UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

Form 10-Q

(Mark One)

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended ~~June 30,~~December 31, 2020

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

COMMISSION FILE NUMBER: 000-55975

Oaktree Strategic Income II, Inc.

(EXACT NAME OF REGISTRANT AS SPECIFIED IN ITS CHARTER)


DELAWARE (State or jurisdiction of incorporation or organization)						83-0566439 (I.R.S. Employer Identification No.)

333 South Grand Avenue, 28th Floor Los Angeles, CA (Address of principal executive office)						90071 (Zip Code)

REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE:

(213) 830-6300

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter periods as the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. YES x NO ¨

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). YES ¨ NO ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and "emerging growth company" in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer o

Accelerated filer o

Non-accelerated filer x

Smaller reporting company o

Emerging growth company x

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act x

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act) YES ¨ NO x

Securities registered pursuant to Section 12(b) of the Act


Title of Each Class	Trading Symbol(s)	Name of Exchange on Which Registered
N/A	N/A	N/A

Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date.


Class						Outstanding at ~~August 11, 2020~~February 9, 2021
Common stock, $0.001 par value						17,401,121

OAKTREE STRATEGIC INCOME II, INC.

FORM 10-Q FOR THE QUARTER ENDED ~~JUNE 30,~~DECEMBER 31, 2020

TABLE OF CONTENTS

PART I — FINANCIAL INFORMATION

Item 1.

Consolidated Financial Statements:

Consolidated Statements of Assets and Liabilities as of ~~June 30,~~December 31, 2020 (unaudited) and September 30, ~~2019~~2020

Consolidated Statements of Operations (unaudited) for the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020 and 2019

Consolidated Statements of Changes in Net Assets (unaudited) for the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020 and 2019

Consolidated Statements of Cash Flows (unaudited) for the ~~nine~~three months ended ~~June 30,~~December 31, 2020 and 2019

Consolidated Schedule of Investments as of ~~June 30,~~December 31, 2020 (unaudited)

Consolidated Schedule of Investments as of September 30, ~~2019~~2020

1315

Notes to Consolidated Financial Statements (unaudited)

1923

Item 2.

Management's Discussion and Analysis of Financial Condition and Results of Operations

4447

Item 3.

Quantitative and Qualitative Disclosures about Market Risk

5861

Item 4.

Controls and Procedures

6063

PART II — OTHER INFORMATION

Item 1.

Item 1A.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

Item 3.

Defaults Upon Senior Securities

Item 4.

Mine Safety Disclosures

Item 6.

PART I — FINANCIAL INFORMATION


Item 1.			Consolidated Financial Statements.

Oaktree Strategic Income II, Inc.

Consolidated Statements of Assets and Liabilities


		June 30, 2020 (unaudited)		September 30, 2019			December 31, 2020 (unaudited)		September 30, 2020
ASSETS	ASSETS							ASSETS
Assets:	Assets:					Assets:
Investments – Non-control/Non-affiliate, at fair value (cost June 30, 2020: $411,533,282; cost September 30, 2019: $289,322,834)		$	405,533,867	$	291,147,011
Investments – Non-control/Non-affiliate, at fair value (cost December 31, 2020: $461,926,406; cost September 30, 2020: $428,740,923)						Investments – Non-control/Non-affiliate, at fair value (cost December 31, 2020: $461,926,406; cost September 30, 2020: $428,740,923)	$	468,177,605	$	429,851,146
Cash and cash equivalents	Cash and cash equivalents	31,133,522		11,079,015		Cash and cash equivalents	37,049,392		28,742,283
Restricted cash	Restricted cash	2,091,880		269,111		Restricted cash	4,068,407		2,273,803
Interest receivable	Interest receivable	1,494,779		1,005,398		Interest receivable	1,717,733		1,485,133

Receivables from unsettled transactions	Receivables from unsettled transactions	6,239,604		5,326,435		Receivables from unsettled transactions	6,528,333		1,113,367
Derivative assets at fair value		—		77,558
Deferred financing costs	Deferred financing costs	1,501,947		1,314,732		Deferred financing costs	1,760,444		1,669,903
Receivable for shares sold		—		347,500
Other assets	Other assets	712,088		382,727		Other assets	9,194,917		504,847
Total assets	Total assets	$	448,707,687	$	310,949,487	Total assets	$	528,496,831	$	465,640,482
LIABILITIES AND NET ASSETS	LIABILITIES AND NET ASSETS							LIABILITIES AND NET ASSETS
Liabilities:	Liabilities:					Liabilities:
Accounts payable, accrued expenses and other liabilities	Accounts payable, accrued expenses and other liabilities	$	801,348	$	999,579	Accounts payable, accrued expenses and other liabilities	$	677,726	$	771,862
Base management fee and incentive fee payable	Base management fee and incentive fee payable	2,125,041		1,128,658		Base management fee and incentive fee payable	5,272,874		4,468,874
Due to affiliates	Due to affiliates	452,538		753,665		Due to affiliates	678,161		570,134
Interest payable	Interest payable	394,118		1,065,903		Interest payable	635,057		581,762
Payables from unsettled transactions	Payables from unsettled transactions	15,302,873		52,374,932		Payables from unsettled transactions	44,802,346		6,594,355
Director fees payable		38,750		—
Derivative liability at fair value	Derivative liability at fair value	159,051		—		Derivative liability at fair value	604,516		647,889
Deferred tax liability	Deferred tax liability	11,532		—		Deferred tax liability	1,650		3,839
Credit facilities payable	Credit facilities payable	95,000,000		83,000,000		Credit facilities payable	135,000,000		105,000,000
Total liabilities	Total liabilities	114,285,251		139,322,737		Total liabilities	187,672,330		118,638,715
Commitments and contingencies (Note 12)	Commitments and contingencies (Note 12)					Commitments and contingencies (Note 12)
Net assets:	Net assets:					Net assets:
Common stock, $0.001 par value per share, 250,000,000 shares authorized; 17,401,121 shares issued and outstanding at June 30, 2020; 8,309,861 shares issued and outstanding at September 30, 2019		17,401		8,310
Preferred stock, $0.001 par value per share, 100,000,000 shares authorized; none issued and outstanding at June 30, 2020 and September 30, 2019		—		—
Common stock, $0.001 par value per share, 250,000,000 shares authorized; 17,401,121 shares issued and outstanding at December 31, 2020 and September 30, 2020						Common stock, $0.001 par value per share, 250,000,000 shares authorized; 17,401,121 shares issued and outstanding at December 31, 2020 and September 30, 2020	17,401		17,401
Preferred stock, $0.001 par value per share, 100,000,000 shares authorized; none issued and outstanding at December 31, 2020 and September 30, 2020						Preferred stock, $0.001 par value per share, 100,000,000 shares authorized; none issued and outstanding at December 31, 2020 and September 30, 2020	—		—
Additional paid-in-capital	Additional paid-in-capital	337,527,080		168,819,173		Additional paid-in-capital	337,337,998		337,337,998
Accumulated distributable earnings (loss)	Accumulated distributable earnings (loss)	(3,122,045)		2,799,267		Accumulated distributable earnings (loss)	3,469,102		9,646,368
Total net assets (equivalent to $19.22 and $20.65 per common share at June 30, 2020 and September 30, 2019, respectively) (Note 11)		334,422,436		171,626,750
Total net assets (equivalent to $19.59 and $19.94 per common share at December 31, 2020 and September 30, 2020, respectively) (Note 11)						Total net assets (equivalent to $19.59 and $19.94 per common share at December 31, 2020 and September 30, 2020, respectively) (Note 11)	340,824,501		347,001,767
Total liabilities and net assets	Total liabilities and net assets	$	448,707,687	$	310,949,487	Total liabilities and net assets	$	528,496,831	$	465,640,482

See notes to Consolidated Financial Statements.

Oaktree Strategic Income II, Inc.

Consolidated Statements of Operations

(unaudited)

Three months ended
June 30, 2020 Three months ended
June 30, 2019 Nine months ended
June 30, 2020 Nine months ended
June 30, 2019
Interest income:
Non-control/Non-affiliate investments $ 7,076,789 $ 3,737,196 $ 18,353,788 $ 6,498,459
Interest on cash and cash equivalents 2,584 7,530 53,552 87,801
Total interest income 7,079,373 3,744,726 18,407,340 6,586,260
PIK interest income:
   Non-control/Non-affiliate investments 493,661 151,667 1,019,286 411,361
   Total PIK interest income 493,661 151,667 1,019,286 411,361
Fee income:
   Non-control/Non-affiliate investments
534,247 103,158 1,111,561 367,836
   Total fee income 534,247 103,158 1,111,561 367,836
Total investment income 8,107,281 3,999,551 20,538,187 7,365,457
Expenses:
Base management fee 974,234 474,567 2,626,879 927,786
Investment income incentive fee 1,150,807 352,680 2,004,535 352,680
Capital gains incentive fee — 26,925 (427,572) 335,273
Offering costs — 199,384 — 561,757
Organization expenses — — — 56,921
Professional fees 218,178 238,916 639,954 622,685
Directors fees 38,750 26,250 116,387 78,750
Interest expense 797,125 1,008,482 3,784,294 1,595,637
Administrator expense 132,370 87,978 376,657 300,075
General and administrative expenses 192,590 195,265 596,599 564,766
Total expenses 3,504,054 2,610,447 9,717,733 5,396,330
Net investment income before taxes 4,603,227 1,389,104 10,820,454 1,969,127
Excise tax expense — 5,158 — 14,515
Net investment income 4,603,227 1,383,946 10,820,454 1,954,612
Unrealized appreciation (depreciation):
Non-control/Non-affiliate investments 29,502,986 95,107 (7,823,096) 1,535,356
Foreign currency forward contracts (214,309) (17,884) (236,609) (8,644)
Net unrealized appreciation (depreciation) 29,288,677 77,223 (8,059,705) 1,526,712
Realized gains (losses):
Non-control/Non-affiliate investments 1,524,050 57,403 2,115,004 66,349
Foreign currency forward contracts 124,791 — 165,752 83,308
Net realized gains (losses) 1,648,841 57,403 2,280,756 149,657
Provision for income tax (expense) benefit (5,977) — (11,532) —
Net realized and unrealized gains (losses), net of taxes 30,931,541 134,626 (5,790,481) 1,676,369
Net increase (decrease) in net assets resulting from operations $ 35,534,768 $ 1,518,572 $ 5,029,973 $ 3,630,981
Net investment income (loss) per common share — basic and diluted $ 0.30 $ 0.30 $ 1.01 $ 0.55
Earnings (loss) per common share — basic and diluted (Note 5) $ 2.30 $ 0.33 $ 0.47 $ 1.03
Weighted average common shares outstanding — basic and diluted 15,479,844 4,537,886 10,750,736 3,534,991


	For the three months ended December 31, 2020		For the three months ended December 31, 2019
Interest income:
Non-control/Non-affiliate investments	$	8,395,347	$	4,984,017
Interest on cash and cash equivalents	4		29,382
Total interest income	8,395,351		5,013,399
PIK interest income:
Non-control/Non-affiliate investments	836,758		151,232
Total PIK interest income	836,758		151,232
Fee income:
Non-control/Non-affiliate investments	1,270,883		129,947
Total fee income	1,270,883		129,947
Total investment income	10,502,992		5,294,578
Expenses:
Base management fee	1,141,527		786,134
Investment income incentive fee	1,563,232		49,915
Capital gains incentive fee	1,113,049		677,318
Professional fees	287,729		167,983
Directors fees	38,750		38,887
Interest expense	877,956		1,355,193
Administrator expense	90,956		113,917
General and administrative expenses	249,911		208,146
Total expenses	5,363,110		3,397,493
Net investment income	5,139,882		1,897,085
Unrealized appreciation (depreciation):
Non-control/Non-affiliate investments	5,141,980		3,122,217
Foreign currency forward contracts	43,374		(59,686)
Net unrealized appreciation (depreciation)	5,185,354		3,062,531
Realized gains (losses):
Non-control/Non-affiliate investments	1,238,352		324,057
Foreign currency forward contracts	(853,748)		—
Net realized gains (losses)	384,604		324,057
Provision for income tax (expense) benefit	(8,017)		(5,246)
Net realized and unrealized gains (losses), net of taxes	5,561,941		3,381,342
Net increase (decrease) in net assets resulting from operations	$	10,701,823	$	5,278,427
Net investment income per common share — basic and diluted	$	0.30	$	0.23
Earnings (loss) per common share — basic and diluted (Note 5)	$	0.62	$	0.64
Weighted average common shares outstanding — basic and diluted	17,401,121		8,309,861

See notes to Consolidated Financial Statements.

Oaktree Strategic Income II, Inc.

Consolidated Statements of Changes in Net Assets

(unaudited)


		Three months ended June 30, 2020		Three months ended June 30, 2019		Nine months ended June 30, 2020		Nine months ended June 30, 2019			For the three months ended December 31, 2020		For the three months ended December 31, 2019
Operations:	Operations:									Operations:
Net investment income	Net investment income	$	4,603,227	$	1,383,946	$	10,820,454	$	1,954,612	Net investment income	$	5,139,882	$	1,897,085
Net unrealized appreciation (depreciation)	Net unrealized appreciation (depreciation)	29,288,677		77,223		(8,059,705)		1,526,712		Net unrealized appreciation (depreciation)	5,185,354		3,062,531
Net realized gains (losses)	Net realized gains (losses)	1,648,841		57,403		2,280,756		149,657		Net realized gains (losses)	384,604		324,057
Provision for income tax (expense) benefit	Provision for income tax (expense) benefit	(5,977)		—		(11,532)		—		Provision for income tax (expense) benefit	(8,017)		(5,246)
Net increase (decrease) in net assets resulting from operations	Net increase (decrease) in net assets resulting from operations	35,534,768		1,518,572		5,029,973		3,630,981		Net increase (decrease) in net assets resulting from operations	10,701,823		5,278,427
Capital share transactions:	Capital share transactions:									Capital share transactions:
Distributions to stockholders	Distributions to stockholders	(3,306,213)		—		(10,951,285)		—		Distributions to stockholders	(16,879,089)		(5,069,014)
Issuance of common stock		101,180,199		33,768,400		168,716,998		70,470,430
Net increase (decrease) in net assets from capital share transactions	Net increase (decrease) in net assets from capital share transactions	97,873,986		33,768,400		157,765,713		70,470,430		Net increase (decrease) in net assets from capital share transactions	(16,879,089)		(5,069,014)
Total increase (decrease) in net assets	Total increase (decrease) in net assets	133,408,754		35,286,972		162,795,686		74,101,411		Total increase (decrease) in net assets	(6,177,266)		209,413
Net assets at beginning of period	Net assets at beginning of period	201,013,682		69,186,756		171,626,750		30,372,317		Net assets at beginning of period	347,001,767		171,626,750
Net assets at end of period	Net assets at end of period	$	334,422,436	$	104,473,728	$	334,422,436	$	104,473,728	Net assets at end of period	$	340,824,501	$	171,836,163
Net asset value per common share	Net asset value per common share	$	19.22	$	20.70	$	19.22	$	20.70	Net asset value per common share	$	19.59	$	20.68
Common shares outstanding at end of period	Common shares outstanding at end of period	17,401,121		5,047,214		17,401,121		5,047,214		Common shares outstanding at end of period	17,401,121		8,309,861

See notes to Consolidated Financial Statements.

Oaktree Strategic Income II, Inc.

Consolidated Statements of Cash Flows

(unaudited)


		Nine months ended June 30, 2020		Nine months ended June 30, 2019			For the three months ended December 31, 2020		For the three months ended December 31, 2019
Operating activities:	Operating activities:					Operating activities:
Net increase (decrease) in net assets resulting from operations	Net increase (decrease) in net assets resulting from operations	$	5,029,973	$	3,630,981	Net increase (decrease) in net assets resulting from operations	$	10,701,823	$	5,278,427
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used in operating activities:	Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used in operating activities:					Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used in operating activities:
Net unrealized (appreciation) depreciation	Net unrealized (appreciation) depreciation	8,059,705		(1,526,712)		Net unrealized (appreciation) depreciation	(5,185,354)		(3,062,531)
Net realized (gains) losses	Net realized (gains) losses	(2,280,756)		(149,657)		Net realized (gains) losses	(384,604)		(324,057)
PIK interest income	PIK interest income	(1,019,286)		(411,361)		PIK interest income	(836,758)		(151,232)
Accretion of original issue discount on investments	Accretion of original issue discount on investments	(1,962,304)		(741,897)		Accretion of original issue discount on investments	(958,653)		(312,720)
Amortization of deferred financing costs	Amortization of deferred financing costs	475,560		193,469		Amortization of deferred financing costs	131,226		164,692
Amortization of deferred offering costs		—		561,757
Deferred taxes	Deferred taxes	11,532		—		Deferred taxes	(2,189)		5,246
Purchases of investments	Purchases of investments	(274,685,855)		(192,791,011)		Purchases of investments	(107,795,724)		(67,626,246)
Proceeds from sales and repayments of investments	Proceeds from sales and repayments of investments	157,471,414		14,427,798		Proceeds from sales and repayments of investments	76,870,578		38,681,281
Changes in operating assets and liabilities:	Changes in operating assets and liabilities:					Changes in operating assets and liabilities:
(Increase) decrease in interest receivable	(Increase) decrease in interest receivable	(177,237)		(803,867)		(Increase) decrease in interest receivable	(154,305)		293,364
(Increase) decrease in receivables from unsettled transactions	(Increase) decrease in receivables from unsettled transactions	(913,169)		—		(Increase) decrease in receivables from unsettled transactions	(5,414,966)		2,311,133
(Increase) decrease in other assets	(Increase) decrease in other assets	(329,361)		92,117		(Increase) decrease in other assets	(8,690,070)		(23,361)
Increase (decrease) in accounts payable, accrued expenses and other liabilities	Increase (decrease) in accounts payable, accrued expenses and other liabilities	(540,231)		256,047		Increase (decrease) in accounts payable, accrued expenses and other liabilities	(121,040)		(23,585)
Increase (decrease) in base management fee and incentive fee payable	Increase (decrease) in base management fee and incentive fee payable	996,383		1,122,794		Increase (decrease) in base management fee and incentive fee payable	804,000		812,280
Increase (decrease) in due to affiliates	Increase (decrease) in due to affiliates	(301,127)		(424,187)		Increase (decrease) in due to affiliates	108,027		(423,755)
Increase (decrease) in interest payable	Increase (decrease) in interest payable	(671,785)		902,386		Increase (decrease) in interest payable	53,295		(23,876)
Increase (decrease) in payables from unsettled transactions	Increase (decrease) in payables from unsettled transactions	(37,072,059)		4,651,221		Increase (decrease) in payables from unsettled transactions	38,207,991		(31,790,217)
Increase (decrease) in director fees payable		38,750		—
Net cash used in operating activities	Net cash used in operating activities	(147,869,853)		(171,010,122)		Net cash used in operating activities	(2,666,723)		(56,215,157)
Financing activities:	Financing activities:					Financing activities:
Distributions paid in cash	Distributions paid in cash	(10,951,285)		—		Distributions paid in cash	(16,879,089)		(5,069,014)
Borrowings under the credit facilities	Borrowings under the credit facilities	159,000,000		118,000,000		Borrowings under the credit facilities	30,000,000		68,500,000
Repayments of borrowings under the credit facilities	Repayments of borrowings under the credit facilities	(147,000,000)		(20,000,000)		Repayments of borrowings under the credit facilities	—		(8,000,000)
Proceeds from the issuance of common stock	Proceeds from the issuance of common stock	169,064,498		70,510,430		Proceeds from the issuance of common stock	—		347,500
Deferred financing costs paid	Deferred financing costs paid	(320,775)		(572,121)		Deferred financing costs paid	(194,863)		—
Offering costs paid		—		(122,903)
Net cash provided by financing activities	Net cash provided by financing activities	169,792,438		167,815,406		Net cash provided by financing activities	12,926,048		55,778,486
Effect of exchange rate changes on foreign currency	Effect of exchange rate changes on foreign currency	(45,309)		45,270		Effect of exchange rate changes on foreign currency	(157,612)		250
Net increase (decrease) in cash and cash equivalents and restricted cash	Net increase (decrease) in cash and cash equivalents and restricted cash	21,877,276		(3,149,446)		Net increase (decrease) in cash and cash equivalents and restricted cash	10,101,713		(436,421)
Cash and cash equivalents and restricted cash, beginning of period	Cash and cash equivalents and restricted cash, beginning of period	11,348,126		10,131,268		Cash and cash equivalents and restricted cash, beginning of period	31,016,086		11,348,126
Cash and cash equivalents and restricted cash, end of period	Cash and cash equivalents and restricted cash, end of period	$	33,225,402	$	6,981,822	Cash and cash equivalents and restricted cash, end of period	$	41,117,799	$	10,911,705
Supplemental information:	Supplemental information:					Supplemental information:
Cash paid for interest	Cash paid for interest	$	3,980,519	$	499,782	Cash paid for interest	$	693,435	$	1,214,377
Non-cash financing activities:	Non-cash financing activities:					Non-cash financing activities:
Accrued deferred financing costs	Accrued deferred financing costs	$	(342,000)	$	—	Accrued deferred financing costs	$	(26,904)	$	(2,245)

Reconciliation to the Consolidated Statement of Assets and Liabilities	Reconciliation to the Consolidated Statement of Assets and Liabilities	June 30, 2020		September 30, 2019		Reconciliation to the Consolidated Statement of Assets and Liabilities	December 31, 2020		September 30, 2020
Cash and cash equivalents	Cash and cash equivalents	$	31,133,522	$	11,079,015	Cash and cash equivalents	$	37,049,392	$	28,742,283
Restricted cash	Restricted cash	2,091,880		269,111		Restricted cash	4,068,407		2,273,803
Total cash and cash equivalents and restricted cash	Total cash and cash equivalents and restricted cash	$	33,225,402	$	11,348,126	Total cash and cash equivalents and restricted cash	$	41,117,799	$	31,016,086

See notes to Consolidated Financial Statements.

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

~~June 30,~~December 31, 2020

(unaudited)

Portfolio Company/Type of Investment (1)(2)(3)(4) Cash Interest Rate (5) Industry Principal (6) Cost Fair Value Notes
Non-Control/Non-Affiliate Investments (7)
A.T. Holdings II SÀRL Biotechnology
First Lien Term Loan, 12.00% cash due 4/27/2023 $ 8,160,000 $ 8,160,000 $ 8,976,000 (8)(10)
First Lien Delayed Draw Term Loan, 12.00% cash due 4/27/2023 — — 408,000 (8)(9)(10)
8,160,000 9,384,000
Access CIG, LLC Diversified Support Services
First Lien Term Loan, LIBOR+3.75% cash due 2/27/2025 3.92 % 7,493,955 7,436,086 7,158,301 (5)
7,436,086 7,158,301
Accupac, Inc. Personal Products
First Lien Term Loan, LIBOR+6.00% cash due 1/17/2026 7.00 % 4,570,880 4,496,947 4,495,460 (5)(8)
First Lien Delayed Draw Term Loan, LIBOR+6.00% cash due 1/17/2026 — (13,854) (14,132) (5)(8)(9)
First Lien Revolver, LIBOR+6.00% cash due 1/17/2026 7.00 % 571,008 561,772 561,586 (5)(8)
5,044,865 5,042,914
Acquia Inc. Application Software
First Lien Term Loan, LIBOR+7.00% cash due 10/31/2025 8.00 % 4,381,994 4,303,935 4,228,624 (5)(8)
First Lien Revolver, LIBOR+7.00% cash due 10/31/2025 — (8,567) (16,401) (5)(8)(9)
4,295,368 4,212,223
AI Sirona (Luxembourg) Acquisition S.a.r.l. Pharmaceuticals
Second Lien Term Loan, EURIBOR+7.25% cash due 9/28/2026 7.25 % € 5,147,000 5,610,586 5,434,002 (5)(8)(10)
5,610,586 5,434,002
Airbnb, Inc. Hotels, Resorts & Cruise Lines
First Lien Term Loan, LIBOR+7.50% cash due 4/17/2025 8.50 % $ 5,693,000 5,553,931 5,949,185 (5)
5,553,931 5,949,185
Aldevron, L.L.C. Biotechnology
First Lien Term Loan, LIBOR+4.25% cash due 10/12/2026 5.25 % 3,990,000 3,950,100 3,945,113 (5)
3,950,100 3,945,113
Algeco Scotsman Global Finance Plc Construction & Engineering
Fixed Rate Bond, 8.00% cash due 2/15/2023 566,000 575,161 545,123 (10)
575,161 545,123
Alvogen Pharma US, Inc. Pharmaceuticals
First Lien Term Loan, LIBOR+5.25% cash due 12/31/2023 6.32 % 2,646,943 2,341,089 2,474,892 (5)(8)
2,341,089 2,474,892
Alvotech Holdings S.A. Biotechnology
Fixed Rate Bond 15% PIK Note A due 12/13/2023 2,000,000 2,458,091 2,614,789 (8)(10)(11)
Fixed Rate Bond 15% PIK Note B due 12/13/2023 2,000,000 2,458,091 2,487,521 (8)(10)(11)
4,916,182 5,102,310
Amplify Finco Pty Ltd. Movies & Entertainment
First Lien Term Loan, LIBOR+4.00% cash due 11/26/2026 4.75 % 5,985,000 5,925,150 5,236,875 (5)(8)(10)
5,925,150 5,236,875
Anastasia Parent, LLC Personal Products
First Lien Term Loan, LIBOR+3.75% cash due 8/11/2025 1,847,213 1,514,765 653,747 (5)(12)
1,514,765 653,747
Apptio, Inc. Application Software
First Lien Term Loan, LIBOR+7.25% cash due 1/10/2025 8.25 % 7,129,297 7,020,057 6,968,781 (5)(8)
First Lien Revolver, LIBOR+7.25% cash due 1/10/2025 — (6,965) (10,392) (5)(8)(9)
7,013,092 6,958,389

~~Oaktree Strategic Income II, Inc.~~

~~Consolidated Schedule of Investments~~

~~June 30, 2020~~

~~(unaudited)~~

Portfolio Company/Type of Investment (1)(2)(3)(4) Cash Interest Rate (5) Industry Principal (6) Cost Fair Value Notes
Ardonagh Midco 3 PLC Insurance Brokers
Fixed Rate Bond, 11.50% cash due 1/15/2027 $ 1,588,000 $ 1,572,120 $ 1,603,880 (10)
1,572,120 1,603,880
Assembled Brands Capital LLC Specialized Finance
First Lien Delayed Draw Term Loan, LIBOR+6.00% cash due 10/17/2023 7.00 % 595,536 595,536 470,077 (5)(8)(9)
174,131 Class A Units 82,713 118,409 (8)
100,285 Preferred Units, 6% 110,285 115,799 (8)
7,621 Class A Warrants (exercise price $3.3778) expiration date 9/9/2029 — — (8)
788,534 704,285
Associated Asphalt Partners, LLC Construction Materials
First Lien Term Loan, LIBOR+5.25% cash due 4/5/2024 6.25 % 924,015 767,411 679,151 (5)
767,411 679,151
Asurion, LLC Property & Casualty Insurance
Second Lien Term Loan, LIBOR+6.50% cash due 8/4/2025 6.68 % 1,141,000 1,143,572 1,138,148 (5)
1,143,572 1,138,148
Athenex, Inc. Pharmaceuticals
First Lien Term Loan, 11.00% cash due 6/19/2026 10,700,785 10,232,904 10,231,145 (8)(10)
First Lien Delayed Draw Term Loan, 11.00% cash due 6/19/2026 — (185,770) (185,770) (8)(9)(10)
97,205 Common Stock Warrants (exercise price $12.63) expiration date 6/19/2027 334,385 334,385 (8)(10)
10,381,519 10,379,760
Aurora Lux Finco S.À.R.L. Airport Services
First Lien Term Loan, LIBOR+6.00% cash due 12/24/2026 7.00 % 7,481,250 7,308,116 6,965,044 (5)(8)(10)
7,308,116 6,965,044
Ball Metalpack Finco, LLC Metal & Glass Containers
First Lien Term Loan, LIBOR+4.50% cash due 7/31/2025 4.86 % 572,290 570,194 531,157 (5)(8)
570,194 531,157
BCP Renaissance Parent L.L.C. Oil & Gas Storage & Transportation
First Lien Term Loan, LIBOR+3.50% cash due 10/31/2024 4.50 % 428,040 406,074 361,084 (5)
406,074 361,084
Boxer Parent Company Inc. Systems Software
First Lien Term Loan, LIBOR+4.25% cash due 10/2/2025 4.43 % 8,508,582 8,357,347 8,082,685 (5)
8,357,347 8,082,685
BX Commercial Mortgage Trust 2020-VIVA Diversified Real Estate Activities
Class D Variable Notes due 3/9/2044 3.67 % 6,182,239 5,155,444 5,533,493 (5)(8)(10)
Class E Variable Notes due 3/9/2044 3.67 % 3,062,761 2,362,572 2,608,894 (5)(8)(10)
7,518,016 8,142,387
Cadence Aerospace, LLC Aerospace & Defense
First Lien Term Loan, LIBOR+3.25% cash 5.25% PIK due 11/14/2023 4.25 % 2,991,679 2,961,762 2,747,558 (5)(8)
2,961,762 2,747,558
Canyon Buyer, Inc. Application Software
First Lien Term Loan, LIBOR+4.25% cash due 2/15/2025 4.56 % 3,939,547 3,902,507 3,860,756 (5)
3,902,507 3,860,756

~~Oaktree Strategic Income II, Inc.~~

~~Consolidated Schedule of Investments~~

~~June 30, 2020~~

~~(unaudited)~~

Portfolio Company/Type of Investment (1)(2)(3)(4) Cash Interest Rate (5) Industry Principal (6) Cost Fair Value Notes
Carrols Restaurant Group, Inc. Restaurants
First Lien Term Loan, LIBOR+6.25% cash due 4/30/2026 7.25 % $ 4,991,000 $ 4,741,450 $ 4,791,360 (5)
4,741,450 4,791,360
Chief Power Finance II, LLC Independent Power Producers & Energy Traders
First Lien Term Loan, LIBOR+6.50% cash due 12/31/2022 7.50 % 8,181,250 8,019,713 7,716,555 (5)(8)
8,019,713 7,716,555
CITGO Petroleum Corp. Oil & Gas Refining & Marketing
First Lien Term Loan, LIBOR+5.00% cash due 3/28/2024 6.00 % 7,201,768 7,129,750 6,931,701 (5)
7,129,750 6,931,701
Connect U.S. Finco LLC Alternative Carriers
First Lien Term Loan, LIBOR+4.50% cash due 12/11/2026 5.50 % 8,858,425 8,646,967 8,365,720 (5)(10)
8,646,967 8,365,720
Continental Intermodal Group LP Oil & Gas Storage & Transportation
First Lien Term Loan, LIBOR+8.50% PIK due 1/28/2025 11,375,321 11,375,321 9,967,056 (5)(8)
11,375,321 9,967,056
Convergeone Holdings, Inc. IT Consulting & Other Services
First Lien Term Loan, LIBOR+5.00% cash due 1/4/2026 5.18 % 5,863,765 5,673,535 4,988,393 (5)
5,673,535 4,988,393
Corrona, LLC Health Care Services
First Lien Term Loan, LIBOR+5.50% cash due 12/13/2025 6.50 % 3,770,230 3,710,301 3,704,251 (5)(8)
First Lien Delayed Draw Term Loan, LIBOR+5.50% cash due 12/13/2025 — (11,699) (23,398) (5)(8)(9)
First Lien Revolver, PRIME+4.50% cash due 12/13/2025 7.75 % 111,500 100,866 99,793 (5)(8)(9)
401 Class A2 Common Units in Corrona Group Holdings, L.P. 378,610 378,610 (8)
4,178,078 4,159,256
CPI Holdco, LLC Health Care Supplies
First Lien Term Loan, LIBOR+4.25% cash due 11/4/2026 4.43 % 5,788,493 5,763,555 5,600,366 (5)
5,763,555 5,600,366
Crown Point CLO 7 Ltd. Multi-Sector Holdings
Class E Notes, LIBOR+6.30% cash due 10/20/2031 7.44 % 989,000 712,422 766,475 (5)(10)
712,422 766,475
CTOS, LLC Trading Companies & Distributors
First Lien Term Loan, LIBOR+4.25% cash due 4/18/2025 4.44 % 2,947,215 2,964,769 2,903,007 (5)
2,964,769 2,903,007
Dcert Buyer, Inc. Internet Services & Infrastructure
First Lien Term Loan, LIBOR+4.00% cash due 10/16/2026 4.18 % 7,980,000 7,960,050 7,743,912 (5)
7,960,050 7,743,912
Dealer Tire, LLC Distributors
First Lien Term Loan, LIBOR+4.25% cash due 12/12/2025 4.43 % 8,588,398 8,478,866 8,230,520 (5)
8,478,866 8,230,520
The Dun & Bradstreet Corporation Research & Consulting Services
First Lien Term Loan, LIBOR+4.00% cash due 2/6/2026 4.18 % 1,165,379 1,169,232 1,138,430 (5)
1,169,232 1,138,430
EHR Canada, LLC Food Retail
First Lien Term Loan, LIBOR+8.00% cash due 9/28/2020 9.00 % 457,407 456,350 461,981 (5)(8)
456,350 461,981
Elevation CLO 2018-9, Ltd. Multi-Sector Holdings
Class E Notes, LIBOR+6.30% cash due 7/15/2031 7.52 % 460,000 287,271 357,075 (5)(10)
287,271 357,075


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes
Non-Control/Non-Affiliate Investments										(7)
A.T. Holdings II SÀRL			Biotechnology
First Lien Term Loan, 9.50% cash due 12/22/2022				$	12,812,000	$	12,686,162	$	12,683,880	(8)(10)
						12,686,162		12,683,880
Access CIG, LLC			Diversified Support Services
First Lien Term Loan, LIBOR+3.75% cash due 2/27/2025	3.98	%		7,455,652		7,404,404		7,395,075		(5)
						7,404,404		7,395,075
Accupac, Inc.			Personal Products
First Lien Term Loan, LIBOR+6.00% cash due 1/17/2026	7.00	%		4,547,968		4,481,196		4,547,968		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+6.00% cash due 1/17/2026				—		(12,575)		—		(5)(8)(9)
First Lien Revolver, LIBOR+6.00% cash due 1/17/2026	7.00	%		571,008		562,624		571,008		(5)(8)
						5,031,245		5,118,976
Acquia Inc.			Application Software
First Lien Term Loan, LIBOR+7.00% cash due 10/31/2025	8.00	%		4,381,994		4,311,429		4,320,646		(5)(8)
First Lien Revolver, LIBOR+7.00% cash due 10/31/2025				—		(7,745)		(6,560)		(5)(8)(9)
						4,303,684		4,314,086
ADB Companies, LLC			Construction & Engineering
First Lien Term Loan, LIBOR+6.25% cash due 12/18/2025	7.25	%		6,666,667		6,500,000		6,533,333		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+6.25% cash due 12/18/2025				—		(33,333)		(26,667)		(5)(8)(9)
						6,466,667		6,506,666
AI Sirona (Luxembourg) Acquisition S.a.r.l.			Pharmaceuticals
Second Lien Term Loan, EURIBOR+7.25% cash due 9/28/2026	7.25	%		€	5,147,000	5,621,212		6,281,868		(5)(8)(10)
						5,621,212		6,281,868
Airbnb, Inc.			Hotels, Resorts & Cruise Lines
First Lien Term Loan, LIBOR+7.50% cash due 4/17/2025	8.50	%		$	5,664,535	5,540,939		6,153,101		(5)
						5,540,939		6,153,101
Aldevron, L.L.C.			Biotechnology
First Lien Term Loan, LIBOR+4.25% cash due 10/12/2026	5.25	%		5,445,566		5,402,178		5,472,794		(5)
						5,402,178		5,472,794
Algeco Scotsman Global Finance Plc			Construction & Engineering
Fixed Rate Bond, 8.00% cash due 2/15/2023				566,000		573,513		578,376		(10)
						573,513		578,376
Alvogen Pharma US, Inc.			Pharmaceuticals
First Lien Term Loan, LIBOR+5.25% cash due 12/31/2023	6.25	%		2,646,943		2,385,842		2,545,472		(5)
						2,385,842		2,545,472
Alvotech Holdings S.A.			Biotechnology
Fixed Rate Bond 15% PIK Note A due 12/13/2023				2,000,000		2,638,718		2,835,051		(8)(10)(11)
Fixed Rate Bond 15% PIK Note B due 12/13/2023				2,000,000		2,638,718		2,755,190		(8)(10)(11)
						5,277,436		5,590,241
Amplify Finco Pty Ltd.			Movies & Entertainment
First Lien Term Loan, LIBOR+4.25% cash due 11/26/2026	5.00	%		8,138,500		7,836,149		7,568,805		(5)(8)(10)
						7,836,149		7,568,805

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

~~June 30,~~December 31, 2020

(unaudited)

Portfolio Company/Type of Investment (1)(2)(3)(4) Cash Interest Rate (5) Industry Principal (6) Cost Fair Value Notes
Ellie Mae, Inc. Application Software
First Lien Term Loan, LIBOR+3.75% cash due 4/17/2026 4.06 % $ 5,955,000 $ 5,910,338 $ 5,795,704 (5)
5,910,338 5,795,704
eResearch Technology, Inc. Application Software
First Lien Term Loan, LIBOR+4.50% cash due 2/4/2027 5.50 % 4,000,000 3,960,000 3,931,000 (5)
3,960,000 3,931,000
Frontier Communications Corporation Integrated Telecommunication Services
Fixed Rate Bond, 8.50% cash due 4/1/2026 2,216,000 2,077,839 2,097,444 (12)
2,077,839 2,097,444
Galaxy XXI CLO, Ltd. Multi-Sector Holdings
Class ER Notes, LIBOR+5.25% cash due 4/20/2031 6.39 % 339,000 241,819 287,017 (5)(10)
241,819 287,017
GI Chill Acquisition LLC Managed Health Care
First Lien Term Loan, LIBOR+4.00% cash due 8/6/2025 4.31 % 1,965,000 1,955,175 1,837,275 (5)(8)
Second Lien Term Loan, LIBOR+7.50% cash due 8/6/2026 7.81 % 2,000,000 1,984,715 1,820,000 (5)(8)
3,939,890 3,657,275
Global Medical Response Health Care Services
First Lien Term Loan, LIBOR+4.25% cash due 3/14/2025 5.25 % 1,081,587 1,062,534 1,037,647 (5)
1,062,534 1,037,647
Guidehouse LLP Research & Consulting Services
First Lien Term Loan, LIBOR+4.50% cash due 5/1/2025 4.68 % 4,465,822 4,425,234 4,343,012 (5)
4,425,234 4,343,012
Gulf Operating, LLC Oil & Gas Storage & Transportation
First Lien Term Loan, LIBOR+5.25% cash due 8/25/2023 6.25 % 1,429,009 763,189 934,808 (5)
763,189 934,808
Helios Software Holdings, Inc. Systems Software
First Lien Term Loan, LIBOR+4.25% cash due 10/24/2025 5.32 % 2,984,884 2,955,035 2,889,367 (5)
2,955,035 2,889,367
iCIMs, Inc. Application Software
First Lien Term Loan, LIBOR+6.50% cash due 9/12/2024 7.50 % 1,671,765 1,647,837 1,656,384 (5)(8)
First Lien Revolver, LIBOR+6.50% cash due 9/12/2024 — (1,577) (812) (5)(8)(9)
1,646,260 1,655,572
Intelsat Jackson Holdings S.A. Alternative Carriers
First Lien Term Loan, PRIME+4.75% cash due 11/27/2023 8.00 % 986,227 951,511 985,458 (5)(10)
951,511 985,458
KIK Custom Products Inc. Household Products
First Lien Term Loan, LIBOR+4.00% cash due 5/15/2023 5.00 % 2,000,000 1,929,052 1,911,130 (5)(10)
1,929,052 1,911,130
Lightbox Intermediate, L.P. Real Estate Services
First Lien Term Loan, LIBOR+5.00% cash due 5/9/2026 5.18 % 8,910,000 8,797,558 8,241,750 (5)(8)
8,797,558 8,241,750
LTI Holdings, Inc. Electronic Components
Second Lien Term Loan, LIBOR+6.75% cash due 9/6/2026 6.93 % 1,000,000 1,000,000 709,000 (5)
1,000,000 709,000
Maravai Intermediate Holdings, LLC Biotechnology
First Lien Term Loan, LIBOR+4.25% cash due 8/1/2025 5.25 % 1,277,250 1,264,478 1,267,671 (5)(8)
1,264,478 1,267,671
Mauser Packaging Solutions Holding Company Metal & Glass Containers
Fixed Rate Bond, 8.50% cash due 4/15/2024 4,482,000 4,438,508 4,711,703
4,438,508 4,711,703


