NPORT-EX 2 fp0062132_nportex.htm

OFS Credit Company, Inc.

Schedule of Investments

January 31, 2021

(unaudited)

 

Company and
Investment		  Effective Yield (3)   Initial Acquisition Date  Maturity (6)   Principal
Amount		   Amortized Cost   Fair Value (5)   Percent of
Net Assets		 
Structured Finance (1) (2) (7)                                 
Allegro CLO VII, Ltd.                                 
Subordinated Notes   12.94%  2/14/2019   6/13/2031   $3,100,000   $2,321,568   $2,005,830    3.8%
                                  
Anchorage Capital CLO 1-R Ltd.                                 
Subordinated Notes   16.92%  10/5/2018   4/13/2031    2,100,000    1,648,560    1,648,351    3.2 
                                  
Apex Credit CLO 2020                                 
Subordinated Notes   14.16%  11/16/2020   11/19/2031    6,170,000    5,330,953    5,421,191    10.4 
                                  
Atlas Senior Loan Fund X Ltd.                                 
Subordinated Notes   3.88%  10/5/2018   1/15/2031    5,000,000    3,187,867    1,971,545    3.8 
                                  
Atlas Senior Loan Fund IX Ltd.                                 
Subordinated Notes (4)   —%  10/5/2018   4/20/2028    1,200,000    584,177    272,008    0.5 
                                  
Battalion CLO IX Ltd.                                 
Income Notes   22.17%  10/10/2018   7/15/2031    1,079,022    707,046    712,873    1.4 
Subordinated Notes   22.18%  10/10/2018   7/15/2031    1,770,978    1,160,347    1,170,025    2.2 
                 2,850,000    1,867,394    1,882,899    3.6 
Battalion CLO XI Ltd.                                 
Subordinated Notes   21.63%  3/20/2019   10/24/2029    5,000,000    3,941,993    4,044,094    7.8 
                                  
BlueMountain Fuji U.S. CLO III, Ltd.                                 
Subordinated Notes   20.31%  9/18/2019   1/15/2030    3,701,700    2,670,930    2,530,354    4.8 
                                  
Crown Point CLO 4 Ltd.                                 
Subordinated Notes   13.45%  3/22/2019   4/20/2031    5,000,000    3,968,270    3,443,032    6.6 

 

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OFS Credit Company, Inc.

Schedule of Investments

January 31, 2021

(unaudited)

 

Company and
Investment		  Effective
Yield (3)		   Initial Acquisition Date  Maturity (6)   Principal
Amount		   Amortized Cost   Fair Value (5)   Percent of
Net Assets		 
Dryden 30 Senior Loan Fund                                 
Subordinated Notes   2.91%  10/5/2018   11/15/2028    1,000,000    450,306    435,527    0.8 
                                  
Dryden 38 Senior Loan Fund                                 
Subordinated Notes   13.65%  10/5/2018   7/15/2030    2,600,000    1,687,109    1,615,337    3.1 
                                  
Dryden 41 Senior Loan Fund                                 
Subordinated Notes   15.72%  10/5/2018   4/15/2031    2,600,000    1,543,114    1,516,428    2.9 
                                  
Dryden 53 CLO, Ltd.                                 
Income Notes   18.79%  10/5/2018   1/15/2031    3,200,000    2,275,216    2,262,973    4.3 
Subordinated Notes   23.24%  10/1/2019   1/15/2031    500,000    328,379    353,590    0.7 
                 3,700,000    2,603,594    2,616,563    5.0 
Dryden 76 CLO, Ltd.                                 
Subordinated Notes   17.90%  9/27/2019   10/20/2032    2,250,000    1,797,032    1,828,037    3.5 
                                  
Elevation CLO 2017-7, Ltd.                                 
Subordinated Notes   11.95%  10/5/2018   7/15/2030    4,750,000    3,238,480    2,861,782    5.5 
                                  
Elevation CLO 2017-8, Ltd.                                 
Subordinated Notes   10.22%  10/5/2018   10/25/2030    2,000,000    1,363,811    1,078,764    2.1 
                                  
TCI-Flatiron CLO 2017-1, Ltd.                                 
Subordinated Notes   19.45%  3/22/2019   5/15/2030    3,000,000    1,942,644    2,058,502    3.9 
                                  
Flatiron CLO 18 Ltd.                                 
Subordinated Notes   16.76%  10/5/2018   4/17/2031    4,500,000    3,567,522    3,614,683    7.0 
                                  
Greenwood Park CLO, Ltd.                                 
Subordinated Notes   12.77%  10/5/2018   4/15/2031    4,000,000    3,141,415    3,019,891    5.8 

 

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OFS Credit Company, Inc.

