    1,471,214    1.6 
                                     
MidOcean Credit CLO IX Ltd.                                    
Subordinated Notes - Income   18.30%     11/21/2018   7/20/2031    3,000,000    1,795,050    1,275,874    1.4 
                                     
Niagara Park CLO, Ltd.                                    
Subordinated Notes   21.18%     11/8/2019   7/17/2032    4,500,000    3,440,970    3,380,772    3.7 
                                     
Octagon Investment Partners 39, Ltd.                                    
Subordinated Notes   23.84%     2/27/2020   10/20/2030    3,600,000    2,121,257    1,799,202    1.9 
                                     
Sound Point CLO IV-R, Ltd.                                    
Subordinated Notes   7.66%     11/2/2018   4/18/2031    4,000,000    895,528    362,943    0.4 
                                     
Steele Creek CLO 2022-1, Ltd.                                    
Subordinated Notes   20.54%     3/1/2022   4/15/2035    5,000,000    3,592,316    3,424,831    3.7 
                                     
THL Credit Wind River 2014-3 CLO Ltd.                                    
Subordinated Notes   14.00%     10/10/2018   10/22/2031    2,778,000    1,455,300    947,991    1.0 
                                     

 

6 

 

OFS Credit Company, Inc.

Schedule of Investments

July 31, 2022

(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

 
Trinitas CLO VIII                                    
Subordinated Notes   24.19%     4/28/2021   7/20/2117    2,800,000    1,576,158    1,262,669    1.4 
                                     
Venture 33 CLO Limited                                    
Subordinated Notes   24.94%     3/21/2019   7/15/2031    3,150,000    1,859,906    1,137,291    1.2 
                                     
Vibrant CLO X Ltd.                                    
Subordinated Notes   18.10%     5/23/2019   10/20/2031    8,000,000    4,429,893    2,992,671    3.2 
                                     
Vibrant CLO XIII, Ltd.                                    
Subordinated Notes   14.86%     6/3/2021   7/15/2034    5,000,000    4,106,179    3,307,654    3.6 
                                     
Voya CLO 2017-4, Ltd.                                    
Subordinated Notes   16.15%     10/5/2018   10/15/2030    1,000,000    637,237    367,460    0.4 
                                     
Wind River 2015-1 CLO                                    
Subordinated Notes   25.87%     4/28/2021   10/20/2030    2,600,000    1,214,342    1,014,980    1.1 
                                     
Webster Park CLO                                    
Subordinated Notes   19.42%     4/23/2021   1/20/2027    3,363,000    2,078,512    1,783,052    1.9 
                                     
Zais CLO 3, Limited                                    
Subordinated Notes - Income   11.56%     10/10/2018   7/15/2031    1,038,255    545,231    204,909    0.2 
Subordinated Notes   11.56%     10/10/2018   7/15/2031    1,761,745    925,130    347,696    0.4 
                    2,800,000    1,470,361    552,605    0.6 
                                     

 

7 

 

OFS Credit Company, Inc.

Schedule of Investments

July 31, 2022

(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

 
Total CLO Equity Securities                  $242,066,038   $164,071,447   $134,534,772    145.7%
                                     
Loan Accumulation Facilities (9)                                    
                                     
Anchorage Capital CLO 26, Ltd.                                    
Loan Accumulation Facility   14.50%     5/16/2022   5/16/2024   $531,250   $531,250   $531,250    0.6%
                                     
Brightwood Capital MM CLO 2022-1, Ltd.                                    
Loan Accumulation Facility   14.50%     1/5/2022   12/31/2032    7,500,000    7,500,000    7,500,000    8.1 
                                     
Marble Point CLO XXV Ltd.                                    
Loan Accumulation Facility   14.50%     4/4/2022   3/2/2023    4,000,000    4,000,000    4,000,000    4.3 
                                     
Total Loan Accumulation Facilities                  $12,031,250   $12,031,250   $12,031,250    13.0%
                                     
Other CLO equity-related investments                                    
CLO other (10)   19.04%                  $547,610   $634,955    0.7%
                                     
Total Investments                  $254,847,288   $177,386,461   $147,903,206    160.2%

 

(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. In general, under the Investment Company Act of 1940, as amended, 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.

 

8 

 

(3)The rate disclosed on CLO equity securities is the estimated effective yield, generally established at purchase and re-evaluated upon receipt of distributions, and based upon projected amounts and timing of future distributions and the projected amount 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 amount 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 reflects the contractual interest rate. The rate disclosed on Loan Accumulation Facilities represents the estimated yield to be earned on the investment. As of July 31, 2022, the Company's weighted-average effective yield on its total investments, based on current amortized cost, was 16.86%.
(4)CLO debt securities bear interest at a rate determined by reference to three-month LIBOR (L) which resets quarterly. The rate provided for each CLO debt security is as of July 31, 2022.
(5)The fair value of all investments was determined in good faith by the board of directors of the Company 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 remaining cash flow payments made by underlying securities less contractual payments to debt holders and fund expenses.
(7)As of July 31, 2022, 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 optional redemption, is less than current amortized cost. Projected distributions are periodically monitored and re-evaluated. All actual distributions 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.

 

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