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes
Anastasia Parent, LLC			Personal Products
First Lien Term Loan, LIBOR+3.75% cash due 8/11/2025				$	1,837,813	$	1,469,242	$	1,231,665	(5)(12)
						1,469,242		1,231,665
Apptio, Inc.			Application Software
First Lien Term Loan, LIBOR+7.25% cash due 1/10/2025	8.25	%		7,129,297		7,032,406		6,995,516		(5)(8)
First Lien Revolver, LIBOR+7.25% cash due 1/10/2025				—		(6,190)		(8,661)		(5)(8)(9)
						7,026,216		6,986,855
Ardonagh Midco 3 PLC			Insurance Brokers
First Lien Term Loan, EURIBOR+7.50% cash due 7/14/2026	8.50	%		€	1,028,928	1,140,588		1,247,614		(5)(8)(10)
First Lien Term Loan, UK LIBOR+5.4375% cash 2.0625% PIK due 7/14/2026	6.19	%		£	8,076,170	9,841,376		10,940,363		(5)(8)(10)
First Lien Delayed Draw Term Loan, UK LIBOR+5.4375% cash 2.0625% PIK due 7/14/2026	6.19	%		£	285,813	309,787		369,595		(5)(8)(9)(10)
Fixed Rate Bond, 11.50% cash due 1/15/2027				$	794,000	786,060		851,565		(10)
						12,077,811		13,409,137
Assembled Brands Capital LLC			Specialized Finance
First Lien Revolver, LIBOR+6.00% cash due 10/17/2023	7.00	%		805,077		805,077		752,140		(5)(8)(9)
174,131 Class A Units						82,713		45,274		(8)
100,285 Preferred Units, 6%						110,285		119,107		(8)
7,621 Class A Warrants (exercise price $3.3778) expiration date 9/9/2029						—		—		(8)
						998,075		916,521
Associated Asphalt Partners, LLC			Construction Materials
First Lien Term Loan, LIBOR+5.25% cash due 4/5/2024	6.25	%		918,565		784,073		787,210		(5)
						784,073		787,210
Asurion, LLC			Property & Casualty Insurance
Second Lien Term Loan, LIBOR+6.50% cash due 8/4/2025	6.65	%		1,071,848		1,074,022		1,082,299		(5)
						1,074,022		1,082,299
Athenex, Inc.			Pharmaceuticals
First Lien Term Loan, 11.00% cash due 6/19/2026				12,484,249		12,011,324		12,461,778		(8)(10)
First Lien Delayed Draw Term Loan, 11.00% cash due 6/19/2026				—		(86,693)		(11,236)		(8)(9)(10)
97,205 Common Stock Warrants (exercise price $12.63) expiration date 6/19/2027						334,385		313,972		(8)(10)
						12,259,016		12,764,514
Aurora Lux Finco S.À.R.L.			Airport Services
First Lien Term Loan, LIBOR+5.75% cash due 12/24/2026	6.75	%		7,443,750		7,285,094		6,937,575		(5)(8)(10)
						7,285,094		6,937,575
BX Commercial Mortgage Trust 2020-VIVA			Diversified Real Estate Activities
Class D Variable Notes due 3/9/2044	3.67	%		1,541,220		1,288,064		1,540,295		(5)(8)(10)
Class E Variable Notes due 3/9/2044	3.67	%		2,333,140		1,805,279		2,206,451		(5)(8)(10)
						3,093,343		3,746,746
Cadence Aerospace, LLC			Aerospace & Defense
First Lien Term Loan, LIBOR+3.25% cash 5.25% PIK due 11/14/2023	4.25	%		3,072,052		3,042,135		2,821,373		(5)(8)
						3,042,135		2,821,373
Carrols Restaurant Group, Inc.			Restaurants
First Lien Term Loan, LIBOR+6.25% cash due 4/30/2026	7.25	%		4,966,045		4,730,939		4,947,422		(5)
						4,730,939		4,947,422
Chief Power Finance II, LLC			Independent Power Producers & Energy Traders
First Lien Term Loan, LIBOR+6.50% cash due 12/31/2022	7.50	%		7,968,750		7,843,635		7,590,234		(5)(8)
						7,843,635		7,590,234

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

~~June 30,~~December 31, 2020

(unaudited)

Portfolio Company/Type of Investment (1)(2)(3)(4) Cash Interest Rate (5) Industry Principal (6) Cost Fair Value Notes
Mindbody, Inc. Internet Services & Infrastructure
First Lien Term Loan, LIBOR+7.00% cash 1.5% PIK due 2/14/2025 8.00 % $ 7,246,540 $ 7,134,946 $ 6,695,803 (5)(8)
First Lien Revolver, LIBOR+8.00% cash due 2/14/2025 9.07 % 761,905 750,158 704,000 (5)(8)
7,885,104 7,399,803
Mountain View CLO XIV Ltd. Multi-Sector Holdings
Class E Notes, LIBOR+6.71% cash due 4/15/2029 7.93 % 214,000 132,983 188,053 (5)(10)
132,983 188,053
MRI Software LLC Application Software
First Lien Term Loan, LIBOR+5.50% cash due 2/10/2026 6.57 % 5,056,728 5,010,336 4,867,101 (5)(8)
First Lien Delayed Draw Term Loan, LIBOR+5.50% cash due 2/10/2026 — (2,276) (14,191) (5)(8)(9)
First Lien Revolver, LIBOR+5.50% cash due 2/10/2026 — (4,612) (17,295) (5)(8)(9)
5,003,448 4,835,615
Navicure, Inc. Health Care Technology
First Lien Term Loan, LIBOR+4.00% cash due 10/22/2026 4.18 % 7,608,930 7,284,506 7,323,595 (5)
7,284,506 7,323,595
Northwest Fiber, LLC Integrated Telecommunication Services
First Lien Term Loan, LIBOR+5.50% cash due 4/30/2027 5.67 % 4,395,000 4,231,042 4,373,025 (5)
4,231,042 4,373,025
NuStar Logistics, L.P. Oil & Gas Refining & Marketing
Unsecured Delayed Draw Term Loan, 12.00% cash due 4/19/2023 14,108,000 13,217,570 15,959,675 (8)(9)
13,217,570 15,959,675
OEConnection LLC Application Software
First Lien Term Loan, LIBOR+4.00% cash due 9/25/2026 5.07 % 8,612,408 8,569,346 8,181,788 (5)
First Lien Delayed Draw Term Loan, LIBOR+4.00% cash due 9/25/2026 — (3,807) (41,126) (5)(9)
8,565,539 8,140,662
Olaplex, Inc. Personal Products
First Lien Term Loan, LIBOR+6.50% cash due 1/8/2026 7.50 % 9,440,625 9,266,886 9,063,000 (5)(8)
First Lien Revolver, LIBOR+6.50% cash due 1/8/2025 7.50 % 1,026,000 1,007,446 984,960 (5)(8)
10,274,332 10,047,960
OZLM Funding III, Ltd. Multi-Sector Holdings
Class DR Notes, LIBOR+7.77% cash due 1/22/2029 8.87 % 835,000 594,795 697,225 (5)(10)
594,795 697,225
P & L Development, LLC Pharmaceuticals
First Lien Term Loan, LIBOR+7.50% cash due 6/28/2024 9.50 % 4,079,175 3,996,892 4,068,977 (5)(8)
3,996,892 4,068,977
PaySimple, Inc. Data Processing & Outsourced Services
First Lien Term Loan, LIBOR+5.50% cash due 8/23/2025 5.69 % 8,242,713 8,100,490 7,418,441 (5)(8)
First Lien Delayed Draw Term Loan, LIBOR+5.50% cash due 8/23/2025 5.69 % 2,514,759 2,465,872 2,246,515 (5)(8)(9)
10,566,362 9,664,956
ProFrac Services, LLC Industrial Machinery
First Lien Term Loan, LIBOR+7.50% cash due 9/15/2023 8.75 % 1,265,865 1,257,725 981,045 (5)(8)
1,257,725 981,045
Project Boost Purchaser, LLC Application Software
Second Lien Term Loan, LIBOR+8.00% cash due 5/9/2027 8.18 % 1,500,000 1,500,000 1,252,500 (5)(8)
1,500,000 1,252,500
Recorded Books Inc. Publishing
First Lien Term Loan, LIBOR+4.25% cash due 8/29/2025 4.44 % 7,842,072 7,804,008 7,636,217 (5)
7,804,008 7,636,217


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes
CITGO Holding, Inc.			Oil & Gas Refining & Marketing
First Lien Term Loan, LIBOR+7.00% cash due 8/1/2023	8.00	%		$	654,685	$	629,897	$	608,857	(5)
						629,897		608,857
CITGO Petroleum Corp.			Oil & Gas Refining & Marketing
First Lien Term Loan, LIBOR+6.25% cash due 3/28/2024	7.25	%		7,165,303		7,093,650		7,140,224		(5)
						7,093,650		7,140,224
Connect U.S. Finco LLC			Alternative Carriers
First Lien Term Loan, LIBOR+4.50% cash due 12/11/2026	5.50	%		1,614,856		1,579,370		1,624,230		(5)(10)
						1,579,370		1,624,230
Continental Intermodal Group LP			Oil & Gas Storage & Transportation
First Lien Term Loan, LIBOR+9.50% PIK due 1/28/2025				9,147,670		9,147,670		7,455,351		(5)(8)
Common Stock Warrants expiration date 7/28/2025						—		601,898		(8)
						9,147,670		8,057,249
Convergeone Holdings, Inc.			IT Consulting & Other Services
First Lien Term Loan, LIBOR+5.00% cash due 1/4/2026	5.15	%		5,834,075		5,662,391		5,527,786		(5)
						5,662,391		5,527,786
Corrona, LLC			Health Care Services
First Lien Term Loan, LIBOR+5.50% cash due 12/13/2025	6.50	%		3,751,284		3,697,257		3,700,267		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+5.50% cash due 12/13/2025	6.50	%		445,667		430,068		427,483		(5)(8)(9)
First Lien Revolver, PRIME+4.50% cash due 12/13/2025	7.75	%		111,500		101,865		102,402		(5)(8)(9)
401 Class A2 Common Units in Corrona Group Holdings, L.P.						378,610		378,610		(8)
						4,607,800		4,608,762
Curium Bidco S.à.r.l.			Biotechnology
Second Lien Term Loan, LIBOR+7.75% cash due 10/27/2028	8.50	%		5,788,000		5,701,180		5,802,470		(5)(8)(10)
						5,701,180		5,802,470
Dcert Buyer, Inc.			Internet Services & Infrastructure
First Lien Term Loan, LIBOR+4.00% cash due 10/16/2026	4.15	%		3,950,050		3,940,175		3,952,519		(5)
						3,940,175		3,952,519
Dealer Tire, LLC			Distributors
First Lien Term Loan, LIBOR+4.25% cash due 12/12/2025	4.40	%		4,555,316		4,471,099		4,536,320		(5)
						4,471,099		4,536,320
Delta Topco, Inc.			Systems Software
Second Lien Term Loan, LIBOR+7.25% cash due 12/1/2028	8.00	%		2,364,000		2,352,180		2,390,595		(5)
						2,352,180		2,390,595
EHR Canada, LLC			Food Retail
First Lien Term Loan, LIBOR+8.00% cash due 1/31/2021	9.00	%		457,407		457,365		466,555		(5)(8)
						457,365		466,555
FFI Holdings I Corp			Industrial Machinery
First Lien Term Loan, LIBOR+6.25% cash due 1/24/2025	7.25	%		950,000		855,764		855,000		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+6.25% cash due 1/24/2025				—		—		—		(5)(8)(9)
						855,764		855,000
Fortress Biotech, Inc.			Biotechnology
First Lien Term Loan, 11.00% cash due 8/27/2025				2,943,000		2,776,512		2,839,995		(8)(10)
85,811 Common Stock Warrants (exercise price $3.20) expiration date 8/27/2030						90,960		91,818		(8)(10)
						2,867,472		2,931,813

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

~~June 30,~~December 31, 2020

(unaudited)

Portfolio Company/Type of Investment (1)(2)(3)(4) Cash Interest Rate (5) Industry Principal (6) Cost Fair Value Notes
Sabert Corporation Metal & Glass Containers
First Lien Term Loan, LIBOR+4.50% cash due 12/10/2026 5.50 % $ 4,339,125 $ 4,295,734 $ 4,241,495 (5)
4,295,734 4,241,495
Scilex Pharmaceuticals Inc. Pharmaceuticals
Fixed Rate Zero Coupon Bond due 8/15/2026 2,348,068 1,775,610 1,819,753 (8)
1,775,610 1,819,753
Shackleton 2018-XII CLO, Ltd. Multi-Sector Holdings
Class E Notes, LIBOR+5.90% cash due 7/20/2031 7.04 % 521,000 372,581 436,338 (5)(10)
372,581 436,338
Signify Health, LLC Health Care Services
First Lien Term Loan, LIBOR+4.50% cash due 12/23/2024 5.50 % 6,911,616 6,856,296 6,531,477 (5)
6,856,296 6,531,477
Sirva Worldwide, Inc. Diversified Support Services
First Lien Term Loan, LIBOR+5.50% cash due 8/4/2025 5.68 % 1,923,425 1,894,574 1,423,335 (5)
1,894,574 1,423,335
Sorrento Therapeutics, Inc. Biotechnology
12,000 Shares of Common Stock 52,717 75,360 (10)
223,119 Common Stock Warrants (exercise price $3.28) expiration date 5/7/2029 248,344 1,044,197 (8)(10)
46,664 Common Stock Warrants (exercise price $3.94) expiration date 11/3/2029 — 212,788 (8)(10)
160,000 Common Stock Warrants (exercise price $3.26) expiration date 6/6/2030 — 769,600 (8)(10)
301,061 2,101,945
Star US Bidco LLC Industrial Machinery
First Lien Term Loan, LIBOR+4.25% cash due 3/17/2027 5.25 % 5,287,239 4,973,551 4,855,456 (5)
4,973,551 4,855,456
Sunshine Luxembourg VII SARL Personal Products
First Lien Term Loan, LIBOR+4.25% cash due 10/1/2026 5.32 % 4,383,958 4,246,212 4,213,180 (5)(10)
4,246,212 4,213,180
Supermoose Borrower, LLC Application Software
First Lien Term Loan, LIBOR+3.75% cash due 8/29/2025 3.93 % 2,932,070 2,584,152 2,596,113 (5)
2,584,152 2,596,113
Surgery Center Holdings, Inc. Health Care Facilities
First Lien Term Loan, LIBOR+3.25% cash due 9/3/2024 4.25 % 822,170 634,408 727,620 (5)(10)
634,408 727,620
Tacala, LLC Restaurants
Second Lien Term Loan, LIBOR+7.50% cash due 2/4/2028 7.68 % 2,647,000 2,605,497 2,408,770 (5)
2,605,497 2,408,770
TIBCO Software Inc. Application Software
First Lien Term Loan, LIBOR+3.75% cash due 6/30/2026 3.93 % 9,437,270 9,446,955 8,941,813 (5)
Second Lien Term Loan, LIBOR+7.25% cash due 3/3/2028 7.43 % 3,278,000 3,261,610 3,177,628 (5)
12,708,565 12,119,441
Transact Holdings Inc. Application Software
First Lien Term Loan, LIBOR+4.75% cash due 4/30/2026 4.93 % 7,940,000 7,820,900 7,225,400 (5)(8)
7,820,900 7,225,400
Turbocombustor Technology, Inc. Aerospace & Defense
First Lien Term Loan, LIBOR+4.50% cash due 12/2/2020 5.50 % 1,998,364 1,833,457 1,839,494 (5)
1,833,457 1,839,494


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes

GI Chill Acquisition LLC			Managed Health Care
First Lien Term Loan, LIBOR+4.00% cash due 8/6/2025	4.25	%		$	1,955,000	$	1,945,225	$	1,937,894	(5)(8)
Second Lien Term Loan, LIBOR+7.50% cash due 8/6/2026	7.75	%		2,000,000		1,985,999		1,940,000		(5)(8)
						3,931,224		3,877,894
Global Medical Response, Inc.			Health Care Services
First Lien Term Loan, LIBOR+4.25% cash due 3/14/2025	5.25	%		1,076,040		1,059,150		1,067,970		(5)
First Lien Term Loan, LIBOR+4.75% cash due 10/2/2025	5.75	%		3,773,300		3,699,621		3,756,792		(5)
						4,758,771		4,824,762
Gulf Operating, LLC			Oil & Gas Storage & Transportation
First Lien Term Loan, LIBOR+5.25% cash due 8/25/2023	6.25	%		605,560		367,470		462,172		(5)
First Lien Revolver, LIBOR+4.00% cash due 12/27/2021				—		(242,900)		(242,900)		(5)(8)(9)
						124,570		219,272
iCIMs, Inc.			Application Software
First Lien Term Loan, LIBOR+6.50% cash due 9/12/2024	7.50	%		2,517,618		2,480,284		2,498,988		(5)(8)
First Lien Revolver, LIBOR+6.50% cash due 9/12/2024	7.50	%		88,235		86,851		87,582		(5)(8)
						2,567,135		2,586,570
Immucor, Inc.			Health Care Supplies
First Lien Term Loan, LIBOR+5.75% cash due 7/2/2025	6.75	%		2,360,471		2,318,070		2,313,261		(5)(8)
First Lien Revolver, LIBOR+5.75% cash due 7/2/2025				—		(3,551)		(3,954)		(5)(8)(9)
Second Lien Term Loan, LIBOR+8.00% cash 3.50% PIK due 10/2/2025	9.00	%		5,754,547		5,652,432		5,639,456		(5)(8)
						7,966,951		7,948,763
Intelsat Jackson Holdings S.A.			Alternative Carriers
First Lien Term Loan, PRIME+4.75% cash due 11/27/2023	8.00	%		986,227		956,729		1,002,781		(5)(10)
						956,729		1,002,781
Ivanti Software, Inc.			Application Software
Second Lien Term Loan, LIBOR+8.50% cash due 12/1/2028	9.50	%		7,975,000		7,735,750		7,945,094		(5)(8)
						7,735,750		7,945,094
Jazz Acquisition, Inc.			Aerospace & Defense
First Lien Term Loan, LIBOR+7.50% cash due 1/29/2027	8.50	%		5,971,035		5,741,515		5,726,223		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+7.50% cash due 1/29/2027				—		—		—		(5)(8)(9)
						5,741,515		5,726,223
Latam Airlines Group S.A.			Airlines
First Lien Delayed Draw Term Loan, LIBOR+11.00% PIK due 3/29/2022				2,883,500		2,787,061		2,979,607		(5)(8)(9)(10)
						2,787,061		2,979,607
Lightbox Intermediate, L.P.			Real Estate Services
First Lien Term Loan, LIBOR+5.00% cash due 5/9/2026	5.15	%		8,865,000		8,762,911		8,599,050		(5)(8)
						8,762,911		8,599,050
Lightstone Holdco LLC			Electric Utilities
First Lien Term Loan, LIBOR+3.75% cash due 1/30/2024	4.75	%		1,365,000		1,211,438		1,272,200		(5)
						1,211,438		1,272,200
LogMeIn, Inc.			Application Software
First Lien Term Loan, LIBOR+4.75% cash due 8/31/2027	4.90	%		6,000,000		5,856,496		5,992,530		(5)
Second Lien Term Loan, LIBOR+9.00% cash due 8/31/2028	9.15	%		3,289,000		3,130,775		3,280,778		(5)
						8,987,271		9,273,308
LTI Holdings, Inc.			Electronic Components
Second Lien Term Loan, LIBOR+6.75% cash due 9/6/2026	6.90	%		1,396,000		1,372,240		1,357,610		(5)
						1,372,240		1,357,610
Mallinckrodt International Finance S.A.			Pharmaceuticals
First Lien Term Loan, LIBOR+4.75% cash due 9/24/2024	5.50	%		1,495,226		1,343,835		1,411,501		(5)(10)
						1,343,835		1,411,501

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

~~June 30,~~December 31, 2020

(unaudited)

Portfolio Company/Type of Investment (1)(2)(3)(4) Cash Interest Rate (5) Industry Principal (6) Cost Fair Value Notes
Uber Technologies, Inc. Application Software
First Lien Term Loan, LIBOR+3.50% cash due 7/13/2023 3.68 % $ 3,938,619 $ 3,926,771 $ 3,766,304 (5)
3,926,771 3,766,304
Uniti Fiber Holdings Inc. Specialized REITs
Fixed Rate Bond, 7.88% cash due 2/15/2025 2,073,000 2,073,000 2,107,484 (10)
Fixed Rate Bond, 8.25% cash due 10/15/2023 1,814,000 1,730,268 1,710,829 (10)
3,803,268 3,818,313
U.S. Renal Care, Inc. Health Care Services
First Lien Term Loan, LIBOR+5.00% cash due 6/26/2026 5.18 % 405,955 335,087 391,690 (5)
335,087 391,690
Veritas US Inc. Application Software
First Lien Term Loan, LIBOR+4.50% cash due 1/27/2023 5.50 % 4,281,957 4,116,504 3,979,544 (5)
4,116,504 3,979,544
Verscend Holding Corp. Health Care Technology
First Lien Term Loan, LIBOR+4.50% cash due 8/27/2025 4.68 % 9,149,008 9,130,671 8,873,394 (5)
9,130,671 8,873,394
WeddingWire, Inc. Interactive Media & Services
First Lien Term Loan, LIBOR+4.50% cash due 12/19/2025 4.81 % 2,955,000 2,943,342 2,707,519 (5)
2,943,342 2,707,519
William Morris Endeavor Entertainment, LLC Movies & Entertainment
First Lien Term Loan, LIBOR+8.50% cash due 5/18/2025 9.50 % 13,147,287 12,438,043 12,818,605 (5)(8)
12,438,043 12,818,605
WP CPP Holdings, LLC Aerospace & Defense
First Lien Term Loan, LIBOR+3.50% cash due 4/30/2025 4.50 % 3,941,162 3,920,075 3,431,943 (5)
3,920,075 3,431,943
WPEngine, Inc. Application Software
First Lien Term Loan, LIBOR+6.50% cash due 3/27/2026 7.63 % 5,118,050 4,995,708 4,995,215 (5)(8)
First Lien Delayed Draw Term Loan, LIBOR+6.50% cash due 3/27/2026 — (227,212) (228,119) (5)(8)(9)
4,768,496 4,767,096
Total Non-Control/Non-Affiliate Investments (121.3% of net assets) $ 411,533,282 $ 405,533,867
Cash and Cash Equivalents and Restricted Cash (9.9% of net assets) $ 33,225,402 $ 33,225,402
Total Portfolio Investments, Cash and Cash Equivalents and Restricted Cash (131.2% of net assets) $ 444,758,684 $ 438,759,269


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes
Maravai Intermediate Holdings, LLC			Biotechnology
First Lien Term Loan, LIBOR+4.25% cash due 10/19/2027	5.25	%		$	5,958,333	$	5,898,750	$	6,025,365	(5)
						5,898,750		6,025,365
Mindbody, Inc.			Internet Services & Infrastructure
First Lien Term Loan, LIBOR+7.00% cash 1.5% PIK due 2/14/2025	8.00	%		7,301,900		7,202,661		6,690,001		(5)(8)
First Lien Revolver, LIBOR+8.00% cash due 2/14/2025				—		(10,446)		(63,848)		(5)(8)(9)
						7,192,215		6,626,153
MRI Software LLC			Application Software
First Lien Term Loan, LIBOR+5.50% cash due 2/10/2026	6.50	%		5,469,658		5,423,513		5,455,984		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+5.50% cash due 2/10/2026				—		(20,440)		(4,611)		(5)(8)(9)
First Lien Revolver, LIBOR+5.50% cash due 2/10/2026				—		(4,612)		(1,153)		(5)(8)(9)
						5,398,461		5,450,220
Navisite, LLC			Data Processing & Outsourced Services
Second Lien Term Loan, LIBOR+8.50% cash due 12/30/2026	9.50	%		7,779,000		7,623,775		7,623,420		(5)(8)
						7,623,775		7,623,420
NeuAG, LLC			Fertilizers & Agricultural Chemicals
First Lien Term Loan, LIBOR+5.50% cash 7.00% PIK due 9/11/2024	7.00	%		12,718,514		12,259,750		12,286,084		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+5.50% cash 7.00% PIK due 9/11/2024						(62,040)		(52,734)		(5)(8)(9)
						12,197,710		12,233,350
Northwest Fiber, LLC			Integrated Telecommunication Services
First Lien Term Loan, LIBOR+5.50% cash due 4/30/2027	5.65	%		4,373,025		4,222,119		4,394,890		(5)
						4,222,119		4,394,890
NuStar Logistics, L.P.			Oil & Gas Refining & Marketing
Unsecured Delayed Draw Term Loan, 12.00% cash due 4/19/2023				—		—		—		(8)(9)
						—		—
OEConnection LLC			Application Software
First Lien Term Loan, LIBOR+4.00% cash due 9/25/2026	4.15	%		9,356,947		9,314,093		9,286,770		(5)
First Lien Delayed Draw Term Loan, LIBOR+4.00% cash due 9/25/2026				—		(144)		(254)		(5)(9)
						9,313,949		9,286,516
Olaplex, Inc.			Personal Products
First Lien Term Loan, LIBOR+6.50% cash due 1/8/2026	7.50	%		11,771,269		11,591,127		11,771,269		(5)(8)
First Lien Revolver, LIBOR+6.50% cash due 1/8/2025				—		(16,454)		—		(5)(8)(9)
						11,574,673		11,771,269
OZLM Funding III, Ltd.			Multi-Sector Holdings
Class DR Notes, LIBOR+7.77% cash due 1/22/2029	7.99	%		835,000		601,671		826,375		(5)(10)
						601,671		826,375
P & L Development, LLC			Pharmaceuticals
Fixed Rate Bond, 7.75% cash due 11/15/2025				6,290,000		6,290,000		6,777,475
						6,290,000		6,777,475
Park Place Technologies, LLC			Internet Services & Infrastructure
First Lien Term Loan, LIBOR+5.00% cash due 11/10/2027	6.00	%		5,000,000		4,803,843		4,816,650		(5)
						4,803,843		4,816,650

Derivative Instrument Notional Amount to be Purchased Notional Amount to be Sold Maturity Date Counterparty Cumulative Unrealized Appreciation (Depreciation)
Foreign currency forward contract $ 5,118,303 € 4,683,770 11/12/2020 Bank of New York Mellon $ (159,051)

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

December 31, 2020

(unaudited)


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes
PaySimple, Inc.			Data Processing & Outsourced Services
First Lien Term Loan, LIBOR+5.50% cash due 8/23/2025	5.65	%		$	10,870,161	$	10,698,858	$	10,652,758	(5)(8)
						10,698,858		10,652,758
Planview Parent, Inc.			Application Software
Second Lien Term Loan, LIBOR+7.25% cash due 12/18/2028	8.00	%		7,408,000		7,296,880		7,408,000		(5)(8)
						7,296,880		7,408,000
ProFrac Services, LLC			Industrial Machinery
First Lien Term Loan, LIBOR+7.50% cash due 9/15/2023	8.75	%		1,230,044		1,223,398		968,660		(5)(8)
						1,223,398		968,660
Project Boost Purchaser, LLC			Application Software
Second Lien Term Loan, LIBOR+8.00% cash due 5/9/2027	8.15	%		1,500,000		1,500,000		1,470,000		(5)(8)
						1,500,000		1,470,000
Pug LLC			Internet & Direct Marketing Retail
First Lien Term Loan, LIBOR+8.00% cash due 2/12/2027	8.75	%		5,556,075		5,238,381		5,667,197		(5)
						5,238,381		5,667,197
Recorded Books Inc.			Publishing
First Lien Term Loan, LIBOR+4.25% cash due 8/29/2025	4.40	%		5,906,941		5,873,664		5,905,504		(5)
						5,873,664		5,905,504
RS Ivy Holdco, Inc.			Oil & Gas Exploration & Production
First Lien Term Loan, LIBOR+5.50% cash due 12/23/2027	6.50	%		2,500,000		2,462,500		2,487,500		(5)(8)
						2,462,500		2,487,500
Sabert Corporation			Metal & Glass Containers
First Lien Term Loan, LIBOR+4.50% cash due 12/10/2026	5.50	%		2,741,911		2,714,492		2,743,049		(5)
						2,714,492		2,743,049
Scilex Pharmaceuticals Inc.			Pharmaceuticals
Fixed Rate Zero Coupon Bond due 8/15/2026				1,841,489		1,460,680		1,546,851		(8)
						1,460,680		1,546,851
Signify Health, LLC			Health Care Services
First Lien Term Loan, LIBOR+4.50% cash due 12/23/2024	5.50	%		6,876,263		6,827,517		6,669,975		(5)
						6,827,517		6,669,975
Sirva Worldwide, Inc.			Diversified Support Services
First Lien Term Loan, LIBOR+5.50% cash due 8/4/2025	5.65	%		1,900,000		1,871,500		1,740,875		(5)
						1,871,500		1,740,875
Sorrento Therapeutics, Inc.			Biotechnology
40,000 Common Stock Warrants (exercise price $3.94) expiration date 11/3/2029						—		200,000		(8)(10)
						—		200,000
Star US Bidco LLC			Industrial Machinery
First Lien Term Loan, LIBOR+4.25% cash due 3/17/2027	5.25	%		5,260,802		4,969,450		5,175,314		(5)
						4,969,450		5,175,314
Sunshine Luxembourg VII SARL			Personal Products
First Lien Term Loan, LIBOR+4.00% cash due 10/1/2026	5.00	%		3,349,484		3,224,008		3,370,167		(5)(10)
						3,224,008		3,370,167
Supermoose Borrower, LLC			Application Software
First Lien Term Loan, LIBOR+3.75% cash due 8/29/2025	4.00	%		2,917,186		2,604,897		2,736,320		(5)
						2,604,897		2,736,320
Tacala, LLC			Restaurants
Second Lien Term Loan, LIBOR+7.50% cash due 2/4/2028	8.25	%		3,394,977		3,341,996		3,362,453		(5)
						3,341,996		3,362,453
Telestream Holdings Corporation			Application Software
First Lien Term Loan, LIBOR+8.75% cash due 10/15/2025	9.75	%		5,315,000		5,219,092		5,208,700		(5)(8)
First Lien Revolver, LIBOR+8.75% cash due 10/15/2025				—		(9,688)		(10,020)		(5)(8)(9)
						5,209,404		5,198,680

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

December 31, 2020

(unaudited)


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes
TerSera Therapeutics LLC			Pharmaceuticals
Second Lien Term Loan, LIBOR+10.00% cash due 3/30/2026	11.00	%		$	6,100,000	$	5,927,643	$	6,162,501	(5)(8)
						5,927,643		6,162,501
Thrasio, LLC			Specialized Finance
First Lien Term Loan, LIBOR+7.00% cash due 12/18/2026	8.00	%		5,933,604		5,785,264		5,785,264		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+7.00% cash due 12/18/2026				—		(97,928)		(97,928)		(5)(8)(9)
						5,687,336		5,687,336
TIBCO Software Inc.			Application Software
First Lien Term Loan, LIBOR+3.75% cash due 6/30/2026	3.90	%		9,390,083		9,398,052		9,240,405		(5)
Second Lien Term Loan, LIBOR+7.25% cash due 3/3/2028	7.40	%		3,894,000		3,865,290		3,945,907		(5)
						13,263,342		13,186,312
Transact Holdings Inc.			Application Software
First Lien Term Loan, LIBOR+4.75% cash due 4/30/2026	4.90	%		7,900,000		7,781,500		7,722,250		(5)(8)
						7,781,500		7,722,250
Uniti Fiber Holdings Inc.			Specialized REITs
Fixed Rate Bond, 7.88% cash due 2/15/2025				1,359,000		1,359,000		1,461,951		(10)
Fixed Rate Bond, 8.25% cash due 10/15/2023				1,814,000		1,741,628		1,831,006		(10)
						3,100,628		3,292,957
Veritas US Inc.			Application Software
First Lien Term Loan, LIBOR+5.50% cash due 9/1/2025	6.50	%		7,481,250		7,340,713		7,470,963		(5)
						7,340,713		7,470,963
Verscend Holding Corp.			Health Care Technology
First Lien Term Loan, LIBOR+4.50% cash due 8/27/2025	4.65	%		5,112,652		5,110,951		5,120,321		(5)
						5,110,951		5,120,321
William Morris Endeavor Entertainment, LLC			Movies & Entertainment
First Lien Term Loan, LIBOR+8.50% cash due 5/18/2025	9.50	%		13,081,386		12,449,751		13,465,652		(5)(8)
						12,449,751		13,465,652
Windstream Services II, LLC			Integrated Telecommunication Services
First Lien Term Loan, LIBOR+6.25% cash due 9/21/2027	7.25	%		10,944,923		10,524,452		10,736,313		(5)
						10,524,452		10,736,313
WP CPP Holdings, LLC			Aerospace & Defense
First Lien Term Loan, LIBOR+3.75% cash due 4/30/2025	4.75	%		3,921,988		3,903,227		3,685,963		(5)
						3,903,227		3,685,963
WPEngine, Inc.			Application Software
First Lien Term Loan, LIBOR+6.50% cash due 3/27/2026	7.50	%		5,118,050		5,006,625		5,039,233		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+6.50% cash due 3/27/2026				—		(207,257)		(146,376)		(5)(8)(9)
						4,799,368		4,892,857
Zephyr Bidco Limited			Specialized Finance
Second Lien Term Loan, UK LIBOR+7.50% cash due 7/23/2026	7.52	%		£	2,000,000	2,576,258		2,661,288		(5)(10)
						2,576,258		2,661,288
Total Non-Control/Non-Affiliate Investments (137.4% of net assets)						$	461,926,406	$	468,177,605
Cash and Cash Equivalents and Restricted Cash (12.1% of net assets)						$	41,117,799	$	41,117,799
Total Portfolio Investments, Cash and Cash Equivalents and Restricted Cash (149.4% of net assets)						$	503,044,205	$	509,295,404


Derivative Instrument	Notional Amount to be Purchased		Notional Amount to be Sold		Maturity Date	Counterparty	Cumulative Unrealized Appreciation (Depreciation)
Foreign currency forward contract	$	7,140,853	€	6,026,830	2/11/2021	Bank of New York Mellon	$	(240,252)
Foreign currency forward contract	$	13,390,458	£	10,059,466	2/11/2021	Bank of New York Mellon	(364,264)
							$	(604,516)

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

December 31, 2020

(unaudited)

(1)All debt investments are income producing unless otherwise noted. All equity investments are non-income producing unless otherwise noted.

(2)See Note 3 in the accompanying notes to the Consolidated Financial Statements for portfolio composition by geographic region.

(3)Interest rates may be adjusted from period to period on certain term loans and revolvers. These rate adjustments may be either temporary in nature due to tier pricing arrangements or financial or payment covenant violations in the original credit agreements or permanent in nature per loan amendment or waiver documents.

(4)Each of the Company's investments is pledged as collateral under one or more of its credit facilities. A single investment may be divided into parts that are individually pledged as collateral to separate credit facilities.

(5)The interest rate on the principal balance outstanding for all floating rate loans is indexed to the London Interbank Offered Rate ("LIBOR") and/or an alternate base rate (e.g., prime rate), which typically resets semi-annually, quarterly, or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these loans, the Company has provided the applicable margin over LIBOR or the alternate ~~based~~base rate based on each respective credit agreement and the cash interest rate as of period end. All LIBOR shown above is in U.S. dollars unless otherwise noted. As of ~~June 30,~~December 31, 2020, the reference rates for the

~~Oaktree Strategic Income II, Inc.~~

~~Consolidated Schedule of Investments~~

~~June 30, 2020~~

~~(unaudited)~~

Company's variable rate loans were the 30-day LIBOR at ~~0.18%~~0.15%, the 60-day LIBOR at ~~0.24%~~0.19%, the 90-day LIBOR at ~~0.31%~~0.25%, the 180-day LIBOR at ~~0.36%~~0.26%, the 360-day LIBOR at ~~0.57%~~0.34%, the PRIME at 3.25%, the 30-day UK LIBOR at 0.02%, the 180-day UK LIBOR at 0.22%, the 30-day EURIBOR at (0.61)% and the ~~30-day Euro Interbank Offered Rate ("EURIBOR")~~180-day EURIBOR at ~~(0.48)~~(0.36)%. Most loans include an interest floor, which generally ranges from 0% to 1%.

(6)"€" signifies the investment is denominated in Euros. “£” signifies the investment is denominated in British Pounds. All other investments are denominated in U.S. dollars.

(7)Non-Control/Non-Affiliate Investments are investments that are neither Control Investments nor Affiliate Investments. Control Investments generally are defined by the Investment Company Act of 1940, as amended (the "Investment Company Act"), as investments in companies in which the Company owns more than 25% of the voting securities and/or has the power to exercise control over the management or policies of the company. Affiliate Investments generally are defined by the Investment Company Act as investments in companies in which the Company owns between 5% and 25% of the voting securities.

(8)As of ~~June 30,~~December 31, 2020, these investments are categorized as Level 3 within the fair value hierarchy established by Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820, Fair Value Measurements and Disclosures ("ASC 820") and were valued using significant unobservable inputs.

(9)Investment has undrawn commitments. Unamortized fees are classified as unearned income which reduces cost basis, which may result in a negative cost basis. A negative fair value may result from the unfunded commitment being valued below par.

(10)Investment is not a qualifying asset as defined under Section 55(a) of the Investment Company Act. Under the Investment Company Act, the Company may not acquire any non-qualifying asset unless, at the time the acquisition is made, qualifying assets represent at least 70% of the Company's total assets. As of ~~June 30,~~December 31, 2020, qualifying assets represented ~~82.6%~~81.8% of the Company's total assets and non-qualifying assets represented ~~17.4%~~18.2% of the Company's total assets.

(11)Payment-in-kind ("PIK") interest income for this investment accrues at an annualized rate of 15%, however, the PIK interest is not contractually capitalized on the investment. As a result, the principal amount of the investment does not increase over time for accumulated PIK interest. As of ~~June 30,~~December 31, 2020, the accumulated PIK interest balance for each of the Alvotech A notes and the B notes was ~~$0.5~~$0.7 million. The fair value of this investment is inclusive of PIK.

(12)This investment was on cash non-accrual status as of ~~June 30,~~December 31, 2020. Cash non-accrual status is inclusive of PIK and other non-cash income, where applicable.

See notes to Consolidated Financial Statements.

