Oaktree (Lux.) Funds Société d’Investissement à Capital Variable
Annual Report and audited financial statements as at 30.09.2020
R.C.S. Luxembourg B 172.546 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Table of Contents
Independent auditor’s report 3
Management and Administration 6
Consolidated Report 8
Notes 10
Manager’s Report 16
Annual report by Sub-fund Oaktree (Lux.) Funds - Oaktree Emerging Markets Equity Fund 22 Oaktree (Lux.) Funds - Oaktree European High Yield Bond Fund 29 Oaktree (Lux.) Funds - Oaktree Global Convertible Bond Fund 40 Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund 51 Oaktree (Lux.) Funds - Oaktree Global Ex-U.S. Convertible Bond Fund 67 Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund 74 Oaktree (Lux.) Funds - Oaktree European Convertible Bond Fund 87 .4 Ernst a& Young SociétéSociete anonyme
35E, Avenue .JohnJohn F. Kennedy 8.p.B.P.780 780 L-1855 LuxembourgLuxembourg L-2017 LuxembourgLuxembourg EYEY Tel: +352 42421241 124 1 R.C.S. Luxembourg B 47 771 Building a botterbetter TVA LU 16063074 working world www.ey.com/en_luwww.ey.com/en_Iu
lndependentaudüofsIndependent auditor's reposreport
To the Shareholders of Oaktree (Lux.) Funds 49, Avenue J.F. Kennedy L-1855 Luxembourg
Opinion
We have audited the fifinancialnancial statements of Oaktree (Lux.)(Lux.) FuFunds fds and of each of ilsits sub-funds (the "Fund"),"Fund"), which comprise the statement of net assesassets and the schedule of investmentsinvestments inin Securitiessecurities as at 30 September 2020, and the statement of Operationsoperations and changes inin net assesassets for the year thonthen ended, and the notes to the fifinancialnancial statements, includingincluding a sursummary mary of signisignificantficant accounting policies.
InIn Ourour opinion, the accompanying fifinancialnancial statements give a truerue and faitfair view of the fifinancialnancial position of the Fund and of each of ilsits sub-funds as at 30 September 2020, and of the results of their Operationsoperations and changes inin their netnet assesassets for the year then ended inin accordance with LuxembourgLuxembourg legallegal and regulatoryregulatory requirementsrequirements relatifrelating to the preparation and presentation of the fifinancialnancial statements.
Basis for Opinion
We conducted Ourour audit inin accordance with the Law of 23 July 2016 on the audit profession (the(the "Law of 23 July 2016") and with InternationalInternational Standards on Auditing ("SAs")("ISAs") as adopted for Luxembourg by the "Commission de SuweíllanceSurveillance du Secteur Financier" ("CSSF").("CSSF"). Our responsibilities Underunder the Law of 23 July 2016 and ISAsISAs are further described inin the "responsibilities of the "réviseur"reviseur d'entreprises agréé"agree" for the audit of the financial statements" section of Ourour report.report. We are also independentindependent of the Fund inin accordance with the InternationalInternational EtEthics fics Standards Board for Accountants' Code of EtEthics fics for ProfessionalProfessional Accountants ("lESBA("IESBA Code") as adopted for Luxembourg by the CSSF together with the ethical requirementsrequirements that are relevantrelevant to Ourour audit of the financial statements, and have fulfulfilledfilled Ourour other ethical responsibilitiesresponsibilities Underunder those ethical requirements. We believe that the audit evidence we have obtained Isis sufsufficientficient and appropriate to provide a basis for Ourour opinion.
Other informationinformation
The BoardBoard of Directors of the FundFund Isis responsibleresponsible for the other information.information. The other informationinformation comprises the informationinformation includedincluded inin the annuelannual reportreport but duesdoes not includeinclude the financial statements and Ourour reportreport of the "réviseur"reviseur d'entreprises agrée"agree" thereon.
Our opinion on the financial statements duesdoes notnot cuvercover the other informationinformation and we do not express any form of assurance conclusion thereon.
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InIn correctionconnection with Ourour audit of the fifinancialnancial statements, Ourour responsibilityresponsibility Isis to roadread the other informationinformation and, inin doing se,so, consider whether the other informationinformation Isis materially inconsistentinconsistent with the fifinancialnancial statements or Ourour knowledge obtained inin the audit or otherwise appeauappears to be materially misstated. If,If, basedbased on the work we have performed, we conclude that there Isis a material misstatement of this other information,information, we are requiredrequired to reportreport this tact.fact. We have nothing to reportreport inin this regard.regard.
Responsibilities of the Board of Directors of the Fund for the financial statements
The Board of DirectorsDirectors of the FundFund Isis responsibleresponsible for the preparation and faitfair presentation of these financial statements inin accordance with Luxembourg legallegal and regulatoryregulatory requirements relatingrelating to the preparation and presentation of the fifinancialnancial statements, and for such infernalinternal control as the Board of Directors of the FundFund determines Isis necessary to erableenable the preparation of financial statements that are free fromrom materialmaterial misstatement, whether due to fraud or errer.error.
InIn preparing the fifinancialnancial statements, the Board of Directors Isis responsibleresponsible for assessing the FundFund and each of ilsits sub-funds' ability to continue as a going concerne,concern, disclosing, as applicable, nattersmatters relatedrelated to going concerneconcern and using the going concerneconcern basis of accounting unless the Board of Directors either ifintends tends to liquidateliquidate the Fund or any of ilsits sub-funds or to cessecease Operations,operations, or has no realistic alternative but to do se.so.
