NPORT-EX 2 fp0082386-1_nportex.htm

OFS Credit Company, Inc.

Schedule of Investments

As of January 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   13.21%  (SOFR + 9.43%)  10/13/2022   10/19/2035   $2,000,000   $1,848,084   $1,848,084    1.8%
                                     
Carlyle US CLO 2022-6, Ltd.                                    
Mezzanine Debt - Class E   13.10%  (SOFR + 8.63%)  12/9/2022   10/25/2034    1,000,000    951,516    951,516    0.9 
                                     
LCM 31 CLO                                    
Mezzanine Debt - Class E   11.89%  (L + 7.08%)  12/18/2020   1/20/2032    250,000    248,413    239,421    0.2 
                                     
PPM CLO 6 Ltd.                                    
Mezzanine Debt - Class E   12.72%  (SOFR + 8.21%)  12/20/2022   1/20/2031    1,000,000    913,434    913,434    0.9 
                                     
VCP CLO II                                    
Mezzanine Debt - Class E   13.23%  (L + 8.40%)  2/19/2021   4/15/2031    500,000    489,034   $475,063    0.5 
                                     
Total CLO Debt Securities                  $4,750,000   $4,450,481   $4,427,518    4.3%
                                     
CLO Equity Securities(6)                                     
                                     
Allegro CLO VII, Ltd.                                    
Subordinated Notes   6.25%     2/14/2019   6/13/2031   $3,100,000   $1,840,328   $1,054,605    1.1%
                                     
Allegro CLO 2021-2, Ltd.                                    
Subordinated Notes   16.99%     8/23/2021   10/15/2034    5,000,000    4,073,175    3,807,557    3.9 
                                     
Allegro CLO XV, LTD.                                    
Subordinated Notes   18.93%     6/10/2022   7/20/2035    4,640,000    3,565,986    4,061,252    4.0 

1

 

OFS Credit Company, Inc.

Schedule of Investments

As of January 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

Anchorage Capital CLO 1-R Ltd.                                    
Subordinated Notes   7.60%     10/5/2018   4/13/2031   $2,100,000   $1,361,614   $1,090,825    1.1%
                                     
Apex Credit CLO 2020 Ltd.                                    
Subordinated Notes   20.28%     11/16/2020   10/20/2031    6,170,000    5,457,134    4,622,640    4.6 
                                     
Apex Credit CLO 2021 Ltd.                                    
Subordinated Notes   17.59%     5/28/2021   7/18/2034    7,140,000    5,873,311    5,248,746    5.2 
                                     
Apex Credit CLO 2022-1A                                    
Subordinated Notes   16.28%     4/28/2022   4/22/2033    8,833,176    6,982,532    7,408,265    7.3 
                                     
Atlas Senior Loan Fund IX Ltd.                                    
Subordinated Notes(7)(8)   0.00%     10/5/2018   4/20/2028    1,200,000    452,476    131,830    0.1 
                                     
Atlas Senior Loan Fund X Ltd.                                    
Subordinated Notes   5.79%     10/5/2018   1/15/2031    5,000,000    2,188,292    964,170    1.0 
                                     
Atlas Senior Loan Fund XVII, Ltd.                                    
Subordinated Notes   21.18%     9/20/2021   10/20/2034    6,000,000    4,769,077    4,654,730    4.6 
                                     
Battalion CLO IX Ltd.                                    
Subordinated Notes - Income   13.56%     10/10/2018   7/15/2031    1,079,022    667,169    402,835    0.4 
Subordinated Notes   13.56%     10/10/2018   7/15/2031    1,770,978    1,094,966    661,165    0.7 
                    2,850,000    1,762,135    1,064,000    1.1 
Battalion CLO XI Ltd.                                    
Subordinated Notes   17.45%     3/20/2019   10/24/2029    5,000,000    4,056,752    3,645,565    3.6 
                                     
Battalion CLO XIX Ltd.                                    
Subordinated Notes   22.87%     3/16/2021   4/15/2034    5,000,000    3,020,336    3,162,382    3.1 

2

 

OFS Credit Company, Inc.

Schedule of Investments

As of January 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

BlueMountain Fuji U.S. CLO III, Ltd.                                    
Subordinated Notes   10.50%     9/18/2019   1/15/2030   $3,701,700   $2,428,033   $1,732,509    1.7%
                                     
Bridge Street CLO III Ltd.                                    
Subordinated Notes   16.83%     12/28/2022   10/20/2034    6,900,000    3,645,147    3,645,147    3.6 
                                     
Crown Point CLO 4 Ltd.                                    
Subordinated Notes   11.87%     3/22/2019   4/20/2031    5,000,000    3,232,271    1,882,213    1.9 
                                     
Dryden 30 Senior Loan Fund                                    
Subordinated Notes   5.33%     10/5/2018   11/15/2028    1,000,000    349,088    180,152    0.2 
                                     
Dryden 38 Senior Loan Fund                                    
Subordinated Notes   15.89%     10/5/2018   7/15/2030    2,600,000    1,434,881    990,379    1.0 
                                     