1214

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

September 30, ~~2019~~2020

Portfolio Company/Type of Investment (1)(2)(3) Cash Interest Rate (4) Industry Principal (5) Cost Fair Value Notes
Non-Control/Non-Affiliate Investments (6)
Access CIG, LLC Diversified Support Services
First Lien Term Loan, LIBOR+3.75% cash due 2/27/2025 6.07 % $ 7,551,410 $ 7,483,710 $ 7,471,214 (4)
7,483,710 7,471,214
Adient US LLC Auto Parts & Equipment
First Lien Term Loan, LIBOR+4.25% cash due 5/6/2024 6.46 % 4,987,500 4,962,563 4,918,922 (4)(9)
4,962,563 4,918,922
AI Sirona (Luxembourg) Acquisition S.a.r.l. Pharmaceuticals
Second Lien Term Loan, EURIBOR+7.25% cash due 7/10/2026 7.25 % € 2,500,000 2,862,090 2,667,597 (4)(9)
2,862,090 2,667,597
Air Medical Group Holdings, Inc. Health Care Services
First Lien Term Loan, LIBOR+4.25% cash due 3/14/2025 6.29 % $ 1,089,907 1,067,643 1,023,602 (4)
1,067,643 1,023,602
Aldevron, L.L.C. Biotechnology
First Lien Term Loan, LIBOR+4.25% cash due 9/20/2026 6.36 % 4,000,000 3,960,000 4,020,000 (4)(11)
3,960,000 4,020,000
Algeco Scotsman Global Finance Plc Construction & Engineering
Fixed Rate Bond, 8.00% cash due 2/15/2023 1,000,000 1,020,274 1,002,800 (9)
1,020,274 1,002,800
Altice France S.A. Integrated Telecommunication Services
First Lien Term Loan, LIBOR+4.00% cash due 8/14/2026 6.03 % 4,000,000 4,000,000 3,997,500 (4)(9)
4,000,000 3,997,500
Alvotech Holdings S.A. Biotechnology
Fixed Rate Bond, 15.00% PIK Note A due 12/13/2023 2,000,000 2,203,231 2,444,400 (7)(9)(10)
Fixed Rate Bond, 15.00% PIK Note B due 12/13/2023 2,000,000 2,203,231 2,244,400 (7)(9)(10)
4,406,462 4,688,800
Apptio, Inc. Application Software
First Lien Term Loan, LIBOR+7.25% cash due 1/10/2025 9.56 % 7,129,297 7,001,960 6,997,404 (4)(7)
First Lien Revolver, LIBOR+7.25% cash due 1/10/2025 — (8,119) (8,538) (4)(7)(8)
6,993,841 6,988,866
Assembled Brands Capital LLC Specialized Finance
First Lien Delayed Draw Term Loan, LIBOR+6.00% cash due 10/17/2023 8.10 % — 604,359 604,359 (4)(7)(8)
174,131 Class A Units 82,713 84,576 (7)
110,285 Preferred Units, 6% 110,285 110,285 (7)
7,621 Class A Warrants (exercise price $3.3778) expiration date 9/9/2029 — — (7)
797,357 799,220
Avantor Inc. Health Care Distributors
Fixed Rate Bond, 9.00% cash due 10/1/2025 1,000,000 1,015,805 1,126,250
1,015,805 1,126,250
Ball Metalpack Finco, LLC Metal & Glass Containers
First Lien Term Loan, LIBOR+4.50% cash due 7/31/2025 6.62 % 1,481,250 1,475,024 1,397,930 (4)(7)(11)
1,475,024 1,397,930
Boxer Parent Company Inc. Systems Software
First Lien Term Loan, LIBOR+4.25% cash due 10/2/2025 6.29 % 8,573,368 8,404,544 8,265,456 (4)
8,404,544 8,265,456
Canyon Buyer, Inc. Application Software
First Lien Term Loan, LIBOR+4.25% cash due 2/15/2025 6.36 % 3,969,773 3,926,398 3,949,924 (4)
3,926,398 3,949,924

~~Oaktree Strategic Income II, Inc.~~

~~Consolidated Schedule of Investments~~

~~September 30, 2019~~

Portfolio Company/Type of Investment (1)(2)(3) Cash Interest Rate (4) Industry Principal (5) Cost Fair Value Notes
Cast & Crew Payroll, LLC Application Software
First Lien Term Loan, LIBOR+4.00% cash due 2/9/2026 6.05 % $ 3,980,000 $ 3,940,200 $ 4,014,825 (4)
3,940,200 4,014,825
CGG Holding (U.S.) Inc. Oil & Gas Equipment & Services
Fixed Rate Bond, 9.00% cash due 5/1/2023 819,000 849,160 876,330 (9)
849,160 876,330
Cincinnati Bell Inc. Integrated Telecommunication Services
29,443 Common Equity Shares 129,979 149,276
First Lien Term Loan, LIBOR+3.25% cash due 10/2/2024 5.29 % 4,987,406 4,944,677 4,982,543 (4)(11)
5,074,656 5,131,819
CITGO Petroleum Corp. Oil & Gas Refining & Marketing
First Lien Term Loan, LIBOR+5.00% cash due 3/28/2024 7.10 % 7,960,000 7,880,400 8,009,750 (4)(11)
7,880,400 8,009,750
Connect U.S. Finco LLC Alternative Carriers
First Lien Term Loan, LIBOR+4.50% cash due 9/23/2026 7.10 % 9,500,000 9,310,000 9,367,143 (4)(9)(11)
9,310,000 9,367,143
Convergeone Holdings, Inc. IT Consulting & Other Services
First Lien Term Loan, LIBOR+5.00% cash due 1/4/2026 7.04 % 5,908,300 5,690,535 5,341,103 (4)
5,690,535 5,341,103
Dcert Buyer, Inc. Internet Services & Infrastructure
First Lien Term Loan, LIBOR+4.00% cash due 8/8/2026 6.26 % 8,000,000 7,980,000 7,985,000 (4)(11)
7,980,000 7,985,000
DigiCert, Inc. Internet Services & Infrastructure
First Lien Term Loan, LIBOR+4.00% cash due 10/31/2024 6.04 % 3,922,038 3,887,944 3,921,214 (4)
3,887,944 3,921,214
DKT Finance APS Integrated Telecommunication Services
Fixed Rate Bond, 9.38% cash due 6/17/2023 207,000 215,982 223,250 (9)
215,982 223,250
The Dun & Bradstreet Corporation Research & Consulting Services
First Lien Term Loan, LIBOR+5.00% cash due 2/6/2026 7.05 % 2,500,000 2,509,371 2,518,525 (4)(11)
Fixed Rate Bond, 6.88% cash due 8/15/2026 5,000,000 5,000,000 5,459,375
7,509,371 7,977,900
EHR Canada, LLC Food Retail
First Lien Term Loan, LIBOR+8.00% cash due 9/28/2020 10.10 % 974,073 964,897 993,555 (4)(7)
964,897 993,555
ExGen Renewables IV, LLC Electric Utilities
First Lien Term Loan, LIBOR+3.00% cash due 11/28/2024 5.13 % 1,251,000 1,202,830 1,227,156 (4)
1,202,830 1,227,156
Femur Buyer, Inc. Health Care Equipment
First Lien Term Loan, LIBOR+4.25% cash due 3/5/2026 6.38 % 4,987,500 4,937,625 4,996,851 (4)
4,937,625 4,996,851
Financial & Risk US Holdings, Inc. Financial Exchanges & Data
First Lien Term Loan, LIBOR+3.75% cash due 10/1/2025 5.79 % 5,637,116 5,591,298 5,673,531 (4)(11)
5,591,298 5,673,531

~~Oaktree Strategic Income II, Inc.~~

~~Consolidated Schedule of Investments~~

~~September 30, 2019~~

Portfolio Company/Type of Investment (1)(2)(3) Cash Interest Rate (4) Industry Principal (5) Cost Fair Value Notes
Frontier Communications Corporation Integrated Telecommunication Services
First Lien Term Loan, LIBOR+3.75% cash due 6/15/2024 5.80 % $ 6,772,891 $ 6,691,179 $ 6,770,487 (4)(9)(11)
Fixed Rate Bond, 8.50% cash due 4/1/2026 2,035,000 1,980,283 2,039,884
8,671,462 8,810,371
Gentiva Health Services, Inc. Health Care Services
First Lien Term Loan, LIBOR+3.75% cash due 7/2/2025 5.81 % 2,992,443 2,988,796 3,013,016 (4)(11)
2,988,796 3,013,016
GI Chill Acquisition LLC Managed Health Care
First Lien Term Loan, LIBOR+4.00% cash due 8/6/2025 6.10 % 1,980,000 1,970,100 1,975,050 (4)(7)
Second Lien Term Loan, LIBOR+7.50% cash due 8/6/2026 9.60 % 2,000,000 1,982,835 2,000,000 (4)(7)
3,952,935 3,975,050
GoodRx, Inc. Interactive Media & Services
First Lien Term Loan, LIBOR+2.75% cash due 10/10/2025 4.81 % 1,962,982 1,960,647 1,965,435 (4)
Second Lien Term Loan, LIBOR+7.50% cash due 10/12/2026 9.54 % 1,333,333 1,308,330 1,350,000 (4)(7)
3,268,977 3,315,435
HUB International Limited Insurance Brokers
First Lien Term Loan, LIBOR+3.00% cash due 4/25/2025 5.27 % 3,969,849 3,903,391 3,930,369 (4)
3,903,391 3,930,369
iCIMs, Inc. Application Software
First Lien Revolver, LIBOR+6.50% cash due 09/12/2024 — (1,456) (1,478) (4)(7)(8)
First Lien Term Loan, LIBOR+6.50% cash due 9/12/2024 8.56 % 1,671,765 1,643,564 1,643,761 (4)(7)
1,642,108 1,642,283
Informatica, LLC Application Software
First Lien Term Loan, LIBOR+3.25% cash due 8/5/2022 5.29 % 3,969,612 3,955,083 3,990,293 (4)
3,955,083 3,990,293
KIK Custom Products Inc. Household Products
First Lien Term Loan, LIBOR+4.00% cash due 5/15/2023 6.26 % 2,000,000 1,910,503 1,902,500 (4)(9)
1,910,503 1,902,500
Ligand Pharmaceuticals Inc. Biotechnology
Fixed Rate Bond, 0.75% cash due 5/15/2023 1,001,000 884,224 836,788 (9)
884,224 836,788
Lightbox Intermediate, L.P. Real Estate Services
First Lien Term Loan, LIBOR+5.00% cash due 5/9/2026 7.05 % 8,977,500 8,849,687 8,887,725 (4)(7)
8,849,687 8,887,725
LTI Holdings, Inc. Auto Parts & Equipment
Second Lien Term Loan, LIBOR+6.75% cash due 9/6/2026 8.79 % 1,000,000 1,000,000 916,250 (4)
1,000,000 916,250
Maravai Intermediate Holdings, LLC Biotechnology
First Lien Term Loan, LIBOR+4.25% cash due 8/2/2025 6.31 % 1,287,000 1,274,130 1,279,761 (4)(7)
1,274,130 1,279,761
McAfee, LLC Systems Software
First Lien Term Loan, LIBOR+3.75% cash due 9/30/2024 5.79 % 4,844,529 4,833,441 4,861,315 (4)
4,833,441 4,861,315
Mindbody, Inc. Internet Services & Infrastructure
First Lien Revolver, LIBOR+7.00% cash due 2/15/2025 — (13,652) (14,476) (4)(7)(8)
First Lien Term Loan, LIBOR+7.00% cash due 2/14/2025 9.06 % 7,238,095 7,108,397 7,100,571 (4)(7)
7,094,745 7,086,095
Navicure, Inc. Health Care Technology
First Lien Term Loan, LIBOR+4.00% cash due 9/18/2026 6.13 % 4,000,000 3,980,000 4,005,000 (4)(11)
3,980,000 4,005,000


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes
Non-Control/Non-Affiliate Investments										(7)
A.T. Holdings II SÀRL			Biotechnology
First Lien Term Loan, 12.00% cash due 4/27/2023				$	8,160,000	$	8,160,000	$	9,547,200	(8)(10)
First Lien Delayed Draw Term Loan, 12.00% cash due 4/27/2023				544,000		544,000		641,920		(8)(9)(10)
						8,704,000		10,189,120
Access CIG, LLC			Diversified Support Services
First Lien Term Loan, LIBOR+3.75% cash due 2/27/2025	3.91	%		7,474,804		7,420,203		7,331,175		(5)
						7,420,203		7,331,175
Accupac, Inc.			Personal Products
First Lien Term Loan, LIBOR+6.00% cash due 1/17/2026	7.00	%		4,559,424		4,489,026		4,559,424		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+6.00% cash due 1/17/2026				—		(13,225)		—		(5)(8)(9)
First Lien Revolver, LIBOR+6.00% cash due 1/17/2026	7.00	%		571,008		562,191		571,008		(5)(8)
						5,037,992		5,130,432
Acquia Inc.			Application Software
First Lien Term Loan, LIBOR+7.00% cash due 10/31/2025	8.00	%		4,381,994		4,307,622		4,287,781		(5)(8)
First Lien Revolver, LIBOR+7.00% cash due 10/31/2025				—		(8,163)		(10,075)		(5)(8)(9)
						4,299,459		4,277,706
AI Sirona (Luxembourg) Acquisition S.a.r.l.			Pharmaceuticals
Second Lien Term Loan, EURIBOR+7.25% cash due 9/28/2026	7.25	%		€	5,147,000	5,615,605		5,892,283		(5)(8)(10)
						5,615,605		5,892,283
Airbnb, Inc.			Hotels, Resorts & Cruise Lines
First Lien Term Loan, LIBOR+7.50% cash due 4/17/2025	8.50	%		$	5,678,768	5,547,333		6,161,463		(5)
						5,547,333		6,161,463
Aldevron, L.L.C.			Biotechnology
First Lien Term Loan, LIBOR+4.25% cash due 10/12/2026	5.25	%		5,459,283		5,415,785		5,470,639		(5)
						5,415,785		5,470,639
Algeco Scotsman Global Finance Plc			Construction & Engineering
Fixed Rate Bond, 8.00% cash due 2/15/2023				566,000		574,355		563,518		(10)
						574,355		563,518
Alvogen Pharma US, Inc.			Pharmaceuticals
First Lien Term Loan, LIBOR+5.25% cash due 12/31/2023	6.25	%		2,646,943		2,363,107		2,563,127		(5)(8)
						2,363,107		2,563,127
Alvotech Holdings S.A.			Biotechnology
Fixed Rate Bond 15% PIK Note A due 12/13/2023				2,000,000		2,546,909		2,695,778		(8)(10)(11)
Fixed Rate Bond 15% PIK Note B due 12/13/2023				2,000,000		2,546,909		2,591,649		(8)(10)(11)
						5,093,818		5,287,427
Amplify Finco Pty Ltd.			Movies & Entertainment
First Lien Term Loan, LIBOR+4.00% cash due 11/26/2026	4.75	%		5,970,000		5,910,300		5,134,200		(5)(8)(10)
						5,910,300		5,134,200
Anastasia Parent, LLC			Personal Products
First Lien Term Loan, LIBOR+3.75% cash due 8/11/2025				1,842,513		1,491,750		813,580		(5)(12)
						1,491,750		813,580
Apptio, Inc.			Application Software
First Lien Term Loan, LIBOR+7.25% cash due 1/10/2025	8.25	%		7,129,297		7,026,133		6,989,242		(5)(8)
First Lien Revolver, LIBOR+7.25% cash due 1/10/2025				—		(6,578)		(9,067)		(5)(8)(9)
						7,019,555		6,980,175

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

September 30, ~~2019~~2020

Portfolio Company/Type of Investment (1)(2)(3) Cash Interest Rate (4) Industry Principal (5) Cost Fair Value Notes
Numericable SFR SA Integrated Telecommunication Services
Fixed Rate Bond, 7.38% cash due 5/1/2026 $ 380,000 $ 380,950 $ 408,865 (9)
380,950 408,865
OEConnection LLC Application Software
First Lien Delayed Draw Term Loan, LIBOR+4.00% cash due 9/24/2026 — (4,086) (1,532) (4)(8)(11)
First Lien Term Loan, LIBOR+4.00% cash due 9/24/2026 6.13 % 8,682,796 8,639,382 8,666,515 (4)(11)
8,635,296 8,664,983
P & L Development, LLC Pharmaceuticals
First Lien Term Loan, LIBOR+7.50% cash due 6/28/2024 9.55 % 4,110,000 4,011,515 4,068,900 (4)(7)
4,011,515 4,068,900
PaySimple, Inc. Data Processing & Outsourced Services
First Lien Delayed Draw Term Loan, LIBOR+5.50% cash due 8/23/2025 — (53,281) (40,425) (4)(7)(8)(11)
First Lien Term Loan, LIBOR+5.50% cash due 8/23/2025 7.55 % 8,305,000 8,140,807 8,180,425 (4)(7)(11)
8,087,526 8,140,000
ProFrac Services, LLC Industrial Machinery
First Lien Term Loan, LIBOR+6.25% cash due 9/15/2023 8.66 % 1,409,167 1,397,985 1,380,983 (4)(7)(11)
1,397,985 1,380,983
Project Boost Purchaser, LLC Application Software
First Lien Term Loan, LIBOR+3.50% cash due 6/1/2026 5.54 % 2,800,000 2,772,000 2,785,650 (4)
Second Lien Term Loan, LIBOR+8.00% cash due 5/9/2027 10.14 % 1,500,000 1,500,000 1,500,000 (4)(7)
4,272,000 4,285,650
Recorded Books Inc. Publishing
First Lien Term Loan, LIBOR+4.50% cash due 8/29/2025 6.54 % 1,980,000 1,960,200 1,984,960 (4)(11)
1,960,200 1,984,960
Scilex Pharmaceuticals Inc. Pharmaceuticals
Fixed Rate Zero Coupon Bond, cash due 8/15/2026 2,381,775 1,671,956 1,702,969 (7)
1,671,956 1,702,969
Signify Health, LLC Health Care Services
First Lien Term Loan, LIBOR+4.50% cash due 12/23/2024 6.60 % 6,964,646 6,899,566 6,955,941 (4)(11)
6,899,566 6,955,941
Sirva Worldwide, Inc. Diversified Support Services
First Lien Term Loan, LIBOR+5.50% cash due 8/4/2025 7.54 % 1,962,500 1,933,062 1,903,625 (4)
1,933,062 1,903,625
Sorrento Therapeutics, Inc. Biotechnology
First Lien Delayed Draw Term Loan, LIBOR+7.00% cash due 11/7/2023 — (19,689) (22,080) (4)(7)(8)(9)
First Lien Term Loan, LIBOR+7.00% cash due 11/7/2023 9.13 % 9,600,000 9,002,287 9,360,000 (4)(7)(9)
Stock Warrants (exercise price $3.28) expiration date 5/7/2029 560,000 533,306 (7)(9)
Stock Warrants (exercise price $3.94) expiration date 11/3/2029 — 102,397 (7)(9)
9,542,598 9,973,623
StandardAero Aviation Holdings Inc. Aerospace & Defense
First Lien Term Loan, LIBOR+4.00% cash due 4/6/2026 6.10 % 3,000,000 2,996,318 3,017,805 (4)
2,996,318 3,017,805
Sunshine Luxembourg VII SARL Personal Products
First Lien Term Loan, LIBOR+4.25% cash due 9/25/2026 6.59 % 5,000,000 4,975,000 5,029,700 (4)(9)
4,975,000 5,029,700
TIBCO Software Inc. Application Software
First Lien Term Loan, LIBOR+4.00% cash due 6/30/2026 6.07 % 9,484,693 9,496,896 9,510,397 (4)(11)
9,496,896 9,510,397


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes
Ardonagh Midco 3 PLC			Insurance Brokers
First Lien Term Loan, EURIBOR+7.50% cash due 7/14/2026	8.50	%		€	1,028,928	$	1,138,894	$	1,171,582	(5)(8)(10)
First Lien Term Loan, UK LIBOR+7.50% cash due 7/14/2026	8.25	%		£	8,076,170	9,826,368		10,138,087		(5)(8)(10)
First Lien Delayed Draw Term Loan, UK LIBOR+7.50% cash due 7/14/2026				£	—	—		—		(5)(8)(9)(10)
Fixed Rate Bond, 11.50% cash due 1/15/2027				$	1,588,000	1,572,120		1,611,820		(10)
						12,537,382		12,921,489
Assembled Brands Capital LLC			Specialized Finance
First Lien Revolver, LIBOR+6.00% cash due 10/17/2023	7.00	%		507,309		507,309		454,090		(5)(8)(9)
174,131 Class A Units						82,713		52,239		(8)
100,285 Preferred Units, 6%						110,285		118,004		(8)
7,621 Class A Warrants (exercise price $3.3778) expiration date 9/9/2029						—		—		(8)
						700,307		624,333
Associated Asphalt Partners, LLC			Construction Materials
First Lien Term Loan, LIBOR+5.25% cash due 4/5/2024	6.25	%		921,290		775,603		747,977		(5)
						775,603		747,977
Asurion, LLC			Property & Casualty Insurance
Second Lien Term Loan, LIBOR+6.50% cash due 8/4/2025	6.65	%		1,071,848		1,074,144		1,075,755		(5)
						1,074,144		1,075,755
Athenex, Inc.			Pharmaceuticals
First Lien Term Loan, 11.00% cash due 6/19/2026				10,403,541		9,956,839		10,325,514		(8)(10)
First Lien Delayed Draw Term Loan, 11.00% cash due 6/19/2026				—		(117,157)		(62,421)		(8)(9)(10)
97,205 Common Stock Warrants (exercise price $12.63) expiration date 6/19/2027						334,385		286,755		(8)(10)
						10,174,067		10,549,848
Aurora Lux Finco S.À.R.L.			Airport Services
First Lien Term Loan, LIBOR+6.00% cash due 12/24/2026	7.00	%		7,462,500		7,296,513		6,940,125		(5)(8)(10)
						7,296,513		6,940,125
Ball Metalpack Finco, LLC			Metal & Glass Containers
First Lien Term Loan, LIBOR+4.50% cash due 7/31/2025	4.76	%		570,830		568,843		551,422		(5)(8)
						568,843		551,422
BCP Renaissance Parent L.L.C.			Oil & Gas Storage & Transportation
First Lien Term Loan, LIBOR+3.50% cash due 10/31/2024	4.50	%		426,906		406,271		397,691		(5)
						406,271		397,691
Boxer Parent Company Inc.			Systems Software
First Lien Term Loan, LIBOR+4.25% cash due 10/2/2025	4.40	%		8,486,987		8,341,896		8,260,342		(5)
						8,341,896		8,260,342
BX Commercial Mortgage Trust 2020-VIVA			Diversified Real Estate Activities
Class D Variable Notes due 3/9/2044	3.67	%		6,182,239		5,160,955		5,638,202		(5)(8)(10)
Class E Variable Notes due 3/9/2044	3.67	%		3,062,761		2,366,106		2,656,333		(5)(8)(10)
						7,527,061		8,294,535
Cadence Aerospace, LLC			Aerospace & Defense
First Lien Term Loan, LIBOR+3.25% cash 5.25% PIK due 11/14/2023	4.25	%		3,031,817		3,001,900		2,784,421		(5)(8)
						3,001,900		2,784,421

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

September 30, ~~2019~~2020

Portfolio Company/Type of Investment (1)(2)(3) Cash Interest Rate (4) Industry Principal (5) Cost Fair Value Notes
Transact Holdings Inc. Application Software
First Lien Term Loan, LIBOR+4.75% cash due 4/30/2026 7.01 % $ 8,000,000 $ 7,880,000 $ 7,960,000 (4)
7,880,000 7,960,000
Tullow Oil PLC Oil & Gas Exploration & Production
Fixed Rate Callable Bond, 6.25% cash due 4/15/2022 700,000 691,321 709,800 (9)
691,321 709,800
Uber Technologies, Inc. Application Software
First Lien Term Loan, LIBOR+3.50% cash due 7/13/2023 5.55 % 3,969,309 3,954,413 3,948,649 (4)
First Lien Term Loan, LIBOR+4.00% cash due 4/4/2025 6.03 % 981,065 974,542 977,185 (4)
4,928,955 4,925,834
UFC Holdings, LLC Movies & Entertainment
First Lien Term Loan, LIBOR+3.25% cash due 4/29/2026 5.30 % 3,491,003 3,491,003 3,504,338 (4)
3,491,003 3,504,338
Uniti Group LP Specialized REITs
First Lien Term Loan, LIBOR+5.00% cash due 10/24/2022 7.04 % 3,429,488 3,345,831 3,351,793 (4)(9)(11)
3,345,831 3,351,793
UOS, LLC Trading Companies & Distributors
First Lien Term Loan, LIBOR+5.50% cash due 4/18/2023 7.54 % 2,969,620 2,990,975 3,006,741 (4)(11)
2,990,975 3,006,741
Veritas US Inc. Application Software
First Lien Term Loan, LIBOR+4.50% cash due 1/27/2023 6.60 % 4,315,150 4,099,814 4,089,619 (4)(11)
4,099,814 4,089,619
Verscend Holding Corp. Health Care Technology
First Lien Term Loan, LIBOR+4.50% cash due 8/27/2025 6.54 % 8,369,747 8,374,824 8,413,353 (4)(11)
8,374,824 8,413,353
WeddingWire, Inc. Interactive Media & Services
First Lien Term Loan, LIBOR+4.50% cash due 12/19/2025 6.54 % 2,977,500 2,964,142 2,981,222 (4)(11)
2,964,142 2,981,222
WideOpenWest Finance, LLC Cable & Satellite
First Lien Term Loan, LIBOR+3.25% cash due 8/18/2023 5.29 % 4,383,110 4,258,195 4,246,138 (4)(9)
4,258,195 4,246,138
WP CPP Holdings, LLC Aerospace & Defense
First Lien Term Loan, LIBOR+3.75% cash due 4/30/2025 6.01 % 3,969,925 3,945,385 3,981,100 (4)(11)
3,945,385 3,981,100
Zillow Group, Inc. Interactive Media & Services
Fixed Rate Bond, 1.50% cash due 7/1/2023 497,000 471,430 438,913 (9)
471,430 438,913
Total Non-Control/Non-Affiliate Investments (169.6% of net assets) $ 289,322,834 $ 291,147,011
Cash and Cash Equivalents and Restricted Cash (6.6% of net assets) $ 11,348,126 $ 11,348,126
Total Portfolio Investments, Cash and Cash Equivalents and Restricted Cash (176.3% of net assets) $ 300,670,960 $ 302,495,137

Derivative Instrument Notional Amount to be Purchased Notional Amount to be Sold Maturity Date Counterparty Cumulative Unrealized Appreciation (Depreciation)
Foreign currency forward contract $ 2,798,483 € 2,475,000 1/16/2020 Bank of New York Mellon $ 77,558


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes
Carrols Restaurant Group, Inc.			Restaurants
First Lien Term Loan, LIBOR+6.25% cash due 4/30/2026	7.25	%		$	4,978,523	$	4,731,295	$	4,941,184	(5)
						4,731,295		4,941,184
Chief Power Finance II, LLC			Independent Power Producers & Energy Traders
First Lien Term Loan, LIBOR+6.50% cash due 12/31/2022	7.50	%		8,075,000		7,931,626		7,691,438		(5)(8)
						7,931,626		7,691,438
CITGO Holding, Inc.			Oil & Gas Refining & Marketing
First Lien Term Loan, LIBOR+7.00% cash due 8/1/2023	8.00	%		656,343		628,977		618,810		(5)
						628,977		618,810
CITGO Petroleum Corp.			Oil & Gas Refining & Marketing
First Lien Term Loan, LIBOR+5.00% cash due 3/28/2024	6.00	%		7,183,535		7,111,700		6,842,317		(5)
						7,111,700		6,842,317
Connect U.S. Finco LLC			Alternative Carriers
First Lien Term Loan, LIBOR+4.50% cash due 12/11/2026	5.50	%		1,618,923		1,581,789		1,573,399		(5)(10)
						1,581,789		1,573,399
Continental Intermodal Group LP			Oil & Gas Storage & Transportation
First Lien Term Loan, LIBOR+9.50% PIK due 1/28/2025				8,906,534		8,906,534		7,830,625		(5)(8)
Common Stock Warrants expiration date 7/28/2025						—		601,898		(8)
						8,906,534		8,432,523
Convergeone Holdings, Inc.			IT Consulting & Other Services
First Lien Term Loan, LIBOR+5.00% cash due 1/4/2026	5.15	%		5,848,920		5,667,844		5,386,505		(5)
						5,667,844		5,386,505
Corrona, LLC			Health Care Services
First Lien Term Loan, LIBOR+5.50% cash due 12/13/2025	6.50	%		3,760,757		3,703,741		3,706,978		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+5.50% cash due 12/13/2025				—		(11,699)		(19,119)		(5)(8)(9)
First Lien Revolver, PRIME+4.50% cash due 12/13/2025	7.75	%		111,500		101,357		101,933		(5)(8)(9)
401 Class A2 Common Units in Corrona Group Holdings, L.P.						378,610		378,610		(8)
						4,172,009		4,168,402
CTOS, LLC			Trading Companies & Distributors
First Lien Term Loan, LIBOR+4.25% cash due 4/18/2025	4.40	%		2,939,810		2,956,400		2,919,599		(5)
						2,956,400		2,919,599
Dcert Buyer, Inc.			Internet Services & Infrastructure
First Lien Term Loan, LIBOR+4.00% cash due 10/16/2026	4.15	%		7,960,000		7,940,100		7,879,166		(5)
						7,940,100		7,879,166
Dealer Tire, LLC			Distributors
First Lien Term Loan, LIBOR+4.25% cash due 12/12/2025	4.40	%		8,566,819		8,460,606		8,395,483		(5)
						8,460,606		8,395,483
EHR Canada, LLC			Food Retail
First Lien Term Loan, LIBOR+8.00% cash due 12/4/2020	9.00	%		457,407		456,711		466,555		(5)(8)
						456,711		466,555
eResearch Technology, Inc.			Application Software
First Lien Term Loan, LIBOR+4.50% cash due 2/4/2027	5.50	%		3,990,000		3,950,100		3,979,187		(5)
						3,950,100		3,979,187
Fortress Biotech, Inc.			Biotechnology
First Lien Term Loan, 11.00% cash due 8/27/2025				2,943,000		2,765,443		2,788,493		(8)(10)
85,811 Common Stock Warrants (exercise price $3.20) expiration date 8/27/2030						90,960		147,595		(8)(10)
						2,856,403		2,936,088
Frontier Communications Corporation			Integrated Telecommunication Services
Fixed Rate Bond, 8.50% cash due 4/1/2026				2,216,000		2,077,839		2,238,160
						2,077,839		2,238,160

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

September 30, ~~2019~~2020


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes
GI Chill Acquisition LLC			Managed Health Care
First Lien Term Loan, LIBOR+4.00% cash due 8/6/2025	4.22	%		$	1,960,000	$	1,950,200	$	1,925,700	(5)(8)
Second Lien Term Loan, LIBOR+7.50% cash due 8/6/2026	7.72	%		2,000,000		1,985,347		1,870,000		(5)(8)
						3,935,547		3,795,700
Global Medical Response, Inc.			Health Care Services
First Lien Term Loan, LIBOR+4.25% cash due 3/14/2025	5.25	%		1,078,814		1,060,828		1,049,146		(5)
First Lien Term Loan, LIBOR+4.75% cash due 10/2/2025	5.75	%		3,773,300		3,697,834		3,695,476		(5)
						4,758,662		4,744,622
Gulf Operating, LLC			Oil & Gas Storage & Transportation
First Lien Term Loan, LIBOR+5.25% cash due 8/25/2023	6.25	%		974,423		552,330		691,436		(5)
						552,330		691,436
Helios Software Holdings, Inc.			Systems Software
First Lien Term Loan, LIBOR+4.25% cash due 10/24/2025	4.52	%		2,977,267		2,947,495		2,941,927		(5)
						2,947,495		2,941,927
iCIMs, Inc.			Application Software
First Lien Term Loan, LIBOR+6.50% cash due 9/12/2024	7.50	%		1,671,765		1,649,272		1,658,391		(5)(8)
First Lien Revolver, LIBOR+6.50% cash due 9/12/2024				—		(1,482)		(706)		(5)(8)(9)
						1,647,790		1,657,685
Immucor, Inc.			Health Care Supplies
First Lien Term Loan, LIBOR+5.75% cash due 7/2/2025	6.75	%		2,366,402		2,321,432		2,319,074		(5)(8)
First Lien Revolver, LIBOR+5.75% cash due 7/2/2025				—		(3,757)		(3,954)		(5)(8)(9)
Second Lien Term Loan, LIBOR+8.00% cash 3.50% PIK due 10/2/2025	9.00	%		5,703,532		5,595,816		5,589,461		(5)(8)
						7,913,491		7,904,581
Intelsat Jackson Holdings S.A.			Alternative Carriers
First Lien Term Loan, PRIME+4.75% cash due 11/27/2023	8.00	%		986,227		954,078		994,442		(5)(10)
						954,078		994,442
KIK Custom Products Inc.			Household Products
First Lien Term Loan, LIBOR+4.00% cash due 5/15/2023	5.00	%		1,330,425		1,287,373		1,325,423		(5)(10)
						1,287,373		1,325,423
Lightbox Intermediate, L.P.			Real Estate Services
First Lien Term Loan, LIBOR+5.00% cash due 5/9/2026	5.15	%		8,887,500		8,780,169		8,487,563		(5)(8)
						8,780,169		8,487,563
LogMeIn, Inc.			Application Software
First Lien Term Loan, LIBOR+4.75% cash due 8/31/2027	4.91	%		6,000,000		5,850,886		5,810,640		(5)
Second Lien Term Loan, LIBOR+9.00% cash due 8/31/2028	9.16	%		3,289,000		3,125,399		3,272,555		(5)
						8,976,285		9,083,195
LTI Holdings, Inc.			Electronic Components
Second Lien Term Loan, LIBOR+6.75% cash due 9/6/2026	6.90	%		1,000,000		1,000,000		887,000		(5)
						1,000,000		887,000
Maravai Intermediate Holdings, LLC			Biotechnology
First Lien Term Loan, LIBOR+4.25% cash due 8/1/2025	5.25	%		1,274,000		1,261,260		1,277,185		(5)(8)
						1,261,260		1,277,185
Mauser Packaging Solutions Holding Company			Metal & Glass Containers
Fixed Rate Bond, 8.50% cash due 4/15/2024				4,482,000		4,440,731		4,661,280
						4,440,731		4,661,280
Mindbody, Inc.			Internet Services & Infrastructure
First Lien Term Loan, LIBOR+7.00% cash 1.5% PIK due 2/14/2025	8.00	%		7,274,318		7,168,802		6,706,921		(5)(8)
First Lien Revolver, LIBOR+8.00% cash due 2/14/2025				—		(11,107)		(60,190)		(5)(8)(9)
						7,157,695		6,646,731
MRI Software LLC			Application Software
First Lien Term Loan, LIBOR+5.50% cash due 2/10/2026	6.50	%		5,211,063		5,164,802		5,085,138		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+5.50% cash due 2/10/2026				—		(20,812)		(51,144)		(5)(8)(9)
First Lien Revolver, LIBOR+5.50% cash due 2/10/2026				—		(4,612)		(11,145)		(5)(8)(9)
						5,139,378		5,022,849

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

September 30, 2020


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes
Navicure, Inc.			Health Care Technology
First Lien Term Loan, LIBOR+4.00% cash due 10/22/2026	4.15	%		$	7,589,860	$	7,277,744	$	7,436,507	(5)
						7,277,744		7,436,507
NeuAG, LLC			Fertilizers & Agricultural Chemicals
First Lien Term Loan, LIBOR+5.50% cash 7.00% PIK due 9/11/2024	7.00	%		12,494,992		12,003,849		11,995,192		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+5.50% cash 7.00% PIK due 9/11/2024						(62,040)		(62,040)		(5)(8)(9)
						11,941,809		11,933,152
Northwest Fiber, LLC			Integrated Telecommunication Services
First Lien Term Loan, LIBOR+5.50% cash due 4/30/2027	5.66	%		4,384,013		4,226,498		4,389,493		(5)
						4,226,498		4,389,493
NuStar Logistics, L.P.			Oil & Gas Refining & Marketing
Unsecured Delayed Draw Term Loan, 12.00% cash due 4/19/2023				—		—		—		(8)(9)
						—		—
OEConnection LLC			Application Software
First Lien Term Loan, LIBOR+4.00% cash due 9/25/2026	4.15	%		8,852,234		8,809,281		8,752,647		(5)
First Lien Delayed Draw Term Loan, LIBOR+4.00% cash due 9/25/2026				—		(2,488)		(6,304)		(5)(9)
						8,806,793		8,746,343
Olaplex, Inc.			Personal Products
First Lien Term Loan, LIBOR+6.50% cash due 1/8/2026	7.50	%		9,381,250		9,216,479		9,381,250		(5)(8)
First Lien Revolver, LIBOR+6.50% cash due 1/8/2025	7.50	%		513,000		495,479		513,000		(5)(8)(9)
						9,711,958		9,894,250
OZLM Funding III, Ltd.			Multi-Sector Holdings
Class DR Notes, LIBOR+7.77% cash due 1/22/2029	8.03	%		835,000		598,367		765,132		(5)(10)
						598,367		765,132
P & L Development, LLC			Pharmaceuticals
First Lien Term Loan, LIBOR+7.50% cash due 6/28/2024	9.50	%		4,053,488		3,976,882		4,033,220		(5)(8)
						3,976,882		4,033,220
PaySimple, Inc.			Data Processing & Outsourced Services
First Lien Term Loan, LIBOR+5.50% cash due 8/23/2025	5.65	%		10,897,661		10,716,366		10,516,243		(5)(8)
						10,716,366		10,516,243
ProFrac Services, LLC			Industrial Machinery
First Lien Term Loan, LIBOR+7.50% cash due 9/15/2023	8.75	%		1,243,477		1,236,109		954,369		(5)(8)
						1,236,109		954,369
Project Boost Purchaser, LLC			Application Software
Second Lien Term Loan, LIBOR+8.00% cash due 5/9/2027	8.15	%		1,500,000		1,500,000		1,350,000		(5)(8)
						1,500,000		1,350,000
Pug LLC			Internet & Direct Marketing Retail
First Lien Term Loan, LIBOR+8.00% cash due 2/12/2027	8.75	%		5,570,000		5,237,942		5,416,825		(5)
						5,237,942		5,416,825
Recorded Books Inc.			Publishing
First Lien Term Loan, LIBOR+4.00% cash due 8/29/2025	4.16	%		7,417,467		7,381,464		7,380,379		(5)
First Lien Term Loan, LIBOR+4.25% cash due 8/31/2025	4.75	%		2,000,000		1,980,000		1,980,000		(5)
						9,361,464		9,360,379
Sabert Corporation			Metal & Glass Containers
First Lien Term Loan, LIBOR+4.50% cash due 12/10/2026	5.50	%		2,828,250		2,799,968		2,790,549		(5)
						2,799,968		2,790,549

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

September 30, 2020


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes
Scilex Pharmaceuticals Inc.			Pharmaceuticals
Fixed Rate Zero Coupon Bond due 8/15/2026				$	2,337,718	$	1,810,344	$	1,870,175	(8)
						1,810,344		1,870,175
Signify Health, LLC			Health Care Services
First Lien Term Loan, LIBOR+4.50% cash due 12/23/2024	5.50	%		6,893,939		6,841,863		6,652,652		(5)
						6,841,863		6,652,652
Sirva Worldwide, Inc.			Diversified Support Services
First Lien Term Loan, LIBOR+5.50% cash due 8/4/2025	5.65	%		1,912,500		1,883,813		1,596,938		(5)
						1,883,813		1,596,938
Sorrento Therapeutics, Inc.			Biotechnology
40,000 Common Stock Warrants (exercise price $3.94) expiration date 11/3/2029						—		359,200		(8)(10)
						—		359,200
Star US Bidco LLC			Industrial Machinery
First Lien Term Loan, LIBOR+4.25% cash due 3/17/2027	5.25	%		5,274,020		4,971,359		5,036,689		(5)
						4,971,359		5,036,689
Sunshine Luxembourg VII SARL			Personal Products
First Lien Term Loan, LIBOR+4.25% cash due 10/1/2026	5.25	%		4,372,943		4,236,816		4,356,894		(5)(10)
						4,236,816		4,356,894
Supermoose Borrower, LLC			Application Software
First Lien Term Loan, LIBOR+3.75% cash due 8/29/2025	3.90	%		2,924,628		2,594,025		2,636,742		(5)
						2,594,025		2,636,742
Surgery Center Holdings, Inc.			Health Care Facilities
First Lien Term Loan, LIBOR+3.25% cash due 9/3/2024	4.25	%		820,056		642,365		775,293		(5)(10)
						642,365		775,293
Tacala, LLC			Restaurants
Second Lien Term Loan, LIBOR+7.50% cash due 2/4/2028	7.65	%		2,647,000		2,606,482		2,511,341		(5)
						2,606,482		2,511,341
TerSera Therapeutics LLC			Pharmaceuticals
Second Lien Term Loan, LIBOR+10.00% cash due 3/30/2026	11.00	%		6,100,000		5,919,074		6,100,000		(5)(8)
						5,919,074		6,100,000
TIBCO Software Inc.			Application Software
First Lien Term Loan, LIBOR+3.75% cash due 6/30/2026	3.90	%		9,413,677		9,422,515		9,213,636		(5)
Second Lien Term Loan, LIBOR+7.25% cash due 3/3/2028	7.40	%		3,278,000		3,261,610		3,226,781		(5)
						12,684,125		12,440,417
Transact Holdings Inc.			Application Software
First Lien Term Loan, LIBOR+4.75% cash due 4/30/2026	4.90	%		7,920,000		7,801,200		7,489,390		(5)(8)
						7,801,200		7,489,390
Uniti Fiber Holdings Inc.			Specialized REITs
Fixed Rate Bond, 7.88% cash due 2/15/2025				2,073,000		2,073,000		2,199,971		(10)
Fixed Rate Bond, 8.25% cash due 10/15/2023				1,814,000		1,735,726		1,790,191		(10)
						3,808,726		3,990,162
U.S. Renal Care, Inc.			Health Care Services
First Lien Term Loan, LIBOR+5.00% cash due 6/26/2026	5.15	%		404,932		337,218		395,669		(5)
						337,218		395,669
Veritas US Inc.			Application Software
First Lien Term Loan, LIBOR+5.50% cash due 9/1/2025	6.50	%		7,500,000		7,351,242		7,356,263		(5)
						7,351,242		7,356,263
Verscend Holding Corp.			Health Care Technology
First Lien Term Loan, LIBOR+4.50% cash due 8/27/2025	4.65	%		9,125,728		9,107,394		9,065,270		(5)
						9,107,394		9,065,270

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

September 30, 2020


Portfolio Company/Type of Investment (1)(2)(3)(4)	Cash Interest Rate (5)		Industry	Principal (6)		Cost		Fair Value		Notes
William Morris Endeavor Entertainment, LLC			Movies & Entertainment
First Lien Term Loan, LIBOR+8.50% cash due 5/18/2025	9.50	%		$	13,114,337	$	12,443,394	$	13,114,337	(5)(8)
						12,443,394		13,114,337
Windstream Services II, LLC			Integrated Telecommunication Services
First Lien Term Loan, LIBOR+6.25% cash due 9/21/2027	7.25	%		10,972,500		10,534,635		10,647,933		(5)
						10,534,635		10,647,933
WP CPP Holdings, LLC			Aerospace & Defense
First Lien Term Loan, LIBOR+3.50% cash due 4/30/2025	4.50	%		3,931,575		3,911,636		3,463,718		(5)
						3,911,636		3,463,718
WPEngine, Inc.			Application Software
First Lien Term Loan, LIBOR+6.50% cash due 3/27/2026	7.50	%		5,118,050		5,001,080		5,032,066		(5)(8)
First Lien Delayed Draw Term Loan, LIBOR+6.50% cash due 3/27/2026				—		(217,234)		(159,683)		(5)(8)(9)
						4,783,846		4,872,383
Total Non-Control/Non-Affiliate Investments (123.9% of net assets)						$	428,740,923	$	429,851,146
Cash and Cash Equivalents and Restricted Cash (8.9% of net assets)						$	31,016,086	$	31,016,086
Total Portfolio Investments, Cash and Cash Equivalents and Restricted Cash (132.8% of net assets)						$	459,757,009	$	460,867,232


Derivative Instrument	Notional Amount to be Purchased		Notional Amount to be Sold		Maturity Date	Counterparty	Cumulative Unrealized Appreciation (Depreciation)
Foreign currency forward contract	$	6,662,097	€	6,026,830	11/12/2020	Bank of New York Mellon	$	(411,465)
Foreign currency forward contract	$	9,893,413	£	7,833,885	11/12/2020	Bank of New York Mellon	$	(236,424)

(1)All debt investments are income producing unless otherwise noted. All equity investments are non-income producing unless otherwise noted.