Responsibilities of the "réviseur"reviseur d'entreprises agréé"agree" for the audit of the financial statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free fromrom material misstatement, whether due to fraud or errer,error, and to issueissue a reportreport of the "réviseur"reviseur d'entreprises agréé"agree" that includesincludes Ourour opinion. Reasonable assurance Isis a high levellevel of assurance, but Isis not a guarantee that an audit conducted inin accordance with the Law of 23 July 2016 and with ISAsISAs as adopted for Luxembourg by the CSSF Willwill always detect a material misstatement when Itit exists. Misstatements carcan arise fromrom fraud or errererror and are considered material if,if, individuallyindividually or inin the aggregate.aggregate, they could reasonably be expected to influenceinfluence the economic decisions of users taken on the basis of these fifinancialnancial statements.
As part of an audit inin accordance vitwith the Law of 23 July 2016 and with ISAsISAs as adopted for Luxembourg by the CSSF, we exorciseexercise professional judgment and maintain professional skepticism throughout the audit. We also: • IdentifieIdentify and assess the risks of material misstatement of the fifinancialnancial statements, whether due to fraud or errer,error, design and perforerperform audit procedures responsiveresponsive to those risks,risks, and obtain audit evidence that Isis sufsufficientficient and appropriate to provide a basisbasis for Ourour opinion. The riskrisk of not detecting a material misstatement resultingresulting fromrom fraud Isis higher thonthan for one resultingresulting fromrom errer,error, as fraud may ifinvolve volve collusion, forger,forgery, intentionalintentional omissions, misrepresentations, or the override of infernalinternal control. • Obtain an understanding of infernalinternal control relevantrelevant to the audit inin arderorder to design audit procedures that are appropriate inin the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's infernalinternal control. • EvaluateEvaluate the appropriateness of accounting policies used and the reasonablenessreasonableness of accounting estimateurestimates and relatedrelated disclosures mademade by the Board of Directors of the Fund.
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• Conclude on the appropriateness of Board of Directors' use of the going concerneconcern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists relatedrelated to events or conditions that may cascast signisignificantficant doubt on the FundFund or any of ilsits sub-funds' ability to continue as a going concerne.concern. IfIf we conclude that a material uncertainty exists, we are requiredrequired to draw attention inin Ourour reportreport of the "réviseur"reviseur d'entreprises agréé"agree" to the relatedrelated disclosures inin the fifinancialnancial statements or, ifif such disclosures are inadequate,inadequate, to modifiemodify Ourour opinion. Our conclusions are based on the audit evidence obtained up to the date of Ourour reportreport of the "réviseur"reviseur d'entreprises agréé".agree". However,However, future events or conditions may cause the FundFund or any of ilsits sub-funds to cessecease to continue as a going concerne.concern. • Evaluate the overall presentation, structure and content of the financial statements, includingincluding the disclosures, and whether the fifinancialnancial statestatementsments representrepresent the underlying transactions and events inin a manner that achieves faitfair presentation.
We communicate with those charged with governance regarding,regarding, amonamong other matters, the planned scope and timing of the audit and signisignificantficant audit fifindings,ndings, includingincluding any signisignificantficant dedeficienciesficiencies inin infernalinternal control that we identifieidentify during Ourour audit.
Ernst & Young SociétéSociete anonyme Cabinet de révisionrevision agrééagree
-un
C Nieofas Barnier
Luxembourg, 27 January 2021
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A member brrrfirm 01of Ernst & Young Global LimitedLimited Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Management and Administration
Promoter Board of Directors of the Management Oaktree Capital Management (UK) LLP Company (Continued) Verde, 10 Bressenden Place, London, SW1E 5DH, United Kingdom Serge Ragozin Executive Director - Deputy Chief Operating Officer The Company FundRock Management Company S.A., Oaktree (Lux.) Funds Luxembourg Societe d’investissement à capital variable 49 Avenue J.F.Kennedy, L-1855 Luxembourg Conducting Officers R.C.S. Luxembourg B 172.546 Romain Denis Grand Duchy of Luxembourg Executive Director, Managing Director FundRock Management Company S.A., Board of Directors Luxembourg Christopher Edge (effective from 28 May 2020) Peter Preisler (effective from 28 May 2020) Matteo Sbrolla (effective from 17 December 2020) Nicolas Puissant (effective from 28 May 2020) Investment Management and Distribution Oversight Andrew Murray FundRock Management Company S.A., John B. Edwards (effective until 28 May 2020) Luxembourg Dominic Keenan (effective until 28 May 2020) Sanjay Rathod (effective until 28 May 2020) Gregory Nicolas (effective until 26 June 2020) Executive Director, Co-Managing Director Management Company FundRock Management Company S.A., FundRock Management Company S.A. Luxembourg 33, rue de Gasperich L-5826 Hesperange Investment Managers* Grand Duchy of Luxembourg Oaktree Capital Management, L.P. 333 South Grand Avenue, 28th Floor Board of Directors of the Management Company Los Angeles, California 90071 Michel Marcel Vareika (Chairman) USA Independent Non-Executive Director, and, Luxembourg Oaktree Capital Management (UK) LLP Verde, 10 Bressenden Place, Romain Denis London, SW1E 5DH, United Kingdom Executive Director – Co-Managing Director FundRock Management Company S.A., Global Distributor Luxembourg Oaktree Capital Management (UK) LLP Verde, 10 Bressenden Place, Eric May London, SW1E 5DH, United Kingdom Non-Executive Director Founding Partner, BlackFin Capital Partners, Depositary Paris, France State Street Bank International GmbH, Luxembourg Branch Tracey Elizabeth McDermott (Since 04 November, 2019) Independent Non-Executive Director, 49, Avenue John F.Kennedy Luxembourg L-1855 Luxembourg Grand Duchy of Luxembourg Gregory Nicolas (effective until 26 June 2020) Executive Director – Co-Managing Director State Street Bank Luxembourg S.C.A FundRock Management Company S.A., (Until 03 November, 2019) Luxembourg 49 Avenue J.F.Kennedy L-1855 Luxembourg Mr Xavier Parain Executive Director – Chief Executive Officer FundRock Management Company S.A. Luxembourg
6 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Management and Administration (Continued)
Central Administration, Paying Agent and Registrar Legal Advisor (cont.) and Transfer Agent State Street Bank International GmbH, Luxembourg Allen & Overy, societe en commandite simple (effective Branch from 01 January, 2020) (Since 04 November, 2019) 5, Avenue J.F.Kennedy 49, Avenue John F.Kennedy L-1855 Luxembourg L-1855 Luxembourg Grand Duchy of Luxembourg Grand Duchy of Luxembourg Local Representative in Switzerland State Street Bank Luxembourg S.C.A ACOLIN Fund Services AG (Until 03 November, 2019) Leutschenbachstrasse 50 49 Avenue J.F.Kennedy CH-8050 Zurich L-1855 Luxembourg Swiss Paying Agent Auditor NPB Neue Privat Bank AG, Ernst & Young Limmatquai 1/am Bellevue, P.O. Box, 35E, Avenue John F.Kennedy CH-8024 Zurich L-1855 Luxembourg
Legal Advisor Clifford Chance (effective until 31 December, 2019) 10 boulevard G.D. Charlotte, B.P. 1147, L-1011 Luxembourg Grand Duchy of Luxembourg
*Delegated by management company No subscription may be accepted on the basis of the financial reports. Subscriptions are accepted only on the basis of the current sales prospectus accompanied by the Key Investor Information Documents, the latest annual report and the latest semi-annual report (if more recent).
