Cliffwater Corporate Lending Fund
Schedule of Investments
As of March 31, 2020 (Unaudited)
| Principal Amount | Value | |||||||
| COLLATERALIZED LOAN OBLIGATIONS — 12.2% | ||||||||
| $ | 10,000,000 | Monroe Capital MML CLO IX Ltd. 10.600% (3-Month USD Libor+870 basis points), 10/22/20311,2,3,4 | $ | 8,961,043 | ||||
| Monroe Capital MML CLO VIII, Ltd. | ||||||||
| 9,850,000 | 6.533% (3-Month USD Libor+485 basis points), 5/22/20311,2,3,4 | 8,770,130 | ||||||
| 10,000,000 | 9.833% (3-Month USD Libor+815 basis points), 5/22/20311,2,3,4 | 8,341,216 | ||||||
| 15,000,000 | 18.00%, 5/22/2031*,2,5,6 | 11,671,920 | ||||||
| TOTAL COLLATERALIZED LOAN OBLIGATIONS | ||||||||
| (Cost $43,123,651) | 37,744,309 | |||||||
| Number of Shares | ||||||||
| COMMON STOCKS — 0.3% | ||||||||
| FINANCIALS — 0.3% | ||||||||
| 15,787 | Ares Capital Corp. | 170,184 | ||||||
| 22,831 | Barings BDC, Inc. | 170,776 | ||||||
| 26,827 | BlackRock TCP Capital Corp. | 167,669 | ||||||
| 13,650 | Golub Capital BDC, Inc. | 171,444 | ||||||
| 24,380 | New Mountain Finance Corp. | 165,784 | ||||||
| 12,004 | TPG Specialty Lending, Inc. | 167,095 | ||||||
| 1,012,952 | ||||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $998,202) | 1,012,952 | |||||||
| Principal Amount | ||||||||
| CORPORATE BONDS — 3.1% | ||||||||
| COMMUNICATIONS — 0.8% | ||||||||
| $ | 115,000 | Altice Financing S.A. 7.500%, 5/15/20261,2,7 | 112,062 | |||||
| 200,000 | Altice France S.A./France 7.375%, 5/1/20261,2,7 | 199,640 | ||||||
| 215,000 | CCO Holdings LLC / CCO Holdings Capital Corp. 5.000%, 2/1/20281,2 | 216,731 | ||||||
| 90,000 | CenturyLink, Inc. 5.125%, 12/15/20261,2 | 90,675 | ||||||
| 160,000 | Consolidated Communications, Inc. 6.500%, 10/1/20222 | 141,200 | ||||||
| 200,000 | CSC Holdings LLC 5.750%, 1/15/20301,2 | 202,442 | ||||||
| 65,000 | Cumulus Media New Holdings, Inc. 6.750%, 7/1/20261,2 | 58,540 | ||||||
| 225,000 | Frontier Communications Corp. 8.500%, 4/1/20261,2 | 207,686 | ||||||
| 200,000 | iHeartCommunications, Inc. 4.750%, 1/15/20281,2 | 181,110 | ||||||
Cliffwater Corporate Lending Fund
Schedule of Investments - Continued
As of March 31, 2020 (Unaudited)
| Principal Amount | Value | |||||||
| CORPORATE BONDS (Continued) | ||||||||
| COMMUNICATIONS (Continued) | ||||||||
| $ | 45,000 | Lamar Media Corp. 3.750%, 2/15/20281,2 | $ | 42,520 | ||||
| Level 3 Financing, Inc. | ||||||||
| 10,000 | 5.625%, 2/1/20232 | 10,025 | ||||||
| 20,000 | 5.375%, 1/15/20242 | 20,175 | ||||||
| 130,000 | Lions Gate Capital Holdings LLC 5.875%, 11/1/20241,2 | 112,287 | ||||||
| 35,000 | Netflix, Inc. 4.875%, 4/15/2028 | 36,315 | ||||||
| 245,000 | Nexstar Broadcasting, Inc. 5.625%, 7/15/20271,2 | 240,847 | ||||||
| 60,000 | Outfront Media Capital LLC / Outfront Media Capital Corp. 5.000%, 8/15/20271,2 | 55,533 | ||||||
| 120,000 | Quebecor Media, Inc. 5.750%, 1/15/20237 | 122,537 | ||||||
| 185,000 | Sprint Corp. 7.250%, 2/1/20281,2 | 186,619 | ||||||
| 110,000 | Telesat Canada / Telesat LLC 6.500%, 10/15/20271,2,7 | 106,210 | ||||||
| T-Mobile USA, Inc. | ||||||||
| 10,000 | 6.000%, 3/1/20232 | 10,118 | ||||||
| 65,000 | 6.375%, 3/1/20252 | 66,790 | ||||||
| 2,420,062 | ||||||||
| CONSUMER DISCRETIONARY — 0.6% | ||||||||
| 280,000 | Allied Universal Holdco LLC / Allied Universal Finance Corp. 9.750%, 7/15/20271,2 | 265,823 | ||||||
| 135,000 | American Builders & Contractors Supply Co., Inc. 4.000%, 1/15/20281,2 | 123,599 | ||||||
| 30,000 | Aramark Services, Inc. 5.000%, 2/1/20281,2 | 28,085 | ||||||
| 130,000 | ASGN, Inc. 4.625%, 5/15/20281,2 | 121,479 | ||||||
| 200,000 | Boyd Gaming Corp. 4.750%, 12/1/20271,2 | 166,110 | ||||||
| 160,000 | Dealer Tire LLC / DT Issuer LLC 8.000%, 2/1/20281,2 | 129,200 | ||||||
| 45,000 | Eldorado Resorts, Inc. 6.000%, 9/15/20262 | 40,865 | ||||||
| 200,000 | Ford Motor Credit Co. LLC 4.271%, 1/9/20272 | 171,500 | ||||||
| 60,000 | IAA, Inc. 5.500%, 6/15/20271,2 | 58,200 | ||||||
Cliffwater Corporate Lending Fund
Schedule of Investments - Continued
As of March 31, 2020 (Unaudited)
| Principal Amount | Value | |||||||
| CORPORATE BONDS (Continued) | ||||||||
| CONSUMER DISCRETIONARY (Continued) | ||||||||
| $ | 200,000 | Prime Security Services Borrower LLC / Prime Finance, Inc. 6.250%, 1/15/20281,2 | $ | 174,000 | ||||
| 405,000 | Scientific Games International, Inc. 7.000%, 5/15/20281,2 | 251,323 | ||||||
| 140,000 | Scotts Miracle-Gro Co. 4.500%, 10/15/20291,2 | 134,410 | ||||||
| 285,000 | Twin River Worldwide Holdings, Inc. 6.750%, 6/1/20271,2 | 216,185 | ||||||
| 1,880,779 | ||||||||
| CONSUMER STAPLES — 0.3% | ||||||||
| 200,000 | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC 4.625%, 1/15/20271,2 | 200,110 | ||||||
| 60,000 | Central Garden & Pet Co. 6.125%, 11/15/20232 | 58,125 | ||||||
| 45,000 | Edgewell Personal Care Co. 4.700%, 5/19/2021 | 44,233 | ||||||