(2)See Note 3 in the accompanying notes to the Consolidated Financial Statements for portfolio composition by geographic region.

(5)The interest rate on the principal balance outstanding for all floating rate loans is indexed to the LIBOR and/or an alternate base rate (e.g., prime rate), which typically resets semi-annually, quarterly, or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these loans, the Company has provided the applicable margin over LIBOR or the alternate ~~based~~base rate based on each respective credit agreement and the cash interest rate as of period end. All LIBOR shown above is in U.S. dollars unless otherwise noted. As of September 30, ~~2019,~~2020, the reference rates for the Company's variable rate loans were the 30-day LIBOR at ~~2.04%~~0.15%, the 60-day LIBOR at ~~2.09%~~0.19%, the 90-day LIBOR at ~~2.10% and~~0.22%, the 180-day LIBOR at 0.27%, the 360-day LIBOR at 0.37%, the PRIME at 3.25%, the 30-day UK LIBOR at 0.05%, the 180-day UK LIBOR at 0.22%, the 30-day EURIBOR at ~~(0.51)~~(0.57)% and the 180-day EURIBOR at (0.36)%. Most loans include an interest floor, which generally ranges from 0% to 1%.

~~(5)~~(6)"€" signifies the investment is denominated in Euros. “£” signifies the investment is denominated in British Pounds. All other investments are denominated in U.S. dollars.

~~(6)~~(7)Non-Control/Non-Affiliate Investments are investments that are neither Control Investments nor Affiliate Investments. Control Investments generally are defined by the Investment Company Act, as investments in companies in which the Company owns more than 25% of the voting securities and/or has the power to exercise control over the management or policies of the company. Affiliate Investments generally are defined by the Investment Company Act as investments in companies in which the Company owns between 5% and 25% of the voting securities.

~~(7)~~(8)As of September 30, ~~2019,~~2020, these investments are categorized as Level 3 within the fair value hierarchy established by ASC 820 and were valued using significant unobservable inputs.

~~(8)~~(9)Investment has undrawn commitments. Unamortized fees are classified as unearned income which reduces cost basis, which may result in a negative cost basis. A negative fair value may result from the unfunded commitment being valued below par.

~~(9)~~(10)Investment is not a qualifying asset as defined under Section 55(a) of the Investment Company Act. Under the Investment Company Act, the Company may not acquire any non-qualifying asset unless, at the time the acquisition is made, qualifying assets represent at least 70% of the

Oaktree Strategic Income II, Inc.

Consolidated Schedule of Investments

September 30, 2020

Company's total assets. As of September 30, ~~2019,~~2020, qualifying assets represented ~~80.1%~~82.1% of the Company's total assets and non-qualifying assets represented ~~19.9%~~17.9% of the Company's total assets.

~~(10)~~(11)PIK interest income for this investment accrues at an annualized rate of 15%, however, the PIK interest is not contractually capitalized on the investment. As a result, the principal amount of the investment does not increase over time for accumulated PIK interest. As of September 30, ~~2019,~~2020, the accumulated PIK interest balance for each of the Alvotech A notes and the B notes was ~~$0.2~~$0.6 million. The fair value of this investment is inclusive of PIK.

~~(11)~~(12)This investment was on cash non-accrual status as of September 30, 2020. Cash non-accrual status is ~~pledged as collateral under the Citibank Facility (as defined in Note 6 to the accompanying notes to the Consolidated Financial Statements).~~inclusive of PIK and other non-cash income, where applicable.

See notes to Consolidated Financial Statements.

1822

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Note 1. Organization

Oaktree Strategic Income II, Inc. (together with its consolidated subsidiaries, where applicable, the "Company") is structured as a closed-end investment company focused on lending to small- and medium-sized companies. The Company has elected to be regulated as a business development company (a "BDC") under the Investment Company Act of 1940, as amended (the "Investment Company Act") and has elected to be treated, and intends to comply with the requirements to qualify annually, as a regulated investment company ("RIC") under Subchapter M of the Internal Revenue Code of 1986, as amended (together with the rules and regulations promulgated thereunder, the "Code").

The Company was formed on April 30, 2018 as a Delaware corporation and as of ~~June 30,~~December 31, 2020 is externally managed by Oaktree Fund Advisors, LLC (the "Adviser") pursuant to an investment advisory agreement (the “Investment Advisory Agreement”), between the Company and the Adviser, which was approved by the Board of Directors of the Company on May 11, 2020. From ~~September 30, 2019~~July 9, 2018 through May 11, 2020, the Company was managed by Oaktree Capital Management, L.P., an affiliate of the Adviser. The Adviser is a subsidiary of Oaktree Capital Group, LLC ("OCG"). In 2019, Brookfield Asset Management Inc. ("Brookfield") acquired a majority economic interest in OCG. OCG operates as an independent business within Brookfield, with its own product offerings and investment, marketing and support teams.

The Company ~~conducts~~conducted private offerings (each, a “Private Offering”) of its common stock ("Common Stock") to investors in reliance on exemptions from the registration requirements of the Securities Act of 1933, as amended (the “Securities Act”). At each closing of a Private Offering, each investor participating in that closing ~~makes~~made a capital commitment (each, a “Capital Commitment”) to purchase the Company's Common Stock pursuant to a subscription agreement entered into with the Company in connection with its Capital Commitment ("Subscription Agreement"). Investors are required to fund drawdowns to purchase the Company's Common Stock up to the amount of their respective Capital Commitments on an as-needed basis with a minimum of ten calendar days' prior notice (excluding the initial drawdown for each investor). On July 23, 2018, the Company was initially capitalized with a $1,000 investment by the Adviser. The initial closing of a Private Offering occurred on August 6, 2018 (the "Initial Closing"). The ~~Company's operations~~Company commenced ~~on August 6, 2018, and~~its loan origination and investment activities ~~commenced~~ shortly after its initial capital drawdown from its non-affiliated investors (the "Initial Drawdown"). The proceeds from the Initial ~~Closing.~~Drawdown provided the Company with the necessary seed capital to commence operations. As of ~~June 30,~~December 31, 2020, the Company ~~received~~completed drawdowns of $337,558,996 inof Capital Commitments from investors in connection with Private ~~Offerings.~~Offerings, of which $3,854,346 in Capital Commitments were made by one or more affiliates of the Adviser.

The Company seeks to invest opportunistically across asset classes and geographies, primarily in the form of senior loans, and to a lesser extent, high yield bonds, to borrowers that are in need of direct loans, rescue financings or other capital solutions or that have had challenged or unsuccessful primary offerings. The Company's investment objective is to generate current income and long-term capital appreciation. The Company seeks to achieve its investment objective without subjecting principal to undue risk of loss by lending to and investing in the debt of public and private companies, primarily in situations where a company or its owners are (a) overleveraged or facing pressure to recapitalize, (b) unable to access broadly syndicated capital markets, (c) undervalued after having recently exited bankruptcy, completed a restructuring or are in a cyclically out-of-favor industry or (d) otherwise affected by mispricings or inefficiencies in the capital markets or at different points throughout the credit cycle.

Note 2. Significant Accounting Policies

Basis of Presentation:

The consolidated financial statements of the Company have been prepared in accordance with accounting principles generally accepted in the United States of America ("GAAP") and pursuant to the requirements for reporting on Form 10-Q and Regulation S-X. In the opinion of management, all adjustments of a normal recurring nature considered necessary for the fair presentation of the consolidated financial statements have been made. All intercompany balances and transactions have been eliminated in consolidation. ~~Certain prior-period financial information has been reclassified to conform to current period presentation.~~ The Company is an investment company following the accounting and reporting guidance in FASB ASC Topic 946, Financial Services - Investment Companies ("ASC 946").

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

Use of Estimates:

The preparation of the financial statements in conformity with GAAP requires management to make certain estimates and assumptions affecting amounts reported in the financial statements and accompanying notes. These estimates are based on the information that is currently available to the Company and on various other assumptions that the Company believes to be reasonable under the circumstances. Changes in the economic and political environments, financial markets and any other parameters used in determining these estimates could cause actual results to differ and such differences could be material. Significant estimates include the valuation of investments and revenue recognition.

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Consolidation:

The accompanying consolidated financial statements include the accounts of the Company and its consolidated ~~subsidiaries, OSI 2 AB Blocker LLC and OSI 2 Senior Lending SPV, LLC (“OSI 2 SPV”). OSI 2 AB Blocker LLC and OSI 2 SPV are~~subsidiaries. Each consolidated subsidiary is wholly-owned and, as such, consolidated into the consolidated financial statements. Certain subsidiaries of the Company that hold investments are treated as pass through entities for tax purposes. The assets of the consolidated subsidiaries are not directly available to satisfy the claims of the creditors of the Company. As an investment company, portfolio investments held by the Company are not consolidated into the consolidated financial statements but rather are included on the Consolidated Statements of Assets and Liabilities as investments at fair value.

Fair Value Measurements:

The Company's board of directors, with the assistance of its audit committee (the “Audit Committee”) and the Adviser, determines the fair value of its assets on at least a quarterly basis, in accordance with the terms of FASB ASC Topic 820, Fair Value Measurement. The Audit Committee is comprised of independent directors. The Company's investments are valued at fair value. For purposes of periodic reporting, the Company values its assets in accordance with GAAP and based on the principles and methods of valuation summarized below. GAAP requires that a “fair value” be assigned to all assets and establishes a single authoritative definition of fair value that includes a framework for measuring fair value and enhanced disclosures about fair value measurements.

GAAP establishes a hierarchal disclosure framework, which prioritizes the inputs used in measuring financial instruments at fair value into three levels based on their market price observability. Market price observability is affected by a number of factors, including the type of instrument and the characteristics specific to the instrument. Financial instruments with readily available quoted prices from an active market or for which fair value can be measured based on actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment inherent in measuring fair value.

Financial assets and liabilities measured and reported at fair value are classified as follows:

•Level I - Quoted unadjusted prices for identical instruments in active markets to which the Company has access at the date of measurement.

•Level III - Valuations for which one or more significant inputs are unobservable. These inputs reflect our assessment of the assumptions that market participants use to value the investment based on the best available information. Level III inputs include prices obtained from brokers in markets for which there are few transactions, less public information exists or prices vary among broker market makers.

In some instances, an instrument may fall into different levels of the fair value hierarchy. In such instances, the instrument’s level within the fair value hierarchy is based on the lowest of the three levels (with Level III being the lowest) that is significant to the value measurement. The assessment of the significance of an input requires judgment and considers factors specific to the instrument. The transfer of assets into or out of each fair value hierarchy level as a result of changes in the observability of the inputs used in measuring fair value are accounted for as of the beginning of the reporting period. Transfers resulting from a specific event, such as a reorganization or restructuring, are accounted for as of the date of the event that caused the transfer.

In the absence of observable market prices, the Company values Level III investments using valuation methodologies applied on a consistent basis. The quarterly valuation process for Level III investments begins with each portfolio company, property or security being initially valued by the Adviser's valuation team in conjunction with the investment team. The preliminary valuations are then reviewed and approved by the valuation team, the valuation committee, which consists of senior members of the investment team, and designated investment professionals as well as the valuation officer who is independent of

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

the investment teams. The Audit Committee reviews the preliminary valuations provided by the valuation committee and makes a recommendation to the Company's full board of directors regarding the fair value of the investments in our portfolio. The Company's board of directors ultimately determines in good faith the fair value of each investment in the Company's portfolio. Results of the valuation process are evaluated each quarter, including an assessment of whether the underlying calculations should be adjusted or recalibrated. In connection with this process, the Company evaluates changes in fair value measurements from period to period for reasonableness, considering items such as industry trends, general economic and market conditions, and factors specific to the investment.

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

for similar securities or may require adjustment for investment-specific factors or restrictions. The Company seeks to obtain at least two quotations for the subject or similar securities, typically from pricing vendors. If the Company is unable to obtain two quotes from pricing vendors, or if the prices obtained from pricing vendors are not within the Company's set threshold, the Company seeks to obtain a quote directly from a broker making a market for the asset. However, given the nature of our portfolio, the Company does not expect that all of our Level III assets will be valued at least annually using prices obtained from pricing vendors or brokers. Generally, the Company does not adjust any of the prices received from these sources, and all prices are reviewed by the Company. The Company evaluates the prices obtained from pricing vendors or brokers based on available market information, including trading activity of the subject or similar securities, or by performing a comparable security analysis to ensure that fair values are reasonably estimated. The Adviser also performs back-testing of valuation information obtained from pricing vendors and brokers against actual prices received in transactions. In addition to ongoing monitoring and back-testing, the Adviser performs due diligence procedures over pricing vendors to understand their methodology and controls to support their use in the valuation process.

Non-publicly traded debt and equity securities and other securities or instruments for which reliable market quotations are not available are valued by the Company using valuation methodologies applied on a consistent basis. These securities may initially be valued at the acquisition price as the best indicator of fair value. The Company reviews the significant unobservable inputs, valuations of comparable investments and other similar transactions for investments valued at acquisition price to determine whether another valuation methodology should be utilized. Subsequent valuations will depend on facts and circumstances known as of the valuation date and the application of valuation methodologies further described below under “– Non-Exchange-Traded Investments.” The fair value may also be based on a pending transaction expected to close after the valuation date. These valuation methodologies involve a significant degree of management judgment. Accordingly, valuations do not necessarily represent the amounts which may eventually be realized from sales or other dispositions of investments in the future. Fair values may differ from the values that would have been used had a ready market for the investment existed, and the differences could be material to the consolidated financial statements.

Exchange-Traded Investments

Securities listed on one or more national securities exchanges are valued at their last reported sales price on the date of valuation. If no sale occurred on the valuation date, the security is valued at the mean of the last “bid” and “ask” prices on the valuation date. Securities that are not marketable due to legal restrictions that may limit or restrict transferability are generally valued at a discount from quoted market prices. The discount would reflect the amount market participants would require due to the risk relating to the inability to access a public market for the security for the specified period and would vary depending on the nature and duration of the restriction and the risk and volatility of the underlying securities. Securities with longer duration restrictions or higher volatility are generally valued at a higher discount. Such discounts are generally estimated based on put option models or analysis of market studies. Instances where discounts have been applied to quoted prices of restricted listed securities have been infrequent. The impact of such discounts is not material to the consolidated financial statements.

Non-Exchange-Traded Investments

Investments in corporate and government debt which are not listed or admitted to trading on any securities exchange are valued at the mean of the last bid and ask prices on the valuation date based on quotations supplied by recognized quotation services or by reputable broker dealers.

If the quotations obtained from pricing vendors or brokers are determined to not be reliable or are not readily available, the Company values such investments using different valuation techniques. One valuation technique is the transaction precedent technique, which utilizes recent or expected future transactions of the investment to determine fair value, to the extent applicable. The market yield technique is considered in the valuation of non-publicly traded debt investments, utilizing expected future cash flows, discounted using estimated current market rates. Discounted cash flow calculations may be adjusted to reflect current market conditions and/or the perceived credit risk of the borrowers. Consideration is also given to a borrower’s ability to meet principal and interest obligations; this may include an evaluation of collateral or the underlying value of the borrower, utilizing either the market or income techniques. A market technique utilizes valuations of comparable public companies or transactions and generally seeks to establish the enterprise value of the portfolio company using a market multiple

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

technique. This technique takes into account a specific financial measure (such as earnings before interest, taxes, depreciation and amortization ("EBITDA"), adjusted EBITDA, free cash flow, net operating income, net income, book value or net asset value) believed to be most relevant for the given company. Consideration may also be given to such factors as acquisition price of the security, historical and projected operational and financial results for the portfolio company, the strengths and weaknesses of the portfolio company relative to its comparable companies, industry trends, general economic and market conditions and other factors deemed relevant. The income technique is typically a discounted cash flow method that incorporates expected timing and level of cash flows. It incorporates assumptions in determining growth rates, income and expense projections, discount rates, capital structure, terminal values and other factors. The applicability and weight assigned to

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

market and income techniques are determined based on the availability of reliable projections and comparable companies and transactions.

The valuation of securities may be impacted by expectations of investors’ receptiveness to a public offering of the securities, the size of the holding of the securities and any associated control, information with respect to transactions or offers for the securities (including the transaction pursuant to which the investment was made and the period of time elapsed from the date of the investment to the valuation date) and applicable restrictions on the transferability of the securities.

Investments made by the Company are, by nature, generally considered to be long-term investments and are not intended to be liquidated on a short-term basis. Additionally, these valuation methodologies involve a significant degree of management judgment. Accordingly, valuations by the Company do not necessarily represent the amounts which may eventually be realized from sales or other dispositions of investments in the future. Estimated fair values may differ from the values that would have been used had a ready market for the investment existed, and the differences could be material to the consolidated financial statements.

The Company may estimate the fair value of privately held warrants using a Black Scholes pricing model, which includes an analysis of various factors and subjective assumptions, including the current stock price (by using an enterprise value analysis as described above), the expected period until exercise, expected volatility of the underlying stock price, expected dividends and the risk-free rate. Changes in the subjective input assumptions can materially affect the fair value estimates.

With the exception of the line items entitled "deferred financing costs," "other assets," "deferred tax liability" and "credit facilities payable," which are reported at amortized cost, all assets and liabilities on the Consolidated Statements of Assets and Liabilities approximate fair value. The carrying value of the line items titled "interest receivable," "receivables from unsettled transactions," ~~"receivable for shares sold,"~~ "accounts payable, accrued expenses and other liabilities," "base management fee and incentive fee payable," "due to affiliates," "interest payable," ~~"director fees payable," "deferred tax liability"~~ and "payables from unsettled transactions" approximate fair value due to their short maturities.

Foreign Currency Translation:

The accounting records of the Company are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the prevailing foreign exchange rate on the reporting date. The Company does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. The Company’s investments in foreign securities may involve certain risks, including foreign exchange restrictions, expropriation, taxation or other political, social or economic risks, all of which could affect the market and/or credit risk of the investment. In addition, changes in the relationship of foreign currencies to the U.S. dollar can significantly affect the value of these investments and therefore the earnings of the Company.

Derivative Instruments:

The Company does not utilize hedge accounting and as such values its derivative instruments at fair value with the unrealized gains or losses recorded in “net unrealized appreciation (depreciation)” in the Company’s Consolidated Statements of Operations.

Investment Income:

Interest Income

Interest income, adjusted for accretion of original issue discount ("OID"), is recorded on an accrual basis to the extent that such amounts are expected to be collected. The Company stops accruing interest on investments when it is determined that interest is no longer collectible. Investments that are expected to pay regularly scheduled interest in cash are generally placed on non-accrual status when there is reasonable doubt that principal or interest cash payments will be collected. Cash interest payments received on investments may be recognized as income or a return of capital depending upon management’s judgment.

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

A non-accrual investment is restored to accrual status if past due principal and interest are paid in cash, and the portfolio company, in management’s judgment, is likely to continue timely payment of its remaining obligations.

In connection with its investment in a portfolio company, the Company sometimes receives nominal cost equity that is valued as part of the negotiation process with the portfolio company. When the Company receives nominal cost equity, the Company allocates its cost basis in the investment between debt securities and the nominal cost equity at the time of origination. Any resulting discount from recording the loan, or otherwise purchasing a security at a discount, is accreted into interest income over the life of the loan.

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

PIK Interest Income

The Company's investments in debt securities may contain payment-in-kind ("PIK") interest provisions. PIK interest, which generally represents contractually deferred interest added to the loan balance that is generally due at the end of the loan term, is generally recorded on the accrual basis to the extent such amounts are expected to be collected. The Company generally ceases accruing PIK interest if there is insufficient value to support the accrual or if the Company does not expect the portfolio company to be able to pay all principal and interest due. The Company's decision to cease accruing PIK interest on a loan or debt security involves subjective judgments and determinations based on available information about a particular portfolio company, including whether the portfolio company is current with respect to its payment of principal and interest on its loans and debt securities; financial statements and financial projections for the portfolio company; the Company's assessment of the portfolio company's business development success; information obtained by the Company in connection with periodic formal update interviews with the portfolio company's management and, if appropriate, the private equity sponsor; and information about the general economic and market conditions in which the portfolio company operates. The Company's determination to cease accruing PIK interest is generally made well before the Company's full write-down of a loan or debt security. In addition, if it is subsequently determined that the Company will not be able to collect any previously accrued PIK interest, the fair value of the loans or debt securities would be reduced by the amount of such previously accrued, but uncollectible, PIK interest. The accrual of PIK interest on the Company’s debt investments increases the recorded cost bases of these investments in the consolidated financial statements including for purposes of computing the capital gains incentive fee payable by the Company to the Adviser. To maintain its status as a RIC, certain income from PIK interest may be required to be distributed to the Company’s stockholders, even though the Company has not yet collected the cash and may never do so.

Fee Income

The Adviser or its affiliates may provide financial advisory services to portfolio companies in connection with structuring a transaction and in return the Company may receive fees for capital structuring services. These fees are generally nonrecurring and are recognized by the Company upon the investment closing date. The Company may also receive additional fees in the ordinary course of business, including servicing, amendment, and prepayment fees, which are classified as fee income and recognized as they are earned or the services are rendered.

The Company has also structured exit fees across certain of its portfolio investments to be received upon the future exit of those investments. These fees are typically paid to the Company upon the earliest to occur of (i) a sale of the borrower or substantially all of the assets of the borrower, (ii) the maturity date of the loan or (iii) the date when full prepayment of the loan occurs. The receipt of such fees is contingent upon the occurrence of one of the events listed above for each of the investments. These fees are included in net investment income over the life of the loan.

Cash and Cash Equivalents and Restricted Cash:

Cash and cash equivalents and restricted cash consist of demand deposits and highly liquid investments with maturities of three months or less, when acquired. The Company places its cash and cash equivalents and restricted cash with financial institutions and, at times, cash held in bank accounts may exceed the Federal Deposit Insurance Corporation ("FDIC") insurance limit. Cash and cash equivalents and restricted cash are included on the Company's Consolidated Schedule of Investments and cash equivalents are classified as Level 1 assets.

As of ~~June 30,~~December 31, 2020 and September 30, ~~2019,~~2020, included in restricted cash was ~~$2,091,880~~$4,068,407 and ~~$269,111,~~$2,273,803, respectively, which was held at Deutsche Bank Trust Company Americas in connection with the Company's Citibank Facility (defined in Note 6 – Borrowings). The Company was restricted in terms of access to the ~~$2,091,880~~$4,068,407 and ~~$269,111~~$2,273,803, respectively, until the occurrence of the periodic distribution dates and, in connection therewith, the Company’s submission of its required periodic reporting schedules and verifications of the Company’s compliance with the terms of the Citibank Facility.

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~Organization and Offering Expenses:~~

Costs incurred to organize the Company were expensed as incurred. There were no organizational costs incurred during the three and nine months ended June 30, 2020. For the three and nine months ended June 30, 2019, the Company incurred organizational costs of $0 and $56,921, respectively.

Offering costs incurred in connection with Private Offerings were recognized as a deferred cost and amortized on a straight line basis over twelve months beginning on August 6, 2018 (commencement of operations). For the three and nine months ended June 30, 2020, no additional offering costs were incurred. For the three and nine months ended June 30, 2019, the Company capitalized additional offering costs of $1,911 and $122,903, respectively, and amortized $199,384 and $561,757, respectively, of deferred offering costs. Deferred offering costs were fully amortized as of August 6, 2019.

Receivables/Payables from Unsettled Transactions:

Receivables/payables from unsettled transactions consist of amounts receivable to or payable by the Company for transactions that have not settled at the reporting date.

Deferred Financing Costs:

Deferred financing costs consist of fees and expenses paid in connection with the closing or amending of credit facilities. Deferred financing costs incurred in connection with credit facilities are capitalized as an asset when incurred. Deferred financing costs incurred in connection with all other debt arrangements are a direct deduction from the related debt liability when incurred. Deferred financing costs are amortized using the effective interest method over the term of the respective debt

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

arrangement. This amortization expense is included in interest expense in the Company's Consolidated Statements of Operations. Upon early termination or modification of a credit facility, all or a portion of unamortized fees related to such facility may be accelerated into interest expense.

Income Taxes:

The Company has elected to be subject to tax as a RIC under Subchapter M of the Code and intends to operate in a manner so as to qualify for the tax treatment applicable to RICs. In order to be subject to tax as a RIC, among other things, the Company is required to meet certain source of income and asset diversification requirements and timely distribute dividends to its stockholders of an amount generally at least equal to 90% of investment company taxable income, as defined by the Code and determined without regard to any deduction for dividends paid, for each tax year. As a RIC, the Company is not subject to federal income tax on the portion of its taxable income and gains distributed currently to stockholders as a dividend. Depending on the level of taxable income earned during a tax year, the Company may choose to retain taxable income in excess of current year dividend distributions and would distribute such taxable income in the next tax year. The Company would then incur a 4% excise tax on such income, as required. To the extent that the Company determines that its estimated current year annual taxable income, determined on a calendar year basis, could exceed estimated current calendar year dividend distributions, the Company accrues excise tax, if any, on estimated excess taxable income as taxable income is earned. The Company anticipates timely distribution of its taxable income within the tax rules under Subchapter M of the Code. The Company ~~incurred a U.S. federal excise tax of $14,515 for calendar year 2018 and~~ did not incur a U.S. federal excise tax for calendar years 2019 and 2020 and does not expect to incur a U.S. federal excise tax for calendar year ~~2019.~~2021.

The Company holds certain portfolio investments through taxable subsidiaries. The purpose of the Company's taxable subsidiaries is to permit the Company to hold equity investments in portfolio companies which are "pass through" entities for U.S. federal income tax purposes in order to comply with the RIC tax requirements. The taxable subsidiaries are consolidated for financial reporting purposes, and portfolio investments held by them are included in the Company’s consolidated financial statements as portfolio investments and recorded at fair value. The taxable subsidiaries are not consolidated with the Company for U.S. federal income tax purposes and may generate income tax expense, or benefit, and the related tax assets and liabilities, as a result of their ownership of certain portfolio investments. This income tax expense, if any, would be reflected in the Company's Consolidated Statements of Operations. The Company uses the liability method to account for its taxable subsidiaries' income taxes. Using this method, the Company recognizes deferred tax assets and liabilities for the estimated future tax effects attributable to temporary differences between financial reporting and tax bases of assets and liabilities. In addition, the Company recognizes deferred tax benefits associated with net operating loss carry forwards that it may use to offset future tax obligations. The Company measures deferred tax assets and liabilities using the enacted tax rates expected to apply to taxable income in the years in which it expects to recover or settle those temporary differences.

FASB ASC Topic 740, Accounting for Uncertainty in Income Taxes ("ASC 740"), provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the Company's consolidated financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

positions not deemed to meet the more-likely-than-not threshold are recorded as a tax benefit or expense in the current year. Management's determinations regarding ASC 740 may be subject to review and adjustment at a later date based upon factors including an ongoing analysis of tax laws, regulations and interpretations thereof. The Company recognizes the tax benefits of uncertain tax positions only where the position is "more likely than not" to be sustained assuming examination by tax authorities. Management has analyzed the Company's tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years 2018, 2019 and ~~2019.~~2020. The Company identifies its major tax jurisdictions as U.S. Federal and California, and the Company is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months.

~~Recent Accounting Pronouncements:~~

~~In March 2020, the FASB issued ASU 2020-04,~~

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

~~Reference Rate Reform (Topic 848)Facilitation of the Effects of Reference Rate Reform on Financial Reporting~~, which provides optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting if certain criteria are met. The guidance is effective from March 12, 2020 through December 31, 2022. As of June 30, 2020, the guidance did not have a material impact on the Consolidated Financial Statements.

The SEC issued final rules that, among other things, amended the financial disclosure requirements of Regulation S-X for acquired and disposed businesses and the significance tests for a “significant subsidiary” as applicable to BDCs, and amended certain forms used by BDCs. The amendments are intended to assist BDCs in making more meaningful determinations as to whether a subsidiary or an acquired or disposed entity is significant and improve the financial disclosure requirements applicable to acquisitions and dispositions of investment companies and BDCs. The Company early adopted the updated rules for the three months ended June 30, 2020 which did not result in any new significant subsidiaries being identified.

Note 3. Portfolio Investments

Portfolio Composition

As of ~~June~~December 31, 2020, the fair value of the Company's investment portfolio was $468.2 million and was comprised of investments in 92 portfolio companies. As of September 30, 2020, the fair value of the Company's investment portfolio was ~~$405.5~~$429.9 million and was comprised of investments in ~~93 portfolio companies. As of September 30, 2019, the fair value of the Company's investment portfolio was $291.1 million and was comprised of investments in 69~~88 portfolio companies.

As of ~~June 30,~~December 31, 2020 and September 30, ~~2019,~~2020, the Company's investment portfolio consisted of the following:


		June 30, 2020						September 30, 2019							December 31, 2020				September 30, 2020
Cost:	Cost:			% of Total Investments				% of Total Investments		Cost:			% of Total Investments				% of Total Investments
Senior secured debt	Senior secured debt	$	379,522,612	92.21	%	$	281,238,755	97.20	%	Senior secured debt	$	451,313,558	97.71	%	$	411,852,997	96.05	%
Subordinated debt	Subordinated debt	30,803,616		7.49	%	7,201,102		2.49	%	Subordinated debt	9,615,895		2.08	%	15,890,973		3.71	%
Common equity & warrants	Common equity & warrants	1,096,769		0.27	%	772,692		0.27	%	Common equity & warrants	886,668		0.19	%	886,668		0.21	%
Preferred equity	Preferred equity	110,285		0.03	%	110,285		0.04	%	Preferred equity	110,285		0.02	%	110,285		0.03	%
Total	Total	$	411,533,282	100.00	%	$	289,322,834	100.00	%	Total	$	461,926,406	100.00	%	$	428,740,923	100.00	%


		June 30, 2020										September 30, 2019											December 31, 2020				September 30, 2020
Fair Value:	Fair Value:			% of Total Investments		% of Net Assets				% of Total Investments		% of Net Assets		Fair Value:			% of Total Investments		% of Net Assets				% of Total Investments		% of Net Assets
Senior secured debt	Senior secured debt	$	367,863,405	90.71	%	110.00	%	$	282,841,206	97.14	%	164.80	%	Senior secured debt	$	455,584,056	97.30	%	133.67	%	$	410,811,503	95.57	%	118.39	%
Subordinated debt	Subordinated debt	34,621,314		8.54	%	10.35	%	7,325,965		2.52	%	4.27	%	Subordinated debt	10,842,870		2.32	%	3.18	%	17,095,342		3.98	%	4.93	%
Common equity & warrants	Common equity & warrants	2,933,349		0.72	%	0.88	%	869,555		0.30	%	0.51	%	Common equity & warrants	1,631,572		0.35	%	0.48	%	1,826,297		0.42	%	0.53	%
Preferred equity	Preferred equity	115,799		0.03	%	0.03	%	110,285		0.04	%	0.06	%	Preferred equity	119,107		0.03	%	0.03	%	118,004		0.03	%	0.03	%
Total	Total	$	405,533,867	100.00	%	121.26	%	$	291,147,011	100.00	%	169.64	%	Total	$	468,177,605	100.00	%	137.36	%	$	429,851,146	100.00	%	123.88	%

The composition of the Company's debt investments as of December 31, 2020 and September 30, 2020 by floating rates and fixed rates was as follows:


	December 31, 2020				September 30, 2020
	Fair Value		% of Debt Investments		Fair Value		% of Debt Investments
Floating rate	$	419,815,044	90.01	%	$	384,443,597	89.84	%
Fixed rate	46,611,882		9.99	%	43,463,248		10.16	%
Total	$	466,426,926	100.00	%	$	427,906,845	100.00	%

2529

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

~~The composition of the Company's debt investments as of June 30, 2020 and September 30, 2019 by floating rates and fixed rates was as follows:~~

June 30, 2020 September 30, 2019
Fair Value % of Debt Investments Fair Value % of Debt Investments
Floating rate $ 347,397,143 86.31 % $ 270,653,147 93.27 %
Fixed rate 55,087,576 13.69 % 19,514,024 6.73 %
Total $ 402,484,719 100.00 % $ 290,167,171 100.00 %

The geographic composition of the Company's portfolio is determined by the location of the corporate headquarters of the portfolio company, which may not be indicative of the primary source of the portfolio company's business. The following tables show the portfolio composition by geographic region at cost as a percentage of total investments and at fair value as a percentage of total investments and net assets:


		June 30, 2020						September 30, 2019						December 31, 2020			September 30, 2020
Cost:	Cost:			% of Total Investments				% of Total Investments		Cost:			% of Total Investments			% of Total Investments
United States	United States	$	362,187,386	88.01	%	$	257,736,195	89.08	%	United States	$	392,899,952	85.05%	$	375,446,261	87.56%
United Kingdom	United Kingdom	18,102,364		4.40	%	11,021,595		3.81	%	United Kingdom	24,092,046		5.22%	21,990,039		5.13%
Luxembourg	Luxembourg	9,856,798		2.40	%	7,837,090		2.71	%	Luxembourg	14,546,400		3.15%	9,852,421		2.30%
Switzerland	Switzerland	8,160,000		1.98	%	—		—	%	Switzerland	12,686,162		2.75%	8,704,000		2.03%
Australia	Australia	5,925,150		1.44	%	—		—	%	Australia	7,836,149		1.70%	5,910,300		1.38%
Iceland	Iceland	4,916,182		1.19	%	4,406,462		1.52	%	Iceland	5,277,436		1.14%	5,093,818		1.19%
Chile										Chile	2,787,061		0.60%	—		—%
Ireland										Ireland	1,343,835		0.29%	—		—%
Canada	Canada	2,385,402		0.58	%	2,875,400		0.99	%	Canada	457,365		0.10%	1,744,084		0.41%
Denmark		—		—	%	215,982		0.08	%
France		—		—	%	5,230,110		1.81	%
Total	Total	$	411,533,282	100.00	%	$	289,322,834	100.00	%	Total	$	461,926,406	100.00%	$	428,740,923	100.00%


		June 30, 2020										September 30, 2019									December 31, 2020		September 30, 2020
Fair Value:	Fair Value:			% of Total Investments		% of Net Assets				% of Total Investments		% of Net Assets		Fair Value:			% of Total Investments	% of Net Assets			% of Total Investments	% of Net Assets
United States	United States	$	356,310,622	87.86	%	106.53	%	$	259,279,171	89.06	%	151.07	%	United States	$	396,811,905	84.76%	116.43%	$	375,200,713	87.29%	108.13%
United Kingdom	United Kingdom	17,479,767		4.31	%	5.23	%	11,079,743		3.81	%	6.46	%	United Kingdom	25,210,606		5.38%	7.40%	21,998,531		5.12%	6.34%
Luxembourg	Luxembourg	9,647,182		2.38	%	2.88	%	7,697,297		2.64	%	4.48	%	Luxembourg	15,454,505		3.30%	4.53%	10,249,177		2.38%	2.95%
Switzerland	Switzerland	9,384,000		2.31	%	2.81	%	—		—	%	—	%	Switzerland	12,683,880		2.71%	3.72%	10,189,120		2.37%	2.94%
Australia	Australia	5,236,875		1.29	%	1.57	%	—		—	%	—	%	Australia	7,568,805		1.62%	2.22%	5,134,200		1.19%	1.48%
Iceland	Iceland	5,102,310		1.26	%	1.53	%	4,688,800		1.61	%	2.73	%	Iceland	5,590,241		1.19%	1.64%	5,287,427		1.23%	1.52%
Chile														Chile	2,979,607		0.64%	0.87%	—		—%	—%
Ireland														Ireland	1,411,501		0.30%	0.41%	—		—%	—%
Canada	Canada	2,373,111		0.59	%	0.71	%	2,896,055		0.99	%	1.69	%	Canada	466,555		0.10%	0.14%	1,791,978		0.42%	0.52%
Denmark		—		—	%	—	%	223,250		0.08	%	0.13	%
France		—		—	%	—	%	5,282,695		1.81	%	3.08	%
Total	Total	$	405,533,867	100.00	%	121.26	%	$	291,147,011	100.00	%	169.64	%	Total	$	468,177,605	100.00%	137.36%	$	429,851,146	100.00%	123.88%

2630

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

The composition of the Company's portfolio by industry at cost as a percentage of total investments and at fair value as a percentage of total investments and net assets as of ~~June 30,~~December 31, 2020 and September 30, ~~2019~~2020 was as follows:


		June 30, 2020						September 30, 2019							December 31, 2020				September 30, 2020
Cost:	Cost:			% of Total Investments				% of Total Investments		Cost:			% of Total Investments				% of Total Investments
Application Software	Application Software	$	77,721,940	18.87	%	$	59,770,591	20.64	%	Application Software	$	95,128,570	20.58	%	$	76,553,798	17.87	%
Biotechnology										Biotechnology	37,833,178		8.19	%	23,331,266		5.44	%
Pharmaceuticals	Pharmaceuticals	24,105,696		5.86	%	8,545,561		2.95	%	Pharmaceuticals	35,288,228		7.64	%	29,859,079		6.96	%
Personal Products	Personal Products	21,080,174		5.12	%	4,975,000		1.72	%	Personal Products	21,299,168		4.61	%	20,478,516		4.78	%
Movies & Entertainment										Movies & Entertainment	20,285,900		4.39	%	18,353,694		4.28	%
Data Processing & Outsourced Services										Data Processing & Outsourced Services	18,322,633		3.97	%	10,716,366		2.50	%
Health Care Services										Health Care Services	16,194,088		3.51	%	16,109,752		3.76	%
Internet Services & Infrastructure										Internet Services & Infrastructure	15,936,233		3.45	%	15,097,795		3.52	%
Integrated Telecommunication Services										Integrated Telecommunication Services	14,746,571		3.19	%	16,838,972		3.93	%
Aerospace & Defense										Aerospace & Defense	12,686,877		2.75	%	6,913,536		1.61	%
Fertilizers & Agricultural Chemicals										Fertilizers & Agricultural Chemicals	12,197,710		2.64	%	11,941,809		2.79	%
Insurance Brokers										Insurance Brokers	12,077,811		2.61	%	12,537,382		2.92	%
Diversified Support Services										Diversified Support Services	9,275,904		2.01	%	9,304,016		2.17	%
Oil & Gas Storage & Transportation										Oil & Gas Storage & Transportation	9,272,240		2.01	%	9,865,135		2.30	%
Specialized Finance										Specialized Finance	9,261,669		2.01	%	700,307		0.16	%
Real Estate Services										Real Estate Services	8,762,911		1.90	%	8,780,169		2.05	%
Restaurants										Restaurants	8,072,935		1.75	%	7,337,777		1.71	%
Health Care Supplies										Health Care Supplies	7,966,951		1.72	%	7,913,491		1.85	%
Independent Power Producers & Energy Traders										Independent Power Producers & Energy Traders	7,843,635		1.70	%	7,931,626		1.85	%
Oil & Gas Refining & Marketing	Oil & Gas Refining & Marketing	20,347,320		4.94	%	7,880,400		2.72	%	Oil & Gas Refining & Marketing	7,723,547		1.67	%	7,740,677		1.81	%
Biotechnology		18,591,821		4.52	%	20,067,414		6.94	%
Movies & Entertainment		18,363,193		4.46	%	3,491,003		1.21	%
Airport Services										Airport Services	7,285,094		1.58	%	7,296,513		1.70	%
Industrial Machinery										Industrial Machinery	7,048,612		1.53	%	6,207,468		1.45	%
Construction & Engineering										Construction & Engineering	7,040,180		1.52	%	574,355		0.13	%
Publishing										Publishing	5,873,664		1.27	%	9,361,464		2.18	%
IT Consulting & Other Services										IT Consulting & Other Services	5,662,391		1.23	%	5,667,844		1.32	%
Hotels, Resorts & Cruise Lines										Hotels, Resorts & Cruise Lines	5,540,939		1.20	%	5,547,333		1.29	%
Internet & Direct Marketing Retail										Internet & Direct Marketing Retail	5,238,381		1.13	%	5,237,942		1.22	%
Health Care Technology	Health Care Technology	16,415,177		3.99	%	12,354,824		4.27	%	Health Care Technology	5,110,951		1.11	%	16,385,138		3.82	%
Internet Services & Infrastructure		15,845,154		3.85	%	18,962,689		6.55	%
Oil & Gas Storage & Transportation		12,544,584		3.05	%	—		—	%
Health Care Services		12,431,995		3.02	%	10,956,005		3.79	%
Systems Software		11,312,382		2.75	%	13,237,985		4.58	%
Data Processing & Outsourced Services		10,566,362		2.57	%	8,087,526		2.80	%
Alternative Carriers		9,598,478		2.33	%	9,310,000		3.22	%
Diversified Support Services		9,330,660		2.27	%	9,416,772		3.25	%
Metal & Glass Containers		9,304,436		2.26	%	1,475,024		0.51	%
Real Estate Services		8,797,558		2.14	%	8,849,687		3.06	%
Aerospace & Defense		8,715,294		2.12	%	6,941,703		2.40	%
Distributors	Distributors	8,478,866		2.06	%	—		—	%	Distributors	4,471,099		0.97	%	8,460,606		1.97	%
Independent Power Producers & Energy Traders		8,019,713		1.95	%	—		—	%
Publishing		7,804,008		1.90	%	1,960,200		0.68	%
Diversified Real Estate Activities		7,518,016		1.83	%	—		—	%
Restaurants		7,346,947		1.79	%	—		—	%
Airport Services		7,308,116		1.78	%	—		—	%
Integrated Telecommunication Services		6,308,881		1.53	%	18,343,050		6.34	%
Industrial Machinery		6,231,276		1.51	%	1,397,985		0.48	%
Health Care Supplies		5,763,555		1.40	%	—		—	%
IT Consulting & Other Services		5,673,535		1.38	%	5,690,535		1.97	%
Research & Consulting Services		5,594,466		1.36	%	7,509,371		2.60	%
Hotels, Resorts & Cruise Lines		5,553,931		1.35	%	—		—	%
Managed Health Care	Managed Health Care	3,939,890		0.96	%	3,952,935		1.37	%	Managed Health Care	3,931,224		0.85	%	3,935,547		0.92	%
Specialized REITs	Specialized REITs	3,803,268		0.92	%	3,345,831		1.16	%	Specialized REITs	3,100,628		0.67	%	3,808,726		0.89	%
Diversified Real Estate Activities										Diversified Real Estate Activities	3,093,343		0.67	%	7,527,061		1.76	%
Airlines										Airlines	2,787,061		0.60	%	—		—	%
Metal & Glass Containers										Metal & Glass Containers	2,714,492		0.59	%	7,809,542		1.82	%
Alternative Carriers										Alternative Carriers	2,536,099		0.55	%	2,535,867		0.59	%
Oil & Gas Exploration & Production										Oil & Gas Exploration & Production	2,462,500		0.53	%	—		—	%
Systems Software										Systems Software	2,352,180		0.51	%	11,289,391		2.63	%
Electronic Components										Electronic Components	1,372,240		0.30	%	1,000,000		0.23	%
Electric Utilities										Electric Utilities	1,211,438		0.26	%	—		—	%
Property & Casualty Insurance										Property & Casualty Insurance	1,074,022		0.23	%	1,074,144		0.25	%
Construction Materials										Construction Materials	784,073		0.17	%	775,603		0.18	%
Multi-Sector Holdings										Multi-Sector Holdings	601,671		0.13	%	598,367		0.14	%
Food Retail										Food Retail	457,365		0.10	%	456,711		0.11	%
Trading Companies & Distributors	Trading Companies & Distributors	2,964,769		0.72	%	2,990,975		1.03	%	Trading Companies & Distributors	—		—	%	2,956,400		0.69	%
Interactive Media & Services		2,943,342		0.72	%	6,704,549		2.32	%
Multi-Sector Holdings		2,341,871		0.57	%	—		—	%
Household Products	Household Products	1,929,052		0.47	%	1,910,503		0.66	%	Household Products	—		—	%	1,287,373		0.30	%
Insurance Brokers		1,572,120		0.38	%	3,903,391		1.35	%
Property & Casualty Insurance		1,143,572		0.28	%	—		—	%
Electronic Components		1,000,000		0.24	%	—		—	%
Specialized Finance		788,534		0.19	%	797,357		0.28	%
Construction Materials		767,411		0.19	%	—		—	%
Health Care Facilities	Health Care Facilities	634,408		0.15	%	—		—	%	Health Care Facilities	—		—	%	642,365		0.15	%
Construction & Engineering		575,161		0.14	%	1,020,274		0.35	%
Food Retail		456,350		0.11	%	964,897		0.33	%
Auto Parts & Equipment		—		—	%	5,962,563		2.06	%
Financial Exchanges & Data		—		—	%	5,591,298		1.93	%
Health Care Equipment		—		—	%	4,937,625		1.71	%
Cable & Satellite		—		—	%	4,258,195		1.47	%
Electric Utilities		—		—	%	1,202,830		0.42	%
Health Care Distributors		—		—	%	1,015,805		0.35	%
Oil & Gas Equipment & Services		—		—	%	849,160		0.29	%
Oil & Gas Exploration & Production		—		—	%	691,321		0.24	%
Total	Total	$	411,533,282	100.00	%	$	289,322,834	100.00	%	Total	$	461,926,406	100.00	%	$	428,740,923	100.00	%

2731

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS


		June 30, 2020										September 30, 2019											December 31, 2020				September 30, 2020
Fair Value:	Fair Value:			% of Total Investments		% of Net Assets				% of Total Investments		% of Net Assets		Fair Value:			% of Total Investments		% of Net Assets				% of Total Investments		% of Net Assets
Application Software	Application Software	$	75,096,319	18.52	%	22.46	%	$	60,022,674	20.64	%	34.97	%	Application Software	$	95,928,031	20.51	%	28.15	%	$	75,892,335	17.64	%	21.86	%
Biotechnology														Biotechnology	38,706,563		8.27	%	11.36	%	25,519,659		5.94	%	7.35	%
Pharmaceuticals	Pharmaceuticals	24,177,384		5.96	%	7.23	%	8,439,466		2.90	%	4.92	%	Pharmaceuticals	37,490,182		8.01	%	11.00	%	31,008,653		7.21	%	8.94	%
Oil & Gas Refining & Marketing		22,891,376		5.64	%	6.85	%	8,009,750		2.75	%	4.67	%
Biotechnology		21,801,039		5.38	%	6.52	%	20,798,972		7.14	%	12.12	%
Personal Products	Personal Products	19,957,801		4.92	%	5.97	%	5,029,700		1.73	%	2.93	%	Personal Products	21,492,077		4.59	%	6.31	%	20,195,156		4.70	%	5.82	%
Movies & Entertainment	Movies & Entertainment	18,055,480		4.45	%	5.40	%	3,504,338		1.20	%	2.04	%	Movies & Entertainment	21,034,457		4.49	%	6.17	%	18,248,537		4.25	%	5.26	%
Data Processing & Outsourced Services														Data Processing & Outsourced Services	18,276,178		3.90	%	5.36	%	10,516,243		2.45	%	3.03	%
Health Care Services														Health Care Services	16,103,499		3.44	%	4.72	%	15,961,345		3.71	%	4.60	%
Internet Services & Infrastructure														Internet Services & Infrastructure	15,395,322		3.29	%	4.52	%	14,525,897		3.38	%	4.19	%
Integrated Telecommunication Services														Integrated Telecommunication Services	15,131,203		3.23	%	4.44	%	17,275,586		4.02	%	4.98	%
Insurance Brokers														Insurance Brokers	13,409,137		2.86	%	3.93	%	12,921,489		3.01	%	3.72	%
Aerospace & Defense														Aerospace & Defense	12,233,559		2.61	%	3.59	%	6,248,139		1.45	%	1.80	%
Fertilizers & Agricultural Chemicals														Fertilizers & Agricultural Chemicals	12,233,350		2.61	%	3.59	%	11,933,152		2.78	%	3.44	%
Specialized Finance														Specialized Finance	9,265,145		1.98	%	2.72	%	624,333		0.15	%	0.18	%
Diversified Support Services														Diversified Support Services	9,135,950		1.95	%	2.68	%	8,928,113		2.08	%	2.57	%
Real Estate Services														Real Estate Services	8,599,050		1.84	%	2.52	%	8,487,563		1.97	%	2.45	%
Restaurants														Restaurants	8,309,875		1.77	%	2.44	%	7,452,525		1.73	%	2.15	%
Oil & Gas Storage & Transportation														Oil & Gas Storage & Transportation	8,276,521		1.77	%	2.43	%	9,521,650		2.22	%	2.74	%
Health Care Supplies														Health Care Supplies	7,948,763		1.70	%	2.33	%	7,904,581		1.84	%	2.28	%
Oil & Gas Refining & Marketing														Oil & Gas Refining & Marketing	7,749,081		1.66	%	2.27	%	7,461,127		1.74	%	2.15	%
Independent Power Producers & Energy Traders														Independent Power Producers & Energy Traders	7,590,234		1.62	%	2.23	%	7,691,438		1.79	%	2.22	%
Construction & Engineering														Construction & Engineering	7,085,042		1.51	%	2.08	%	563,518		0.13	%	0.16	%
Industrial Machinery														Industrial Machinery	6,998,974		1.49	%	2.05	%	5,991,058		1.39	%	1.73	%
Airport Services														Airport Services	6,937,575		1.48	%	2.04	%	6,940,125		1.61	%	2.00	%
Hotels, Resorts & Cruise Lines														Hotels, Resorts & Cruise Lines	6,153,101		1.31	%	1.81	%	6,161,463		1.43	%	1.78	%
Publishing														Publishing	5,905,504		1.26	%	1.73	%	9,360,379		2.18	%	2.70	%
Internet & Direct Marketing Retail														Internet & Direct Marketing Retail	5,667,197		1.21	%	1.66	%	5,416,825		1.26	%	1.56	%
IT Consulting & Other Services														IT Consulting & Other Services	5,527,786		1.18	%	1.62	%	5,386,505		1.25	%	1.55	%
Health Care Technology	Health Care Technology	16,196,989		3.99	%	4.84	%	12,418,353		4.27	%	7.24	%	Health Care Technology	5,120,321		1.09	%	1.50	%	16,501,777		3.84	%	4.76	%
Internet Services & Infrastructure		15,143,715		3.73	%	4.53	%	18,992,309		6.52	%	11.07	%
Health Care Services		12,120,070		2.99	%	3.62	%	10,992,559		3.78	%	6.40	%
Oil & Gas Storage & Transportation		11,262,948		2.78	%	3.37	%	—		—	%	—	%
Systems Software		10,972,052		2.71	%	3.28	%	13,126,771		4.51	%	7.65	%
Data Processing & Outsourced Services		9,664,956		2.38	%	2.89	%	8,140,000		2.80	%	4.74	%
Distributors														Distributors	4,536,320		0.97	%	1.33	%	8,395,483		1.95	%	2.42	%
Managed Health Care														Managed Health Care	3,877,894		0.83	%	1.14	%	3,795,700		0.88	%	1.09	%
Diversified Real Estate Activities														Diversified Real Estate Activities	3,746,746		0.80	%	1.10	%	8,294,535		1.93	%	2.39	%
Specialized REITs														Specialized REITs	3,292,957		0.70	%	0.97	%	3,990,162		0.93	%	1.15	%
Airlines														Airlines	2,979,607		0.64	%	0.87	%	—		—	%	—	%
Metal & Glass Containers	Metal & Glass Containers	9,484,355		2.34	%	2.84	%	1,397,930		0.48	%	0.81	%	Metal & Glass Containers	2,743,049		0.59	%	0.80	%	8,003,251		1.86	%	2.31	%
Alternative Carriers	Alternative Carriers	9,351,178		2.31	%	2.80	%	9,367,143		3.22	%	5.46	%	Alternative Carriers	2,627,011		0.56	%	0.77	%	2,567,841		0.60	%	0.74	%
Diversified Support Services		8,581,636		2.12	%	2.57	%	9,374,839		3.22	%	5.46	%
Real Estate Services		8,241,750		2.03	%	2.46	%	8,887,725		3.05	%	5.18	%
Distributors		8,230,520		2.03	%	2.46	%	—		—	%	—	%
Diversified Real Estate Activities		8,142,387		2.01	%	2.43	%	—		—	%	—	%
Aerospace & Defense		8,018,995		1.98	%	2.40	%	6,998,905		2.40	%	4.08	%
Independent Power Producers & Energy Traders		7,716,555		1.90	%	2.31	%	—		—	%	—	%
Publishing		7,636,217		1.88	%	2.28	%	1,984,960		0.68	%	1.16	%
Restaurants		7,200,130		1.78	%	2.15	%	—		—	%	—	%
Airport Services		6,965,044		1.72	%	2.08	%	—		—	%	—	%
Integrated Telecommunication Services		6,470,469		1.60	%	1.93	%	18,571,805		6.38	%	10.82	%
Hotels, Resorts & Cruise Lines		5,949,185		1.47	%	1.78	%	—		—	%	—	%
Industrial Machinery		5,836,501		1.44	%	1.75	%	1,380,983		0.47	%	0.80	%
Health Care Supplies		5,600,366		1.38	%	1.67	%	—		—	%	—	%
Research & Consulting Services		5,481,442		1.35	%	1.64	%	7,977,900		2.74	%	4.65	%
IT Consulting & Other Services		4,988,393		1.23	%	1.49	%	5,341,103		1.83	%	3.11	%
Specialized REITs		3,818,313		0.94	%	1.14	%	3,351,793		1.15	%	1.95	%
Managed Health Care		3,657,275		0.90	%	1.09	%	3,975,050		1.37	%	2.32	%
Oil & Gas Exploration & Production														Oil & Gas Exploration & Production	2,487,500		0.53	%	0.73	%	—		—	%	—	%
Systems Software														Systems Software	2,390,595		0.51	%	0.70	%	11,202,269		2.61	%	3.23	%
Electronic Components														Electronic Components	1,357,610		0.29	%	0.40	%	887,000		0.21	%	0.26	%
Electric Utilities														Electric Utilities	1,272,200		0.27	%	0.37	%	—		—	%	—	%
Property & Casualty Insurance														Property & Casualty Insurance	1,082,299		0.23	%	0.32	%	1,075,755		0.25	%	0.31	%
Multi-Sector Holdings														Multi-Sector Holdings	826,375		0.18	%	0.24	%	765,132		0.18	%	0.22	%
Construction Materials														Construction Materials	787,210		0.17	%	0.23	%	747,977		0.17	%	0.22	%
Food Retail														Food Retail	466,555		0.10	%	0.14	%	466,555		0.11	%	0.13	%
Trading Companies & Distributors	Trading Companies & Distributors	2,903,007		0.72	%	0.87	%	3,006,741		1.03	%	1.75	%	Trading Companies & Distributors	—		—	%	—	%	2,919,599		0.68	%	0.84	%
Multi-Sector Holdings		2,732,183		0.67	%	0.82	%	—		—	%	—	%
Interactive Media & Services		2,707,519		0.67	%	0.81	%	6,735,570		2.31	%	3.92	%
Household Products	Household Products	1,911,130		0.47	%	0.57	%	1,902,500		0.65	%	1.11	%	Household Products	—		—	%	—	%	1,325,423		0.31	%	0.38	%
Insurance Brokers		1,603,880		0.40	%	0.48	%	3,930,369		1.35	%	2.29	%
Property & Casualty Insurance		1,138,148		0.28	%	0.34	%	—		—	%	—	%
Health Care Facilities	Health Care Facilities	727,620		0.18	%	0.22	%	—		—	%	—	%	Health Care Facilities	—		—	%	—	%	775,293		0.18	%	0.22	%
Electronic Components		709,000		0.17	%	0.21	%	—		—	%	—	%
Specialized Finance		704,285		0.17	%	0.21	%	799,220		0.27	%	0.47	%
Construction Materials		679,151		0.17	%	0.20	%	—		—	%	—	%
Construction & Engineering		545,123		0.13	%	0.16	%	1,002,800		0.34	%	0.58	%
Food Retail		461,981		0.11	%	0.14	%	993,555		0.34	%	0.58	%
Auto Parts & Equipment		—		—	%	—	%	5,835,172		2.00	%	3.40	%
Financial Exchanges & Data		—		—	%	—	%	5,673,531		1.95	%	3.31	%
Health Care Equipment		—		—	%	—	%	4,996,851		1.72	%	2.91	%
Cable & Satellite		—		—	%	—	%	4,246,138		1.46	%	2.47	%
Electric Utilities		—		—	%	—	%	1,227,156		0.42	%	0.72	%
Health Care Distributors		—		—	%	—	%	1,126,250		0.39	%	0.66	%
Oil & Gas Equipment & Services		—		—	%	—	%	876,330		0.30	%	0.51	%
Oil & Gas Exploration & Production		—		—	%	—	%	709,800		0.24	%	0.41	%
Total	Total	$	405,533,867	100.00	%	121.26	%	$	291,147,011	100.00	%	169.64	%	Total	$	468,177,605	100.00	%	137.36	%	$	429,851,146	100.00	%	123.88	%

2832

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Fair Value Measurements

The following table presents the financial instruments carried at fair value as of ~~June~~December 31, 2020 on the Company's Consolidated Statements of Assets and Liabilities for each of the three levels of hierarchy established by ASC 820:


	Level 1		Level 2		Level 3		Total
Senior secured debt	$	—	$	186,532,813	$	269,051,243	$	455,584,056
Subordinated debt	—		5,549,273		5,293,597		10,842,870
Common equity & warrants	—		—		1,631,572		1,631,572
Preferred equity	—		—		119,107		119,107
Total investments at fair value	$	—	$	192,082,086	$	276,095,519	$	468,177,605
Derivative liabilities	$	—	$	604,516	$	—	$	604,516
Total liabilities at fair value	$	—	$	604,516	$	—	$	604,516

The following table presents the financial instruments carried at fair value as of September 30, 2020 on the Company's Consolidated Statements of Assets and Liabilities for each of the three levels of hierarchy established by ASC 820:


		Level 1		Level 2		Level 3		Total			Level 1		Level 2		Level 3		Total
Senior secured debt	Senior secured debt	$	—	$	203,448,126	$	164,415,279	$	367,863,405	Senior secured debt	$	—	$	205,437,672	$	205,373,831	$	410,811,503
Subordinated debt	Subordinated debt	—		8,699,499		25,921,815		34,621,314		Subordinated debt	—		6,930,632		10,164,710		17,095,342
Common equity & warrants	Common equity & warrants	75,360		—		2,857,989		2,933,349		Common equity & warrants	—		—		1,826,297		1,826,297
Preferred equity	Preferred equity	—		—		115,799		115,799		Preferred equity	—		—		118,004		118,004
Total investments at fair value	Total investments at fair value	75,360		212,147,625		193,310,882		405,533,867		Total investments at fair value	$	—	$	212,368,304	$	217,482,842	$	429,851,146
Derivative liabilities	Derivative liabilities	—		159,051		—		159,051		Derivative liabilities	$	—	$	647,889	$	—	$	647,889
Total liabilities at fair value	Total liabilities at fair value	$	—	$	159,051	$	—	$	159,051	Total liabilities at fair value	$	—	$	647,889	$	—	$	647,889

The following table presents the financial instruments carried at fair value as of September 30, 2019 on the Company's Consolidated Statements of Assets and Liabilities for each of the three levels of hierarchy established by ASC 820:

Level 1 Level 2 Level 3 Total
Senior secured debt $ — $ 219,518,979 $ 63,322,227 $ 282,841,206
Subordinated debt — 5,622,996 1,702,969 7,325,965
Common equity & warrants 149,276 — 720,279 869,555
Preferred equity — — 110,285 110,285
Total investments at fair value 149,276 225,141,975 65,855,760 291,147,011
Derivative assets — 77,558 — 77,558
Total assets at fair value $ 149,276 $ 225,219,533 $ 65,855,760 $ 291,224,569

When a determination is made to classify a financial instrument within Level 3 of the valuation hierarchy, the determination is based upon the fact that the unobservable factors are significant to the overall fair value measurement. However, Level 3 financial instruments typically have both unobservable or Level 3 components and observable components (i.e. components that are actively quoted and can be validated by external sources). Accordingly, the appreciation (depreciation) in the tables below includes changes in fair value due in part to observable factors that are part of the valuation methodology.

The principal value of the Company's credit facilities approximates fair value due to their variable rates and are included in Level 3 of the hierarchy.

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

The following table provides a roll-forward of the changes in fair value from March 31, 2020 to June 30, 2020, for all investments for which the Company determined fair value using unobservable (Level 3) factors:

Senior Secured Debt Subordinated Debt Preferred Equity Common Equity & Warrants Total
Fair value as of March 31, 2020 $ 131,096,745 $ 1,709,150 $ 113,593 $ 1,165,398 $ 134,084,886
Purchases 34,536,355 20,668,656 — 67,252 55,272,263
Sales and repayments (7,200,743) (9,380) — (302,990) (7,513,113)
PIK interest income 181,517 — — — 181,517
Accretion of OID 447,424 111,670 — — 559,094
Net unrealized appreciation (depreciation) 5,426,082 3,441,719 2,206 1,692,251 10,562,258
Net realized gains (losses) (72,101) — — 236,078 163,977
Fair value as of June 30, 2020 $ 164,415,279 $ 25,921,815 $ 115,799 $ 2,857,989 $ 193,310,882
Net unrealized appreciation (depreciation) relating to Level 3 assets still held at June 30, 2020 and reported within net unrealized appreciation (depreciation) in the Consolidated Statement of Operations for the three months ended June 30, 2020 $ 5,651,584 $ 3,441,719 $ 2,206 $ 1,692,251 $ 10,787,760

The following table provides a roll-forward in the changes in fair value from March 31, 2019 to June 30, 2019, for all investments for which the Company determined fair value using unobservable (Level 3) factors:

Senior Secured Debt Subordinated Debt Common Equity & Warrants Total
Fair value as of March 31, 2019 $ 40,983,118 $ 1,604,857 $ 1,506,540 $ 44,094,515
Purchases 16,356,182 — — 16,356,182
Sales and repayments (2,053,667) (5,145) — (2,058,812)
Transfers out (a) (2,694,840) — — (2,694,840)
Accretion of OID 141,374 44,762 — 186,136
Net unrealized appreciation (depreciation) 310,466 16,690 (610,824) (283,668)
Fair value as of June 30, 2019 $ 53,042,633 $ 1,661,164 $ 895,716 $ 55,599,513
Net unrealized appreciation (depreciation) relating to Level 3 assets and liabilities still held at June 30, 2019 and reported within net unrealized appreciation (depreciation) in the Consolidated Statement of Operations for the three months ended June 30, 2019 $ 338,298 $ 16,690 $ (610,824) $ (255,836)

~~__________~~

(a) There was a transfer out of Level 3 to Level 2 for an investment during the three months ended June 30, 2019 as a result of a change in the number of market quotes available and/or a change in market liquidity.

3033

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

The following table provides a roll-forward of the changes in fair value from September 30, ~~2019~~2020 to ~~June 30,~~December 31, 2020, for all investments for which the Company determined fair value using unobservable (Level 3) factors:


		Senior Secured Debt		Subordinated Debt		Preferred Equity		Common Equity & Warrants		Total			Senior Secured Debt		Subordinated Debt		Preferred Equity		Common Equity & Warrants		Total
Fair value as of September 30, 2019		$	63,322,227	$	1,702,969	$	110,285	$	720,279	$	65,855,760
Fair value as of September 30, 2020												Fair value as of September 30, 2020	$	205,373,831	$	10,164,710	$	118,004	$	1,826,297	$	217,482,842
Purchases	Purchases	108,719,858		20,668,656		—		468,252		129,856,766		Purchases	78,715,499		—		—		—		78,715,499
Sales and repayments	Sales and repayments	(13,992,259)		(33,707)		—		(302,990)		(14,328,956)		Sales and repayments	(15,583,282)		(5,521,495)		—		—		(21,104,777)
Transfers in (a)		10,627,597		—		—		—		10,627,597
Transfers out (a)												Transfers out (a)	(2,563,127)		—		—		—		(2,563,127)
PIK interest income	PIK interest income	707,142		—		—		—		707,142		PIK interest income	758,463		—		—		—		758,463
Accretion of OID	Accretion of OID	948,540		204,292		—		—		1,152,832		Accretion of OID	397,460		153,973		—		—		551,433
Net unrealized appreciation (depreciation)	Net unrealized appreciation (depreciation)	(5,845,725)		3,379,605		5,514		1,736,370		(724,236)		Net unrealized appreciation (depreciation)	1,938,560		(87,730)		1,103		(194,725)		1,657,208
Net realized gains (losses)	Net realized gains (losses)	(72,101)		—		—		236,078		163,977		Net realized gains (losses)	13,839		584,139		—		—		597,978
Fair value as of June 30, 2020		$	164,415,279	$	25,921,815	$	115,799	$	2,857,989	$	193,310,882
Net unrealized appreciation (depreciation) relating to Level 3 assets still held at June 30, 2020 and reported within net unrealized appreciation (depreciation) in the Consolidated Statement of Operations for the nine months ended June 30, 2020		$	(5,448,732)	$	3,379,605	$	5,514	$	1,736,370	$	(327,243)
Fair value as of December 31, 2020												Fair value as of December 31, 2020	$	269,051,243	$	5,293,597	$	119,107	$	1,631,572	$	276,095,519
Net unrealized appreciation (depreciation) relating to Level 3 assets still held at December 31, 2020 and reported within net unrealized appreciation (depreciation) in the Consolidated Statement of Operations for the three months ended December 31, 2020												Net unrealized appreciation (depreciation) relating to Level 3 assets still held at December 31, 2020 and reported within net unrealized appreciation (depreciation) in the Consolidated Statement of Operations for the three months ended December 31, 2020	$	3,478,522	$	(87,730)	$	1,103	$	(194,725)	$	3,197,170

__________

(a) There were transfers ~~into~~out of Level 3 ~~from~~to Level 2 for certain investments during the ~~nine~~three months ended ~~June 30,~~December 31, 2020 as a result of a change in the number of market quotes available and/or a change in market liquidity.

The following table provides a roll-forward ofin the changes in fair value from September 30, ~~2018~~2019 to ~~June 30,~~December 31, 2019, for all investments for which the Company determined fair value using unobservable (Level 3) factors:


		Senior Secured Debt		Subordinated Debt		Common Equity & Warrants		Total			Senior Secured Debt		Subordinated Debt		Preferred Equity		Common Equity & Warrants		Total
Fair value as of September 30, 2018		$	11,655,202	$	1,500,000	$	—	$	13,155,202
Fair value as of September 30, 2019										Fair value as of September 30, 2019	$	63,322,227	$	1,702,969	$	110,285	$	720,279	$	65,855,760
Purchases	Purchases	43,511,251		—		642,713		44,153,964		Purchases	33,291,131		—		—		401,000		33,692,131
Sales and repayments	Sales and repayments	(2,718,500)		(9,836)		—		(2,728,336)		Sales and repayments	(2,134,613)		(6,787)		—		—		(2,141,400)
Transfers in (a)	Transfers in (a)	1,514,018		—		—		1,514,018		Transfers in (a)	10,627,597		—		—		—		10,627,597
Transfers out (a)		(2,022,500)		—		—		(2,022,500)
PIK interest income	PIK interest income	65,740		—		—		65,740		PIK interest income	151,232		—		—		—		151,232
Accretion of OID	Accretion of OID	247,134		144,166		—		391,300		Accretion of OID	130,175		45,731		—		—		175,906
Net unrealized appreciation (depreciation)	Net unrealized appreciation (depreciation)	790,288		26,834		253,003		1,070,125		Net unrealized appreciation (depreciation)	405,886		3,703		2,205		889,138		1,300,932
Fair value as of June 30, 2019		$	53,042,633	$	1,661,164	$	895,716	$	55,599,513
Net unrealized appreciation (depreciation) relating to Level 3 assets and liabilities still held at June 30, 2019 and reported within net unrealized appreciation (depreciation) in the Consolidated Statement of Operations for the nine months ended June 30, 2019		$	790,288	$	26,834	$	253,003	$	1,070,125
Fair value as of December 31, 2019										Fair value as of December 31, 2019	$	105,793,635	$	1,745,616	$	112,490	$	2,010,417	$	109,662,158
Net unrealized appreciation (depreciation) relating to Level 3 assets still held at December 31, 2019 and reported within net unrealized appreciation (depreciation) in the Consolidated Statement of Operations for the three months ended December 31, 2019										Net unrealized appreciation (depreciation) relating to Level 3 assets still held at December 31, 2019 and reported within net unrealized appreciation (depreciation) in the Consolidated Statement of Operations for the three months ended December 31, 2019	$	447,553	$	3,703	$	2,205	$	889,138	$	1,342,599

__________

(a) There were transfers ~~in/out of~~into Level 3 ~~from/to~~from Level 2 for certain investments during the ~~nine~~three months ended ~~June 30,~~December 31, 2019 as a result of a ~~change in the~~decreased number of market quotes available and/or ~~a change in~~decreased market liquidity

3134

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Significant Unobservable Inputs for Level 3 Investments

The following table provides quantitative information related to the significant unobservable inputs for Level 3 investments, which are carried at fair value as of ~~June~~December 31, 2020:

Asset

Fair Value

Valuation Technique

Unobservable Input

Range

Weighted
Average (a)

Senior secured debt

143,015,113

Market Yield

(b)

7.0%

20.0%

11.0%

26,849,636

Transactions Precedent

Transaction Price

(c)

N/A

99,186,494

Broker Quotations

Broker Quoted Price

(d)

N/A

Subordinated debt

5,293,597

Market Yield

(b)

3.6%

28.0%

11.0%

Common equity & warrants & preferred equity

1,080,251

Enterprise Value

Revenue Multiple

(e)

0.9x

6.4x

2.9x

670,428

Enterprise Value

EBITDA multiple

(e)

14.0x

16.0x

15.0x

Total

276,095,519

_____________________

(a) Weighted averages are calculated based on fair value of investments.

(b) Used when market participant would take into account market yield when pricing the investment.

(d) The Company generally uses prices provided by an independent pricing service which are non-binding indicative prices on or near the valuation date as the primary basis for the fair value determinations for quoted senior secured debt investments. Since these prices are non-binding, they may not be indicative of fair value. The Company evaluates the quotations provided by pricing vendors and brokers based on available market information, including trading activity of the subject or similar securities, or by performing a comparable security analysis to ensure that fair values are reasonably estimated. Each quoted price is evaluated by the Audit Committee of the Company's Board of Directors in conjunction with additional information compiled by the Adviser.

(e) Used when market participant would use such multiple when pricing the investment.

The following table provides quantitative information related to the significant unobservable inputs for Level 3 investments, which are carried at fair value as of September 30, 2020:

Asset

Fair Value

Valuation Technique

Unobservable Input

Range

Weighted
Average (a)

Asset

Fair Value

Valuation Technique

Unobservable Input

Range

Weighted
Average (a)

Senior secured debt

86,679,184

Market Yield

(b)

7.0%

45.0%

14.3%

Senior secured debt

135,191,943

Market Yield

(b)

7.0%

30.0%

12.6%

10,045,375

Transactions Precedent

Transaction Price

(e)

N/A

67,690,720

Broker Quotations

Broker Quoted Price

(c)

N/A

70,181,888

Broker Quotations

Broker Quoted Price

(c)

N/A

Subordinated debt

25,921,815

Market Yield

(b)

5.0%

13.0%

8.1%

Subordinated debt

10,164,710

Market Yield

(b)

4.8%

15.0%

6.8%

Common equity & warrants & preferred equity

568,593

Enterprise Value

Revenue multiple

(d)

0.7x

0.9x

0.8x

Common equity & warrants & preferred equity

170,243

Enterprise Value

Revenue Multiple

(d)

0.8x

1.0x

0.9x

2,405,195

Enterprise Value

EBITDA multiple

(d)

14.0x

16.0x

15.0x

1,774,058

Enterprise Value

EBITDA multiple

(d)

14.0x

16.0x

15.0x

Total

193,310,882

Total

217,482,842

_____________________

(a) Weighted averages are calculated based on fair value of investments.

(b) Used when market participant would take into account market yield when pricing the investment.

(c) The Company generally uses prices provided by an independent pricing service which are non-binding indicative prices on or near the valuation date as the primary basis for the fair value determinations for quoted senior secured debt investments. Since these prices are non-binding, they may not be indicative of fair value. The Company evaluates the quotations provided by pricing vendors and brokers based on available market information, including trading activity of the subject or similar securities, or by performing a comparable security analysis to ensure that fair values are reasonably estimated. Each quoted price is evaluated by the Audit Committee of the Company's Board of Directors in conjunction with additional information compiled by the Adviser.

(d) Used when market participant would use such multiple when pricing the investment.

~~(e) Used when there is an observable transaction or pending event for the investment.~~

~~The following table provides quantitative information related to the significant unobservable inputs for Level 3 investments, which are carried at fair value as of September 30, 2019:~~

Asset Fair Value Valuation Technique Unobservable Input Range Weighted
Average (a)
Senior secured debt $ 31,341,878 Market Yield Market Yield (b) 8.0% - 18.0% 11.0%
30,480,349 Broker Quotations Broker Quoted Price (c) N/A - N/A N/A
1,500,000 Transactions Precedent Transaction Price (e) N/A - N/A N/A
Subordinated debt 1,702,969 Market Yield Market Yield (b) 13.0% - 15.0% 14.0%
Common equity & warrants & preferred equity 830,564 Enterprise Value Asset Multiple (d) 0.7x - 0.9x 0.8x
Total $ 65,855,760

~~_____________________~~

~~(a) Weighted averages are calculated based on fair value of investments.~~

~~(b) Used when market participant would take into account market yield when pricing the investment.~~

~~(d) Used when market participant would use such multiple when pricing the investment.~~

~~(e) Used when there is an observable transaction or pending event for the investment.~~

Under the market yield technique, the significant unobservable input used in the fair value measurement of the Company's investments in debt securities is the market yield. Increases or decreases in the market yield may result in a lower or higher fair value measurement, respectively.

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

Under the enterprise value technique, the significant unobservable input used in the fair value measurement of the Company's investments is the EBITDA, revenue or asset multiple, as applicable. Increases or decreases in the valuation multiples in isolation may result in a higher or lower fair value measurement, respectively.

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Note 4. Fee Income

For the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020 ~~the Company recorded total fee income of $534,247~~ and ~~$1,111,561, of which $10,326 and $42,434, respectively, was recurring in nature. For the three and nine months ended June 30,~~ 2019, the Company recorded total fee income of ~~$103,158~~$1,270,883 and ~~$367,836,~~$129,947, respectively, of which ~~$9,665~~$3,973 and ~~$29,842,~~$16,914, respectively, was recurring in nature. Recurring fee income primarily consisted of servicing fees and exit fees.

Note 5. Share Data and Distributions

Earnings per Share

The following table sets forth the computation of basic and diluted earnings per share, pursuant to FASB ASC Topic 260-10, Earnings per Share, for the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020 and 2019:


		Three months ended June 30, 2020		Three months ended June 30, 2019		Nine months ended June 30, 2020		Nine months ended June 30, 2019			Three months ended December 31, 2020		Three months ended December 31, 2019
Earnings (loss) per common share — basic and diluted:	Earnings (loss) per common share — basic and diluted:									Earnings (loss) per common share — basic and diluted:
Net increase (decrease) in net assets resulting from operations	Net increase (decrease) in net assets resulting from operations	$	35,534,768	$	1,518,572	$	5,029,973	$	3,630,981	Net increase (decrease) in net assets resulting from operations	$	10,701,823	$	5,278,427
Weighted average common shares outstanding	Weighted average common shares outstanding	15,479,844		4,537,886		10,750,736		3,534,991		Weighted average common shares outstanding	17,401,121		8,309,861
Earnings (loss) per common share — basic and diluted	Earnings (loss) per common share — basic and diluted	$	2.30	$	0.33	$	0.47	$	1.03	Earnings (loss) per common share — basic and diluted	$	0.62	$	0.64

Changes in Net Assets

The following table presents the changes in net assets for the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020:


		Common Stock											Common Stock
		Shares	Par Value		Additional Paid-in-Capital		Accumulated Distributable Earnings (Loss)		Total Net Assets			Shares	Par Value		Additional Paid-in-Capital		Accumulated Distributable Earnings (Loss)		Total Net Assets
Balance at September 30, 2019		8,309,861	$	8,310	$	168,819,173	$	2,799,267	$	171,626,750
Balance at September 30, 2020											Balance at September 30, 2020	17,401,121	$	17,401	$	337,337,998	$	9,646,368	$	347,001,767
Net investment income	Net investment income	—	—		—		1,897,085		1,897,085		Net investment income	—	—		—		5,139,882		5,139,882
Net unrealized appreciation (depreciation)	Net unrealized appreciation (depreciation)	—	—		—		3,062,531		3,062,531		Net unrealized appreciation (depreciation)	—	—		—		5,185,354		5,185,354
Net realized gains (losses)	Net realized gains (losses)	—	—		—		324,057		324,057		Net realized gains (losses)	—	—		—		384,604		384,604
Provision for income tax (expense) benefit	Provision for income tax (expense) benefit	—	—		—		(5,246)		(5,246)		Provision for income tax (expense) benefit	—	—		—		(8,017)		(8,017)
Distributions to stockholders	Distributions to stockholders	—	—		—		(5,069,014)		(5,069,014)		Distributions to stockholders	—	—		—		(16,879,089)		(16,879,089)
Balance at December 31, 2019		8,309,861	$	8,310	$	168,819,173	$	3,008,680	$	171,836,163
Net investment income		—	—		—		4,320,142		4,320,142
Net unrealized appreciation (depreciation)		—	—		—		(40,410,913)		(40,410,913)
Net realized gains (losses)		—	—		—		307,858		307,858
Provision for income tax (expense) benefit		—	—		—		(309)		(309)
Issuance of common stock		3,265,803	3,266		67,533,533		—		67,536,799
Distributions to stockholders		—	—		—		(2,576,058)		(2,576,058)
Balance at March 31, 2020		11,575,664	$	11,576	$	236,352,706	$	(35,350,600)	$	201,013,682
Net investment income		—	—		—		4,603,227		4,603,227
Net unrealized appreciation (depreciation)		—	—		—		29,288,677		29,288,677
Net realized gains (losses)		—	—		—		1,648,841		1,648,841
Provision for income tax (expense) benefit		—	—		—		(5,977)		(5,977)
Issuance of common stock		5,825,457	5,825		101,174,374		—		101,180,199
Distributions to stockholders		—	—		—		(3,306,213)		(3,306,213)
Balance at June 30, 2020		17,401,121	$	17,401	$	337,527,080	$	(3,122,045)	$	334,422,436
Balance at December 31, 2020											Balance at December 31, 2020	17,401,121	$	17,401	$	337,337,998	$	3,469,102	$	340,824,501

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

The following table presents the changes in net assets for the three ~~and nine~~ months ended ~~June 30,~~December 31, 2019:


		Common Stock											Common Stock
		Shares	Par Value		Additional Paid-in-Capital		Accumulated Distributable Earnings (Loss)		Total Net Assets			Shares	Par Value		Additional Paid-in-Capital		Accumulated Distributable Earnings (Loss)		Total Net Assets
Balance at September 30, 2018		1,541,738	$	1,542	$	30,833,227	$	(462,452)	$	30,372,317
Balance at September 30, 2019											Balance at September 30, 2019	8,309,861	$	8,310	$	168,819,173	$	2,799,267	$	171,626,750
Net investment income	Net investment income	—	—		—		274,523		274,523		Net investment income	—	—		—		1,897,085		1,897,085
Net unrealized appreciation (depreciation)	Net unrealized appreciation (depreciation)	—	—		—		(963,085)		(963,085)		Net unrealized appreciation (depreciation)	—	—		—		3,062,531		3,062,531
Net realized gains (losses)	Net realized gains (losses)	—	—		—		9,469		9,469		Net realized gains (losses)	—	—		—		324,057		324,057
Issuance of common stock		1,850,162	1,850		36,700,180		—		36,702,030
Balance at December 31, 2018		3,391,900	$	3,392	$	67,533,407	$	(1,141,545)	$	66,395,254
Net investment income		—	—		—		296,143		296,143
Net unrealized appreciation (depreciation)		—	—		—		2,412,574		2,412,574
Net realized gains (losses)		—	—		—		82,785		82,785
Balance at March 31, 2019		3,391,900	$	3,392	$	67,533,407	$	1,649,957	$	69,186,756
Net investment income		—	—		—		1,383,946		1,383,946
Net unrealized appreciation (depreciation)		—	—		—		77,223		77,223
Net realized gains (losses)		—	—		—		57,403		57,403
Issuance of common stock		1,655,314	1,655		33,766,745		—		33,768,400
Balance at June 30, 2019		5,047,214	$	5,047	$	101,300,152	$	3,168,529	$	104,473,728
Provision for income tax (expense) benefit											Provision for income tax (expense) benefit	—	—		—		(5,246)		(5,246)
Distributions to stockholders											Distributions to stockholders	—	—		—		(5,069,014)		(5,069,014)
Balance at December 31, 2019											Balance at December 31, 2019	8,309,861	$	8,310	$	168,819,173	$	3,008,680	$	171,836,163

Capital Activity

As of ~~June 30,~~December 31, 2020, the Company ~~received~~completed drawdowns of $337,558,996, inor 100%, of Capital Commitments from investors in connection with Private Offerings, of which $3,854,346 in Capital Commitments were made by one or more affiliates of the Adviser. ~~As of June 30, 2020, the Company completed drawdowns of $337,558,996, or 100.0%, of such Capital Commitments.~~

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

The Company has the authority to issue 250,000,000 shares of Common Stock, $0.001 per share par value and 100,000,000 shares of preferred stock, $0.001 per share par value. The following table summarizes total shares issued and proceeds related to capital drawdowns delivered pursuant to the Subscription Agreements for the Company’s Common Stock through ~~June 30,~~December 31, 2020:


	Shares Issued	Price per Share		Proceeds
August 6, 2018 (1)	770,869	$	20.00	$	15,417,385
September 17, 2018	770,869	20.00		15,417,384
October 29, 2018	1,060,964	19.85		21,060,130
November 15, 2018	789,198	19.82		15,641,900
April 29, 2019	1,655,314	20.40		33,768,400
August 30, 2019	1,631,324	20.70		33,768,400
September 23, 2019	1,631,323	20.70		33,768,399
March 26, 2020 (2)	3,263,385	20.68		67,486,799
April 30, 2020 (2)	5,827,875	17.37		101,230,199
Total	17,401,121			$	337,558,996

__________________

(1)Includes 50 shares issued to one or more affiliates of the Adviser on July 23, 2018.