The issue and redemption prices are published in Luxembourg at the registered office of the Fund. The net asset value is also published on the Internet www.fundsquare.net.
Shareholders may obtain the Sales Prospectus, the Key Investor Information Documents, the latest annual and semi-annual reports, the changes in the composition of the securities portfolio during the reporting period and copies of the Articles of Incorporation free of charge from the registered office of the Management Company, the Representative in Switzerland, the local representatives in the countries where the Fund is registered or the Paying and Information Agent in Germany.
7 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Consolidated Report
Statement of Net Assets in USD
30.09.2020 Assets
Investments in securities at market value 1,278,294,633.32 Cash at banks and at brokers 8,858,361.09 Receivables from sales of securities 4,116,507.06 Subscriptions receivable 1,807,773.28 Fees waiver receivable 819,220.22 Net unrealised gain on forward foreign exchange contracts 183,708.33 Income receivable 9,425,742.66 1,303,505,945.96
Liabilities
Due to banks and to brokers 809,577.35 Payables for purchases of securities 9,202,296.23 Redemptions payable 609,469.93 Provisions for accrued expenses 4,900,070.10 Net unrealised loss on forward foreign exchange contracts 7,770,402.26 Dividend payable 3,448,278.57 Other liabilities 4,710.37 26,744,804.81
Net Assets 1,276,761,141.15
The accompanying notes are an integral part of these financial statements
8 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Consolidated Report
Statement of Operations and Changes in Net Assets in USD for the financial year from 01.10.2019 to 30.09.2020
Net assets at the beginning of the year 1,178,513,106.05
Income Interest on investments in securities (net) 27,706,663.57 Dividends (net) 2,983,302.20 Other income 36,635.92 30,726,601.69
Expenses Management fees 7,413,563.76 Depositary bank fees 697,671.08 Administration expenses 565,433.55 Printing and publication expenses 179,813.82 Interest and bank charges 44,621.27 Audit, control, legal, representative bank and other expenses 1,898,932.66 “Taxe d’abonnement” 200,335.19 Total expenses before expense waiver 11,000,371.33 Fees waived (376,930.89) Total Expenses 10,623,440.44
Net income 20,103,161.25
Realised gain (loss) Net realised gain on sales of investments 40,451,762.38 Net realised gain on forward foreign exchange contracts 18,948,827.35 Net realised loss on foreign exchange (1,654,355.94) 57,746,233.79
Net realised gain 77,849,395.04
Change in net unrealised appreciation (depreciation) Change in net unrealised appreciation on investments 14,857,959.05 Change in net unrealised depreciation on forward foreign exchange contracts (4,771,947.62) Change in net unrealised depreciation on foreign currencies (1,782.11) 10,084,229.32 Net increase (decrease) in net assets as a result of operations 87,933,624.36
Subscriptions / Redemptions Subscriptions 385,798,361.84 Redemptions (389,383,505.60) (3,585,143.76)
Distribution (10,874,856.02) Currency translation adjustment 24,774,410.52
Net assets at the end of the year 1,276,761,141.15
The accompanying notes are an integral part of these financial statements
9 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Notes
1. General Shares (subject to the discretion of the Company to determine otherwise), calculated Oaktree (Lux.) Funds (the Company ) was incorporated on a per Sub-Fund basis and not aggregated for an unlimited period of time on 06.11.2012 under across F Shares in all Sub-Funds. When Luxembourg law as a societe d’investissement à capital subscriptions totalling such specified amount variable (SICAV). The Company has been authorised have been received for F Shares, F Shares will by the Commission de Surveillance du Secteur Financier be closed to subscriptions from new and existing (the CSSF ) as an undertaking for collective investors. Acceptance by the Company of investments in transferable securities and regulated subscriptions in F Shares may be conditional pursuant to the provisions of Part I of the amended law upon the execution of a separate agreement of 17.12.2010. The Company is registered with the between the investor and the Portfolio Manager Luxembourg Register for Trade and Companies under or one of its affiliate, at the Company’s number B 172.546. discretion.