Schedule of Investments

January 31, 2021

(unaudited)

 

Company and
Investment		   Effective Yield (3)   Initial Acquisition Date   Maturity (6)   Principal
Amount		   Amortized Cost    Fair Value (5)   Percent of
Net Assets		 
Halcyon Loan Advisors Funding 2018-1 Ltd.                                 
Subordinated Notes   15.11%  3/20/2019   7/20/2031    3,000,000    2,232,402    1,853,757    3.5 
                                  
HarbourView CLO VII-R, Ltd.                                 
Subordinated Notes (4)   —%   10/5/2018   11/18/2026    3,100,000    1,886,533    145,380    0.3 
                                  
Madison Park Funding XXIII, Ltd.                                 
Subordinated Notes   16.93%  10/5/2018   7/27/2047    4,000,000    2,917,048    2,780,617    5.3 
                                  
Madison Park Funding XXIX, Ltd.                                 
Subordinated Notes   18.81%  12/22/2020   10/18/2047    1,000,000    756,240    763,577    1.5 
                                  
Marble Point CLO X Ltd.                                 
Subordinated Notes   5.26%  10/5/2018   10/15/2030    7,000,000    4,707,136    3,264,981    6.2 
                                  
Marble Point CLO XI Ltd.                                 
Income Notes   3.06%  10/5/2018   12/18/2047    1,500,000    1,107,687    694,649    1.3 
                                  
MidOcean Credit CLO VII Ltd.                                 
Income Notes (4)   —%   3/20/2019   7/15/2029    3,275,000    1,901,335    1,252,985    2.4 
                                  
MidOcean Credit CLO VIII Ltd.                                 
Income Notes   18.02%  1/14/2019   2/20/2031    3,225,000    2,338,141    2,207,384    4.2 
                                  
MidOcean Credit CLO IX Ltd.                                 
Income Notes   14.27%  11/21/2018   7/20/2031    3,000,000    2,018,444    1,835,160    3.5 
                                  
Niagara Park CLO, Ltd.                                 
Subordinated Notes   19.64%  11/8/2019   7/17/2032    2,000,000    1,497,762    1,695,375    3.2 
                                  

 

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OFS Credit Company, Inc.

Schedule of Investments

January 31, 2021

(unaudited)

 

Company and
Investment		   Effective Yield (3)   Initial Acquisition Date   Maturity (6)   Principal
Amount		   Amortized Cost    Fair Value (5)   Percent of
Net Assets		 
Octagon Investment Partners 39, Ltd.                                 
Subordinated Notes   24.08%  2/27/2020   10/20/2030    3,600,000    2,394,101    2,834,143    5.4 
                                  
Sound Point CLO IV-R, Ltd.                                 
Subordinated Notes   5.74%  11/2/2018   4/18/2031    4,000,000    1,388,262    1,007,234    1.9 
                                  
THL Credit Wind River 2014-3 CLO Ltd.                                 
Subordinated Notes   9.56%  10/10/2018   10/22/2031    2,778,000    1,889,061    1,336,858    2.6 
                                  
Venture 33 CLO Limited                                 
Subordinated Notes   8.49%  3/21/2019   7/15/2031    3,150,000    2,285,800    1,425,928    2.7 
                                  
Vibrant CLO X Ltd.                                 
Subordinated Notes   15.76%  5/23/2019   10/20/2031    5,000,000    3,455,764    3,066,883    5.9 
                                  
Voya CLO 2017-4, Ltd.                                 
Subordinated Notes   7.50%  10/5/2018   10/15/2030    1,000,000    775,400    604,932    1.2 
                                  
ZAIS CLO 3, Limited                                 
Income Notes   9.09%  10/10/2018   7/15/2031    1,038,255    678,717    273,803    0.5 
Subordinated Notes   9.09%  10/10/2018   7/15/2031    1,761,745    1,151,670    464,597    0.9 
                 2,800,000    1,830,387    738,400    1.4 
                                  
Total Structured Finance Notes               $117,949,700   $82,238,242   $71,373,059    136.6%

 

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OFS Credit Company, Inc.

Schedule of Investments

January 31, 2021

(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)Structured finance investments, including income notes and subordinated notes, are considered CLO subordinated debt positions. CLO subordinated debt positions are entitled to recurring distributions which are generally equal to the remaining cash flow of payments made by underlying securities less contractual payments to debt holders and fund expenses. These securities are colloquially referred to as CLO equity.
(3)The rate disclosed 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. As of January 31, 2021, the Company's weighted-average effective yield on its aggregate CLO structured finance positions, based on current amortized cost, was 13.47%.
(4)As of January 31, 2021, 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.
(5)The fair value of all investments was determined using significant, unobservable inputs, and was determined in good faith by the board of directors of the Company.
(6)Maturity date represents the contractual maturity date of the CLO subordinated debt positions. Projected cash flows, including the projected amount and timing of terminal principal payments which may be projected to occur prior to the contractual maturity date, were utilized in deriving the effective yield of the investments.
(7)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.

 

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