(2)For the March 26, 2020 and April 30, 2020 drawdowns, the shares issued exclude 2,418 shares and 4,318 shares, respectively, related to defaulted investors. In connection with these defaults, Capital Commitments and proceeds from capital drawdowns were each reduced by $125,000.

Distributions

Distributions to common stockholders are recorded on the ex-dividend date. The Company is required to distribute dividends each tax year to its stockholders of an amount generally at least equal to 90% of its investment company taxable income, determined without regard to any deduction for dividends paid, in order to be eligible for tax benefits allowed to a RIC

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

under Subchapter M of the Code. The Company anticipates paying out as a distribution all or substantially all of those amounts. The amount to be paid out as a dividend is determined by the board of directors and is based on management’s estimate of the Company’s annual taxable income. Net realized capital gains, if any, may be distributed to stockholders or retained for reinvestment.

On December 15, 2020, the Company's Board of Directors approved a quarterly distribution of $0.35 per share, payable in cash on December 31, 2020 to the Company's stockholders of record as of the close of business on December 15, 2020. Additionally, on December 15, 2020, the Company's Board of Directors approved a special distribution of $0.62 per share, payable in cash on December 31, 2020 to the Company's stockholders of record as of the close of business on December 15, 2020. The special distribution of $0.62 per share was paid to stockholders to prevent the Company from incurring excise tax for the 2020 calendar year.

The following table reflects the distributions per share that the Company has paid on its common stock during the ~~nine~~three months ended ~~June 30,~~December 31, 2020:

Record Date Payment Date Amount
per Share Cash Distribution
November 7, 2019 November 21, 2019 $ 0.29 $ 2,409,859
December 13, 2019 December 30, 2019 0.32 2,659,155
March 13, 2020 March 31, 2020 0.31 2,576,058
June 15, 2020 June 30, 2020 0.19 3,306,213
$ 1.11 $ 10,951,285


Record Date	Payment Date	Amount per Share		Cash Distribution
December 15, 2020	December 31, 2020	$	0.35	$	6,090,393
December 15, 2020	December 31, 2020	0.62		10,788,696
		$	0.97	$	16,879,089

NoThe following table reflects the distributions ~~were paid by~~per share that the Company ~~to stockholders~~has paid on its common stock during the ~~nine~~three months ended ~~June 30, 2019.~~December 31, 2019:


Record Date	Payment Date	Amount per Share		Cash Distribution
November 7, 2019	November 21, 2019	$	0.29	$	2,409,859
December 13, 2019	December 30, 2019	0.32		2,659,155
		$	0.61	$	5,069,014

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Note 6. Borrowings

CNB-1 Facility

On October 16, 2018, the Company entered into a revolving credit agreement (the “CNB-1 Loan Agreement”) between the Company, as borrower, and City National Bank (“CNB”), as lender. ~~The~~Prior to its termination, the CNB-1 Loan Agreement provided for a senior secured revolving credit facility (the “CNB-1 Facility”) of up to $60 million (the “CNB-1 Facility Maximum Commitment”) in aggregate principal amount, subject to the lesser of (i) a percentage of unfunded commitments from certain classes of eligible investors in the Company and (ii) the CNB-1 Facility Maximum Commitment and had a scheduled maturity date of October 15, 2020. On May 1, 2020, the Company repaid all borrowings outstanding under the CNB-1 Facility, following which the CNB-1 Facility was terminated.

Borrowings under the CNB-1 Facility bore interest at a rate equal to (a) the London Interbank Offered Rate ("LIBOR") for the selected period plus 1.65% for LIBOR loans or (b) the prime rate of CNB minus 0.25% for prime rate loans. There was a non-usage fee of 25 basis points per year on the unused portion of the CNB-1 Facility, payable quarterly.

The CNB-1 Facility was secured by a first priority security interest, subject to customary exceptions, in (i) all Capital Commitments, (ii) the Company's right to make capital calls, receive payment of capital contributions from investors and enforce payment of capital commitments and capital contributions under the Subscription Agreements with investors and other operative documents and (iii) a cash collateral account into which the capital contributions from investors are made. The Company made customary representations and warranties and was required to comply with various affirmative and negative covenants, reporting requirements and other customary requirements for similar credit facilities. The Company's borrowings, including under the CNB-1 Facility, were subject to the leverage restrictions contained in the Investment Company Act.

As of ~~June~~December 31, 2020 and September 30, 2020, the Company had no borrowings ~~outstanding under the CNB-1 Facility. As of September 30, 2019, the Company had $65.0 million~~ outstanding under the CNB-1 Facility. The Company’s borrowings under the CNB-1 Facility bore interest at a weighted average interest rate of ~~3.27% and 4.11%~~3.58% for the ~~nine~~three months ended ~~June 30, 2020 and 2019, respectively.~~December 31, 2019. For the three ~~and nine~~ months ended ~~June 30, 2020, the Company recorded interest expense (inclusive of fees) of $165,523 and $1,769,383, respectively, related to the CNB-1 Facility. For the three and nine months ended June 30,~~December 31, 2019, the Company recorded interest expense (inclusive of fees) of ~~$1,008,482 and $1,595,637, respectively,~~$790,573 related to the CNB-1 Facility.

CNB-2 Facility

On June 9, 2020 (the “CNB-2 Closing Date”), the Company entered into a loan and security agreement (the “CNB-2 Loan Agreement”) between the Company, as borrower, and CNB, as lender. The CNB-2 Loan Agreement provides for a senior secured revolving credit facility (the “CNB-2 Facility”) of up to $50 million (the “CNB-2 Facility Maximum Commitment”) in aggregate principal amount, subject to the lesser of (i) the borrowing base, which is an amount determined by applying different rates to eligible assets held by the Company based generally on the value of such assets orand (ii) the CNB-2 Facility Maximum Commitment. The maturity date of the CNB-2 Facility is June 9, 2023.

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

Borrowings under the CNB-2 Facility bear interest at a rate equal to LIBOR for the selected period plus 3.00%. There is a non-usage fee of 50 basis points per year on the unused portion of the CNB-2 Facility, payable annually, if on any anniversary of the CNB-2 Closing Date, the average daily utilization of the CNB-2 Facility is less than ~~$25,000,000~~$25 million over the prior 365-day period.

The CNB-2 Facility is secured by a first priority security interest in substantially all of the Company’s assets, including its portfolio investments. The Company has made customary representations and warranties and is required to comply with various affirmative and negative covenants, reporting requirements and other customary requirements for similar credit facilities. The borrowings of the Company, including under the CNB-2 Facility, are subject to the leverage restrictions contained in the Investment Company Act.

As of ~~June~~December 31, 2020 and September 30, 2020, the Company had $30.0 million and $5.0 million, respectively, outstanding under the CNB-2 Facility. For the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020, the Company’s borrowings under the CNB-2 Facility bore interest at a weighted average interest rate of ~~3.17%~~3.15% and the Company recorded interest expense (inclusive of fees) of ~~$13,748~~$175,261 related to the CNB-2 Facility.

Citibank Facility

On July 26, 2019 (the “Citibank Closing Date”), the Company and OSI 2 SPV, a wholly-owned and consolidated subsidiary of the Company, entered into a loan and security agreement, which was subsequently amended on September 20, 2019, ~~and~~ July 2, 2020 and December 31, 2020 (as amended, the “Citibank Loan Agreement”) with the lenders from time to time party thereto and the other parties referenced below. Under the terms of the Citibank Loan Agreement, the Company serves as

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

the collateral manager and seller and OSI 2 SPV serves as borrower with Citibank, N.A., as administrative agent, and Deutsche Bank Trust Company Americas, as collateral agent.

As of ~~June 30,~~December 31, 2020, the Citibank Loan Agreement provided for a senior secured revolving credit facility (the “Citibank Facility”) of up to ~~$100~~$200 million (the “Citibank Maximum Commitment”) in aggregate principal amount, subject to the lesser of (i) the borrowing base, which is an amount based on advance rates that vary depending on the class of assets and the value assigned to such assets under the Citibank Loan Agreement and (ii) the Citibank Maximum Commitment. The Citibank Facility has a three year reinvestment period (the “Reinvestment Period”) during which advances may be made and matures five years from the Citibank Closing Date. Following the Reinvestment Period, OSI 2 SPV will be required to make certain mandatory amortization payments. Borrowings under the Citibank Facility bear interest payable quarterly at a rate per year equal to (a) in the case of a lender that is identified as a conduit lender under the Citibank Loan Agreement, the lesser of (i) the applicable commercial paper rate for such conduit lender and (ii) the LIBOR for a three month maturity and (b) for all other lenders under the Citibank Facility, LIBOR, plus, in each case, an applicable spread. During the Reinvestment Period, (1) the applicable spread for any borrowings up to $150 million is the greater of (i) a weighted average rate of (x) 1.65% per year for broadly syndicated loans and (y) 2.25% per year for all other eligible loans and (ii) 1.85%, and (2) with respect to any borrowings in excess of $150 million, the applicable spread is the greater of (i) a weighted average rate of (x) 2.25% per year for broadly syndicated loans and (y) 3.00% per year for all other eligible loans and (ii) 1.85%. After the Reinvestment Period, the applicable spread is 3.00% per year. There is also a non-usage fee of (i) 0.40% per year for the first six months following the Citibank Closing Date (the “Ramp-Up Period”) and (ii) 0.50% per year thereafter, in each case, on the unused portion of the Citibank Facility, payable quarterly; provided that if after the Ramp-Up Period the unused portion of the Citibank Facility is greater than 30% of the commitments under the Citibank Facility, the non-usage fee will be based on an unused portion of 30% of the commitments under the Citibank Facility.

The Citibank Facility is secured by a first priority security interest in substantially all of OSI 2 SPV’s assets.

As part of the Citibank Facility, OSI 2 SPV is subject to certain limitations as to how borrowed funds may be used and the types of loans that are eligible to be acquired by OSI 2 SPV including, but not limited to, restrictions on sector concentrations, loan size, tenor and minimum investment ratings (or estimated ratings). The Citibank Facility also contains certain requirements relating to interest coverage, collateral quality and portfolio performance, certain violations of which could result in the acceleration of the amounts due under the Citibank Facility.

Under the Citibank Facility, the Company and OSI 2 SPV, as applicable, have made customary representations and warranties, and are required to comply with various affirmative and negative covenants, reporting requirements and other customary requirements for similar credit facilities.

OSI 2 SPV’s borrowings are non-recourse to the Company but are considered borrowings of the Company for purposes of complying with the asset coverage requirements under the Investment Company Act.

As of ~~June 30,~~December 31, 2020 and September 30, ~~2019,~~2020, the Company had ~~$90.0~~$105.0 million and ~~$18.0~~$100.0 million, respectively, outstanding under the Citibank ~~Facility, respectively.~~Facility. The Company’s borrowings under the Citibank Facility bore interest at a weighted average interest rate of ~~3.16%~~2.09% and 3.87% for the ~~nine~~three months ended ~~June 30, 2020.~~December 31, 2020 and 2019, respectively. For the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020 and 2019, the Company recorded interest expense (inclusive of fees) of ~~$617,854~~$702,695 and ~~$2,001,163,~~$564,620, respectively, related to the Citibank Facility.

3639

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Note 7. Interest Income

As of ~~June~~each of December 31, 2020 and September 30, 2020, there ~~were two investments~~was one investment on which the Company had stopped accruing cash and/or PIK interest and/or OID income. The percentages of the Company's debt investments at cost and fair value by accrual status as of ~~June 30,~~December 31, 2020 were as follows:


		Cost		% of Debt Portfolio		Fair Value		% of Debt Portfolio			Cost		% of Debt Portfolio		Fair Value		% of Debt Portfolio
Accrual	Accrual	$	406,733,624	99.12	%	$	399,733,528	99.32	%	Accrual	$	459,460,211	99.68	%	$	465,195,261	99.74	%
Cash non-accrual (1)	Cash non-accrual (1)	3,592,604		0.88		2,751,191		0.68		Cash non-accrual (1)	1,469,242		0.32		1,231,665		0.26
Total	Total	$	410,326,228	100.00	%	$	402,484,719	100.00	%	Total	$	460,929,453	100.00	%	$	466,426,926	100.00	%

___________________

(1)Cash non-accrual status is inclusive of PIK and other non-cash income, where applicable.

AsThe percentages of the Company's debt investments at cost and fair value by accrual status as of September 30, ~~2019, there~~2020 were ~~no investments on which the Company had stopped accruing cash and/or~~as follows:


	Cost		% of Debt Portfolio		Fair Value		% of Debt Portfolio
Accrual	$	426,252,220	99.65	%	$	427,093,265	99.81	%
Cash non-accrual (1)	1,491,750		0.35		813,580		0.19
Total	$	427,743,970	100.00	%	$	427,906,845	100.00	%

___________________

(1)Cash non-accrual status is inclusive of PIK ~~interest and/or OID income.~~and other non-cash income, where applicable.

Note 8. Taxable/Distributable Income and Dividend Distributions

Taxable income differs from net increase (decrease) in net assets resulting from operations primarily due to: (1) unrealized appreciation (depreciation) on investments, as gains and losses are not included in taxable income until they are realized, (2) organizational and deferred offering costs and (3) the capital gains incentive fee accrual.

Listed below is a reconciliation of net increase (decrease) in net assets resulting from operations to taxable income for the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020 and 2019:


		Three months ended June 30, 2020		Three months ended June 30, 2019		Nine months ended June 30, 2020		Nine months ended June 30, 2019			Three months ended December 31, 2020		Three months ended December 31, 2019
Net increase (decrease) in net assets resulting from operations	Net increase (decrease) in net assets resulting from operations	$	35,534,768	$	1,518,572	$	5,029,973	$	3,630,981	Net increase (decrease) in net assets resulting from operations	$	10,701,823	$	5,278,427
Net unrealized (appreciation) depreciation	Net unrealized (appreciation) depreciation	(29,288,677)		(77,223)		8,059,705		(1,526,712)		Net unrealized (appreciation) depreciation	(5,185,354)		(3,062,531)
Book/tax differences due to capital gains incentive fee	Book/tax differences due to capital gains incentive fee	—		26,925		(427,572)		335,273		Book/tax differences due to capital gains incentive fee	1,113,049		677,318
Book/tax difference due to organizational and deferred offering costs	Book/tax difference due to organizational and deferred offering costs	(7,601)		191,782		(22,805)		595,872		Book/tax difference due to organizational and deferred offering costs	(7,602)		(7,602)
Other book/tax differences	Other book/tax differences	(152,596)		14,515		(169,341)		23,872		Other book/tax differences	38,692		5,246

Taxable income (1)	Taxable income (1)	$	6,085,894	$	1,674,571	$	12,469,960	$	3,059,286	Taxable income (1)	$	6,660,608	$	2,890,858

__________________

(1)The Company's taxable income for the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020 is an estimate and will not be finally determined until the Company files its tax return for the fiscal year ending September 30, ~~2020.~~2021. Therefore, the final taxable income may be different than the estimate.

For the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020, the Company recognized a total provision for income ~~taxes~~tax expense of ~~$5,977 and $11,532, respectively,~~$8,017, which was comprised of a current income tax expense of $10,206 partially offset by a deferred income tax ~~expense~~benefit of $2,189 that resulted from unrealized ~~appreciation~~depreciation on an investment held by a wholly-owned taxable subsidiary.

As of September 30, ~~2019,~~2020, the Company's tax year end, the components of accumulated undistributed income on a tax basis were as follows:


Undistributed ordinary income, net	$	~~1,793,055~~—
Net realized capital gains	$	~~642,220~~11,121,008
Unrealized ~~gains,~~losses, net	$	~~363,992~~1,474,642

The aggregate cost of investments for income tax purposes was ~~$290,860,578~~$431,325,783 as of September 30, ~~2019.~~2020. As of September 30, ~~2019,~~2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

cost for income tax purposes was ~~$3,314,337.~~$13,587,495. As of September 30, ~~2019,~~2020, the aggregate gross unrealized depreciation for all investments in which there was an excess of cost for income tax purposes over value was ~~$2,950,345.~~$15,062,137. As of September 30, ~~2019,~~2020, net unrealized ~~appreciation~~depreciation based on the aggregate cost of investments for income tax purposes was ~~$363,992.~~

$1,474,642.

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

Note 9. Concentration of Credit Risks

The Company deposits its cash with financial institutions and at times such balances may be in excess of the FDIC insurance limit. The Company limits its exposure to credit loss by depositing its cash with high credit quality financial institutions and monitoring their financial stability.

Note 10. Related Party Transactions

The Company has entered into an Investment Advisory Agreement with the Adviser. Pursuant to the Investment Advisory Agreement, the Company pays the Adviser a fee for investment advisory and management services consisting of two components - the Management Fee and the Incentive Fee (each as defined below).

Management Fee

Prior to (i) the listing of the Company’s Common Stock on a national securities exchange or (ii) an initial public offering of the Company’s Common Stock that results in gross proceeds to the Company of at least $50 million and a listing of the Common Stock on a national securities exchange (each of (i) and (ii), a “Qualified Listing”), if any, the Adviser is entitled to receive quarterly in arrears a management fee (the “Management Fee”) equal to 1.00% per annum (the “Applicable Management Fee Percentage”) of the Company’s Gross Asset Value (as defined below); provided, that prior to a Qualified Listing, the Management Fee does not exceed 1.75% per annum of the Unleveraged Asset Value (as defined below). From and after the date of a Qualified Listing, if any, the Applicable Management Fee Percentage will increase to 1.50% per annum of the Company’s Gross Asset Value.

For purposes of calculating the Management Fee, the Gross Asset Value is determined by the Company’s board of directors (including any committee thereof). Until August 6, 2019, the Management Fee for each quarter was calculated based on the Company’s average Gross Asset Value at the end of each month during such calendar quarter (prior to taking into account any Incentive Fee); provided, that the Management Fee for the Company’s first calendar quarter was calculated based on the Company’s Gross Asset Value at the end of such calendar quarter (prior to taking into account any Incentive Fee). Following August 6, 2019, the Management Fee for each quarter is calculated based on the Company’s average Gross Asset Value at the end of such quarter and at the end of the preceding quarter (in each case, prior to taking into account any Incentive Fee); provided, that the Management Fee for the calendar quarter in which the Company consummates a Qualified Listing will be calculated based on the Company’s Gross Asset Value at the end of such calendar quarter (prior to taking into account any Incentive Fee). For the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020 ~~base management fees were $974,234~~ and ~~$2,626,879, respectively. For the three and nine months ended June 30,~~ 2019, base management fees were ~~$474,567~~$1,141,527 and ~~$927,786,~~$786,134, respectively.

The term “Gross Asset Value” means the value of the Company’s gross assets, determined on a consolidated basis in accordance with GAAP, including portfolio investments purchased with borrowed funds and other forms of leverage, but excluding cash and cash equivalents.

The term “Unleveraged Asset Value” means the Gross Asset Value less the Company’s borrowings for investment purposes determined on a consolidated basis in accordance with GAAP (other than borrowings under the Company’s investor subscription credit facility that are repaid within 180 days following incurrence).

Incentive Fee

The Incentive Fee consists of two parts: the Investment Income Incentive Fee and the Capital Gains Incentive Fee (each defined below).

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Investment Income Incentive Fee

The Investment Income Incentive Fee is calculated and payable quarterly in arrears based on the Company’s Pre-Incentive Fee Net Investment Income, which means consolidated interest income, dividend income and any other income (including any other fees (other than fees for providing managerial assistance), such as commitment, origination, structuring, diligence and consulting fees or other fees that the Company receives from portfolio companies) accrued during the calendar quarter, minus the operating expenses accrued for the quarter (including the Management Fee, Company expenses and any interest expense or

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

fees on any credit facilities or outstanding debt, but excluding the Incentive Fee). The Pre-Incentive Fee Net Investment Income includes, in the case of investments with a deferred interest feature (such as OID, debt instruments with PIK interest and zero coupon securities), accrued income that has not yet been received in cash. For the avoidance of doubt, the Pre-Incentive Fee Net Investment Income does not include any realized capital gains, realized capital losses or unrealized capital appreciation or depreciation. The Pre-Incentive Fee Net Investment Income, expressed as a rate of return on the value of the Company’s net assets at the end of the immediately preceding calendar quarter, is compared to a hurdle of 1.50% per quarter (6% annualized) (the “Hurdle Rate”). The Company pays the Adviser an Investment Income Incentive Fee each quarter as follows:

(a)Hurdle Rate Return: No Investment Income Incentive Fee in any calendar quarter in which the Pre-Incentive Fee Net Investment Income does not exceed the Hurdle Rate;

(b)Catch-Up: 100% of the Pre-Incentive Fee Net Investment Income, if any, that exceeds the Hurdle Rate but is less than a 1.875% (7.5% annualized) rate of return on the value of the Company’s net assets in such calendar quarter (the “Catch-Up”), which is intended to provide the Adviser with 20% of the Pre-Incentive Fee Net Investment Income as if the Hurdle Rate did not apply, if the Pre-Incentive Fee Net Investment Income exceeds the Hurdle Rate in such calendar quarter; and

(c)80/20 Split: 20% of the Pre-Incentive Fee Net Investment Income, if any, that exceeds a 1.875% (7.5% annualized) rate of return on the value of the Company’s net assets in such calendar quarter, so that once the Hurdle Rate is reached and the Catch-Up in (b) immediately above is achieved, 20% of the Pre-Incentive Fee Net Investment Income thereafter is allocated to the Adviser.

The foregoing calculations will be appropriately prorated for any period of less than three months and adjusted for any issuances or repurchases of Common Stock during a quarter. For the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020 ~~Investment Income Incentive Fees were $1,150,807~~ and ~~$2,004,535, respectively. For each of the three and nine months ended June 30,~~ 2019, Investment Income Incentive Fees were ~~$352,680.~~$1,563,232 and $49,915, respectively.

Capital Gains Incentive Fee

In addition to the Investment Income Incentive Fee described above, the Adviser is entitled to receive a Capital Gains Incentive Fee (as defined below). The Capital Gains Incentive Fee is determined and payable in arrears as of the end of each calendar year. The Capital Gains Incentive Fee is equal to 20% of the realized capital gains, if any, on a cumulative basis from the date of the Initial Closing through the end of each calendar year, computed net of all realized capital losses on a cumulative basis and unrealized capital depreciation, less the aggregate amount of any previously paid Capital Gains Incentive Fee with respect to each of the investments in the Company’s portfolio, provided, that the Capital Gains Incentive Fee determined as of December 31, 2018 was calculated for a period of shorter than 12 calendar months to take into account any realized capital gains computed net of all realized capital losses and unrealized capital depreciation from the date of the Initial Closing through the end of 2018 (the “Capital Gains Incentive Fee,” and together with the Investment Income Incentive Fee, the “Incentive Fee”).

Although the Capital Gains Incentive Fee due to the Adviser is not payable until it is contractually due based on the Investment Advisory Agreement, the Company accrues this component at the end of each reporting period based on the Company’s realized capital gains, if any, on a cumulative basis from the date of the Initial Closing through the end of each reporting period, computed net of all realized capital losses on a cumulative basis and unrealized capital depreciation, less the aggregate amount of any previously paid Capital Gains Incentive Fee, as contractually included in the calculation of the Capital Gains Incentive Fee, plus the cumulative amount of unrealized capital appreciation. If such amount is positive at the end of a period, then the Company will accrue an incentive fee equal to 20% of such amount. If such amount is negative, then there will be no accrual for such period or an appropriate reduction in any amount previously accrued. U.S. GAAP requires that the Capital Gains Incentive Fee accrual consider cumulative unrealized capital appreciation in the calculation, as a Capital Gains Incentive Fee would be payable if such unrealized capital appreciation were realized. There can be no assurance that such unrealized capital appreciation will be realized in the future. For the three months ended ~~June 30,~~December 31, 2020 ~~the Company did not accrue a Capital Gains Incentive Fee. For the nine months ended June 30, 2020, the Company reversed $427,572 of a previously accrued Capital Gains Incentive Fee. For the three~~ and ~~nine months ended June 30,~~ 2019, the Company accrued a Capital Gains Incentive Fee of $26,925 and $335,273, respectively. As of June 30, 2020, there was no Capital Gains Incentive Fee accrued on a cumulative basis. As of June 30, 2020, the Company has not paid any Capital Gains Incentive Fees, and no amount is currently payable under the terms of the Investment Advisory Agreement.

3942

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Company accrued Capital Gains Incentive Fees of $1,113,049 and $677,318, respectively. As of ~~June 30,~~December 31, 2020 and September 30, ~~2019,~~2020, there was $2,568,125 and $1,455,076, respectively, of Capital Gains Incentive Fee accrued on a cumulative basis. As of December 31, 2020, $264,428 of Capital Gains Incentive Fees were payable under the terms of the Investment Advisory Agreement for the calendar year ended December 31, 2020. Prior to December 31, 2020, the Company had not paid any Capital Gains Incentive Fees under the Investment Advisory Agreement.

As of December 31, 2020 and September 30, 2020, the Company had a liability on its Consolidated Statements of Assets and Liabilities in the ~~amount~~amounts of ~~$2,125,041~~$5,272,874 and ~~$1,128,658,~~$4,468,874, respectively, reflecting the unpaid portion of the Base Management Fee and Incentive Fee payable to the Adviser.

Administration Agreement

The Company entered into an administration agreement (the “Administration Agreement”) with Oaktree Fund Administration, LLC (the “Administrator”), an affiliate of the Adviser. Pursuant to the Administration Agreement, the Administrator furnishes the Company with office facilities (certain of which are located in buildings owned by a Brookfield affiliate), equipment and clerical, bookkeeping and recordkeeping services at such facilities. Under the Administration Agreement, the Administrator also performs, or oversees the performance of, the Company’s required administrative services, which include, among other things, providing assistance in accounting, legal, compliance, operations, technology and investor relations, and being responsible for the financial records that the Company is required to maintain and preparing reports to stockholders and reports filed with the SEC. In addition, the Administrator assists the Company in determining and publishing the net asset value, overseeing the preparation and filing of tax returns and the printing and dissemination of reports to the Company’s stockholders, and generally overseeing the payment of the Company’s expenses and the performance of administrative and professional services rendered to the Company by others.

Payments under the Administration Agreement are equal to an amount that reimburses the Administrator for its costs and expenses incurred in performing its obligations under the Administration Agreement and providing personnel and facilities. The Administration Agreement may be terminated by either party without penalty upon 60 days’ written notice to the other party, by the vote of a majority of the Company’s outstanding voting securities, or by the vote of the Company’s directors or by the Administrator. In addition, our Administrator entered into a sub-administration agreement (the “Sub-Administration Agreement”) with State Street Bank and Trust Company (“State Street”), pursuant to which State Street provides certain administrative and professional services. The Company bears all of the costs and expenses of any sub-administration agreements that the Administrator enters into.

For the avoidance of doubt, the Company bears its allocable portion of the costs of the compensation, benefits, and related administrative expenses (including travel expenses) of the Company’s officers who provide operational and administrative services under the Administration Agreement, their respective staffs and other professionals who provide services to the Company (including, in each case, employees of the Administrator or an affiliate) who assist with the preparation, coordination, and administration of the foregoing or provide other “back office” or “middle office” financial or operational services to the Company. The Company reimburses the Adviser (or its affiliates) for an allocable portion of the compensation paid by the Adviser (or its affiliates) to such individuals (based on a percentage of time such individuals devote, on an estimated basis, to the Company’s business and affairs and to acting on the Company’s behalf). Our board of directors reviews the fees payable under the Administration Agreement to determine that these fees are reasonable and comparable to administrative services charged by unaffiliated third parties.

For the three months ended ~~June 30,~~December 31, 2020, the Company incurred ~~$153,594~~$110,163 of expenses under the Administration Agreement, of which ~~$132,370~~$90,956 was included in administrator expense and the remaining $21,224 was included in general and administrative expenses on the Consolidated Statements of Operations. For the nine months ended June 30, 2020, the Company incurred $437,852 of expenses under the Administration Agreement, of which $376,657 was included in administrator expense and the remaining $61,195$19,207 was included in general and administrative expenses on the Consolidated Statements of Operations. For the three months ended ~~June 30,~~December 31, 2019, the Company incurred ~~$117,695~~$133,664 of expenses under the Administration Agreement, of which ~~$87,978~~$113,917 was included in administrator expense and the remaining ~~$29,717~~$19,747 was included ~~across~~in general and administrative expenses on the Consolidated Statements of Operations. For the nine months ended June 30, 2019, the Company incurred $495,700 of expenses under the Administration Agreement, of which $300,075 was included in administrator expense and the remaining $195,625 was included across general and administrative expenses, offering costs and organization expenses on the Consolidated Statements of Operations. As of ~~June 30,~~December 31, 2020 and September 30, ~~2019, $452,538~~2020, $678,161 and ~~$753,665,~~$570,134, respectively, was included in “Due to affiliates” in the Consolidated Statements of Assets and Liabilities, reflecting the unpaid portion of administrative expenses and other reimbursable expenses.

Placement Agent Agreement

The Company has entered into a Placement Agent Agreement with OCM Investments, LLC (the “Placement Agent”), an affiliate of the Adviser, which may require investors (other than investors sourced by the Company, the Adviser, the Placement Agent or their respective affiliates) to pay a distribution fee to the Placement Agent for its services. Although the Company does not pay any fees to the Placement Agent, the Company indemnifies the Placement Agent in connection with its activities.

4043

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Note 11. Financial Highlights


		Three months ended June 30, 2020			Three months ended June 30, 2019			Nine months ended June 30, 2020			Nine months ended June 30, 2019				Three months ended December 31, 20120			Three months ended December 31, 2019
Net asset value at beginning of period	Net asset value at beginning of period	$	17.37		$	20.40		$	20.65		$	19.70		Net asset value at beginning of period	$	19.94		$	20.65
Net investment income (1)	Net investment income (1)	0.30			0.30			1.01			0.55			Net investment income (1)	0.30			0.23
Net unrealized appreciation (depreciation) ~~(2)~~(1)	Net unrealized appreciation (depreciation) ~~(2)~~(1)	1.63			(0.01)			(1.54)			0.32			Net unrealized appreciation (depreciation) ~~(2)~~(1)	0.30			0.37
Net realized gains (losses) (1)	Net realized gains (losses) (1)	0.11			0.01			0.21			0.04			Net realized gains (losses) (1)	0.02			0.04
Distributions to stockholders		(0.19)			—			(1.11)			—
Effect of sale price of drawdowns (3)		—			—			—			0.09
Distributions of net investment income to stockholders														Distributions of net investment income to stockholders	(0.57)			(0.61)
Distributions of capital gains to stockholders														Distributions of capital gains to stockholders	(0.40)			—
Net asset value at end of period	Net asset value at end of period	$	19.22		$	20.70		$	19.22		$	20.70		Net asset value at end of period	$	19.59		$	20.68
Total return ~~(4)~~(2)	Total return ~~(4)~~(2)	11.85		%	1.47		%	(1.65)		%	5.08		%	Total return ~~(4)~~(2)	3.08		%	3.13		%
Common stock outstanding at beginning of period	Common stock outstanding at beginning of period	11,575,664			3,391,900			8,309,861			1,541,738			Common stock outstanding at beginning of period	17,401,121			8,309,861
Common stock outstanding at end of period	Common stock outstanding at end of period	17,401,121			5,047,214			17,401,121			5,047,214			Common stock outstanding at end of period	17,401,121			8,309,861
Net assets at beginning of period	Net assets at beginning of period	$	201,013,682		$	69,186,756		$	171,626,750		$	30,372,317		Net assets at beginning of period	$	347,001,767		$	171,626,750
Net assets at end of period	Net assets at end of period	$	334,422,436		$	104,473,728		$	334,422,436		$	104,473,728		Net assets at end of period	$	340,824,501		$	171,836,163
Average net assets ~~(5)~~(3)	Average net assets ~~(5)~~(3)	$	286,238,938		$	93,332,509		$	205,184,035		$	71,210,554		Average net assets ~~(5)~~(3)	$	349,417,185		$	172,331,212
Ratio of net investment income to average net assets ~~(6)~~(4)	Ratio of net investment income to average net assets ~~(6)~~(4)	1.61		%	1.48		%	5.27		%	2.74		%	Ratio of net investment income to average net assets ~~(6)~~(4)	1.47		%	1.10		%
Ratio of total expenses to average net assets ~~(6)~~(4)	Ratio of total expenses to average net assets ~~(6)~~(4)	1.22		%	2.80		%	4.74		%	7.58		%	Ratio of total expenses to average net assets ~~(6)~~(4)	1.53		%	1.97		%
Ratio of portfolio turnover to average investments at fair value ~~(6)~~(4)	Ratio of portfolio turnover to average investments at fair value ~~(6)~~(4)	17.68		%	4.75		%	45.80		%	12.76		%	Ratio of portfolio turnover to average investments at fair value ~~(6)~~(4)	17.12		%	12.58		%
Weighted average outstanding debt	Weighted average outstanding debt	$	105,681,319		$	87,280,220		$	131,762,774		$	40,602,564		Weighted average outstanding debt	$	109,021,739		$	119,500,000
Average debt per share (1)	Average debt per share (1)	$	6.83		$	19.23		$	12.26		$	11.49		Average debt per share (1)	$	6.27		$	14.38
Asset coverage ratio ~~(7)~~(5)	Asset coverage ratio ~~(7)~~(5)	452.02		%	206.61		%	452.02		%	206.61		%	Asset coverage ratio ~~(7)~~(5)	351.34		%	219.75		%


(1)			Calculated based upon weighted average shares outstanding for the period.
(2)			For the three and nine months ended June 30, 2020 and 2019, the amount shown does not correspond with net unrealized appreciation (depreciation) for the period as it includes the effect of the timing of equity issuances.
~~(3)~~			~~Increase is due to drawdowns during the period that were executed at a sale price at a premium to net asset value in order to effect a reallocation of organizational costs to subsequent investors.~~
~~(4)~~			Total return is calculated as the change in net asset value (“NAV”) per share during the period, plus distributions per share or capital activity, if any, divided by the beginning NAV per share, assuming a dividend reinvestment price equal to the NAV per share at the beginning of the period. The total return has not been annualized.
~~(5)~~(3)			Calculated based upon the weighted average net assets for the period.
~~(6)~~(4)			Financial results for the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020 and 2019 have not been annualized for purposes of this ratio.
~~(7)~~(5)			Based on outstanding senior securities of ~~$95.0~~$135.6 million and ~~$98.0~~$143.5 million as of ~~June 30,~~December 31, 2020 and 2019, respectively.

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OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Note 12. Commitments and Contingencies

Off-Balance Sheet Arrangements

The Company is a party to financial instruments with off-balance sheet risk in the normal course of business to meet the financial needs of its portfolio companies. As indicated in the table below, as of ~~June 30,~~December 31, 2020 and September 30, ~~2019,~~2020, off-balance sheet arrangements consisted of ~~$43,200,592~~$56,806,051 and ~~$11,030,903,~~$43,585,363, respectively, of unfunded commitments to provide debt financing to certain of the Company's portfolio companies. Such commitments are subject to the portfolio company's satisfaction of certain financial and nonfinancial covenants and may involve, to varying degrees, elements of credit risk in excess of the amount recognized in the Consolidated Statements of Assets and Liabilities.


		June 30, 2020		September 30, 2019			December 31, 2020		September 30, 2020
Athenex, Inc.		$	13,375,980	$	—
WPEngine, Inc.	WPEngine, Inc.	9,504,950		—		WPEngine, Inc.	$	9,504,950	$	9,504,950
NuStar Logistics, L.P.	NuStar Logistics, L.P.	7,054,000		—		NuStar Logistics, L.P.	7,054,000		7,054,000
A.T. Holdings II SÀRL		4,080,000		—
Athenex, Inc.						Athenex, Inc.	6,242,124		8,322,832
Thrasio, LLC						Thrasio, LLC	3,917,106		—
FFI Holdings I Corp						FFI Holdings I Corp	3,800,000		—
Assembled Brands Capital LLC	Assembled Brands Capital LLC	3,586,452		3,807,021		Assembled Brands Capital LLC	3,606,303		3,904,072
Jazz Acquisition, Inc.						Jazz Acquisition, Inc.	3,592,000		—
Gulf Operating, LLC						Gulf Operating, LLC	3,470,000		—
Latam Airlines Group S.A.						Latam Airlines Group S.A.	2,883,500		—
MRI Software LLC						MRI Software LLC	2,305,246		2,577,616
Ardonagh Midco 3 PLC						Ardonagh Midco 3 PLC	1,790,478		2,148,573
NeuAG, LLC						NeuAG, LLC	1,551,000		1,551,000
Corrona, LLC	Corrona, LLC	1,894,500		—		Corrona, LLC	1,448,833		1,894,500
ADB Companies, LLC						ADB Companies, LLC	1,333,333		—
Olaplex, Inc.						Olaplex, Inc.	1,026,000		513,000
Accupac, Inc.	Accupac, Inc.	856,511		—		Accupac, Inc.	856,511		856,511
MRI Software LLC		839,625		—
OEConnection LLC		822,511		817,204
Mindbody, Inc.						Mindbody, Inc.	761,905		761,905
Telestream Holdings Corporation						Telestream Holdings Corporation	501,000		—
Acquia Inc.	Acquia Inc.	468,601		—		Acquia Inc.	468,601		468,601
Apptio, Inc.	Apptio, Inc.	461,538		461,538		Apptio, Inc.	461,538		461,538
PaySimple, Inc.		167,689		2,695,000
Immucor, Inc.						Immucor, Inc.	197,694		197,694
OEConnection LLC						OEConnection LLC	33,929		560,336
A.T. Holdings II SÀRL						A.T. Holdings II SÀRL	—		2,720,000
iCIMs, Inc.	iCIMs, Inc.	88,235		88,235		iCIMs, Inc.	—		88,235
Sorrento Therapeutics, Inc.		—		2,400,000
Mindbody, Inc.		—		761,905
		$	43,200,592	$	11,030,903		$	56,806,051	$	43,585,363

OAKTREE STRATEGIC INCOME II, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Note 13. Derivative Instruments

The Company enters into forward currency contracts from time to time to help mitigate the impact that an adverse change in foreign exchange rates would have on the value of the Company’s investments denominated in foreign currencies.

In order to better define its contractual rights and to secure rights that will help the Company mitigate its counterparty risk, the Company entered into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") with its derivative counterparty, The Bank of New York Mellon. The ISDA Master Agreement permits a single net payment in the event of a default or similar event. As of ~~June 30,~~December 31, 2020, no cash collateral has been pledged to cover obligations and no cash collateral has been received from the counterparty with respect to the Company's forward currency contracts.

Net unrealized gains or losses on foreign currency contracts are included in “net unrealized appreciation (depreciation)” and net realized gains or losses on forward currency contracts are included in “net realized gains (losses)” in the accompanying Consolidated Statements of Operations. Forward currency contracts are considered undesignated derivative instruments.

Certain information related to the Company’s foreign currency forward contracts is presented below as of ~~June 30,~~December 31, 2020.

Description Notional Amount to be Purchased Notional Amount to be Sold Maturity Date Gross Amount of Recognized Assets Gross Amount of Recognized Liabilities Balance Sheet Location of Net Amounts
Foreign currency forward contract $ 5,118,303 € 4,683,770 11/12/2020 $ — $ 159,051 Derivative liability

~~OAKTREE STRATEGIC INCOME II, INC.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~


Description	Notional Amount to be Purchased		Notional Amount to be Sold		Maturity Date	Gross Amount of Recognized Assets		Gross Amount of Recognized Liabilities		Balance Sheet Location of Net Amounts
Foreign currency forward contract	$	7,140,853	€	6,026,830	2/11/2021	$	—	$	240,252	Derivative liability
Foreign currency forward contract	$	13,390,458	£	10,059,466	2/11/2021	$	—	$	364,264	Derivative liability

Certain information related to the Company’s foreign currency forward contracts is presented below as of September 30, ~~2019.~~2020.