As of 30.09.2020 the Company offered shares in • Class G Shares: G Shares are open to all 7 Sub-funds as follows: prospective Shareholders prepared to make the - Oaktree (Lux.) Funds - Oaktree Global minimum investment. Insofar as financial Convertible Bond Fund, denominated in USD. intermediaries and/or nominees hold Shares for - Oaktree (Lux.) Funds - Oaktree Global High Yield the account of their clients, the minimum Bond Fund, denominated in USD. investment requirement must be met at the level - Oaktree (Lux.) Funds - Oaktree European High of the client. If one or more redemptions by an Yield Bond Fund, denominated in EUR. investor result in it holding less than the - Oaktree (Lux.) Funds - Oaktree Global minimum investment amount, the Company may Ex-U.S. Convertible Bond Fund, denominated in enforce a conversion into another Share Class EUR. (formerly known as Oaktree in which such investor is entitled to hold Shares. Non-U.S. Convertible Bond Fund). - Oaktree (Lux.) Funds - Oaktree North American • Class Hedged Shares: Hedged shares. Hedged High Yield Bond Fund, denominated in USD. shares are issued in one or more alternative - Oaktree (Lux.) Funds - Oaktree Emerging Markets currencies at the Board’s discretion. The Equity Fund, denominated in USD. relevant Sub-Fund will hedge the Sub-Fund’s - Oaktree (Lux.) Funds - Oaktree European Reference Currency to the hedged share class Convertible Bond Fund, denominated in EUR. currency (without reference to the currency exposures of the Sub-Fund’s portfolio). The Board may from time to time decide to create within Hedged Share Classes will bear the specific each Sub-fund different Classes which may have a costs resulting from the currency hedging. combination of the following features: • Class I Shares: I Shares are open for investment • Class E Shares: E Shares are open for for Institutional Investors at the Company’s subscription to Retail Investors that invest discretion. Investors must demonstrate that they through financial intermediaries which: (a) qualify as Institutional Investors by providing According to regulatory requirements are not sufficient evidence of their status. Class I shares allowed to accept and keep trail commissions (in may not be purchased or held through the European Union this will include financial fee-charging platforms or intermediaries. intermediaries providing discretionary portfolio Should an existing investor’s account become management or investment advice on an liable to bear a platform or financial independent basis); (b) Are rendering intermediation fee, the Company may enforce a non-independent advice and which according to conversion into another Share Class in which individual fee arrangements with their clients are such investor is entitled to hold Shares, which not allowed to accept and keep trail may have a higher Global Management Fee. commissions; or (c) Are providing restricted Insofar as financial intermediaries and/or investment advice within the meaning of the UK nominees hold Shares for the account of their Retail Distribution Review (RDR). clients, the minimum investment requirement must be met at the level of the client. If one or • Class F Shares: F Shares are open for more redemptions by an Institutional Investor subscription for “Day one” investors until such result in it holding less than the minimum time as subscriptions totalling the amount investment amount, the Company may enforce a specified for the relevant Sub-Fund have been conversion into another Share Class in which received from investors subscribing to the F
10 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Notes
such Institutional Investor is entitled to hold will be valued at their latest available prices, or, Shares, which may have a higher Global in the event that there should be several such Management Fee. markets, on the basis of their latest available prices on the main market for the relevant • Class J Shares: J Shares are open for security; subscription by Institutional Investors at the Company’s discretion. Investors must (iii) In the event that the latest available price does demonstrate that they qualify as Institutional not, in the opinion of the Company, truly reflect Investors by providing sufficient evidence of the fair market value of the relevant securities, their status. the value of such securities will be defined by the Company based on the reasonably • Class R Shares: R Shares are open for foreseeable sales proceeds determined subscription by all investors. prudently and in good faith;
• Class Z Shares: Z Shares are open only to (iv) Securities not listed or traded on a stock Institutional Investors that have concluded an exchange or not dealt on another regulated asset management or other similar agreement, market will be valued on the basis of the or that invest through a financial intermediary probable sales proceeds determined prudently that has signed a cooperation agreement, at the and in good faith by the Fund Board of Directors; Company’s discretion. Investors must and the liquidating value of futures, forward or demonstrate that they qualify as Institutional options contracts not traded on exchanges or on Investors by providing sufficient evidence of other regulated markets shall mean their net their status. No management fee is payable for liquidating value determined, pursuant to the this share class. A management fee will be policies established by the Company, on a basis payable under the relevant asset management, consistently applied for each different variety of cooperation or other similar agreement. If such contracts. The liquidating value of futures, agreement is terminated, the Company will forward or options contracts traded on enforce a conversion into another Share Class exchanges or on other regulated markets shall in which such investor is entitled to hold Shares, be based upon the last available settlement which may have a higher Global Management prices of these contracts on exchanges and Fee. regulated markets on which the particular futures, forward or options contracts are traded 2. Summary of significant accounting policies by the Company, provided that if a futures, forward or options contract could not be The financial statements have been prepared in liquidated on the day with respect to which net accordance with the legal and regulatory requirements assets are being determined, the basis for relating to the preparation of financial statements as determining the liquidating value of such prescribed by the Luxembourg authorities for contract shall be such value as the Company Luxembourg investment companies and include the may deem fair and reasonable. All other following significant accounting policies: securities and other assets will be valued at fair market value as determined in good faith a) Valuation of investment securities of each pursuant to procedures established by the Sub-Fund; Company;