| 45,000 | JBS USA LUX S.A. / JBS USA Finance, Inc. 5.875%, 7/15/20241,2,7 | 45,731 | ||||||
| 115,000 | Performance Food Group, Inc. 5.500%, 10/15/20271,2 | 107,533 | ||||||
| 200,000 | Post Holdings, Inc. 5.000%, 8/15/20261,2 | 206,940 | ||||||
| 115,000 | Prestige Brands, Inc. 5.125%, 1/15/20281,2 | 114,747 | ||||||
| 777,419 | ||||||||
| ENERGY — 0.1% | ||||||||
| 105,000 | Enviva Partners LP / Enviva Partners Finance Corp. 6.500%, 1/15/20261,2 | 103,163 | ||||||
| 145,000 | Murphy Oil USA, Inc. 4.750%, 9/15/20292 | 136,742 | ||||||
| 239,905 | ||||||||
| FINANCIALS — 0.5% | ||||||||
| 130,000 | Acrisure LLC / Acrisure Finance, Inc. 8.125%, 2/15/20241,2 | 127,358 | ||||||
| 105,000 | AG Issuer LLC 6.250%, 3/1/20281,2 | 88,988 | ||||||
| 275,000 | Compass Group Diversified Holdings LLC 8.000%, 5/1/20261,2 | 266,349 | ||||||
| 290,000 | Fortress Transportation & Infrastructure Investors LLC 6.500%, 10/1/20251,2 | 214,961 | ||||||
Cliffwater Corporate Lending Fund
Schedule of Investments - Continued
As of March 31, 2020 (Unaudited)
| Principal Amount | Value | |||||||
| CORPORATE BONDS (Continued) | ||||||||
| FINANCIALS (Continued) | ||||||||
| $ | 200,000 | HAT Holdings I LLC / HAT Holdings II LLC 5.250%, 7/15/20241,2 | $ | 193,251 | ||||
| 305,000 | Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. 5.250%, 5/15/20271,2 | 284,031 | ||||||
| 200,000 | LPL Holdings, Inc. 4.625%, 11/15/20271,2 | 184,424 | ||||||
| 190,000 | SBA Communications Corp. 3.875%, 2/15/20271,2 | 191,900 | ||||||
| 1,551,262 | ||||||||
| HEALTH CARE — 0.2% | ||||||||
| Bausch Health Cos., Inc. | ||||||||
| 85,000 | 6.125%, 4/15/20251,2,7 | 84,256 | ||||||
| 65,000 | 5.000%, 1/30/20281,2,7 | 62,023 | ||||||
| 200,000 | Encompass Health Corp. 4.500%, 2/1/20282 | 197,110 | ||||||
| 60,000 | Hill-Rom Holdings, Inc. 4.375%, 9/15/20271,2 | 59,400 | ||||||
| 200,000 | Horizon Therapeutics USA, Inc. 5.500%, 8/1/20271,2 | 201,890 | ||||||
| 55,000 | Radiology Partners, Inc. 9.250%, 2/1/20281,2 | 48,029 | ||||||
| 652,708 | ||||||||
| INDUSTRIALS — 0.1% | ||||||||
| 115,000 | GFL Environmental, Inc. 5.125%, 12/15/20261,2,7 | 112,987 | ||||||
| 60,000 | New Enterprise Stone & Lime Co., Inc. 6.250%, 3/15/20261,2 | 55,713 | ||||||
| 168,700 | ||||||||
| MATERIALS — 0.2% | ||||||||
| 200,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. 5.250%, 8/15/20271,2,7 | 206,110 | ||||||
| 125,000 | Mauser Packaging Solutions Holding Co. 5.500%, 4/15/20241,2 | 115,313 | ||||||
| 200,000 | Silgan Holdings, Inc. 4.125%, 2/1/20281,2 | 186,000 | ||||||
| 75,000 | Standard Industries, Inc. 5.375%, 11/15/20241,2 | 72,935 | ||||||
| 125,000 | Valvoline, Inc. 4.250%, 2/15/20301,2 | 117,878 | ||||||
| 698,236 | ||||||||
Cliffwater Corporate Lending Fund
Schedule of Investments - Continued
As of March 31, 2020 (Unaudited)
| Principal Amount | Value | |||||||
| CORPORATE BONDS (Continued) | ||||||||
| TECHNOLOGY — 0.2% | ||||||||
| $ | 115,000 | CDW LLC / CDW Finance Corp. 4.250%, 4/1/20282 | $ | 116,213 | ||||
| 60,000 | CommScope, Inc. 6.000%, 3/1/20261,2 | 60,247 | ||||||
| 120,000 | Fair Isaac Corp. 4.000%, 6/15/20281,2 | 116,400 | ||||||
| 315,000 | MPH Acquisition Holdings LLC 7.125%, 6/1/20241,2 | 276,422 | ||||||
| 85,000 | Open Text Corp. 3.875%, 2/15/20281,2,7 | 80,299 | ||||||
| PTC, Inc. | ||||||||
| 15,000 | 3.625%, 2/15/20251,2 | 14,138 | ||||||
| 15,000 | 4.000%, 2/15/20281,2 | 14,517 | ||||||
| 678,236 | ||||||||
| UTILITIES — 0.1% | ||||||||
| 95,000 | Calpine Corp. 5.125%, 3/15/20281,2 | 88,112 | ||||||
| 50,000 | Clearway Energy Operating LLC 4.750%, 3/15/20281,2 | 46,563 | ||||||
| 85,000 | Talen Energy Supply LLC 6.625%, 1/15/20281,2 | 72,126 | ||||||
| 200,000 | Vistra Operations Co. LLC 5.625%, 2/15/20271,2 | 207,360 | ||||||
| 414,161 | ||||||||
| TOTAL CORPORATE BONDS | ||||||||
| (Cost $10,240,575) | 9,481,468 | |||||||
| Number of Shares | ||||||||
| NON-LISTED BUSINESS DEVELOPMENT COMPANIES — 1.2% | ||||||||
| 1 | New Mountain Guardian III BDC, LLC8 | 3,800,000 | ||||||
| TOTAL NON-LISTED BUSINESS DEVELOPMENT COMPANIES | ||||||||
| (Cost $3,800,000) | 3,800,000 | |||||||
| PRIVATE INVESTMENT FUNDS — 16.9% | ||||||||
| 1 | AG Direct Lending Fund II L.P.9 | 31,390,324 | ||||||
| 1 | AG Direct Lending Fund III L.P.10 | 20,770,356 | ||||||
| TOTAL PRIVATE INVESTMENT FUNDS | ||||||||
| (Cost $48,467,375) | 52,160,680 | |||||||
Cliffwater Corporate Lending Fund
Schedule of Investments - Continued
As of March 31, 2020 (Unaudited)
| Principal Amount | Value | |||||||
| SENIOR SECURED LOANS — 64.4% | ||||||||
| COMMUNICATIONS — 4.0% | ||||||||
| $ | 3,000,000 | 1236904 BC Ltd. Term Loan, 6.493% (1-Month USD Libor+550 basis points), 2/26/20272,4,11 | $ | 2,869,734 | ||||
| 4,684,553 | HPS Technology Senior Secured Loan Term Loan, 9.256% (3-Month USD Libor+800 basis points), 12/29/20234,5,12 | 4,518,917 | ||||||