Description	Description	Notional Amount to be Purchased		Notional Amount to be Sold		Maturity Date	Gross Amount of Recognized Assets		Gross Amount of Recognized Liabilities		Balance Sheet Location of Net Amounts	Description	Notional Amount to be Purchased		Notional Amount to be Sold		Maturity Date	Gross Amount of Recognized Assets		Gross Amount of Recognized Liabilities		Balance Sheet Location of Net Amounts
Foreign currency forward contract	Foreign currency forward contract	$	2,798,483	€	2,475,000	1/16/2020	$	77,558	$	—	Derivative assets	Foreign currency forward contract	$	6,662,097	€	6,026,830	11/12/2020	$	—	$	411,465	Derivative liability
Foreign currency forward contract												Foreign currency forward contract	$	9,893,413	£	7,833,885	11/12/2020	$	—	$	236,424	Derivative liability

Note 14. Subsequent Events

The Company's management evaluated subsequent events through the date of issuance of the consolidated financial statements. There have been no subsequent events that occurred during such period that would require disclosure in, or would be required to be recognized in, the consolidated financial statements as of and for the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020, except as discussed below.

~~Citibank Facility~~

~~On July 2, 2020, OSI 2 SPV, a wholly-owned and consolidated subsidiary of the Company, entered into a second amendment (the “SPV Facility Amendment”) to the Citibank Loan Agreement.~~

The SPV Facility Amendment, among other things, (a) increases the maximum permissible borrowings under the Citibank Loan Agreement from $100 million to $150 million; (b) with respect to assets added to the borrowing base on or after July 2, 2020, reduces the advance rates assigned to certain classes of assets; and (c) modifies certain concentration limits and assigned value adjustment events. In connection with the SPV Facility Amendment, the applicable spread has been amended such that, with respect to any borrowings in excess of $100 million, the applicable spread during the Reinvestment Period is the greater of (i) a weighted average rate of (x) 2.25% per year for broadly syndicated loans and (y) 3.00% per year for all other eligible loans and (ii) 1.85%. The other material terms of the Citibank Loan Agreement were unchanged.

Distribution Declaration

On ~~August 12, 2020,~~February 5, 2021, the Company's Board of Directors approved a quarterly distribution of ~~$0.27~~$0.35 per share, payable in cash on ~~September 30, 2020~~March 26, 2021 to the Company's stockholders of record as of ~~September~~the close of business on March 15, ~~2020.~~

2021.

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Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations

The following discussion and analysis should be read in conjunction with the Consolidated Financial Statements and the notes thereto included elsewhere in this quarterly report on Form 10-Q.

Some of the statements in this quarterly report on Form 10-Q constitute forward-looking statements because they relate to future events or ~~our~~the future performance or financial ~~condition.~~condition of Oaktree Strategic Income II, Inc. (together with its subsidiaries, where applicable, the "Company", which may also be referred to as "we," "us" or "our"). The forward-looking statements contained in this quarterly report on Form 10-Q may include statements as to:

•our future operating results and distribution projections;

•the ability of Oaktree Fund Advisors, LLC (our "Adviser" or "Oaktree") to implement its future plans with respect to our business and to achieve our investment objective;

•the ability of Oaktree and its affiliates to attract and retain highly talented professionals;

•our business prospects and the prospects of our portfolio companies;

•the impact of the investments that we expect to make;

•the ability of our portfolio companies to achieve their objectives;

•our expected financings and investments and additional leverage we may seek to incur in the future;

•the adequacy of our cash resources and working capital;

•the timing of cash flows, if any, from the operations of our portfolio companies; and

•the impact of the COVID-19 pandemic on all of the foregoing.

In addition, words such as “anticipate,” “believe,” “expect,” “seek,” “plan,” “should,” “estimate,” “project” and “intend” indicate forward-looking statements, although not all forward-looking statements include these words. The forward-looking statements contained in this quarterly report on Form 10-Q involve risks and uncertainties. Our actual results could differ materially from those implied or expressed in the forward-looking statements for any reason, including the factors set forth in “Item 1A. Risk Factors” in our annual report on Form 10-K for the year ended September 30, ~~2019~~2020 and elsewhere in this quarterly report on Form 10-Q.

Other factors that could cause actual results to differ materially include:

•changes or potential disruptions in our operations, the economy, financial markets or political environment;

•risks associated with possible disruption in our operations, the operations of our portfolio companies or the economy generally due to terrorism, natural disasters or the COVID-19 pandemic;

•future changes in laws or regulations (including the interpretation of these laws and regulations by regulatory authorities) and conditions in our operating areas, particularly with respect to business development companies ("BDCs") or regulated investment companies ("RICs");

•general considerations associated with the COVID-19 pandemic; and

•other considerations that may be disclosed from time to time in our publicly disseminated documents and filings.

We have based the forward-looking statements included in this quarterly report on Form 10-Q on information available to us on the date of this quarterly report, and we assume no obligation to update any such forward-looking statements. Although we undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, you are advised to consult any additional disclosures that we may make directly to you or through reports that we in the future may file with the ~~SEC,~~Securities and Exchange Commission (the “SEC”), including annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.

Business Overview

We are structured as a closed-end investment company focused on lending to small-and medium-sized companies. We have elected to be regulated as a BDC under the Investment Company Act of 1940, as amended (the “Investment Company Act”) and have elected to be treated, and intend to comply with the requirements to qualify annually, as a RIC under Subchapter M of the Internal Revenue Code of 1986, as amended (together with the rules and regulations promulgated thereunder, the “Code”).

We were formed on April 30, 2018 as a Delaware corporation and are externally managed by our Adviser pursuant to an investment advisory agreement (the “Investment Advisory Agreement”) between us and our Adviser, which was approved by our board of directors on May 11, 2020. From ~~September 30, 2019~~July 9, 2018 through May 11, 2020, we were managed by Oaktree Capital Management, L.P., an affiliate of our Adviser. We seek to invest opportunistically across asset classes and geographies, primarily in the form of senior loans, and to a lesser extent, high yield bonds, to borrowers that are in need of direct loans, rescue financings or other capital solutions or that have had challenged or unsuccessful primary offerings. Our investment objective is to generate current income and long-term capital appreciation. We seek to achieve our investment objective without subjecting principal to undue risk of loss by investing primarily in situations where a company or its owners (a) are overleveraged or facing pressures to recapitalize, (b) are unable to access broadly

syndicated capital markets, (c) are undervalued after having recently exited bankruptcy or completed a restructuring or (d) are otherwise

affected by mispricings or inefficiencies in the capital markets or at different points throughout the credit cycle. We seek to generate revenues primarily in the form of interest income from the investments we hold.

We ~~conduct~~conducted private offerings (each, a “Private Offering”) of shares of our common stock ("Common Stock") to investors in reliance on exemptions from the registration requirements of the Securities Act of 1933, as amended (the “Securities Act”). At each Closing of a Private Offering, each investor participating in that closing ~~makes~~made a capital commitment (each, a “Capital Commitment") to purchase our Common Stock pursuant to a subscription agreement entered into with us in connection with its Capital Commitment (“Subscription Agreement”). Investors ~~are~~were required to fund drawdowns to purchase our Common Stock up to the amount of their respective Capital Commitments on an as-needed basis with a minimum of ten calendar days' prior notice (excluding the initial drawdown for each investor). The initial closing of a Private Offering occurred on August 6, 2018 (the “Initial Closing”). Loan origination and investment activities commenced shortly after the Initial Closing. As of June 30, 2020, we received $337,558,996 in Capital Commitments from investors in connection with Private Offerings.

We commenced our loan origination and investment activities shortly after ~~the Initial Closing.~~our initial capital drawdown from our non-affiliated investors (the "Initial Drawdown"). The proceeds from the Initial ~~Closing~~Drawdown provided us with the necessary seed capital to commence operations. As of ~~June 30,~~December 31, 2020, we completed drawdowns of $337,558,996 of Capital Commitments from investors in connection with Private Offerings, of which $3,854,346 in Capital Commitments were made by one or ~~100.0%, on Capital Commitments.~~more affiliates of the Adviser. As of ~~June 30,~~December 31, 2020, we held ~~$405,533,867~~$468,177,605 of investments at fair value, up from ~~$291,147,011~~$429,851,146 held at September 30, ~~2019,~~2020, primarily driven by ~~drawdowns~~new investment purchases and unrealized appreciation on ~~capital commitments~~our investment portfolio during the ~~nine~~three months ended ~~June 30,~~December 31, 2020.

Business Environment and Developments

We believe that the COVID-19 pandemic may have lasting effects on the U.S. and global financial markets and may cause further economic uncertainties or deterioration in the performance of the middle market in the United States and worldwide. While the initial market disruptions have somewhat eased, the global economy continues to experience economic ~~uncertainty.~~uncertainty, particularly due to difficulties in the reopening of certain economies, or portions thereof, and delays in vaccine rollout. This uncertainty can impact the overall supply and demand of the market through changing spreads, deal terms and structures, and equity purchase price multiples.

Despite this economic uncertainty, we believe attractive risk-adjusted returns can be achieved by making loans to companies in the middle market. Given the breadth of the investment platform of Oaktree and its affiliates, we believe that we have the resources and experience to source, diligence and structure investments in these companies and are well placed to generate attractive returns for investors.

We have proactively taken a number of actions to evaluate and support our portfolio companies in light of the COVID-19 pandemic, including outreach to a variety of management teams and sponsors. We have been in contact with many of our portfolio companies to understand their liquidity and solvency positions. We believe that these efforts to closely monitor and identify vulnerable investments will allow us to address potential problems early and provide constructive solutions to our portfolio companies.

As of ~~June 30,~~December 31, 2020, ~~86.3%~~90.0% of our debt investment portfolio (at fair value) and ~~87.7%~~90.3% of our debt investment portfolio (at cost) bore interest at floating rates indexed to the London Interbank Offered Rate ("LIBOR"), and/or an alternate base rate (e.g., prime rate), which typically resets semi-annually, quarterly or monthly at the borrower’s option. As a result of the COVID-19 pandemic and the related decision of the U.S. Federal Reserve to reduce certain interest rates, LIBOR decreased beginning in March 2020. A prolonged reduction in interest rates will result in a decrease in our total investment income and could result in a decrease in our net investment income to the extent the decreases are not offset by an increase in the spread on our floating rate investments, a decrease in our interest expense or a reduction of our incentive fee on income. In July 2017, the head of the United Kingdom Financial Conduct Authority (the "FCA") announced the desire to phase out the use of LIBOR by the end of 2021. ~~The~~However, the ICE Benchmark Administration, which is appointed by the FCA as the administrator of LIBOR, recently announced plans to delay the discontinuation of a majority of U.S. Dollar LIBOR publications until June 30, 2023, with the remainder of LIBOR publications to end at the end of 2021, as previously announced. At this time, no consensus exists as to what rate or rates will become accepted alternatives to LIBOR, although the U.S. Federal Reserve, in ~~conjunction~~connection with the Alternative Reference Rates Committee, a steering committee comprised of large U.S. financial institutions, is considering replacing ~~U.S.-dollar~~U.S. dollar LIBOR with the Secured Overnight Financing Rate ~~("SOFR"~~(“SOFR”)~~, a new index calculated by short-term repurchase agreements, backed by Treasury securities. Although there have been a few transactions utilizing~~. Given the inherent differences between LIBOR and SOFR, or ~~the Sterling Over Night Index Average, an~~any other alternative ~~reference~~benchmark rate that ~~is based on transactions, it~~may be established, there remains ~~unknown whether these alternative reference rates will attain market acceptance as replacements for LIBOR. If~~uncertainty regarding the future utilization of LIBOR ~~ceases to exist,~~and the nature of any replacement rate. In anticipation of the cessation of LIBOR, we may need to renegotiate any credit agreements extending beyond ~~2021~~the applicable phase out date with our prospective portfolio companies that utilize LIBOR as a factor in determining the interest ~~rate and may also need to renegotiate the terms of our borrowing facilities.~~rate. Certain of the loan agreements with our portfolio companies have included fallback language in the event that LIBOR becomes unavailable. This language generally provides that the administrative agent may identify a replacement reference rate, typically with the consent of (or prior consultation with) the borrower. In certain cases, the administrative agent will be required to obtain the consent of either a majority of the lenders under the facility, or the consent of each lender, prior to identifying a replacement reference rate. Certain of the loan agreements with our portfolio companies do not include any fallback language providing a mechanism for the parties to negotiate a new reference interest rate and will instead revert to the base rate in the event LIBOR ceases to exist. It remains unclear whether the cessation of LIBOR will be delayed due to COVID-19 or what form any delay may take, and there are no assurances that there will be a delay. It is also unclear what the duration and severity of COVID-19 will be, and whether this will impact LIBOR transition planning. COVID-19 may also slow regulators’ and others’ efforts to develop and implement alternative reference rates, which could make LIBOR transition planning more difficult, particularly if the cessation of LIBOR is not delayed and alternatives do not develop.

4548

Critical Accounting Policies

Basis of Presentation

Our accompanying consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America ("GAAP"), and pursuant to the requirements for reporting on Form 10-Q and Regulation S-X. In the opinion of management, all adjustments of a normal recurring nature considered necessary for the fair presentation of the consolidated financial statements have been made. All intercompany balances and transactions have been eliminated in consolidation. We are an investment company following the accounting and reporting guidance in Financial Accounting Standards Board ("FASB"), Accounting Standards Codification ("ASC"), Topic 946, Financial Services – Investment Companies, or ASC 946.

Fair Value Measurements

Our board of directors, with the assistance of our audit committee (the “Audit Committee”) and the Adviser, determines the fair value of our assets on at least a quarterly basis, in accordance with the terms of FASB ASC Topic 820, Fair Value Measurement. The Audit Committee is comprised of independent directors. Our investments are valued at fair value. For purposes of periodic reporting, the Company values its assets in accordance with GAAP and based on the principles and methods of valuation summarized below. GAAP requires that a “fair value” be assigned to all assets and establishes a single authoritative definition of fair value that includes a framework for measuring fair value and enhanced disclosures about fair value measurements.

Financial assets and liabilities measured and reported at fair value are classified as follows:

•Level I - Quoted unadjusted prices for identical instruments in active markets to which we have access at the date of measurement. The types of investments in Level I include exchange traded equities, debt and derivatives with quoted prices.

•Level II - Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs are directly or indirectly observable. Level II inputs include interest rates, yield curves, volatilities, prepayment risks, loss severities, credit risks and default rates. The types of investments in Level II generally include corporate bonds and loans, government and agency securities, less liquid and restricted equity investments, over-the-counter traded derivatives and other investments where the fair value is based on observable inputs.

In the absence of observable market prices, we value Level III investments using valuation methodologies applied on a consistent basis. The quarterly valuation process for Level III investments begins with each portfolio company, property or security being initially valued by the Adviser's valuation team in conjunction with the investment team. The preliminary valuations are then reviewed and approved by the valuation team, the valuation committee, which consists of senior members of the investment team, and designated investment professionals as well as the valuation officer who is independent of the investment teams. The Audit Committee reviews the preliminary valuations provided by the valuation committee and makes a recommendation to our full board of directors regarding the fair value of the investments in our portfolio. Our board of directors ultimately determines in good faith the fair value of each investment in our portfolio. Results of the valuation process are evaluated each quarter, including an assessment of whether the underlying calculations should be adjusted or recalibrated. In connection with this process, we evaluate changes in fair value measurements from

4649

period to period for reasonableness, considering items such as industry trends, general economic and market conditions, and factors specific to the investment.

Certain Level III assets are valued using prices obtained from pricing vendors or brokers. These investments are classified as Level III because the quoted prices may be indicative in nature for securities that are in an inactive market, may be for similar securities or may require adjustment for investment-specific factors or restrictions. We seek to obtain at least two quotations for the subject or similar securities, typically from pricing vendors. If we are unable to obtain two quotes from pricing vendors, or if the prices obtained from pricing vendors are not within our set threshold, we seek to obtain a quote directly from a broker making a market for the asset. However, given the nature of our portfolio, we do not expect that all of our Level III assets will be valued at least annually using prices obtained from pricing vendors or brokers. Generally, we do not adjust any of the prices received from these sources, and all prices are reviewed by us. We evaluate the prices obtained from pricing vendors or brokers based on available market information, including trading activity of the subject or similar securities, or by performing a comparable security analysis to ensure that fair values are reasonably estimated. The Adviser also performs back-testing of valuation information obtained from pricing vendors and brokers against actual prices received in transactions. In addition to ongoing monitoring and back-testing, the Adviser performs due diligence procedures over pricing vendors to understand their methodology and controls to support their use in the valuation process.

Non-publicly traded debt and equity securities and other securities or instruments for which reliable market quotations are not available are valued by us using valuation methodologies applied on a consistent basis. These securities may initially be valued at the acquisition price as the best indicator of fair value. We review the significant unobservable inputs, valuations of comparable investments and other similar transactions for investments valued at acquisition price to determine whether another valuation methodology should be utilized. Subsequent valuations will depend on facts and circumstances known as of the valuation date and the application of valuation methodologies further described below under “–Non-Exchange-Traded Investments.” The fair value may also be based on a pending transaction expected to close after the valuation date. These valuation methodologies involve a significant degree of management judgment. Accordingly, valuations do not necessarily represent the amounts which may eventually be realized from sales or other dispositions of investments in the future. Fair values may differ from the values that would have been used had a ready market for the investment existed, and the differences could be material to the consolidated financial statements.

Exchange-Traded Investments

Non-Exchange-Traded Investments

If the quotations obtained from pricing vendors or brokers are determined to not be reliable or are not readily available, we value such investments using different valuation techniques. One valuation technique is the transaction precedent technique, which utilizes recent or expected future transactions of the investment to determine fair value, to the extent applicable. The market yield technique is considered in the valuation of non-publicly traded debt investments, utilizing expected future cash flows, discounted using estimated current market rates. Discounted cash flow calculations may be adjusted to reflect current market conditions and/or the perceived credit risk of the borrowers. Consideration is also given to a borrower’s ability to meet principal and interest obligations; this may include an evaluation of collateral or the underlying value of the borrower, utilizing either the market or income techniques. A market technique utilizes valuations of comparable public companies or transactions and generally seeks to establish the enterprise value of the portfolio company using a market multiple technique. This technique takes into account a specific financial measure (such as earnings before interest, taxes, depreciation and amortization ("EBITDA"), adjusted EBITDA, free cash flow, net operating income, net income, book value or net asset value) believed to be most relevant for the given company. Consideration may also be given to such factors as acquisition price of the security, historical and projected operational and financial results for the portfolio company, the strengths and weaknesses of the portfolio company relative to its comparable companies, industry trends, general economic and market conditions and other factors deemed relevant. The income technique is typically a discounted cash flow method that incorporates expected timing and level of cash flows. It incorporates assumptions in determining growth rates, income and expense projections, discount rates, capital structure, terminal values and other factors. The applicability and weight assigned to market and income techniques are determined based on the availability of reliable projections and comparable companies and transactions.

4750

Investments made by us are, by nature, generally considered to be long-term investments and are not intended to be liquidated on a short-term basis. Additionally, these valuation methodologies involve a significant degree of management judgment. Accordingly, valuations by us do not necessarily represent the amounts which may eventually be realized from sales or other dispositions of investments in the future. Estimated fair values may differ from the values that would have been used had a ready market for the investment existed, and the differences could be material to the consolidated financial statements.

We may estimate the fair value of privately held warrants using a Black Scholes pricing model, which includes an analysis of various factors and subjective assumptions, including the current stock price (by using an enterprise value analysis as described above), the expected period until exercise, expected volatility of the underlying stock price, expected dividends and the risk-free rate. Changes in the subjective input assumptions can materially affect the fair value estimates.

Revenue Recognition

We generate revenues in the form of interest income on debt investments and, to a lesser extent, capital gains and distributions, if any, on equity securities that we may acquire in portfolio companies. Some of our investments provide for deferred interest payments or payment-in-kind ("PIK") interest. The principal amount of the debt investments and any accrued but unpaid interest generally becomes due at the maturity date.

Interest Income

Interest income, adjusted for accretion of original issue discount ("OID"), is recorded on an accrual basis to the extent that such amounts are expected to be collected. We stop accruing interest on investments when it is determined that interest is no longer collectible. Investments that are expected to pay regularly scheduled interest in cash are generally placed on non-accrual status when there is reasonable doubt that principal or interest cash payments will be collected. Cash interest payments received on investments may be recognized as income or a return of capital depending upon management’s judgment. A non-accrual investment is restored to accrual status if past due principal and interest are paid in cash, and the portfolio company, in management’s judgment, is likely to continue timely payment of its remaining obligations. As of ~~June 30,~~December 31, 2020, there ~~were two investments~~was one investment on which we had stopped accruing cash interest and/or PIK interest and/or OID income.

In connection with our investment in a portfolio company, we sometimes receive nominal cost equity that is valued as part of the negotiation process with the portfolio company. When we receive nominal cost equity, we allocate our cost basis in the investment between debt securities and the nominal cost equity at the time of origination. Any resulting discount from recording the loan, or otherwise purchasing a security at a discount, is accreted into interest income over the life of the loan.

Fee Income

The Adviser or its affiliates may provide financial advisory services to portfolio companies in connection with structuring a transaction and in return we may receive fees for capital structuring services. These fees are generally nonrecurring and are recognized by us upon the investment closing date. We may also receive additional fees in the ordinary course of business, including servicing, amendment, and prepayment fees, which are classified as fee income and recognized as they are earned or the services are rendered.

We have also structured exit fees across certain of our portfolio investments to be received upon the future exit of those investments. Exit fees are payable upon the exit of a debt security. These fees are to be paid to us upon the sooner to occur of (i) a sale of the borrower or substantially all of the assets of the borrower, (ii) the maturity date of the loan or (iii) the date when full prepayment of the loan occurs. The receipt of such fees is contingent upon the occurrence of one of the events listed above for each of the investments. These fees are included in net investment income over the life of the loan.

PIK Interest Income

Our investments in debt securities may contain PIK interest provisions. PIK interest, which generally represents contractually deferred interest added to the loan balance that is generally due at the end of the loan term, is generally recorded on the accrual basis to the extent such amounts are expected to be collected. We generally cease accruing PIK interest if there is insufficient value to support the accrual or if we do not expect the portfolio company to be able to pay all principal and interest due. Our decision to cease accruing

PIK interest on a loan or debt security involves subjective judgments and determinations based on available information about a

particular portfolio company, including whether the portfolio company is current with respect to its payment of principal and interest on its loans and debt securities; financial statements and financial projections for the portfolio company; our assessment of the portfolio company's business development success; information obtained by us in connection with periodic formal update interviews with the portfolio company's management and, if appropriate, the private equity sponsor; and information about the general economic and market conditions in which the portfolio company operates. Our determination to cease accruing PIK interest is generally made well before our full write-down of a loan or debt security. In addition, if it is subsequently determined that we will not be able to collect any previously accrued PIK interest, the fair value of the loans or debt securities would be reduced by the amount of such previously accrued, but uncollectible, PIK interest. The accrual of PIK interest on our debt investments increases the recorded cost bases of these investments in our consolidated financial statements including for purposes of computing the capital gains incentive fee payable by us to the Adviser. To maintain our status as a RIC, certain income from PIK interest may be required to be distributed to our stockholders even though we have not yet collected the cash and may never do so.

Portfolio Composition

As of ~~June~~December 31, 2020, the fair value of our investment portfolio was $468.2 million and was comprised of investments in 92 portfolio companies. As of September 30, 2020, the fair value of our investment portfolio was ~~$405.5~~$429.9 million and was comprised of investments in ~~93 portfolio companies. As of September 30, 2019, the fair value of our investment portfolio was $291.1 million and was comprised of investments in 69~~88 portfolio companies.

As of ~~June 30,~~December 31, 2020 and September 30, ~~2019,~~2020, our investment portfolio consisted of the following:


		June 30, 2020		September 30, 2019			December 31, 2020		September 30, 2020
Cost:	Cost:					Cost:
Senior secured debt	Senior secured debt	92.21	%	97.20	%	Senior secured debt	97.71	%	96.05	%
Subordinated debt	Subordinated debt	7.49	%	2.49	%	Subordinated debt	2.08	%	3.71	%
Common equity & warrants	Common equity & warrants	0.27	%	0.27	%	Common equity & warrants	0.19	%	0.21	%
Preferred equity	Preferred equity	0.03	%	0.04	%	Preferred equity	0.02	%	0.03	%
Total	Total	100.00	%	100.00	%	Total	100.00	%	100.00	%


		June 30, 2020		September 30, 2019			December 31, 2020		September 30, 2020
Fair Value:	Fair Value:					Fair Value:
Senior secured debt	Senior secured debt	90.71	%	97.14	%	Senior secured debt	97.30	%	95.57	%
Subordinated debt	Subordinated debt	8.54	%	2.52	%	Subordinated debt	2.32	%	3.98	%
Common equity & warrants	Common equity & warrants	0.72	%	0.30	%	Common equity & warrants	0.35	%	0.42	%
Preferred equity	Preferred equity	0.03	%	0.04	%	Preferred equity	0.03	%	0.03	%
Total	Total	100.00	%	100.00	%	Total	100.00	%	100.00	%

4952

The table below describes investments by industry composition based on fair value as a percentage of total investments:


		June 30, 2020		September 30, 2019			December 31, 2020		September 30, 2020
Fair Value:	Fair Value:					Fair Value:
Application Software	Application Software	18.52	%	20.64	%	Application Software	20.51	%	17.64	%
Biotechnology						Biotechnology	8.27	%	5.94	%
Pharmaceuticals	Pharmaceuticals	5.96	%	2.90	%	Pharmaceuticals	8.01	%	7.21	%
Oil & Gas Refining & Marketing		5.64	%	2.75	%
Biotechnology		5.38	%	7.14	%
Personal Products	Personal Products	4.92	%	1.73	%	Personal Products	4.59	%	4.70	%
Movies & Entertainment	Movies & Entertainment	4.45	%	1.20	%	Movies & Entertainment	4.49	%	4.25	%
Data Processing & Outsourced Services						Data Processing & Outsourced Services	3.90	%	2.45	%
Health Care Services						Health Care Services	3.44	%	3.71	%
Internet Services & Infrastructure						Internet Services & Infrastructure	3.29	%	3.38	%
Integrated Telecommunication Services						Integrated Telecommunication Services	3.23	%	4.02	%
Insurance Brokers						Insurance Brokers	2.86	%	3.01	%
Aerospace & Defense						Aerospace & Defense	2.61	%	1.45	%
Fertilizers & Agricultural Chemicals						Fertilizers & Agricultural Chemicals	2.61	%	2.78	%
Specialized Finance						Specialized Finance	1.98	%	0.15	%
Diversified Support Services						Diversified Support Services	1.95	%	2.08	%
Real Estate Services						Real Estate Services	1.84	%	1.97	%
Restaurants						Restaurants	1.77	%	1.73	%
Oil & Gas Storage & Transportation						Oil & Gas Storage & Transportation	1.77	%	2.22	%
Health Care Supplies						Health Care Supplies	1.70	%	1.84	%
Oil & Gas Refining & Marketing						Oil & Gas Refining & Marketing	1.66	%	1.74	%
Independent Power Producers & Energy Traders						Independent Power Producers & Energy Traders	1.62	%	1.79	%
Construction & Engineering						Construction & Engineering	1.51	%	0.13	%
Industrial Machinery						Industrial Machinery	1.49	%	1.39	%
Airport Services						Airport Services	1.48	%	1.61	%
Hotels, Resorts & Cruise Lines						Hotels, Resorts & Cruise Lines	1.31	%	1.43	%
Publishing						Publishing	1.26	%	2.18	%
Internet & Direct Marketing Retail						Internet & Direct Marketing Retail	1.21	%	1.26	%
IT Consulting & Other Services						IT Consulting & Other Services	1.18	%	1.25	%
Health Care Technology	Health Care Technology	3.99	%	4.27	%	Health Care Technology	1.09	%	3.84	%
Internet Services & Infrastructure		3.73	%	6.52	%
Health Care Services		2.99	%	3.78	%
Oil & Gas Storage & Transportation		2.78	%	—	%
Systems Software		2.71	%	4.51	%
Data Processing & Outsourced Services		2.38	%	2.80	%
Distributors						Distributors	0.97	%	1.95	%
Managed Health Care						Managed Health Care	0.83	%	0.88	%
Diversified Real Estate Activities						Diversified Real Estate Activities	0.80	%	1.93	%
Specialized REITs						Specialized REITs	0.70	%	0.93	%
Airlines						Airlines	0.64	%	—	%
Metal & Glass Containers	Metal & Glass Containers	2.34	%	0.48	%	Metal & Glass Containers	0.59	%	1.86	%
Alternative Carriers	Alternative Carriers	2.31	%	3.22	%	Alternative Carriers	0.56	%	0.60	%
Diversified Support Services		2.12	%	3.22	%
Real Estate Services		2.03	%	3.05	%
Distributors		2.03	%	—	%
Diversified Real Estate Activities		2.01	%	—	%
Aerospace & Defense		1.98	%	2.40	%
Independent Power Producers & Energy Traders		1.90	%	—	%
Publishing		1.88	%	0.68	%
Restaurants		1.78	%	—	%
Airport Services		1.72	%	—	%
Integrated Telecommunication Services		1.60	%	6.38	%
Hotels, Resorts & Cruise Lines		1.47	%	—	%
Industrial Machinery		1.44	%	0.47	%
Health Care Supplies		1.38	%	—	%
Research & Consulting Services		1.35	%	2.74	%
IT Consulting & Other Services		1.23	%	1.83	%
Specialized REITs		0.94	%	1.15	%
Managed Health Care		0.90	%	1.37	%
Oil & Gas Exploration & Production						Oil & Gas Exploration & Production	0.53	%	—	%
Systems Software						Systems Software	0.51	%	2.61	%
Electronic Components						Electronic Components	0.29	%	0.21	%
Electric Utilities						Electric Utilities	0.27	%	—	%
Property & Casualty Insurance						Property & Casualty Insurance	0.23	%	0.25	%
Multi-Sector Holdings						Multi-Sector Holdings	0.18	%	0.18	%
Construction Materials						Construction Materials	0.17	%	0.17	%
Food Retail						Food Retail	0.10	%	0.11	%
Trading Companies & Distributors	Trading Companies & Distributors	0.72	%	1.03	%	Trading Companies & Distributors	—	%	0.68	%
Multi-Sector Holdings		0.67	%	—	%
Interactive Media & Services		0.67	%	2.31	%
Household Products	Household Products	0.47	%	0.65	%	Household Products	—	%	0.31	%
Insurance Brokers		0.40	%	1.35	%
Property & Casualty Insurance		0.28	%	—	%
Health Care Facilities	Health Care Facilities	0.18	%	—	%	Health Care Facilities	—	%	0.18	%
Electronic Components		0.17	%	—	%
Specialized Finance		0.17	%	0.27	%
Construction Materials		0.17	%	—	%
Construction & Engineering		0.13	%	0.34	%
Food Retail		0.11	%	0.34	%
Auto Parts & Equipment		—	%	2.00	%
Financial Exchanges & Data		—	%	1.95	%
Health Care Equipment		—	%	1.72	%
Cable & Satellite		—	%	1.46	%
Electric Utilities		—	%	0.42	%
Health Care Distributors		—	%	0.39	%
Oil & Gas Equipment & Services		—	%	0.30	%
Oil & Gas Exploration & Production		—	%	0.24	%
Total	Total	100.00	%	100.00	%	Total	100.00	%	100.00	%

5053

The table below describes investments by geographic composition at fair value as a percentage of total investments:


		June 30, 2020		September 30, 2019			December 31, 2020	September 30, 2020
Fair Value:	Fair Value:					Fair Value:
United States	United States	87.86	%	89.06	%	United States	84.76%	87.29%
United Kingdom	United Kingdom	4.31	%	3.81	%	United Kingdom	5.38%	5.12%
Luxembourg	Luxembourg	2.38	%	2.64	%	Luxembourg	3.30%	2.38%
Switzerland	Switzerland	2.31	%	—	%	Switzerland	2.71%	2.37%
Australia	Australia	1.29	%	—	%	Australia	1.62%	1.19%
Iceland	Iceland	1.26	%	1.61	%	Iceland	1.19%	1.23%
Chile						Chile	0.64%	—%
Ireland						Ireland	0.30%	—%
Canada	Canada	0.59	%	0.99	%	Canada	0.10%	0.42%
Denmark		—	%	0.08	%
France		—	%	1.81	%
Total	Total	100.00	%	100.00	%	Total	100.00%	100.00%

See the Schedule of Investments as of ~~June 30,~~December 31, 2020 and September 30, ~~2019~~2020 in our consolidated financial statements in Part I, Item 1, of this Form 10-Q for more information on these investments, including a list of companies and the type, cost and fair value of investments.

Discussion and Analysis of Results and Operations

Results of Operations

The principal measure of our financial performance is the net increase (decrease) in net assets resulting from operations, which includes net investment income, ~~(loss),~~ net realized gains (losses) and net unrealized appreciation (depreciation). Net investment income ~~(loss)~~ is the difference between our income from interest income and fee income ~~and excise taxes~~ and total expenses. Net realized gains (losses) on investments is the difference between the proceeds received from dispositions of portfolio investments and their stated costs. Net unrealized appreciation (depreciation) is the net change in the fair value of our investment portfolio during the reporting period, including the reversal of previously recorded unrealized appreciation (depreciation) when gains or losses are realized. The net increase or decrease in net assets from operations may vary substantially from period to period as a result of various factors, including the recognition of realized gains and losses and net change in unrealized appreciation and depreciation.

Comparison of the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020 and ~~June 30,~~December 31, 2019

Investment Income

Total investment income for the three months ended ~~June 30,~~December 31, 2020 was ~~$8,107,281~~$10,502,992 and consisted of ~~$7,573,034~~$9,232,109 of interest income primarily from portfolio investments (including ~~$493,661~~$836,758 of PIK interest income) and ~~$534,247~~$1,270,883 of fee income. Total investment income for the three months ended ~~June 30,~~December 31, 2019 was ~~$3,999,551~~$5,294,578 and consisted of ~~$3,896,393~~$5,164,631 of interest income primarily from portfolio investments (including ~~$151,667~~$151,232 of PIK interest income) and ~~$103,158~~$129,947 of fee income. The increase in total investment income was primarily due to an increase in the size of our investment portfolio and higher prepayments fees earned on exited investments as compared to the prior year ~~comparable~~comparative quarter.

Total investment income for the nine months ended June 30, 2020 was $20,538,187 and consisted of $19,426,626 of interest income primarily from portfolio investments (including $1,019,286 of PIK interest income) and $1,111,561 of fee income. Total investment income for the nine months ended June 30, 2019 was $7,365,457 and consisted of $6,997,621 of interest income primarily from portfolio investments (including $411,361 of PIK interest income) and $367,836 of fee income. The increase in total investment income was primarily due to an increase in the size of our investment portfolio as compared to the prior year comparable period. Based on fair value as of ~~June 30,~~December 31, 2020, the weighted average yield on our debt investments was ~~7.1%~~7.9%, compared to ~~7.6%~~7.1% as of ~~June 30,~~December 31, 2019.

5154

Expenses

Total expenses for the three months ended ~~June 30,~~December 31, 2020 and ~~June 30,~~December 31, 2019 were ~~$3,504,054~~$5,363,110 and ~~$2,610,447,~~$3,397,493, respectively. The increase in total expenses was primarily due to (1) an increase in the size of our investment portfolio as compared to the prior year comparative quarter, which drove a ~~$499,667~~$355,393 increase in base management fees, ~~and~~ (2) an increase in total investment income which resulted in a ~~$798,127~~$1,513,317 increase in investment income incentive fees ~~partially offset by a $211,357 decrease in interest expense resulting from decreases to LIBOR during the period~~ and ~~a $199,384 decrease in offering costs.~~

Total expenses for the nine months ended June 30, 2020 and June 30, 2019 were $9,717,733 and $5,396,330, respectively. The increase in total expenses was primarily due to (1) an increase in the size of our investment portfolio as compared to the prior year quarter, which drove a $1,699,093 increase in base management fees and an increase in borrowings, which contributed to a $2,188,657 increase in interest expense, and (2) an increase in total investment income(3) unrealized appreciation which resulted in a ~~$1,651,855~~$435,731 increase in ~~investment income incentive fees, partially offset by a $762,845 decrease in capital gains incentive fees, which was driven by a $427,572 reversal of previously~~ accrued capital gains incentive fees, asand was partially offset by a ~~result of unrealized depreciation on investments during the period, largely due~~$477,237 decrease in interest expense, which was primarily driven by decreases in LIBOR and to ~~increased market volatility and wider credit spreads resulting from the onset of the COVID-19 pandemic.~~a lesser extent lower average borrowings outstanding.


		Three months ended June 30, 2020		Three months ended June 30, 2019		Nine months ended June 30, 2020		Nine months ended June 30, 2019			Three months ended December 31, 2020		Three months ended December 31, 2019
Expenses:	Expenses:									Expenses:
Base management fee	Base management fee	$	974,234	$	474,567	$	2,626,879	$	927,786	Base management fee	$	1,141,527	$	786,134
Investment income incentive fee	Investment income incentive fee	1,150,807		352,680		2,004,535		352,680		Investment income incentive fee	1,563,232		49,915
Capital gains incentive fee	Capital gains incentive fee	—		26,925		(427,572)		335,273		Capital gains incentive fee	1,113,049		677,318
Offering costs		—		199,384		—		561,757
Organization expenses		—		—		—		56,921
Professional fees	Professional fees	218,178		238,916		639,954		622,685		Professional fees	287,729		167,983
Directors fees	Directors fees	38,750		26,250		116,387		78,750		Directors fees	38,750		38,887
Interest expense	Interest expense	797,125		1,008,482		3,784,294		1,595,637		Interest expense	877,956		1,355,193
Administrator expense	Administrator expense	132,370		87,978		376,657		300,075		Administrator expense	90,956		113,917
General and administrative expenses	General and administrative expenses	192,590		195,265		596,599		564,766		General and administrative expenses	249,911		208,146
Total expenses	Total expenses	$	3,504,054	$	2,610,447	$	9,717,733	$	5,396,330	Total expenses	$	5,363,110	$	3,397,493

Net Unrealized Appreciation (Depreciation)

Net unrealized appreciation was ~~$29,288,677~~$5,185,354 for the three months ended ~~June 30,~~December 31, 2020, ~~largely due to price increases on liquid debt~~primarily driven by unrealized appreciation across various investments ~~and~~in the ~~impact of tighter credit spreads on private debt investment valuations following the improvement in broader credit market conditions.~~portfolio. Net unrealized appreciation ~~on investments~~ was ~~$77,223~~$3,062,531 for the three months ended ~~June 30, 2019.~~

Net unrealized depreciation was $8,059,705 for the nine months ended June 30, 2020, largely due to increased market volatility and wider credit spreads resulting from the onset of the COVID-19 pandemic in March 2020 and the direct impact of the COVID-19 pandemic on certain of our portfolio companies. Net unrealized appreciation on investments was $1,526,712 for the nine months ended June 30,December 31, 2019, ~~and was~~ primarily driven by unrealized appreciation across various investments in the portfolio, including $1.1 million of unrealized appreciation on ~~three investments.~~our investment in Sorrento Therapeutics, Inc.

Net Realized Gains (Losses)

Net realized gains were ~~$1,648,841~~$384,604 and ~~$57,403~~$324,057 for the three months ended ~~June 30,~~December 31, 2020 and 2019, respectively, primarily driven by realized gains resulting from exits of various ~~investments~~investment in the ~~portfolio. Net~~portfolio, which were partially offset by realized ~~gains were $2,280,756 and $149,657~~losses on foreign currency forward contracts for the ~~nine~~three months ended ~~June 30, 2020 and 2019, respectively, primarily driven by realized gains resulting from exits of various investments in the portfolio.~~December 31, 2020.

Financial Condition, Liquidity and Capital Resources

We generate cash from (1) the cash proceeds from ~~Private Offerings and any other future~~ offerings of securities, (2) cash flows from operations, including earnings on investments, as well as interest earned from the temporary investment of cash in cash-equivalents, U.S. government securities and other high-quality debt investments that mature in one year or less, and (3) borrowings from banks and issuances of senior ~~securities, including before we have fully invested the cash proceeds of the Private Offerings.~~securities.

Our primary use of cash is for (1) investments in portfolio companies and other investments to comply with certain portfolio diversification requirements, (2) the cost of operations (including our expenses, the Management Fee and the Incentive Fee), (3) debt service of borrowings under our credit facilities, and (4) cash distributions to the stockholders.

For the ~~nine~~three months ended ~~June 30,~~December 31, 2020, we experienced a net increase in cash and cash equivalents and restricted cash of ~~$21,877,276.~~$10,101,713. During that period, ~~$147,869,853~~$2,666,723 of cash was used in operating activities, primarily consisting of cash used to fund new investments, partially offset by cash proceeds from the sales and repayments of investments. During the same period, cash provided by financing activities was ~~$169,792,438,~~$12,926,048, primarily consisting of ~~$12,000,000~~$30,000,000 of net borrowings under our credit facilities, ~~and $169,064,498 of net proceeds from Private Offerings,~~ partially offset by distributions to stockholders of ~~$10,951,285.~~$16,879,089 and financings costs paid of $194,863.