(i) The value of any cash on hand or on deposit, (v) The Net Asset Value per Share may be bills and demand notes and accounts determined by using an amortized cost method receivable, prepaid expenses, cash dividends, for all investments with a known short-term interest declared or accrued and not yet maturity date (i.e. maturity of less than three received, all of which are deemed to be the full months). This involves valuing an investment at amount thereof, unless in any case the same is its cost and thereafter assuming a constant unlikely to be paid or received in full, in which amortization to maturity of any discount or case the value thereof is arrived at after making premium, regardless of the impact of fluctuating such discount as may be considered interest rates on the market value of the appropriate in such case to reflect the true value investments. While this method provides thereof; certainty in valuation, it may result in periods during which value, as determined by (ii) Securities listed on a recognized stock amortization cost, is higher or lower than the exchange or dealt on any other regulated market price the relevant Sub-Fund would receive if it
11 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Notes
sold the investment. The Company will The acquisition cost of securities in currencies continually assess this method of valuation and other than the reference currency of each recommend changes, where necessary, to Sub-Fund is converted into the reference ensure that the Sub-Fund’s investments will be currency at the foreign exchange rate valid at valued at their fair value as determined in good the date of acquisition. faith by the Company. If the Company believes that a deviation from the amortized cost per e) Formation expenses of each Sub-Fund share may result in material dilution or other Formation expenses are amortised on a unfair results to Shareholders, the Company straight-line basis over a period of five years. shall take such corrective action, if any, as it deems appropriate to eliminate or reduce, to the f) Allocation of accrued expenses extent reasonably practicable, the dilution or Accrued expenses which can be allocated unfair results; directly to a Sub-Fund are charged to this Sub-Fund, accrued expenses which cannot be (vi) The Sub-Funds shall, in principle, keep in their allocated directly are divided among the portfolio the investments determined by the Sub-Funds in proportion to the net assets of amortization cost method until their respective each Sub-Fund. maturity date; g) Income recognition b) Financial instruments Dividends are recorded on ex-dividend date, net Open forward foreign exchange contracts are of withholding tax. Interest income is accrued on valued at valuation date at forward exchange a daily basis. rates prevailing at this date and resulting changes in unrealised gains or losses are Swing Pricing posted to the statement of operations and are shown under Net unrealised gain/loss on In order to protect existing shareholders, the net asset forward foreign exchange contracts in the value of a class of shares may be adjusted upwards or statement of net assets. downwards by a maximum percentage ( Swing Factor ) if the net aggregate transactions in Shares in the c) Net realised gain/loss on sales of investments of Sub-Fund on any particular Valuation Date exceed a each Sub-Fund. threshold (known as the swing threshold )thatis The realised gains or losses on the sales of pre-determined for the Sub-Fund by the Board and securities are calculated on the basis of the reviewed periodically. In such case the net asset value average acquisition cost. will be increased in the event of a net surplus of subscription applications or reduced in the event of a net d) Foreign exchange conversion surplus of redemption applications in respect of the The financial statements are kept in reference applications received on the respective valuation date, currency of each Sub-Fund and the provided that the same net asset value applies to all consolidated financial statements are kept in incoming and outgoing investors on that particular USD. valuation date.
Any assets held in a particular Sub-Fund not The adjustment of the net asset value aims to cover in expressed in the Sub-Fund’s Reference particular but not exclusively transaction costs, tax Currency will be translated into such Reference charges and bid/offer spreads incurred by the relevant Currency at the rate of exchange prevailing in a Sub-Fund due to subscriptions, redemptions and/or recognized market at 4:00 p.m. in Luxembourg conversions in and out of the Sub-Fund. Existing on the relevant Valuation Day. shareholders would no longer have to indirectly bear these costs, since they are directly integrated into the Income and expenses in currencies other than calculation of the net asset value and hence, are borne reference currency of each Sub-Fund are by incoming and outgoing investors. The net asset value converted into the reference currency at the may be adjusted on every valuation date on a net deal foreign exchange rate applicable at the date basis. Shareholders should note that the performance they accrue to the Sub-Fund. calculated on the basis of the adjusted net asset value might not reflect the true portfolio performance as a Realised gains or losses on foreign currencies consequence of the adjustment of the net asset value. are accounted for in the statement of operations.
12 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Notes
The aforementioned mechanism applies to all the Sub-Fund CCY Amount Sub-Funds. The maximum Swing Factor is set at 2%. The NAV per share is unswung as at 30.09.2020. Oaktree (Lux.) Funds - USD 155.01 Oaktree Global Management company fee Convertible Bond Fund
The Management Company is entitled to receive out of Oaktree (Lux.) Funds - USD 0.00 the assets of each Sub-Fund a fee of up to 0.03% per Oaktree Global High annum of the Net Asset Value of each Sub-Fund. Yield Bond Fund
Taxe d’abonnement Oaktree (Lux.) Funds - EUR 0.00 Oaktree Global Ex-U.S. The Company is liable in Luxembourg to a subscription Convertible Bond Fund tax (taxe d’abonnement). Oaktree (Lux.) Funds - USD 0.00 Oaktree North American The tax is calculated and payable quarterly on the basis High Yield Bond Fund of the Net Asset Value of the relevant Share Class at the end of the relevant quarter. The standard rate is 0.05% Oaktree (Lux.) Funds - EUR 0.00 per annum but this rate is reduced to 0.01% for, among Oaktree European other things, a Share Class that is reserved to one or Convertible Bond Fund more institutional investors only.
Note that a Share Class reserved for Institutional Not all transaction costs are separately identifiable, for Investors may be subject to the higher rate of 0.05% per fixed income investments, forward foreign exchange annum during any period during which a retail investor contracts and for some other derivative contracts, holds Shares in such Share Class in breach of the transaction costs are included in the purchase and sale eligibility criteria. price of the investment. Whilst not separately identifiable these transaction costs are captured within the Under present Luxembourg law and administrative performance of each Sub-Fund. practice, neither the Company nor any of the Sub-Funds is liable for any Luxembourg corporate income tax, Total Expense Ratio (TER) municipal business tax, and net worth tax. (see detail at Sub-Fund level)
No other tax is payable in Luxembourg on the issue of The TER expresses the sum of all costs and shares by the Company. commissions charged on an ongoing basis to the respective Sub-Fund, taken retrospectively as a Transaction Costs percentage of these assets.
Transactions costs include brokerage fees, stamp duty, For newly launched share class (i,e, launched less than local taxes and other foreign charges if incurred during 12 months ago) the calculation of the TER is annualized. the year. Transaction costs are included in the cost of securities purchased and sold. The TER is calculated following the SFAMA guideline.