| 4,987,444 | Northland Cable Television, Inc. Term Loan, 6.750% (1-Month USD Libor+575 basis points), 10/1/20254,5 | 4,840,202 | ||||||
| 12,228,853 | ||||||||
| CONSUMER DISCRETIONARY — 9.7% | ||||||||
| 989,774 | Big Ass Fans LLC Term Loan, 5.200% (3-Month USD Libor+375 basis points), 5/21/20242,4 | 923,751 | ||||||
| 494,988 | Cambium Learning Group, Inc. Term Loan, 5.950% (3-Month USD Libor+450 basis points), 12/18/20252,4 | 454,558 | ||||||
| CHOPT Creative Salad Company | ||||||||
| 1,462,500 | Delayed Draw, 0.500%, 1/22/20245,11 | 1,429,195 | ||||||
| 3,037,500 | Term Loan, 7.981% (3-Month USD Libor+625 basis points), 1/22/20244,5 | 2,945,502 | ||||||
| 1,056,337 | CIBT Global, Inc. Term Loan, 5.200% (3-Month USD Libor+375 basis points), 6/1/20242,4 | 908,548 | ||||||
| 499,823 | Fleetwash, Inc. Delayed Draw, 6.354% (3-Month USD Libor+475 basis points), 10/1/20244,11 | 491,302 | ||||||
| 989,924 | Guidehouse LLP Term Loan, 5.489% (1-Month USD Libor+450 basis points), 5/1/20252,4 | 803,640 | ||||||
| HPS Consumer Senior Secured Loan | ||||||||
| 4,918,732 | Term Loan, 7.450% (3-Month USD Libor+600 basis points), 11/18/20224,5,12 | 4,851,169 | ||||||
| 4,987,437 | Term Loan, 7.023% (3-Month USD Libor+600 basis points), 2/12/20254,5,12 | 4,860,565 | ||||||
| 4,987,469 | Term Loan, 7.604% (3-Month USD Libor+500 basis points), 6/27/20254,5,12 | 4,835,647 | ||||||
| 997,500 | Huskies Parent, Inc. Term Loan, 5.777% (3-Month USD Libor+400 basis points), 8/1/20262,4 | 891,134 | ||||||
| 992,443 | KC Culinarte Intermediate LLC Term Loan, 4.750% (3-Month USD Libor+375 basis points), 8/24/20252,4 | 889,093 | ||||||
| 1,872,408 | Oak Parent, Inc. Term Loan, 5.500% (3-Month USD Libor+450 basis points), 10/26/20232,4 | 1,705,455 | ||||||
| 972,906 | Pre-Paid Legal Services, Inc. Term Loan, 4.239% (3-Month USD Libor+325 basis points), 5/1/20252,4 | 824,485 | ||||||
| 2,000,000 | RCS Consumer Discretionary Senior Secured Loan Term Loan, 6.001% (3-Month USD Libor+500 basis points), 6/6/20254,5,12 | 1,960,844 | ||||||
| 992,462 | Spring Education Group, Inc. Term Loan, 6.049% (3-Month USD Libor+425 basis points), 7/30/20252,4 | 775,189 | ||||||
| TDG Group Holding Company | ||||||||
| 378,620 | Term Loan, 6.950% (3-Month USD Libor+550 basis points), 5/19/20244,5 | 370,269 | ||||||
Cliffwater Corporate Lending Fund
Schedule of Investments - Continued
As of March 31, 2020 (Unaudited)
| Principal Amount | Value | |||||||
| SENIOR SECURED LOANS (Continued) | ||||||||
| CONSUMER DISCRETIONARY (Continued) | ||||||||
| $ | 116,345 | Term Loan, 6.950% (3-Month USD Libor+550 basis points), 5/19/20244,5 | $ | 113,779 | ||||
| 30,034,125 | ||||||||
| CONSUMER STAPLES — 1.7% | ||||||||
| 1,488,461 | Hoffmaster Group, Inc. Term Loan, 5.450% (3-Month USD Libor+400 basis points), 11/23/20232,4 | 1,428,174 | ||||||
| 3,764,881 | JUUL Labs, Inc. Term Loan, 10.251% (3-Month USD Libor+700 basis points), 8/2/20234,5 | 3,710,205 | ||||||
| 5,138,379 | ||||||||
| ENERGY — 0.2% | ||||||||
| 498,750 | Kamc Holdings, Inc. Term Loan, 5.613% (3-Month USD Libor+400 basis points), 8/14/20262,4 | 450,545 | ||||||
| FINANCIALS — 5.6% | ||||||||
| 946,776 | GGC Aperio Holdings, L.P. Term Loan, 6.450% (3-Month USD Libor+500 basis points), 10/25/20244,5 | 930,636 | ||||||
| 4,861,374 | HPS Financial Senior Secured Loan Term Loan, 8.450% (3-Month USD Libor+725 basis points), 6/29/20234,5,12 | 4,746,964 | ||||||
| Kwor Acquisition, Inc. | ||||||||
| 100,000 | Delayed Draw, 4.000%, 6/3/202611 | 93,329 | ||||||
| 992,500 | Term Loan, 4.990% (3-Month USD Libor+400 basis points), 6/3/20262,4 | 926,295 | ||||||
| 5,000,000 | RCS Financials Senior Secured Loan Term Loan, 6.940% (3-Month USD Libor+500 basis points), 7/11/20254,5,12 | 4,891,664 | ||||||
| 4,629,580 | Riveron Acquisition Holdings, Inc. Term Loan, 7.945% (3-Month USD Libor+625 basis points), 5/22/20254,5 | 4,479,393 | ||||||
| 1,488,693 | Valet Waste Holdings, Inc. Term Loan, 5.395% (3-Month USD Libor+400 basis points), 9/28/20252,4 | 1,389,389 | ||||||
| 17,457,670 | ||||||||
| HEALTH CARE — 14.4% | ||||||||
| Bearcat Buyer, Inc., | ||||||||
| 254,261 | Delayed Draw, 5.700% (1-Month USD Libor+425 basis points), 7/9/20244,5,11 | 248,653 | ||||||
| 741,607 | Term Loan, 5.700% (3-Month USD Libor+425 basis points), 7/9/20244,5 | 723,391 | ||||||
| 1,985,000 | Confluent Health LLC Term Loan, 6.799% (3-Month USD Libor+500 basis points), 6/24/20262,4 | 1,832,776 | ||||||
| Integrated Oncology Network, LLC | ||||||||
| 83,957 | Revolver, 0.500%, 6/24/20245,11 | 81,896 | ||||||
| 699,641 | Delayed Draw, 1.000%, 6/24/20245,11 | 682,470 | ||||||
| 4,205,834 | Term Loan, 7.000% (3-Month USD Libor+550 basis points), 6/24/20244,5 | 4,102,614 | ||||||