For the ~~nine~~three months ended ~~June 30,~~December 31, 2019, we experienced a net decrease in cash and cash equivalents and restricted cash of ~~$3,149,446.~~$436,421. During that period, ~~$171,010,122~~$56,215,157 of cash was used in operating activities, primarily consisting of cash used to fund new investments, partially offset by cash proceeds from the sales and repayments of investments. During the same period, cash provided by financing activities was ~~$167,815,406,~~$55,778,486, primarily consisting of ~~$70,510,430~~$60,500,000 of net borrowings under our credit facilities and $347,500 of net proceeds from Private Offerings, ~~and $98,000,000~~partially offset by distributions to stockholders of ~~net borrowings under our credit facility.~~$5,069,014.

As of ~~June 30,~~December 31, 2020, we had ~~$33,225,402~~$41,117,799 of cash and cash equivalents (including ~~$2,091,880~~$4,068,407 of restricted cash), portfolio investments (at fair value) of ~~$405,533,867, $1,494,779~~$468,177,605, $1,717,733 of interest receivable, ~~$95,000,000~~$135,000,000 of borrowings outstanding under our credit facilities, ~~$9,063,269~~$38,274,013 of net payables from unsettled transactions and unfunded commitments of ~~$43,200,592.~~$56,806,051.

As of September 30, ~~2019,~~2020, we had ~~$11,348,126~~$31,016,086 of cash and cash equivalents (including ~~$269,111~~$2,273,803 of restricted cash), portfolio investments (at fair value) of ~~$291,147,011, $1,005,398~~$429,851,146, $1,485,133 of interest receivable, ~~$347,500 of receivable for shares sold, $83,000,000~~$105,000,000 of borrowings outstanding under our credit facilities, ~~$47,048,497~~$5,480,988 of net payables from unsettled transactions and unfunded commitments of ~~$11,030,903.~~$43,585,363.

Equity Activity

As of ~~June 30,~~December 31, 2020, we ~~received~~completed drawdowns of $337,558,996, inor 100%, of Capital Commitments from investors in connection with Private Offerings, of which $3,854,346 in Capital Commitments were made by one or more affiliates of the Adviser. ~~As of June 30, 2020, we completed drawdowns of $337,558,996, or 100.0%, of such Capital Commitments.~~

We have the authority under our organizational documents to issue 250,000,000 shares of Common Stock, $0.001 per share par value and 100,000,000 shares of preferred stock, $0.001 per share par value. The following table summarizes total shares issued and proceeds related to capital drawdowns delivered pursuant to the Subscription Agreements for our Common Stock through ~~June 30,~~December 31, 2020:


	Shares Issued	Price per Share		Proceeds
August 6, 2018 (1)	770,869	$	20.00	$	15,417,385
September 17, 2018	770,869	20.00		15,417,384
October 29, 2018	1,060,964	19.85		21,060,130
November 15, 2018	789,198	19.82		15,641,900
April 29, 2019	1,655,314	20.40		33,768,400
August 30, 2019	1,631,324	20.70		33,768,400
September 23, 2019	1,631,323	20.70		33,768,399
March 26, 2020 (2)	3,263,385	20.68		67,486,799
April 30, 2020 (2)	5,827,875	17.37		101,230,199
Total	17,401,121			$	337,558,996

__________________

(1)Includes 50 shares issued to one or more affiliates of the Adviser on July 23, 2018.

(2)For the March 26, 2020 and April 30, 2020 drawdowns, the shares issued exclude 2,418 shares and 4,318 shares related to defaulted investors. In connection with these defaults, Capital Commitments and proceeds from capital drawdowns were each reduced by $125,000.

Leverage

On July 9, 2018, our sole stockholder approved our becoming subject to a minimum asset coverage ratio of 150% as set forth in Section 61(a)(2) of the Investment Company Act. As a result of this approval, we are permitted to borrow amounts so long as our asset coverage ratio, as defined in the Investment Company Act, is at least 150% after such borrowing (if certain requirements are met). As of ~~June 30,~~December 31, 2020, our asset coverage ratio, as defined in the Investment Company Act, was ~~452.0%~~351.3%, and ~~aggregate~~senior securities outstanding ~~principal amount of indebtedness was $95.0~~were $135.6 million.

We may issue debt securities or preferred stock and/or borrow additional money from banks or other financial institutions, which we refer to collectively as "senior securities," up to the maximum amount permitted by the Investment Company Act. We have securitized and may in the future securitize a portion of our investments to the extent permitted by applicable law and regulation. To securitize investments, we typically create a wholly-owned subsidiary and contribute a pool of loans to the subsidiary. We then typically

sell interests in the subsidiary on a non-recourse basis to purchasers and we would retain all or a portion of the equity in the subsidiary. Our primary uses of funds are investments in our targeted asset classes and cash distributions to holders of our common stock.

CNB-1 Facility

On October 16, 2018, we entered into a revolving credit agreement (the “CNB-1 Loan Agreement”) between us, as borrower, and City National Bank ("CNB"), as lender. ~~As of June 30, 2020,~~Prior to its termination, the CNB-1 Loan Agreement provided for a senior secured revolving credit facility (the "CNB-1 Facility"), of up to $60 million (the "CNB-1 Facility Maximum Commitment"), in aggregate principal amount, subject to the lesser of (i) a percentage of unfunded commitments from certain classes of eligible investors in the Company and

(ii) the CNB-1 Facility Maximum Commitment and had a scheduled maturity date of October 15, 2020. On May 1, 2020, we repaid all borrowings outstanding under the CNB-1 Facility, following which the CNB-1 Facility was terminated.

Borrowings under the CNB-1 Facility bore interest at a rate equal to (a) the LIBOR for the selected period plus 1.65% for LIBOR loans or (b) the prime rate of CNB minus 0.25% for prime rate loans. There was a non-usage fee of 25 basis points per year on the unused portion of the CNB-1 Facility, payable quarterly.

The CNB-1 Facility was secured by a first priority security interest, subject to customary exceptions, in (i) all Capital Commitments, (ii) our right to make capital calls, receive payment of capital contributions from investors and enforce payment of capital commitments and capital contributions under our Subscription Agreements with investors and other operative documents and (iii) a cash collateral account into which the capital contributions from investors are made. We made customary representations and warranties and were required to comply with various affirmative and negative covenants, reporting requirements and other customary requirements for similar credit facilities. Our borrowings, including under the CNB-1 Facility, were subject to the leverage restrictions contained in the Investment Company Act.

As of ~~June~~December 31, 2020 and September 30, 2020, we had no borrowings ~~outstanding under the CNB-1 Facility. As of September 30, 2019, we had $65.0 million~~ outstanding under the CNB-1 Facility. Our borrowings under the CNB-1 Facility bore interest at a weighted average interest rate of ~~3.27% and 4.11%~~3.58% for the ~~nine~~three months ended ~~June 30, 2020 and 2019, respectively.~~December 31, 2019. For the three ~~and nine~~ months ended ~~June 30, 2020, we recorded interest expense (inclusive of fees) of $165,523 and $1,769,383, respectively, related to the CNB-1 Facility. For the three and nine months ended June 30,~~December 31, 2019, we recorded interest expense (inclusive of fees) of ~~$1,008,482 and $1,595,637, respectively,~~$790,573 related to the CNB-1 Facility.

CNB-2 Facility

On June 9, 2020 (the “CNB-2 Closing Date”), we entered into a loan and security agreement (the “CNB-2 Loan Agreement”) between us, as borrower, and CNB, as lender. The CNB-2 Loan Agreement provides for a senior secured revolving credit facility (the “CNB-2 Facility”) of up to $50 million (the “CNB-2 Facility Maximum Commitment”) in aggregate principal amount, subject to the lesser of (i) the borrowing base, which is an amount determined by applying different rates to eligible assets held by the Company based generally on the value of such assets orand (ii) the CNB-2 Facility Maximum Commitment. The maturity date of the CNB-2 Facility is June 9, 2023.

The CNB-2 Facility is secured by a first priority security interest in substantially all of our assets, including our portfolio investments. We have made customary representations and warranties and are required to comply with various affirmative and negative covenants, reporting requirements and other customary requirements for similar credit facilities. Our borrowings, including under the CNB-2 Facility, are subject to the leverage restrictions contained in the Investment Company Act.

As of ~~June~~December 31, 2020 and September 30, 2020, we had $30.0 million and $5.0 million, respectively, outstanding under the CNB-2 Facility. For the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020, our borrowings under the CNB-2 Facility bore interest at a weighted average interest rate of ~~3.17%~~3.15% and we recorded interest expense (inclusive of fees) of ~~$13,748~~$175,261 related to the CNB-2 Facility.

Citibank Facility

On July 26, 2019 (the "Citibank Closing Date"), we and OSI 2 Senior Lending SPV, LLC ("OSI 2 SPV"), a wholly-owned and consolidated subsidiary of us, entered into a loan and security agreement, which was subsequently amended on September 20, 2019, ~~and~~ July 2, 2020 and December 31, 2020 (as amended, the "Citibank Loan Agreement"), with the lenders from time to time party thereto and the other parties referenced below. Under the terms of the Citibank Loan Agreement, we serve as the collateral manager and seller and OSI 2 SPV serves as borrower with Citibank, N.A., as administrative agent, and Deutsche Bank Trust Company Americas, as collateral agent.

As of ~~June 30,~~December 31, 2020, the Citibank Loan Agreement provided for a senior secured revolving credit facility (the "Citibank Facility"), of up to ~~$100~~$200 million (the "Citibank Maximum Commitment"), in aggregate principal amount, subject to the lesser of (i) the borrowing base, which is an amount based on advance rates that vary depending on the class of assets and the value assigned to such assets under the Citibank Loan Agreement and (ii) the Citibank Maximum Commitment. The Citibank Facility has a three year reinvestment period

~~(the~~ (the "Reinvestment Period"), during which advances may be made; and matures five years from the Citibank Closing Date. Following the Reinvestment Period, OSI 2 SPV will be required to make certain mandatory amortization payments. Borrowings under the Citibank Facility bear interest payable quarterly at a rate per year equal to (a) in the case of a lender that is identified as a conduit lender under the Loan Agreement, the lesser of (i) the applicable commercial paper rate for such conduit lender and (ii) the LIBOR for a three month maturity and (b) for all other lenders under the Citibank Facility, LIBOR, plus, in each case, an applicable spread. During the Reinvestment Period, (1) the applicable spread for any borrowings up to$150 million is the greater of (i) a weighted average rate of (x) 1.65% per year for broadly syndicated loans and (y) 2.25% per year for all other eligible loans and (ii) 1.85%, and (2) with respect to any borrowings in excess of $150 million, the applicable spread is the greater of (i) a weighted average rate of (x) 2.25% per year for broadly syndicated loans and (y) 3.00% per year for all other eligible loans and (ii) 1.85%. After the Reinvestment Period, the applicable spread is 3.00% per year. There is also a non-usage fee of (i) 0.40% per year for the first six months

following the Citibank Closing Date (the "Ramp-Up Period"), and (ii) 0.50% per year thereafter, in each case, on the unused portion of the Citibank Facility, payable quarterly; provided that if after the Ramp-Up Period the unused portion of the Citibank Facility is greater than 30% of the commitments under the Citibank Facility, the non-usage fee will be based on an unused portion of 30% of the commitments under the Citibank Facility.

The Citibank Facility is secured by a first priority security interest in substantially all of OSI 2 SPV’s assets.

Under the Citibank Facility, we and OSI 2 SPV, as applicable, have made customary representations and warranties, and are required to comply with various affirmative and negative covenants, reporting requirements and other customary requirements for similar credit facilities.

OSI 2 SPV’s borrowings are non-recourse to us but are considered borrowings of us for purposes of complying with the asset coverage requirements under the Investment Company Act.

As of ~~June 30,~~December 31, 2020 and September 30, ~~2019,~~2020, we had ~~$90.0~~$105.0 million and ~~$18.0~~$100.0 million, respectively, outstanding under the Citibank ~~Facility, respectively.~~Facility. Our borrowings under the Citibank Facility bore interest at a weighted average interest rate of ~~3.16%~~2.09% and 3.87% for the ~~nine~~three months ended ~~June 30, 2020.~~December 31, 2020 and 2019, respectively. For the three ~~and nine~~ months ended ~~June 30,~~December 31, 2020 and 2019, we recorded interest expense (inclusive of fees) of ~~$617,854~~$702,695 and ~~$2,001,163,~~$564,620, respectively, related to the Citibank Facility.

Contractual Obligations


		Debt Outstanding as of September 30, 2019		Debt Outstanding as of June 30, 2020		Weighted average debt outstanding for the nine months ended June 30, 2020		Maximum debt outstanding for the nine months ended June 30, 2020			Debt Outstanding as of September 30, 2020		Debt Outstanding as of December 31, 2020		Weighted average debt outstanding for the three months ended December 31, 2020		Maximum debt outstanding for the three months ended December 31, 2020
CNB-1 Facility		$	65,000,000	$	—	$	58,423,358	$	100,000,000
Citibank Facility	Citibank Facility	18,000,000		90,000,000		73,321,168		99,000,000		Citibank Facility	$	100,000,000	$	105,000,000	$	101,195,652	$	105,000,000
CNB-2 Facility	CNB-2 Facility	—		5,000,000		18,248		5,000,000		CNB-2 Facility	5,000,000		30,000,000		7,826,087		30,000,000
Total debt	Total debt	$	83,000,000	$	95,000,000	$	131,762,774			Total debt	$	105,000,000	$	135,000,000	$	109,021,739


		Payments due by period as of June 30, 2020																			Payments due by period as of December 31, 2020
		Total		< 1 year		1-3 years		3-5 years		> 5 years			Total		< 1 year		1-3 years		3-5 years
CNB-2 Facility	CNB-2 Facility	$	5,000,000	$	—	$	5,000,000	$	—	$	—	CNB-2 Facility	$	30,000,000	$	—	$	30,000,000	$	—
Interest due on CNB Facility		465,241		158,113		307,128		—		—
Interest due on CNB-2 Facility												Interest due on CNB-2 Facility	2,303,027		944,500		1,358,527		—
Citibank Facility	Citibank Facility	90,000,000		—		—		90,000,000		—		Citibank Facility	105,000,000		—		—		105,000,000
Interest due on Citibank Facility	Interest due on Citibank Facility	7,890,470		1,936,800		3,873,600		2,080,070		—		Interest due on Citibank Facility	7,902,959		2,213,799		4,427,598		1,261,562
Total	Total	$	103,355,711	$	2,094,913	$	9,180,728	$	92,080,070	$	—	Total	$	145,205,986	$	3,158,299	$	35,786,125	$	106,261,562

5558

Off-Balance Sheet Arrangements

We may be a party to financial instruments with off-balance sheet risk in the normal course of business to meet the financial needs of our portfolio companies. As indicated in the table below, as of ~~June 30,~~December 31, 2020 and September 30, ~~2019,~~2020, off-balance sheet arrangements consisted of ~~$43,200,592~~$56,806,051 and ~~$11,030,903,~~$43,585,363, respectively, of unfunded commitments to provide debt financing to certain of our portfolio companies. Such commitments are subject to the portfolio company's satisfaction of certain financial and nonfinancial covenants and may involve, to varying degrees, elements of credit risk in excess of the amount recognized in our Consolidated Statements of Assets and Liabilities.


		June 30, 2020		September 30, 2019			December 31, 2020		September 30, 2020
Athenex, Inc.		$	13,375,980	$	—
WPEngine, Inc.	WPEngine, Inc.	9,504,950		—		WPEngine, Inc.	$	9,504,950	$	9,504,950
NuStar Logistics, L.P.	NuStar Logistics, L.P.	7,054,000		—		NuStar Logistics, L.P.	7,054,000		7,054,000
A.T. Holdings II SÀRL		4,080,000		—
Athenex, Inc.						Athenex, Inc.	6,242,124		8,322,832
Thrasio, LLC						Thrasio, LLC	3,917,106		—
FFI Holdings I Corp						FFI Holdings I Corp	3,800,000		—
Assembled Brands Capital LLC	Assembled Brands Capital LLC	3,586,452		3,807,021		Assembled Brands Capital LLC	3,606,303		3,904,072
Jazz Acquisition, Inc.						Jazz Acquisition, Inc.	3,592,000		—
Gulf Operating, LLC						Gulf Operating, LLC	3,470,000		—
Latam Airlines Group S.A.						Latam Airlines Group S.A.	2,883,500		—
MRI Software LLC						MRI Software LLC	2,305,246		2,577,616
Ardonagh Midco 3 PLC						Ardonagh Midco 3 PLC	1,790,478		2,148,573
NeuAG, LLC						NeuAG, LLC	1,551,000		1,551,000
Corrona, LLC	Corrona, LLC	1,894,500		—		Corrona, LLC	1,448,833		1,894,500
ADB Companies, LLC						ADB Companies, LLC	1,333,333		—
Olaplex, Inc.						Olaplex, Inc.	1,026,000		513,000
Accupac, Inc.	Accupac, Inc.	856,511		—		Accupac, Inc.	856,511		856,511
MRI Software LLC		839,625		—
OEConnection LLC		822,511		817,204
Mindbody, Inc.						Mindbody, Inc.	761,905		761,905
Telestream Holdings Corporation						Telestream Holdings Corporation	501,000		—
Acquia Inc.	Acquia Inc.	468,601		—		Acquia Inc.	468,601		468,601
Apptio, Inc.	Apptio, Inc.	461,538		461,538		Apptio, Inc.	461,538		461,538
PaySimple, Inc.		167,689		2,695,000
Immucor, Inc.						Immucor, Inc.	197,694		197,694
OEConnection LLC						OEConnection LLC	33,929		560,336
A.T. Holdings II SÀRL						A.T. Holdings II SÀRL	—		2,720,000
iCIMs, Inc.	iCIMs, Inc.	88,235		88,235		iCIMs, Inc.	—		88,235
Sorrento Therapeutics, Inc.		—		2,400,000
Mindbody, Inc.		—		761,905
		$	43,200,592	$	11,030,903		$	56,806,051	$	43,585,363

Regulated Investment Company Status and Distributions

We anticipate that we will make quarterly distributions of at least 90% of our realized net ordinary income and net short-term capital gains in excess of our net long-term capital losses, if any, then available for distribution, each as determined by our board of directors in accordance with applicable law and the terms of the Governing Documents. Any distributions will be declared out of assets legally available for distribution. We expect quarterly distributions to be paid from income primarily generated by interest earned on our investments, although distributions to stockholders may also include a return of capital.

We have elected to be treated, and intend to qualify annually, as a RIC under Subchapter M of the Code. To maintain RIC qualification, we must distribute to our stockholders, for each tax year, at least 90% of our “investment company taxable income” for that year. In order to avoid certain excise taxes imposed on RICs, we intend to distribute during each calendar year an amount at least equal to the sum of: (1) 98% of our ordinary income for the calendar year; (2) 98.2% of our capital gain net income (both long-term and short-term) for the one-year period ending on October 31 of the calendar year; and, (3) any undistributed ordinary income and capital gain net income for preceding years on which we paid no U.S. federal income tax less certain over-distributions in prior years. In addition, although we currently intend to distribute realized net capital gains (i.e., net long term capital gains in excess of short term capital losses), if any, at least annually, we may in the future decide to retain such capital gains for investment, pay U.S. federal income tax on such amounts at regular corporate tax rates, and elect to treat such gains as deemed distributions to stockholders. We can offer no assurance that we will achieve results that will permit the payment of any cash distributions and, to the extent that we issue senior

securities, we will be prohibited from making distributions if doing so causes us to fail to maintain the asset coverage ratios stipulated by the Investment Company Act or if distributions are limited by the terms of any of our borrowings.

Depending on the level of taxable income and net capital gain earned in a year, we may choose to carry forward taxable income or net capital gain for distribution in the following year and pay the applicable U.S. federal excise tax. Distributions will be appropriately adjusted for any taxes payable by us or any direct or indirect subsidiary through which it invests (including any corporate, state, local, non-U.S. and withholding taxes). Any Incentive Fee to be paid to our Adviser will not be reduced to take into account any such taxes.

We may generate qualified net interest income or qualified net short-term capital gains that may be exempt from U.S. withholding tax when distributed to foreign stockholders. A RIC is permitted to designate distributions of qualified net interest income and qualified short-term capital gains as exempt from U.S. withholding tax when paid to non-U.S. shareholders with proper documentation. The

following table, which may be subject to change as we finalize our annual tax filings, lists the percentage of qualified net interest income and qualified short-term capital gains for the year ended September 30, ~~2019,~~2020, our most recently completed tax year end.


~~Year Ended~~	~~Qualified Net Interest Income~~		~~Qualified Short-Term Capital Gains~~
~~September 30, 2019~~	~~96.0~~	%	—


Year Ended	Qualified Net Interest Income		Qualified Short-Term Capital Gains
September 30, 2020	67.8	%	7.5	%

The following table reflects the distributions per share that we have paid on our common stock during the ~~nine~~three months ended ~~June 30,~~December 31, 2020:


Record Date	Payment Date	Amount per Share		Cash Distribution
December 15, 2020	December 31, 2020	$	0.35	$	6,090,393
December 15, 2020	December 31, 2020	0.62		10,788,696
		$	0.97	$	16,879,089

NoThe following table reflects the distributions ~~were~~per share that the Company has paid ~~to our stockholders~~on its common stock during the ~~nine~~three months ended ~~June 30, 2019.~~December 31, 2019:


Record Date	Payment Date	Amount per Share		Cash Distribution
November 7, 2019	November 21, 2019	$	0.29	$	2,409,859
December 13, 2019	December 30, 2019	0.32		2,659,155
		$	0.61	$	5,069,014

Related Party Transactions

We have entered into the Investment Advisory Agreement with the Adviser and the Administration Agreement with the Administrator, an affiliate of the Adviser. The Adviser is a registered investment adviser under the Investment Advisers Act of 1940, as amended, and is a subsidiary of Oaktree Capital Group, LLC.

Recent Developments

~~Citibank Facility~~

~~On July 2, 2020, OSI 2 SPV, a wholly-owned and consolidated subsidiary of us, entered into a second amendment (the “SPV Facility Amendment”) to the Citibank Loan Agreement.~~

Distribution Declaration

On ~~August 12, 2020,~~February 5, 2021, our Board of Directors approved a quarterly distribution of ~~$0.27~~$0.35 per share, payable in cash on ~~September 30, 2020~~March 26, 2021 to our stockholders of record as of ~~September~~the close of business on March 15, ~~2020.~~2021.

5760

Item 3. Quantitative and Qualitative Disclosures about Market Risk

We are subject to financial market risks, including changes in the valuations of our investment portfolio and interest rates.

Valuation Risk

Our investments often do not have a readily available market price, and we value these investments at fair value as determined in good faith by our board of directors, with the assistance of the Audit Committee and the Adviser. There is no single standard for determining fair value in good faith and valuation methodologies involve a significant degree of management judgment. In addition, our valuation methodology utilizes discount rates in part in valuing our investments, and changes in those discount rates may have an impact on the valuation of our investments. Accordingly, valuations by us do not necessarily represent the amounts which may eventually be realized from sales or other dispositions of investments. Estimated fair values may differ from the values that would have been used had a ready market for the investment existed, and the differences could be material to our consolidated financial statements.

Interest Rate Risk

We are subject to financial market risks, including changes in interest rates. Changes in interest rates may affect both our cost of funding and our interest income from portfolio investments, cash and cash equivalents and idle funds investments. Our risk management systems and procedures are designed to identify and analyze our risk, to set appropriate policies and limits and to continually monitor these risks and limits by means of reliable administrative and information systems and other policies and programs. Our investment income will be affected by changes in various interest rates, including LIBOR and prime rates, to the extent our debt investments include floating interest rates.

As of ~~June 30,~~December 31, 2020, ~~86.3%~~90.0% of our debt investment portfolio at fair value bore interest at floating rates. The composition of our floating rate debt investments by interest rate floor as of ~~June 30,~~December 31, 2020 and September 30, ~~2019~~2020 was as follows:


		June 30, 2020						September 30, 2019							December 31, 2020				September 30, 2020
($ in thousands)	($ in thousands)	Fair Value		% of Floating Rate Portfolio		Fair Value		% of Floating Rate Portfolio		($ in thousands)	Fair Value		% of Floating Rate Portfolio		Fair Value		% of Floating Rate Portfolio
0%	0%	$	176,351,915	50.76	%	$	148,908,568	55.02	%	0%	$	119,325,554	28.43	%	$	157,901,514	41.07	%
>0% and <1%	>0% and <1%	5,236,875		1.51		6,770,487		2.50		>0% and <1%	49,908,916		11.89		22,669,112		5.90
1%	1%	160,758,331		46.28		110,905,192		40.98		1%	237,378,564		56.54		186,952,230		48.63
>1%	>1%	5,050,022		1.45		4,068,900		1.50		>1%	13,202,010		3.14		16,920,741		4.40
Total	Total	$	347,397,143	100.00	%	$	270,653,147	100.00	%	Total	$	419,815,044	100.00	%	$	384,443,597	100.00	%

Based on our Consolidated Statements of Assets and Liabilities as of ~~June 30,~~December 31, 2020, the following table shows the approximate annualized net increase (decrease) in net assets resulting from operations of hypothetical base rate changes in interest rates, assuming no changes in our investment and capital structure. However, there can be no assurances our portfolio companies will be able to meet their contractual obligations at any or all levels of increases in interest rates.


Basis point increase	Basis point increase	Increase in Interest Income		(Increase) in Interest Expense		Net increase (decrease) in net assets resulting from operations		Basis point increase	Increase in Interest Income		(Increase) in Interest Expense		Net increase (decrease) in net assets resulting from operations
250	250	$	7,685,895	$	(2,375,000)	$	5,310,895	250	$	8,152,225	$	(3,375,000)	$	4,777,225
200	200	5,898,449		(1,900,000)		3,998,449		200	6,073,359		(2,700,000)		3,373,359
150	150	4,124,128		(1,425,000)		2,699,128		150	3,994,493		(2,025,000)		1,969,493
100	100	2,357,077		(950,000)		1,407,077		100	1,951,461		(1,350,000)		601,461
50	50	968,299		(475,000)		493,299		50	646,688		(675,000)		(28,312)

Basis point decrease (1) (Decrease) in Interest Income Decrease in Interest Expense Net increase (decrease) in net assets resulting from operations
50 $ (394,582) $ 279,913 $ (114,669)
100 (400,071) 279,913 (120,158)
150 (405,560) 279,913 (125,647)
200 (411,048) 279,913 (131,135)

~~__________~~

~~(1)~~ The net effect of ~~a greater than 200 basis point~~any decrease in interest rates is limited byand would not be of significance due to interest rate floors on ~~certain investments.~~

investments and borrowings outstanding.

We regularly measure exposure to interest rate risk. We assess interest rate risk and manage our interest rate exposure on an ongoing basis by comparing our interest rate sensitive assets to our interest rate sensitive liabilities. Based on this review, we determine whether or not any hedging transactions are necessary to mitigate exposure to changes in interest rates. The interest rate on the principal balance outstanding for all floating rate loans is indexed to the LIBOR and/or an alternate base rate (e.g., prime rate), which typically resets semi-annually, quarterly, or monthly at the borrower's option. The borrower may also elect to have

multiple interest reset periods for each loan. The following table shows a comparison of the interest rate base for our outstanding debt investments, at principal, and our outstanding borrowings as of ~~June 30,~~December 31, 2020 and September 30, ~~2019:~~2020:


		June 30, 2020						September 30, 2019							December 31, 2020				September 30, 2020
		Debt Investments		Borrowings		Debt Investments		Borrowings			Debt Investments		Borrowings		Debt Investments		Borrowings
Prime rate	Prime rate	$	1,097,727	$	—	$	—	$	—	Prime rate	$	1,097,727	$	—	$	1,097,727	$	—
LIBOR:	LIBOR:									LIBOR:
30 day	30 day	212,861,638		5,000,000		177,185,974		65,000,000		30 day	224,123,537		30,000,000		236,868,831		5,000,000
60 day	60 day	2,000,000		—		—		—		60 day	—		—		884,313		—
90 day	90 day	102,375,792		90,000,000		92,053,874		18,000,000		90 day	150,226,986		105,000,000		101,322,531		100,000,000
180 day	180 day	45,329,897		—		1,409,167		—		180 day	31,243,094		—		40,118,326		—
360 day	360 day	1,265,865		—		—		—		360 day	1,230,044		—		1,243,477		—
EURIBOR:	EURIBOR:									EURIBOR:
30 day	30 day	5,780,853		—		2,725,500		—		30 day	6,297,612		—		6,035,630		—
180 day										180 day	1,258,945		—		1,206,572		—
UK LIBOR:										UK LIBOR:
30 day										30 day	2,733,900		—		—		—
180 day										180 day	11,430,414		—		10,440,873		—
Fixed rate	Fixed rate	52,055,853		—		19,020,775		—		Fixed rate	44,903,738		—		41,127,259		—
Total	Total	$	422,767,625	$	95,000,000	$	292,395,290	$	83,000,000	Total	$	474,545,997	$	135,000,000	$	440,345,539	$	105,000,000

5962

Item 4. Controls and Procedures

As of the end of the period covered by this report, management, with the participation of the Company’s Chief Executive Officer (principal executive officer) and Chief Financial Officer (principal financial officer), evaluated the effectiveness of our disclosure controls and procedures as of ~~June 30,~~December 31, 2020. The term “disclosure controls and procedures,” as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended, or the Exchange Act, means controls and other procedures of a company that are designed to ensure that information required to be disclosed by a company in the reports that it files or submits under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the SEC’s rules and forms. Disclosure controls and procedures include, without limitation, controls and procedures designed to ensure that information required to be disclosed by a company in the reports that it files or submits under the Exchange Act is accumulated and communicated to the company’s management, including its chief executive officer and chief financial officer, as appropriate to allow timely decisions regarding required disclosure. Management recognizes that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving their objectives, and management necessarily applies its judgment in evaluating the benefits of possible controls and procedures relative to their costs. Based on the evaluation of our disclosure controls and procedures as of ~~June 30,~~December 31, 2020, our Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were effective, at the reasonable assurance level, in timely identifying, recording, processing, summarizing and reporting any material information relating to us that is required to be disclosed in the reports we file or submit under the Exchange Act.

There were no changes in our internal control over financial reporting that occurred during the three months ended ~~June 30,~~December 31, 2020 that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

PART II — OTHER INFORMATION

Item 1. Legal Proceedings

From time to time, we may be a party to certain legal proceedings in the ordinary course of business, including proceedings relating to the enforcement of our rights under loans to or other contracts with our portfolio companies. We are not currently subject to any material legal proceedings, and, to our knowledge, no material legal proceeding is threatened against us.

Item 1A. Risk Factors

~~In addition~~There have been no material changes during the three months ended December 31, 2020 to the ~~other information~~risk factors discussed in ~~this Form 10-Q, consideration should be given to the information disclosed~~Item 1A. Risk Factors in ~~“Risk Factors” in Part I, Item 1A of~~ our Annual Report on Form 10-K for the year ended September 30, 2019 and the following risk factors we have added regarding the impacts of the COVID-19 pandemic, which reemphasize and in some cases update certain risk factors we have previously disclosed and provide specific context under the current environment.

Global economic, political and market conditions caused by the current public health crisis have adversely affected, and may continue to adversely affect our business, results of operations and financial condition and those of our portfolio companies.

A novel strain of coronavirus initially appeared in China in late 2019 and rapidly spread to other countries, including the United States. In an attempt to slow the spread of the coronavirus, governments in many jurisdictions, including the United States, the United Kingdom, France, Italy, South Korea and China, placed restrictions on travel, issued “stay at home” orders and ordered the temporary closure of "non-essential" businesses, such as factories and retail stores. As these restrictions and closures have impacted supply chains, consumer demand and the operations of many business, uncertainty surrounding the full economic impact of the coronavirus pandemic contributed to significant market volatility and disruption. These and any other unfavorable economic conditions may have long-term effects on the U.S. and global financial markets and have caused (and may cause further) economic uncertainties and deterioration in the United States and worldwide.

Disruptions in the capital markets increased the spread between the yields realized on risk-free and higher risk securities, resulting in illiquidity in parts of the capital markets, significant write-offs in the financial sector and re-pricing of credit risk in the broadly syndicated market. These and any other unfavorable economic conditions created by the coronavirus and related restrictions and closures could increase our funding costs, limit our access to the capital markets and result in a decision by lenders not to extend credit to us. These events also could negatively impact the fair value of the investments that we hold, limit our investment originations (including as a result of the investment professionals of our Adviser diverting their time to the restructuring certain investments), negatively impact our operating results and limit our ability to grow. In addition, our success depends in substantial part on the management, skill and acumen of our Adviser, whose operations may be adversely impacted, including through quarantine measures and travel restrictions imposed on its investment professionals or service providers, or any related health issues of such investment professionals or service providers.

In addition, the coronavirus-related restrictions and closures and related market conditions resulted in certain of our portfolio companies halting or significantly curtailing operations and negatively affected the supply chains of certain of our portfolio companies. The financial results of middle-market companies in which we primarily invest, experienced deterioration, which could ultimately lead to difficulty in meeting debt service requirements and an increase in defaults, and further deterioration will further depress the outlook for middle-market companies. Further, adverse economic conditions may decrease the value of collateral securing some of our loans and the value of our equity investments. Such conditions may require us to modify the payment terms of our investments, including changes in PIK interest provisions and/or cash interest rates. The performance of certain of our portfolio companies has been, and in the future may continue to be, negatively impacted by these economic or other conditions, which may result in our receipt of reduced interest income from our portfolio companies and/or realized and unrealized losses related to our investments, and, in turn, may adversely affect distributable income and have a material adverse effect on our results of operations. In addition, as governments ease COVID-19 related restrictions, certain of our portfolio companies may experience increases in health and safety expenses, payroll costs and other operating expenses.

As the potential impact of the coronavirus remains difficult to predict, the extent to which the coronavirus could negatively affect our and our portfolio companies’ operating results or the duration of any potential business or supply-chain disruption is uncertain. Any potential impact to our results of operations will depend to a large extent on future developments

regarding the duration and severity of the coronavirus and the actions taken by governments and their citizens to contain the coronavirus, all of which are beyond our control. We monitor developments in economic, political and market conditions and seek to manage our investments in a manner consistent with achieving our investment objective, but there can be no assurance that we will be successful in doing so.

As a result of the COVID-19 pandemic and related government actions, certain of our portfolio companies are distressed, and we have opportunistically acquired the securities and obligations of distressed companies. These and future investments in distressed or bankrupt companies are subject to significant risks, including lack of income, extraordinary expenses, uncertainty with respect to satisfaction of debt, lower-than-expected investment values or income potentials and resale restrictions.

~~As a result of the COVID-19 pandemic and related government actions, certain of our portfolio companies are distressed,~~

and we have opportunistically acquired the securities and obligations of distressed companies. At times, distressed debt obligations may not produce income and may require us to bear certain extraordinary expenses (including legal, accounting, valuation and transaction expenses) in order to protect and recover our investment. Therefore, when we invest in distressed debt, our ability to achieve current income for our stockholders may be diminished, particularly where the portfolio company has negative EBITDA.

We also are subject to significant uncertainty as to when, in what manner and for what value the distressed debt we acquire will eventually be satisfied whether through a refinancing, restructuring, liquidation, an exchange offer or plan of reorganization involving the distressed debt securities or a payment of some amount in satisfaction of the obligation. In addition, even if an exchange offer is made or plan of reorganization is adopted with respect to distressed debt held by us, there can be no assurance that the securities or other assets received by us in connection with such exchange offer or plan of reorganization will not have a lower value or income potential than may have been anticipated when the investment was made.

Moreover, any securities received by us upon completion of an exchange offer or plan of reorganization may be restricted as to resale. As a result of our participation in negotiations with respect to any exchange offer or plan of reorganization with respect to an issuer of distressed debt, we may be restricted from disposing of such securities.

2020.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

None.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed as part of this report or hereby incorporated by reference to exhibits previously filed with the SEC:


Exhibit						Description
10.1						Third Amendment to Loan and Security Agreement, dated as of ~~June 9,~~December 31, 2020, by and ~~between~~among Oaktree Strategic Income II, Inc., ~~as borrower,~~OSI 2 Senior Lending SPV, LLC, and ~~City National Bank, as lender.~~Citibank, N.A.**
31.1						Certification of Chief Executive Officer (Principal Executive Officer) Pursuant to Rule 13a-14(a) of the Securities Exchange Act of 1934, as amended.*
31.2						Certification of Chief Financial Officer (Principal Financial Officer) Pursuant to Rule 13a-14 of the Securities Exchange Act of 1934, as amended.*
32.1						Certification of Chief Executive Officer (Principal Executive Officer) Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.*
32.2						Certification of Chief Financial Officer (Principal Financial Officer) Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.*


*			Filed herewith.
**			Incorporated by reference to the ~~Company’s~~ Form 8-K filed by the Company on ~~June 12, 2020~~January 6, 2021 (File No. 814-01281).

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

OAKTREE STRATEGIC INCOME II, INC.

By:

/s/ Armen Panossian

Armen Panossian

Chairman, Chief Executive Officer and Chief Investment Officer

By:

/s/ Mel Carlisle

Mel Carlisle

Chief Financial Officer and Treasurer

Date: ~~August 12, 2020~~February 10, 2021


Portfolio Company/Type of Investment (1)(2)(3)	Cash Interest Rate (4)		Industry	Principal (5)		Cost		Fair Value		Notes
Non-Control/Non-Affiliate Investments										(6)
Access CIG, LLC			Diversified Support Services
First Lien Term Loan, LIBOR+3.75% cash due 2/27/2025	6.07	%		$	7,551,410	$	7,483,710	$	7,471,214	(4)
						7,483,710		7,471,214
Adient US LLC			Auto Parts & Equipment
First Lien Term Loan, LIBOR+4.25% cash due 5/6/2024	6.46	%		4,987,500		4,962,563		4,918,922		(4)(9)
						4,962,563		4,918,922
AI Sirona (Luxembourg) Acquisition S.a.r.l.			Pharmaceuticals
Second Lien Term Loan, EURIBOR+7.25% cash due 7/10/2026	7.25	%		€	2,500,000	2,862,090		2,667,597		(4)(9)
						2,862,090		2,667,597
Air Medical Group Holdings, Inc.			Health Care Services
First Lien Term Loan, LIBOR+4.25% cash due 3/14/2025	6.29	%		$	1,089,907	1,067,643		1,023,602		(4)
						1,067,643		1,023,602
Aldevron, L.L.C.			Biotechnology
First Lien Term Loan, LIBOR+4.25% cash due 9/20/2026	6.36	%		4,000,000		3,960,000		4,020,000		(4)(11)
						3,960,000		4,020,000
Algeco Scotsman Global Finance Plc			Construction & Engineering
Fixed Rate Bond, 8.00% cash due 2/15/2023				1,000,000		1,020,274		1,002,800		(9)
						1,020,274		1,002,800
Altice France S.A.			Integrated Telecommunication Services
First Lien Term Loan, LIBOR+4.00% cash due 8/14/2026	6.03	%		4,000,000		4,000,000		3,997,500		(4)(9)
						4,000,000		3,997,500
Alvotech Holdings S.A.			Biotechnology
Fixed Rate Bond, 15.00% PIK Note A due 12/13/2023				2,000,000		2,203,231		2,444,400		(7)(9)(10)
Fixed Rate Bond, 15.00% PIK Note B due 12/13/2023				2,000,000		2,203,231		2,244,400		(7)(9)(10)
						4,406,462		4,688,800
Apptio, Inc.			Application Software
First Lien Term Loan, LIBOR+7.25% cash due 1/10/2025	9.56	%		7,129,297		7,001,960		6,997,404		(4)(7)
First Lien Revolver, LIBOR+7.25% cash due 1/10/2025				—		(8,119)		(8,538)		(4)(7)(8)
						6,993,841		6,988,866
Assembled Brands Capital LLC			Specialized Finance
First Lien Delayed Draw Term Loan, LIBOR+6.00% cash due 10/17/2023	8.10	%		—		604,359		604,359		(4)(7)(8)
174,131 Class A Units						82,713		84,576		(7)
110,285 Preferred Units, 6%						110,285		110,285		(7)
7,621 Class A Warrants (exercise price $3.3778) expiration date 9/9/2029						—		—		(7)
						797,357		799,220
Avantor Inc.			Health Care Distributors
Fixed Rate Bond, 9.00% cash due 10/1/2025				1,000,000		1,015,805		1,126,250
						1,015,805		1,126,250
Ball Metalpack Finco, LLC			Metal & Glass Containers
First Lien Term Loan, LIBOR+4.50% cash due 7/31/2025	6.62	%		1,481,250		1,475,024		1,397,930		(4)(7)(11)
						1,475,024		1,397,930
Boxer Parent Company Inc.			Systems Software
First Lien Term Loan, LIBOR+4.25% cash due 10/2/2025	6.29	%		8,573,368		8,404,544		8,265,456		(4)
						8,404,544		8,265,456
Canyon Buyer, Inc.			Application Software
First Lien Term Loan, LIBOR+4.25% cash due 2/15/2025	6.36	%		3,969,773		3,926,398		3,949,924		(4)
						3,926,398		3,949,924


Basis point decrease (1)	(Decrease) in Interest Income		Decrease in Interest Expense		Net increase (decrease) in net assets resulting from operations
50	$	(394,582)	$	279,913	$	(114,669)
100	(400,071)		279,913		(120,158)
150	(405,560)		279,913		(125,647)
200	(411,048)		279,913		(131,135)