For the year ended on 30.09.2020, the Company The Portfolio Manager has voluntarily agreed to limit incurred transaction costs relating to purchase or sale of certain operating expenses with respect to Oaktree investments in securities and similar transactions, North American High Yield Bond Fund, Oaktree (including derivative instruments or other eligible assets) European Convertible Bond Fund and Oaktree as follows: European High Yield Bond Fund. The entities liable for expense waivers are Investment Managers, Oaktree Capital Management, L.P. for Oaktree North American Sub-Fund CCY Amount High Yield Bond Fund and Oaktree European Oaktree (Lux.) Funds - USD 623,522.49 Convertible Bond Fund and Oaktree Capital Oaktree Emerging Management (UK) LLP for Oaktree European High Yield Markets Equity Fund Bond Fund. Therefore, to the extent that operating expenses would exceed the expense cap, Portfolio Oaktree (Lux.) Funds - EUR 0.00 Managers have voluntarily agreed to reduce their Oaktree European High Portfolio Management Fee accordingly for the year Yield Bond Fund ended 30.09.2020 on Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund, Oaktree (Lux.)
13 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Notes
Funds - Oaktree European Convertible Bond Fund and reduce the counterparty exposure. For other type of Oaktree (Lux.) Funds - Oaktree European High Yield derivatives, margin accounts might be used. Bond Fund. The Portfolio Managers may, in their sole discretion, designate which expenses of the Fund will be No collateral was received by the Sub-Funds to reduce subject to any such expense cap. There is no guarantee the counterparty risk as of 30.09.2020. that the existence or level of these expense caps will continue in the future and no obligation on the part of Events during the year Portfolio Managers to agree to limit expenses in this way. As part of an internal restructuring with the aim to Changes in the composition of the securities streamline State Street’s banking entity structure across portfolio Europe, State Street Bank Luxembourg S.C.A. merged into State Street Bank International GmbH as from Changes in the composition of the securities portfolio November 4, 2019 (the “Merger Date”). Since the Merger during the reporting year are available to shareholders Date, State Street Bank International GmbH continues free of charge at the registered office of the to carry out the depositary and central administration Management Company or the local representatives in agent functions through State Street Bank International the countries where the Company is registered. GmbH, Luxembourg Branch.
Exchange Rate As legal successor of State Street Bank Luxembourg S.C.A., State Street Bank International GmbH, The consolidated financial statements are kept in USD. Luxembourg Branch has assumed the same duties and For this purpose, the financial statements of the responsibilities, and has the same rights under the Sub-Funds are converted into USD at the foreign existing agreements with the Fund. Any agreements in exchange rate as of 30.09.2020: place with State Street Bank Luxembourg S.C.A. have been transferred to State Street Bank International Close of business: GmbH, Luxembourg Branch by operation of law.
- 1 USD = 0.852769 EUR State Street Bank International GmbH, Luxembourg Branch, is supervised by the European Central Bank Average for the year: (ECB), the German Federal Financial Services Supervisory Authority (BaFin) and the German Central - 1 USD = 0.893466 EUR Bank and has been authorised to act as depositary and central administration agent by the Commission de Sub-Fund performance Surveillance du Secteur Financier (“CSSF”) in (see detail at Sub-Fund level) Luxembourg. State Street Bank International GmbH, Luxembourg Branch is registered in the Luxembourg The performance is based on the net asset values as Commercial and Companies’ Register (RCS) under calculated on the last business day of the year. Those number B 148 186. net asset values reflect the market prices of the investments as of the last business day of the year. Allen & Overy has been appointed as a new Legal Advisor starting 1 January 2020. Historical performance is not an indicator of future performance. The performance data given does not take On January 30, 2020, the World Health Organization into account commissions and costs incurred in the (“WHO”) declared the COVID-19 outbreak a global purchase or redemption of Sub-Fund shares. The YTD health emergency. On March 11, 2020, the WHO (Year-To-Date) Performance relates to calendar year announced that COVID-19 is a pandemic. As a result of return from 01.01.2020 until 30.09.2020 (YTD is the Coronavirus, many countries have required nine-months ended 30.09.2020). companies to limit or suspend business operations and have implemented travel restrictions. These actions have Financial Derivative Instruments disrupted supply chains and curtailed operations of many companies around the world, including but not The Sub-Funds may engage in derivative transactions limited to companies in the tourism, hospitality, for the purpose of efficient portfolio management. transportation, retail, entertainment, gaming and Details of the derivatives are displayed in the Notes manufacturing sectors. In addition, government pages. restrictions or recommendations regarding interpersonal activities, such as encouraging social distancing, have Depending on the type of derivatives held, collateral materially changed commercial activity. might be received from the different counterparts to
14 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Notes
As part of Oaktree’s global pandemic plans in response The aggregated amount of remuneration for the to COVID-19, on March 14, 2020 all Oaktree employees financial year ending 31 December 2019 paid by were asked to work remotely, with immediate effect. FundRock to Identified staff/risk takers is as follows: Identified staff/risk takers: EUR 1,196,213.00 This step was taken to ensure the health and safety of Other risk takers: EUR Nil Oaktree employees while minimizing impacts on Oaktree business interests. The management of the The total amount of remuneration is based on a Company is continually assessing their response to this combination of the assessment of the performance of fluid situation, and at this time, do not believe the individual, the overall results of FundRock, and when COVID-19 has had a material impact on Oaktree’s assessing individual performance, financial as well as operations. non-financial criteria are taken into account.