| 1,869,822 | OB Hospitalist Group, Inc. Term Loan, 5.951% (3-Month USD Libor+400 basis points), 8/1/20242,4 | 1,726,430 | ||||||
Cliffwater Corporate Lending Fund
Schedule of Investments - Continued
As of March 31, 2020 (Unaudited)
| Principal Amount | Value | |||||||
| SENIOR SECURED LOANS (Continued) | ||||||||
| HEALTH CARE (Continued) | ||||||||
| Pediatric Therapy Services, LLC. | ||||||||
| $ | 190,386 | Delayed Draw, 6.750% (3-Month USD Libor+550 basis points), 12/12/20244,5,11 | $ | 186,186 | ||||
| 802,844 | Term Loan, 7.316% (3-Month USD Libor+550 basis points), 12/12/20244,5 | 785,136 | ||||||
| Pinnacle Treatment Center | ||||||||
| 571,429 | Delayed Draw, 1.000%, 12/31/20225,11 | 558,261 | ||||||
| 4,142,857 | Term Loan, 8.027% (3-Month USD Libor+625 basis points), 12/31/20224,5 | 4,037,025 | ||||||
| 28,572 | Revolver, 8.027% (3-Month USD Libor+625 basis points), 12/31/20224,5 | 27,842 | ||||||
| 257,143 | Revolver, 8.250% (Prime+500 basis points), 12/31/20224,5 | 250,573 | ||||||
| RCS Health Care Senior Secured Loan | ||||||||
| 2,088,773 | Delayed Draw, 0.500%, 4/23/20245,11,12 | 2,053,287 | ||||||
| 313,316 | Revolver, 0.500%, 4/23/20245,11,12 | 306,682 | ||||||
| 2,597,911 | Term Loan, 6.000% (3-Month USD Libor+500 basis points), 4/23/20244,5,12 | 2,542,823 | ||||||
| Spear Education, LLC | ||||||||
| 1,562,500 | Delayed Draw, 1.000%, 2/26/20255,11 | 1,524,199 | ||||||
| 3,437,500 | Term Loan, 6.897% (6-Month USD Libor+525 basis points), 2/26/20254,5 | 3,353,238 | ||||||
| The PromptCare Companies, Inc. | ||||||||
| 470,088 | Delayed Draw, 0.500%, 12/30/20255,11 | 462,285 | ||||||
| 690,858 | Revolver, 6.250% (1-Month USD Libor+525 basis points), 12/30/20255,11 | 679,390 | ||||||
| 3,368,965 | Term Loan, 6.853% (1-Month USD Libor+525 basis points), 12/30/20254,5 | 3,313,042 | ||||||
| 470,088 | Delayed Draw, 6.890% (1-Month USD Libor+525 basis points), 12/30/20254,5 | 462,285 | ||||||
| Twin Brook Healthcare Senior Secured Loan | ||||||||
| 4,975,000 | Term Loan, 7.695% (3-Month USD Libor+550 basis points), 6/28/20224,5,12 | 4,877,531 | ||||||
| 4,906,994 | Term Loan, 7.435% (3-Month USD Libor+575 basis points), 11/16/20224,5,12 | 4,801,980 | ||||||
| 4,962,500 | Term Loan, 7.340% (1-Month USD Libor+575 basis points), 7/1/20244,5,12 | 4,815,553 | ||||||
| 44,435,548 | ||||||||
| INDUSTRIALS — 15.3% | ||||||||
| 5,000,000 | Airnov, Inc. Term Loan, 6.366% (3-Month USD Libor+525 basis points), 12/19/20254,5 | 4,900,370 | ||||||
| 989,825 | DiversiTech Holdings, Inc. Term Loan, 4.500% (3-Month USD Libor+300 basis points), 6/1/20242,4 | 956,018 | ||||||
| 992,500 | GlobalTranz Enterprises, Inc. Term Loan, 5.929% (3-Month USD Libor+500 basis points), 5/15/20262,4 | 829,703 | ||||||
| HPS Industrial Senior Secured Loan | ||||||||
| 4,974,574 | Term Loan, 7.000% (3-Month USD Libor+600 basis points), 12/29/20224,5,12 | 4,878,332 | ||||||
| 4,948,979 | Term Loan, 6.500% (3-Month USD Libor+550 basis points), 9/25/20244,5,12 | 4,843,811 | ||||||
| Industrial Service Solutions | ||||||||
| 10,417 | Revolver, 0.500%, 8/9/20265,11 | 10,052 | ||||||
| 41,667 | Revolver, 6.499% (Prime+450 basis points), 8/9/20264,5 | 40,208 | ||||||
| 62,500 | Revolver, 6.500% (Prime+450 basis points), 8/9/20264,5 | 60,312 | ||||||
Cliffwater Corporate Lending Fund
Schedule of Investments - Continued
As of March 31, 2020 (Unaudited)
| Principal Amount | Value | |||||||
| SENIOR SECURED LOANS (Continued) | ||||||||
| INDUSTRIALS (Continued) | ||||||||
| $ | 72,917 | Revolver, 6.552% (3-Month USD Libor+550 basis points), 8/9/20264,5 | $ | 70,364 | ||||
| 41,667 | Revolver, 7.113% (3-Month USD Libor+550 basis points), 8/9/20264,5 | 40,208 | ||||||
| 83,333 | Revolver, 7.138% (3-Month USD Libor+550 basis points), 8/9/20264,5 | 80,416 | ||||||
| 4,583,333 | Term Loan, 7.224% (3-Month USD Libor+550 basis points), 8/9/20264,5 | 4,422,896 | ||||||
| 104,167 | Revolver, 7.224% (3-Month USD Libor+550 basis points), 8/9/20264,5 | 100,520 | ||||||
| 5,000,000 | Lav Gear Holdings Term Loan, 7.081% (1-Month USD Libor+550 basis points), 8/31/20214,5 | 4,500,000 | ||||||
| 990,002 | MSHC, Inc. Term Loan, 5.250% (3-Month USD Libor+425 basis points), 7/31/20234 | 964,495 | ||||||
| 4,000,000 | NN Inc Term Loan, 6.853% (1-Month USD Libor+575 basis points), 10/19/20224 | 3,952,945 | ||||||
| 995,000 | PHM Netherlands Midco B.V. Term Loan, 6.113% (3-Month USD Libor+450 basis points), 8/1/20262,4,7 | 888,113 | ||||||
| 1,492,500 | Q Holding Co. Term Loan, 6.450% (3-Month USD Libor+500 basis points), 12/20/20234 | 1,445,084 | ||||||
| RCS Industrials Senior Secured Loan | ||||||||
| 285,714 | Revolver, 5.843% (3-Month USD Libor+500 basis points), 1/31/20254,5,12 | 279,332 | ||||||
| 1,714,286 | Term Loan, 6.080% (3-Month USD Libor+500 basis points), 1/31/20254,5,12 | 1,675,993 | ||||||
| 995,000 | Tank Holding Corp. Term Loan, 4.489% (3-Month USD Libor+400 basis points), 3/26/20262,4 | 841,547 | ||||||