Dryden 41 Senior Loan Fund                                    
Subordinated Notes   20.03%     10/5/2018   4/15/2031    2,600,000    1,061,797    710,970    0.7 
                                     
Dryden 53 CLO, Ltd.                                    
Subordinated Notes - Income   18.13%     10/5/2018   1/15/2031    3,200,000    1,848,077    1,149,513    1.1 
Subordinated Notes   21.17%     10/1/2019   1/15/2031    500,000    276,944    179,611    0.2 
                    3,700,000    2,125,021    1,329,124    1.3 
Dryden 60 CLO, Ltd.                                    
Subordinated Notes   18.30%     4/23/2021   7/15/2031    5,950,000    4,609,144    3,837,961    3.8 
                                     
Dryden 76 CLO, Ltd.                                    
Subordinated Notes   19.59%     9/27/2019   10/20/2032    2,250,000    1,846,972    1,749,365    1.7 
                                     

 

3

 

OFS Credit Company, Inc.

Schedule of Investments

As of January 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 87 CLO, Ltd.                                    
Subordinated Notes   18.78%     6/2/2021   5/20/2034    5,000,000    4,353,370    4,400,843    4.3 
                                     
Dryden 95 CLO, Ltd.                                    
Subordinated Notes   18.69%     7/29/2021   8/20/2034   $6,000,000   $4,910,714   $5,045,333    5.0%
                                     
Dryden 98 CLO, Ltd.                                    
Subordinated Notes   20.16%     3/17/2022   4/20/2035    5,500,000    4,464,199    5,033,910    5.0 
                                     
Elevation CLO 2017-7, Ltd.                                    
Subordinated Notes(7)(8)(11)   0.00%     10/5/2018   7/15/2030    2,605,080    688,979    46,078    — 
                                     
Elevation CLO 2017-8, Ltd.                                    
Subordinated Notes   4.75%     10/5/2018   10/25/2030    2,000,000    967,141    443,537    0.4 
                                     
Elevation CLO 2021-12, Ltd.                                    
Subordinated Notes   18.37%     5/26/2021   4/20/2032    3,500,000    2,542,537    1,923,753    1.9 
                                     
Elevation CLO 2021-13, Ltd.                                    
Subordinated Notes   17.45%     6/9/2021   7/15/2034    6,026,765    4,644,405    4,398,647    4.3 
                                     
Elevation CLO 2021-14, Ltd.                                    
Subordinated Notes   15.71%     10/29/2021   10/20/2034    7,237,500    5,855,818    5,317,532    5.2 
                                     
Elevation CLO 2021-15, Ltd.                                    
Subordinated Notes   16.67%     12/23/2021   1/5/2035    9,000,000    6,490,248    5,889,669    5.8 
                                     
Flatiron CLO 2017-1, Ltd.                                    
Subordinated Notes   20.25%     3/22/2019   5/15/2030    3,000,000    1,908,971    1,531,309    1.5 

4

 

OFS Credit Company, Inc.

Schedule of Investments

As of January 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

Flatiron CLO 18 Ltd.                                    
Subordinated Notes   15.70%     10/5/2018   4/17/2031    4,500,000    3,305,823    2,656,839    2.6 
                                     
Greenwood Park CLO, Ltd.                                    
Subordinated Notes   8.21%     10/5/2018   4/15/2031   $4,000,000   $2,621,429   $1,878,444    1.9%
                                     
Halcyon Loan Advisors Funding 2018-1 Ltd.                                    
Subordinated Notes   18.57%     3/20/2019   7/20/2031    3,000,000    1,951,986    1,176,147    1.2 
                                     
HarbourView CLO VII-R, Ltd.                                    
Subordinated Notes(7)(8)   0.00%     10/5/2018   11/18/2026    3,100,000    1,886,533    120,561    0.1 
                                     
Jamestown CLO XVI, Ltd.                                    
Subordinated Notes   19.63%     7/29/2021   7/25/2034    3,500,000    2,557,638    2,456,735    2.4 
                                     
LCM 31 CLO                                    
Subordinated Notes   24.22%     12/18/2020   1/20/2032    1,350,000    1,010,675    883,950    0.9 
                                     
Madison Park Funding XXIII, Ltd.                                    
Subordinated Notes   19.89%     10/5/2018   7/27/2047    4,000,000    2,540,446    2,274,388    2.2 
                                     
Madison Park Funding XXIX, Ltd.                                    
Subordinated Notes   21.85%     12/22/2020   10/18/2047    1,000,000    658,609    612,879    0.6 
                                     
Marble Point CLO X Ltd.                                    
Subordinated Notes   13.29%     10/5/2018   10/15/2030    7,000,000    3,485,013    1,660,047    1.6 
                                     
Marble Point CLO XI Ltd.                                    
Subordinated Notes - Income   9.91%     10/5/2018   12/18/2047    1,500,000    768,417    316,221    0.3 

5

 

OFS Credit Company, Inc.