Subsequent event The Policy is subject to annual review by the Compliance Officer and the update is performed by HR department Oaktree (Lux.) Funds - Oaktree Absolute Return Income of FundRock and is presented for review to the Fund was launched on 14 December 2020. Remuneration Committee and approval by the Board of FundRock. Remuneration (unaudited) Risk Management (unaudited) FundRock Management Company S.A. (“FundRock”) has established and applies a remuneration policy in The global exposure of the Sub-Funds is calculated on accordance with the principles laid out under the AIFMD the basis of the commitment approach. and UCITS V directive, and any related legal & regulatory provisions applicable in Luxembourg. The Securities Financing Transaction Regulation remuneration policy is aligned with the business (unaudited) strategy, objectives, values and interests of the Management Company and the Funds that it manages Securities Financing Transaction Regulation (“SFTR”) and of the investors in such Funds, and which includes, introduces reporting requirements for securities inter alia, measures to avoid conflicts of interest; and it is financing transactions (“SFTs”) and total return swaps. consistent with and promotes sound and effective risk management and does not encourage risk taking which A Security Financing Transaction (“SFT”) is defined as is inconsistent with the risk profiles, rules or instruments per Article 3 (11) of the SFTR as: of incorporation of the Funds that the Management - a repurchase/reverse repurchase agreement, Company manages. - securities or commodities lending and securities or commodities borrowing, As an independent management company relying on a - a buy-sell back transaction or sell-buy back full-delegation model (i.e. delegation of the collective transaction, or portfolio management function), FundRock ensures that - a margin lending transaction. its remuneration policy adequately reflects the predominance of its oversight activity within its core The Company did not hold any total return swaps or activities. As such, it should be noted that FundRock’s enter in security financing transactions during the year employees who are identified as risk-takers under ended 30.09.2020. UCITS V are not remunerated based on the performance of the funds under management.
A paper version of the remuneration policy is made available free of charge to investors at FundRock’s registered office.
The amount of remuneration for the financial year ending 31 December 2019 paid by FundRock to its staff: EUR 10,495,187.00 Fixed remuneration: EUR 10,042,867.00 Variable remuneration: EUR 452,319.00 Number of beneficiaries: 119
15 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Manager’s Report
Oaktree (Lux.) Funds – Emerging Market Equity Russia and Greece detracted from relative results, Fund while stock selection in Taiwan, India and Thailand contributed positively. Our overweight allocations to Emerging markets equities performed well during the Brazil, Indonesia and Russia also detracted from twelve months ended September 30, 2020, although relative performance, as did our underweight performance was extremely volatile amid the exposure to Taiwan. By sector, stock selection among COVID-19 pandemic. The asset class generated consumer discretionary, industrials and consumer strong returns through the end of 2019, and we were staples detracted from relative results, while selection pleased when a number of factors played out among energy, materials and real estate stocks had a favorably as we entered 2020. Among these positive positive effect. Our overweight exposures to financials developments were: a truce on the U.S.-China trade and energy hurt relative performance, along with our war, a continuation of Fed easing, higher levels of underweight exposures to consumer discretionary liquidity, and a weaker dollar. and communication services. Our underweight exposure to utilities had a positive effect, as did our In mid-January, the COVID-19 virus broke out in overweight allocation to materials. China and by late-February, global markets began to sell off as the virus spread globally. The rout Despite COVID-19 cases still escalating in many accelerated over the next few weeks as governments emerging market countries, economies are around the world enacted widespread lockdowns and recovering as governments lift restrictions and people social-distancing measures. Global equity and credit begin to resume normal activities. China continues to markets exhibited extraordinary levels of volatility, and lead in the recovery process, with domestic travel and central banks, led by the Fed, responded with consumption back to around 75-80% of aggressive and unprecedented measures to prevent pre-COVID-19 levels. Positive headlines on vaccine a global financial crisis. Equities snapped back after progress have bolstered market sentiment, allowing bottoming in March, and the rally continued through investors to look beyond 2020. In addition, Joe the remainder of the fiscal year as many nations Biden’s victory in the U.S. presidential election has removed lockdowns, economic activity resumed, provided political clarity.The developed market versus central banks sustained their policy support and emerging market valuation gap remains sizeable. progress was made on COVID-19 vaccine. Based on 2021 consensus estimates, the MSCI World and the S&P 500 trade at 23.4 times and China was the strongest market during the period, 26.3 times earnings, versus the MSCI EM at despite being hit by the virus first. After the 18.1 times. Growth versus value also continues to implementation of draconian measures, China hold its extreme valuation gap, with MSCI Emerging effectively contained the virus and officials moved Markets Growth at 29.1 times versus MSCI Emerging ahead to restart the economy. Taiwan and Korea also Markets Value at 12.3 times. Given the wide valuation performed well on strength among information gap between these two groups of stocks, we think technology names. Brazil was the worst-performing there is a promising opportunity for value stocks to large market, driven largely by currency depreciation re-rate and to catch up to their growth counterparts as and commodity price weakness in the first quarter of an economic recovery occurs. 2020. Also notable was the sharp outperformance of “WFH (work-from-home)” stocks (higher-growth We do not call the direction of global equity markets names benefitting from the “online” theme due to based on macro views. We remain faithful to our increased work-, learn- and shop-from-home trends) investment process and believe value names will versus “recovery” names (more cyclical companies attract attention, especially as investors look to the poised to benefit when economies reopen). We other side of COVID-19. Emerging market economies believe that many value stocks are included in this have shown resilience, and our portfolio companies “recovery” group. have been able to ride through the COVID-19 crisis thanks to their strong balance sheets. We remain Growth stocks significantly outperformed value cautious about the near-term economic recovery as a names in emerging markets during the period. This COVID-19 resurgence is occurring in developed created a headwind for us given our value bias, and markets and geopolitical tensions are heightened. the Fund underperformed its benchmark. At the However, we also recognize that a vaccine and country level, stock selection in China, Brazil, Korea,