| 494,911 | TecoStar Holdings, Inc. Term Loan, 4.250% (3-Month USD Libor+325 basis points), 5/1/20242,4 | 476,718 | ||||||
| 7,500,000 | Twin Brook Aerospace Senior Secured Loan Term Loan, 7.512% (1-Month USD Libor+575 basis points), 12/6/20244,5,12 | 7,280,067 | ||||||
| 3,980,000 | Twin Brook Plastics Senior Secured Loan Term Loan, 6.000% (1-Month USD Libor+500 basis points), 5/15/20254,5,12 | 3,872,016 | ||||||
| 47,409,520 | ||||||||
| MATERIALS — 0.8% | ||||||||
| Anchor Packaging LLC | ||||||||
| 218,750 | Delayed Draw, 1.000%, 7/18/20262,4,11 | 208,525 | ||||||
| 995,000 | Term Loan, 4.990% (1-Month USD Libor+400 basis points), 7/18/20262,4 | 948,492 | ||||||
| 666,877 | Helix Acquisition Holdings, Inc. Term Loan, 5.200% (3-Month USD Libor+350 basis points), 9/29/20242,4 | 594,658 | ||||||
| 997,500 | Pregis TopCo LLC Term Loan, 4.989% (1-Month USD Libor+400 basis points), 8/1/20262,4 | 820,317 | ||||||
| 2,571,992 | ||||||||
| TECHNOLOGY — 12.7% | ||||||||
| Connectwise, LLC. | ||||||||
| 353,982 | Revolver, 0.500%, 2/28/20255,11 | 344,676 | ||||||
| 4,622,738 | Term Loan, 7.072% (3-Month USD Libor+600 basis points), 2/28/20254,5 | 4,501,204 | ||||||
| 5,000,000 | Holdco Sands Intermediate LLC Term Loan, 7.624% (1-Month USD Libor+600 basis points), 12/19/20254 | 4,850,320 | ||||||
Cliffwater Corporate Lending Fund
Schedule of Investments - Continued
As of March 31, 2020 (Unaudited)
| Principal Amount | Value | |||||||
| SENIOR SECURED LOANS (Continued) | ||||||||
| TECHNOLOGY (Continued) | ||||||||
| $ | 4,974,937 | HPS Technology Senior Secured Loan Term Loan, 7.322% (3-Month USD Libor+625 basis points), 8/1/20234,5,12 | $ | 5,006,898 | ||||
| 1,488,524 | Idera, Inc. Term Loan, 5.080% (3-Month USD Libor+450 basis points), 6/29/20242,4 | 1,355,801 | ||||||
| 989,975 | Intermedia Holdings, Inc. Term Loan, 6.990% (3-Month USD Libor+600 basis points), 7/18/20252,4 | 946,172 | ||||||
| 3,000,000 | Lionbridge Technologies, Inc. Term Loan, 7.318% (3-Month USD Libor+625 basis points), 12/29/20254,5 | 2,925,222 | ||||||
| 496,222 | NAVEX TopCo, Inc. Term Loan, 4.240% (3-Month USD Libor+325 basis points), 9/5/20252,4 | 435,434 | ||||||
| PaySimple, Inc. | ||||||||
| 52,996 | Delayed Draw, 1.500%, 8/23/20252,11 | 51,163 | ||||||
| 34,965 | Delayed Draw, 6.450% (1-Month USD Libor+550 basis points), 8/23/20252,4 | 33,756 | ||||||
| 498,750 | Term Loan, 6.460% (1-Month USD Libor+550 basis points), 8/23/20252,4 | 481,502 | ||||||
| 12,343 | Delayed Draw, 6.460% (1-Month USD Libor+550 basis points), 8/23/20252,4 | 11,916 | ||||||
| 6,775 | Delayed Draw, 6.490% (1-Month USD Libor+550 basis points), 8/23/20252,4 | 6,541 | ||||||
| 28,311 | Delayed Draw, 6.880% (1-Month USD Libor+550 basis points), 8/23/20252,4 | 27,332 | ||||||
| 27,948 | Delayed Draw, 7.130% (1-Month USD Libor+550 basis points), 8/23/20252,4 | 26,981 | ||||||
| PCS Software | ||||||||
| 363,714 | Revolver, 0.500%, 7/1/20245,11 | 363,714 | ||||||
| 5,000,000 | Term Loan, 7.125% (3-Month USD Libor+575 basis points), 7/1/20244,5 | 4,950,000 | ||||||
| 992,500 | QuickBase, Inc. Term Loan, 4.989% (3-Month USD Libor+400 basis points), 4/3/20262,4 | 975,581 | ||||||
| RCS Industrials Senior Secured Loan | ||||||||
| 347,222 | Delayed Draw, 1.000%, 2/3/20265,11,12 | 340,322 | ||||||
| 208,333 | Revolver, 6.750% (3-Month USD Libor+575 basis points), 2/3/20264,5,12 | 203,157 | ||||||
| 1,944,445 | Term Loan, 6.750% (3-Month USD Libor+575 basis points), 2/3/20264,5,12 | 1,896,130 | ||||||
| RCS Technology Senior Secured Loan | ||||||||
| 547,223 | Revolver, 5.500%, 5/24/20235,11,12 | 537,284 | ||||||
| 3,952,777 | Term Loan, 6.150% (3-Month USD Libor+450 basis points), 5/24/20244,5,12 | 3,879,616 | ||||||
| 4,000,000 | Term Loan, 7.363% (3-Month USD Libor+575 basis points), 2/28/20254,5,12 | 3,917,505 | ||||||
| 989,975 | RevSpring, Inc. Term Loan, 5.450% (3-Month USD Libor+425 basis points), 10/11/20252,4 | 932,584 | ||||||
| 449,491 | S2P Acquisition Borrower, Inc. Term Loan, 5.450% (3-Month USD Libor+400 basis points), 8/14/20262,4 | 402,683 | ||||||
| 39,403,494 | ||||||||
| TOTAL SENIOR SECURED LOANS | ||||||||
| (Cost $204,637,312) | 199,130,126 | |||||||
Cliffwater Corporate Lending Fund
Schedule of Investments - Continued
As of March 31, 2020 (Unaudited)
| Principal Amount | Value | |||||||
| WAREHOUSE FACILITY — 15.3% | ||||||||
| $ | 45,000,000 | BlackRock Elbert CLO V, LLC 14.650%, 8/22/2027*,2,5 | $ | 47,342,351 | ||||
| TOTAL WAREHOUSE FACILITY | ||||||||
| (Cost $45,000,000) | 47,342,351 | |||||||
| Number of Shares | ||||||||
| SHORT-TERM INVESTMENTS — 21.7% | ||||||||
| $ | 67,135,497 | State Street Institutional U.S. Government Money Market Fund, 0.32%13 | 67,135,497 | |||||
| TOTAL SHORT-TERM INVESTMENTS | ||||||||