Schedule of Investments

As of January 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

Marble Point CLO XX, Ltd.                                    
Subordinated Notes   15.48%     4/9/2021   4/23/2051    5,125,000    4,029,641    3,456,877    3.4 
                                     
Marble Point CLO XXI, Ltd.                                    
Subordinated Notes   15.46%     8/24/2021   10/17/2051   $5,250,000   $4,208,940   $3,675,027    3.6%
                                     
Marble Point CLO XXIII Ltd.                                    
Subordinated Notes   14.98%     12/3/2021   1/22/2052    1,750,000    1,463,539    1,336,058    1.3 
                                     
MidOcean Credit CLO VII Ltd.                                    
Subordinated Notes - Income(7)(8)   0.00%     3/20/2019   7/15/2029    3,275,000    1,135,920    171,257    0.2 
                                     
MidOcean Credit CLO VIII Ltd.                                    
Subordinated Notes - Income   21.32%     1/14/2019   2/20/2031    3,225,000    2,045,962    1,410,503    1.4 
                                     
MidOcean Credit CLO IX Ltd.                                    
Subordinated Notes - Income   18.97%     11/21/2018   7/20/2031    3,000,000    1,826,907    1,254,039    1.2 
                                     
Niagara Park CLO, Ltd.                                    
Subordinated Notes   18.55%     11/8/2019   7/17/2032    4,500,000    3,573,906    3,401,495    3.4 
                                     
Octagon Investment Partners 39, Ltd.                                    
Subordinated Notes   19.49%     2/27/2020   10/20/2030    3,600,000    2,195,841    1,699,889    1.7 
                                     
Sound Point CLO IV-R, Ltd.                                    
Subordinated Notes(7)(8)   0.00%     11/2/2018   4/18/2031    4,000,000    850,583    328,596    0.3 
                                     
Steele Creek CLO 2022-1, Ltd.                                    
Subordinated Notes   21.22%     3/28/2022   4/15/2035    5,000,000    3,676,444    3,724,517    3.7 

6

 

OFS Credit Company, Inc.

Schedule of Investments

As of January 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

THL Credit Wind River 2014-3 CLO Ltd.                                    
Subordinated Notes   11.32%     10/10/2018   10/22/2031    2,778,000    1,454,579    828,689    0.8 
                                     
Trinitas CLO VIII                                    
Subordinated Notes   22.56%     4/28/2021   7/20/2117   $2,800,000   $1,618,793   $1,170,248    1.2%
                                     
Venture 33 CLO Limited                                    
Subordinated Notes   27.29%     3/21/2019   7/15/2031    3,150,000    1,868,832    956,330    0.9 
                                     
Vibrant CLO X Ltd.                                    
Subordinated Notes   12.66%     5/23/2019   10/20/2031    8,000,000    4,508,830    2,548,505    2.5 
                                     
Vibrant CLO XIII, Ltd.                                    
Subordinated Notes   14.32%     6/3/2021   7/15/2034    5,000,000    4,153,543    3,646,233    3.6 
                                     
Voya CLO 2017-4, Ltd.                                    
Subordinated Notes   13.17%     10/5/2018   10/15/2030    1,000,000    628,960    330,869    0.3 
                                     
Wind River 2015-1 CLO                                    
Subordinated Notes   23.90%     4/28/2021   10/20/2030    2,600,000    1,268,685    954,987    0.9 
                                     
Webster Park CLO                                    
Subordinated Notes   12.14%     4/23/2021   1/20/2027    3,363,000    2,110,472    1,539,960    1.5 
                                     
Zais CLO 3, Limited                                    
Subordinated Notes - Income   14.70%     10/10/2018   7/15/2031    1,038,255    539,345    162,818    0.2 
Subordinated Notes   14.70%     10/10/2018   7/15/2031    1,761,745    907,817    276,275    0.3 
                    2,800,000    1,447,162    439,093    0.5 

7

 

OFS Credit Company, Inc.

Schedule of Investments

As of January 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

Total CLO Equity Securities                  $248,770,221   $167,815,992   $137,914,381    136.2%
                                     
Loan Accumulation Facilities(9)                                    
                                     
Anchorage Capital CLO 26, Ltd.                                    
Loan Accumulation Facility   14.50%     6/3/2022   5/16/2024   $531,250   $531,250   $522,538    0.5%
                                     
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    7,312,500    7.2 
                                     
Total Loan Accumulation Facilities                  $8,031,250   $8,031,250   $7,835,038    7.7%
                                     
Other CLO equity-related investments                                    
CLO other(10)   17.51%                  $863,711   $938,812    0.9%
                                     
Total Investments                  $261,551,471   $181,161,434   $151,115,749    149.1%

 

(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.
(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 January 31, 2023, the Company’s weighted-average effective yield on its total investments, based on current amortized cost, was 15.64%.
(4)CLO debt securities bear interest at a rate determined by reference to three-month LIBOR (L) or SOFR which reset quarterly. The rate provided for each CLO debt security is as of January 31, 2023.

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OFS Credit Company, Inc.

Schedule of Investments

As of January 31, 2023

(unaudited)

 

(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 remaining cash flow payments made by underlying securities less contractual payments to debt holders and fund expenses.
(7)As of January 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 optional redemption, is equal to or 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.
(11)As of January 31, 2023, the investment has been optionally redeemed. Remaining residual distributions are anticipated to be recognized as return of capital.

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