| (Cost $67,135,497) | 67,135,497 | |||||||
| TOTAL INVESTMENTS — 135.1% | ||||||||
| (Cost $423,402,612) | 417,807,383 | |||||||
| Liabilities Less Other Assets — (35.1)% | (108,551,162 | ) | ||||||
| NET ASSETS — 100.0% | $ | 309,256,221 | ||||||
| Principal Amount | ||||||||
| REVERSE REPURCHASE AGREEMENTS — (4.2)% | ||||||||
| $ | (4,070,000 | ) | Agreement with Deutsche Bank AG, 3.266%, dated 3/11/2020, to be repurchased at $4,138,304 on 9/21/2020, collateralized by Monroe Capital MML CLO IX Ltd. with maturity of 10/22/2031, with total market value of $8,961,043 | (4,070,000 | ) | |||
| (3,049,000 | ) | Agreement with Deutsche Bank AG, 2.118%, dated 3/11/2020, to be repurchased at $3,065,504 on 6/11/2020, collateralized by a portion of Monroe Capital MML CLO VIII, Ltd. with maturity of 5/22/2031, with total market value of $8,770,130 | (3,049,000 | ) | ||||
| (1,766,000 | ) | Agreement with Deutsche Bank AG, 2.916%, dated 3/20/2020, to be repurchased at $1,792,461 on 9/21/2020, collateralized by a portion of Monroe Capital MML CLO VIII, Ltd. with maturity of 5/22/2031, with total market value of $8,770,130 | (1,766,000 | ) | ||||
| (2,670,000 | ) | Agreement with Deutsche Bank AG, 2.268%, dated 3/11/2020, to be repurchased at $2,685,476 on 6/11/2020, collateralized by a portion of Monroe Capital MML CLO VIII, Ltd. with maturity of 5/22/2031, with total market value of $8,341,216 | (2,670,000 | ) | ||||
Cliffwater Corporate Lending Fund
Schedule of Investments - Continued
As of March 31, 2020 (Unaudited)
| Principal Amount | Value | |||||||
| REVERSE REPURCHASE AGREEMENTS (Continued) | ||||||||
| $ | (1,538,000 | ) | Agreement with Deutsche Bank AG, 3.266%, dated 3/20/2020, to be repurchased at $1,563,811 on 9/21/2020, collateralized by a portion of Monroe Capital MML CLO VIII, Ltd. with maturity of 5/22/2031, with total market value of $8,341,216 | $ | (1,538,000 | ) | ||
| REVERSE REPURCHASE AGREEMENTS | ||||||||
| (Proceeds $13,093,000) | (13,093,000 | ) | ||||||
BDC – Business Development Company
LLC – Limited Liability Company
LP – Limited Partnership
PLC – Public Limited Company
| * | Subordinated note position. Rate shown is the effective yield as of period end. |
| 1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted. They may only be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $34,381,909, which represents 11.1% of total net assets of the Fund. |
| 2 | Callable. |
| 3 | All or a portion of this security is segregated as collateral for reverse repurchase agreements. Total collateral had a fair value of $26,876,294 as of March 31, 2020 |
| 4 | Floating rate security. Rate shown is the rate effective as of period end. |
| 5 | Value was determined using significant unobservable inputs. |
| 6 | Variable rate security. Rate shown is the rate in effect as of period end. |
| 7 | Foreign security denominated in U.S. Dollars. |
| 8 | The Fund’s investment in the non-listed business development company is valued using net asset value as a practical expedient. The business development company’s investment strategy is to provide corporate financing support to U.S. middle market companies. The company shall continue until July 15, 2025, with one-year extensions available after the stated termination date. The company does not permit the redemption of any portion of the company’s capital contributions until the termination of the investment. Total unfunded capital commitments amount to $5,700,000 as of March 31, 2020. |
| 9 | The Fund’s investment in the private investment fund is valued using net asset value as a practical expedient. The investment fund’s investment strategy is to provide corporate financing support to U.S. middle market companies. The investment fund shall continue until December 31, 2024, with one year extensions available after the stated termination date. The investment fund does not permit the redemption of any portion of the Fund’s capital contributions until the termination of the investment fund. |
| 10 | The Fund’s investment in the private investment fund is valued using net asset value as a practical expedient. The investment fund’s investment strategy is to provide corporate financing support to U.S. middle market companies. The investment fund shall continue until September 30, 2026, with one year extensions available after the stated termination date. The investment fund does not permit the redemption of any portion of the Fund’s capital contributions until the termination of the investment fund. |
| 11 | All or a portion of this holding is subject to unfunded loan commitments. See Note 2 for additional information. |
| 12 | This investment was made through a participation. Please see Note 2 for a description of loan participations. |
| 13 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Schedule of Investments.
Cliffwater Corporate Lending Fund
NOTES TO SCHEDULE OF INVESTMENTS
March 31, 2020 (Unaudited)
1. Organization
The Cliffwater Corporate Lending Fund (the “Fund”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Investment Company Act”), as a non-diversified, closed-end management investment company operating as an interval fund. The Fund operates under an Agreement and Declaration of Trust dated March 21, 2018 (the “Declaration of Trust”). Cliffwater LLC serves as the investment adviser (the “Investment Manager”) of the Fund. The Investment Manager is an investment adviser registered with the Securities and Exchange Commission (the “SEC”) under the Investment Advisers Act of 1940, as amended. The Fund intends to continue to qualify and has elected to be treated as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”). The Fund’s Registration Statement became effective on March 6, 2019.
The SEC has granted the Fund exemptive relief permitting it to offer multiple classes of shares. The Fund’s Registration Statement allows it to offer two classes of shares, Class A Shares and Class I Shares. Only Class I shares have been issued as of March 31, 2020.
The Fund’s primary investment objective is to seek consistent current income, while the Fund’s secondary objective is capital preservation. Under normal market conditions, the Fund seeks to achieve its investment objectives by investing at least 80% of its assets (net assets, plus any borrowings for investment purposes) in loans to companies (“corporate loans”). The Fund’s corporate loan investments are made through a combination of: (i) investing in loans to companies that are originated directly by a non-bank lender (for example, traditional direct lenders include insurance companies, business development companies, asset management firms (on behalf of their investors), and specialty finance companies) (“direct loans”); (ii) investing in notes or other pass-through obligations representing the right to receive the principal and interest payments on a direct loan (or fractional portions thereof); (iii) purchasing asset-backed securities representing ownership or participation in a pool of direct loans; (iv) investing in companies and/or private investment funds (private funds that are excluded from the definition of investment company pursuant to Sections 3(c)(1) or 3(c)(7) of the Investment Company Act) that primarily hold direct loans (the foregoing investments listed in clauses (i) through (iv) are collectively referred to herein as the “Direct Loan Instruments”); (v) investments in high yield securities, including securities representing ownership or participation in a pool of such securities; and (vi) investments in bank loans including securities representing ownership or participation in a pool of such loans. The Fund may focus its investment strategy on, and its portfolio of investments may be focused in, a subset of one or more of these types of investments. The Fund’s investments in hedge funds and private equity funds that are excluded from the definition of “investment company” pursuant to Sections 3(c)(1) or 3(c)(7) of the Investment Company Act will be limited to no more than 15% of the Fund’s assets. Most direct loans are not rated by any rating agency, will not be registered with the SEC or any state securities commission and will not be listed on any national securities exchange. The amount of public information available with respect to issuers of direct loans may generally be less extensive than that available for issuers of registered or exchange listed securities. If they were rated, direct loans likely would be rated as below investment grade quality, often referred to as “junk” loans.
(a) Consolidation of Subsidiary
On February 3, 2020, CCLF SPV LLC (the “Subsidiary”) was formed as a limited liability company, and is a wholly owned subsidiary of the Fund. The consolidated Schedule of Investments of the Fund include the accounts of the Subsidiary. All inter-company accounts and transactions have been eliminated in the consolidation for the Fund.
2. Accounting Policies
Basis of Preparation and Use of Estimates
The Fund is an investment company and follows the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services – Investment Companies. The accompanying financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of the financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from these estimates.
Cliffwater Corporate Lending Fund
NOTES TO SCHEDULE OF INVESTMENTS
March 31, 2020 (Unaudited)
Loan Participations and Assignments
The Fund may acquire interests in loans either directly (by way of original issuance, sale or assignment) or indirectly (by way of participation). The purchaser of an assignment typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, its rights can be more restricted than those of the assigning institution. Participation interests in a portion of a debt obligation typically result in a contractual relationship only with the institution participating out the interest, not with the borrower. In purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of set-off against the borrower, and the Fund may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, the Fund will assume the credit risk of both the borrower and the institution selling the participation.
Commitments and Contingencies
Commercial loans purchased by the Fund (whether through participations or as a lender of record) may be structured to include both term loans, which are generally fully funded at the time of investment, and unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities and delayed draw term loans, which may obligate the Fund to supply additional cash to the borrower on demand, representing a potential financial obligation by the Fund in the future. The Fund may receive a commitment fee based on the undrawn portion of such unfunded loan commitments. Commitment fees are processed as a reduction in cost of the loans. As of March 31, 2020, the Fund had the following unfunded loan commitments as noted in the Schedule of Investments with a total principal amount of $12,951,303 reflected as unfunded loan commitments within the Statement of Assets and Liabilities.
Borrower |
Type | Principal Amount | Value | |||||||
| Bearcat Buyer Inc. | Assignment -Delayed Draw Term Loan | $ | 173,537 | $ | 169,574 | |||||
| Fleetwash, Inc. | Assignment -Delayed Draw Term Loan | 429,155 | 421,839 | |||||||
| Pediatric Therapy Services, LLC | Delayed Draw Term Loan | 6,346 | 6,206 | |||||||
| Kwor Acquisition, Inc. | Assignment -Delayed Draw Term Loan | 100,000 | 93,329 | |||||||
| Anchor Packaging LLC | Assignment -Delayed Draw Term Loan | 218,750 | 208,525 | |||||||
| PaySimple, Inc. | Assignment -Delayed Draw Term Loan | 52,996 | 51,163 | |||||||
| Integrated Oncology Network, LLC | Delayed Draw Term Loan | 699,641 | 682,470 | |||||||
| Integrated Oncology Network, LLC | Revolver Loan | 83,957 | 81,896 | |||||||
| Connectwise | Revolver Loan | 353,982 | 344,676 | |||||||
Cliffwater Corporate Lending Fund
NOTES TO SCHEDULE OF INVESTMENTS
March 31, 2020 (Unaudited)
Borrower |
Type | Principal Amount |
Value | |||||||
| 1236904 BC Ltd. | Term Loan | 3,000,000 | 2,869,734 | |||||||
| CHOPT Creative Salad Company | Delayed Draw Term Loan | 1,462,500 | 1,429,195 | |||||||
| RCS Health Care Senior Secured Loan | Revolver Loan | 313,316 | 306,682 | |||||||
| RCS Health Care Senior Secured Loan | Delayed Draw Term Loan | 2,088,773 | 2,053,287 | |||||||
| PCS Software | Revolver Loan | 363,714 | 363,714 | |||||||
| RCS Technology Senior Secured Loan | Revolver Loan | 182,408 | 179,095 | |||||||
| RCS Industrials Senior Secured Loan | Assignment -Delayed Draw Term Loan | 347,222 | 340,322 | |||||||
| The PromptCare Companies, Inc. | Assignment -Delayed Draw Term Loan | 470,088 | 462,285 | |||||||
| The PromptCare Companies, Inc. | Revolver Loan | 460,572 | 460,572 | |||||||
| Industrial Service Solutions | Revolver Loan | 10,417 | 10,052 | |||||||
| Pinnacle Treatment Center | Assignment -Delayed Draw Term Loan | 571,429 | 558,261 | |||||||
| Spear Education, LLC | Assignment -Delayed Draw Term Loan | 1,562,500 | 1,524,199 | |||||||
| $ | 12,951,303 | $ | 12,617,076 | |||||||
Reverse Repurchase Agreements
In a reverse repurchase agreement, the Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. In an open maturity reverse repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered and accrued interest payments to be made by the Fund to counterparties are reflected as liabilities on the Statement of Assets and Liabilities. Interest payments made by the Fund to counterparties are recorded as interest from reverse repurchase agreements on the Statement of Operations. In periods of increased demand for the security, the Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price.
Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) govern repurchase, reverse repurchase, and certain sale-buyback transactions between the Fund and select counterparties. Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral. The value of transactions under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Schedule of Investments and note #4 thereto. For the period ending March 31, 2020, the average balance outstanding and weighted average interest rate were $9,718,978 and 3.18%, respectively.
Cliffwater Corporate Lending Fund
NOTES TO SCHEDULE OF INVESTMENTS
March 31, 2020 (Unaudited)
| 2020 | ||||||||||||||||||||
| Remaining Contractual Maturity of the Agreements | ||||||||||||||||||||
Reverse Repurchase Agreements | Overnight and Continuous | Up to 30 days | 30–90 days | Greater Than 90 days | Total | |||||||||||||||
| Collateralized Loan Obligations | $ | - | $ | - | $ | - | $ | 13,093,000 | $ | 13,093,000 | ||||||||||
| Total | $ | - | $ | - | $ | - | $ | 13,093,000 | $ | 13,093,000 | ||||||||||
Federal Income Taxes
The Fund intends to continue to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended. As so qualified, the Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Therefore, no federal income tax provision is required. Management of the Fund is required to determine whether a tax position taken by the Fund is more likely than not to be sustained upon examination by the applicable taxing authority, based on the technical merits of the position. Based on its analysis, there were no tax positions identified by management of the Fund that did not meet the “more likely than not” standard as of March 31, 2020.
3. Fair Value of Investments
Fair value - Definition
The Fund uses a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows:
| • | Level 1 – Valuations based on unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities. |
| • | Level 2 – Valuations based on inputs, other than quoted prices included in Level 1, that are observable either directly or indirectly. |
| • | Level 3 – Valuations based on inputs that are both significant and unobservable to the overall fair value measurement. |
Investments in private investment funds measured based upon Net Asset Value (“NAV”) as a practical expedient to determine fair value are not required to be categorized in the fair value hierarchy.
The availability of valuation techniques and observable inputs can vary from investment to investment and are affected by a wide variety of factors, including type of investment, whether the investment is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, determining fair value requires more judgment. Because of the inherent uncertainly of valuation, estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Investment Manager in determining fair value is greatest for investments categorized in Level 3.
Cliffwater Corporate Lending Fund
NOTES TO SCHEDULE OF INVESTMENTS
March 31, 2020 (Unaudited)
The Fund’s assets recorded at fair value have been categorized based on a fair value hierarchy as described in the Fund’s significant accounting policies. The following table presents information about the Fund’s assets and liabilities measured at fair value as of March 31, 2020:
| Assets | Level 1 | Level 2 | Level 3 | Net Asset Value | Total | |||||||||||||||
| Investments, at fair value | ||||||||||||||||||||
| Collateralized Loan Obligations | $ | - | $ | 26,072,389 | $ | 11,671,920 | $ | - | $ | 37,744,309 | ||||||||||
| Common Stocks | 1,012,952 | - | - | - | 1,012,952 | |||||||||||||||
| Corporate Bonds | - | 9,481,468 | - | - | 9,481,468 | |||||||||||||||
| Non-Listed Business Development Companies | - | - | - | 3,800,000 | 3,800,000 | |||||||||||||||
| Private Investment Funds | - | - | - | 52,160,680 | 52,160,680 | |||||||||||||||
| Senior Secured Loans | - | 42,848,208 | 156,281,918 | - | 199,130,126 | |||||||||||||||
| Warehouse Facility | - | - | 47,342,351 | - | 47,342,351 | |||||||||||||||
| Short-Term Investments | 67,135,497 | - | - | - | 67,135,497 | |||||||||||||||
| Total Assets, at fair value | $ | 68,148,449 | $ | 78,402,065 | $ | 215,296,189 | $ | 55,960,680 | $ | 417,807,383 | ||||||||||
| Liabilities | ||||||||||||||||||||
| Investments, at fair value | ||||||||||||||||||||
| Reverse Repurchase Agreement | $ | - | $ | 13,093,000 | $ | - | $ | - | $ | 13,093,000 | ||||||||||
| Total Liabilities, at fair value | $ | - | $ | 13,093,000 | $ | - | $ | - | $ | 13,093,000 | ||||||||||
All transfers between fair value levels are recognized by the Fund at the end of each reporting period.
The following table presents the changes in assets and transfers in and out which are classified in Level 3 of the fair value hierarchy for the period ending March 31, 2020:
| Collateralized Loan Obligations | Senior Secured Loans | Warehouse Facility | ||||||||||
| Balance as of January 1, 2020 | $ | 13,255,652 | $ | 104,573,277 | $ | 46,670,349 | ||||||
| Purchases | - | 59,401,094 | - | |||||||||
| Paydowns | - | (5,287,958 | ) | - | ||||||||
| Realized gains (losses) | - | 226,429 | - | |||||||||
| Commitment fees | - | (117,646 | ) | - | ||||||||
| Amortization | 24,574 | 46,771 | - | |||||||||
| Change in Unrealized appreciation (depreciation) | (1,608,306 | ) | (2,560,049 | ) | 672,002 | |||||||
| Transfers In | - | - | - | |||||||||
| Transfers Out | - | - | - | |||||||||
| Balance as of March 31, 2020 | $ | 11,671,920 | $ | 156,281,918 | $ | 47,342,351 | ||||||