16 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Manager’s Report (Continued) treatment will be available in the future and there is as the market rallied. As the recovery in asset prices ample liquidity in the system. We continue to focus on continued, we reduced our exposure to cyclical identifying catalysts that will attract capital back into names where yield spreads were no longer value names, and we are closely monitoring compelling, positioning our portfolio conservatively companies that participate in interesting themes such ahead of future volatility. as China re-shoring, diversification of global supply-chains and renewable energy, to name a few. The new issue market for European high yield bonds Our focus remains, as usual, at the individual stock has been remarkably untroubled by the coronavirus level. pandemic, with many companies continuing to tap the market for liquidity in the third quarter of 2020. The The emerging markets index ended the year at year-to-date tally sits at €59billion–alevelthathas multiples of about 1.7 times book value, 20 times not been reached since 2014. trailing earnings and 18 times consensus 2021 estimated earnings. The Fund trades at a For the near term, the European high yield bond discount to the index on these measures. We are market will likely remain volatile. Potential risks overweight Russia, Brazil and Indonesia, while abound: the continuing impact of Covid-19, underweight Taiwan. The Fund’s exposure to China is uncertainty over the continuation of central bank and roughly in-line with the benchmark, and we have no government support, and political risks including the exposure to Malaysia or Saudi Arabia. By sector, the ramifications of Brexit. It should be noted, however, Fund is overweight financials, materials and energy that high yield bond investors don’t necessarily need a and is underweight consumer discretionary, booming economy for meaningful returns, as communication services and industrials. outcomes will be driven primarily by the contractual nature of bond returns. As long as defaults are Oaktree (Lux.) Funds - Oaktree European High avoided, we believe investors can earn an attractive Yield Bond Fund total return, particularly compared to other liquid fixed income classes, from this large and high-quality Following a rally in risk assets in the fourth quarter of market. 2019, 2020 began unremarkably for European high yield bonds. The onset of the Covid-19 pandemic Oaktree (Lux.) Funds – Oaktree Global rapidly changed that, with European’s high yield bond Convertible Bond Fund market suffering its largest quarterly drawdown since the collapse of Lehman Brothers in 2008. Default Convertible bonds performed well during the twelve predictions rocketed from the historic lows of the months ended September 30, 2020 (Thomson preceding years, and CCC-rated bonds were Reuters Global Focus Convertible Index – USD particularly punished. Hedged up 16.5%). Although performance was volatile amid the COVID-19 pandemic, the asset class The ensuing government and central bank support, outpaced the equity, high yield bond and senior loan combined with the tentative reopening of some markets. This performance pattern – within an economics, tempered default expectations and drove extremely challenging macro-economic environment significant retracement in bond prices. The – has proven the diversification benefits of investing in momentum of this recovery was extraordinary, with a balanced convertible strategy. The Fund five concurrent months of positive gains between underperformed the convertible market benchmark April and August. However, the recovery was not during the period, but captured over 160% of the uniform across sectors, with significant dispersion equity market’s advance. between industries benefiting from the work-from-home transition and those ravaged by Risk assets generated strong returns through the end lockdowns, such as Leisure and Retail. of 2019 as markets reacted positively to three key developments: a “phase-one” trade deal between the Throughout the volatility of 2020, we adhered to our U.S. and China, a continuation of Fed easing and mantra of ‘‘avoiding the losers’’ and capitalizing on Prime Minister Boris Johnson’s election victory in the dislocation. Our focus on quality meant a lower UK, which calmed fears of a disorderly Brexit. In drawdown during the first quarter sell-off, while our mid-January, the COVID-19 virus broke out in China active repositioning enabled us to maintain this alpha and by late-February, global markets began to sell off
17 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Manager’s Report (Continued) as the virus spread globally. The rout accelerated over Global new issuance surged during the twelve months the next few weeks as governments around the world ended September 30, 2020, with $140 billion coming enacted widespread lockdowns and social-distancing to market. This marked the highest twelve month measures. Global equity and credit markets exhibited volume since 2008. The majority of issuance was extraordinary levels of volatility, and central banks, led concentrated in the U.S. ($97 billion), followed by by the Fed, responded with aggressive and Europe ($25 billion) and Asia ex-Japan ($16 billion). unprecedented measures to prevent a global financial Japan remained lackluster, with only $2 billion in crisis. Equities snapped back after bottoming in issuance over the period. Sectors with the highest March, and the rally continued through the remainder issuance were information technology, consumer of the fiscal year as many nations removed discretionary and health care. These sectors lockdowns, economic activity resumed, central banks performed well during the period and consist of many sustained their policy support and progress was issuers which are poised to thrive in the current made on COVID-19 vaccine. market environment. Pricing on new deals has improved amid the uncertainty created by COVID-19, Against this backdrop, global equity markets gained and we continue to evaluate each on a case-by-case 9.4% during the period (FTSE All-World Total Return basis. Index – Local Currency). The U.S. was the strongest region, although there was significant performance We believe our portfolio continues to offer a divergence by market cap. The larger-cap S&P conservative way of gaining equity market exposure 500 was up 15.1%, while the Russell 2000 (consisting to both the growth names that are benefitting from the of more small- and mid-cap stocks) was up only pandemic, as well as the value plays that could 0.4%. Asia ex-Japan also performed well, despite benefit as economies reopen. Further, the healthy being hit by the virus first (MSCI Asia ex-Japan up new issuance calendar has been a good source of 13.9%). After the implementation of draconian opportunities for us. Against this backdrop, we remain measures, China effectively contained the virus and mindful of the potential market volatility and aim to officials moved ahead to restart the economy. Europe invest in high-quality businesses with upside return lagged (STOXX Europe 600 down 4.0%). Equity potential. markets also experienced significant performance divergence by sector. The best performing sectors Oaktree (Lux.) Funds – Oaktree Global High Yield during the period – information technology, consumer Bond Fund discretionary and health care – were up 43%, 28% and 20%, while the worst performing sectors – energy After a strong fourth quarter of 2019 and solid start to and financials – were down 42% and 18%. Also 2020, risk assets suffered a massive blow in February notable was the sharp outperformance of due to the rapidly spreading coronavirus. Responding “quarantine” stocks (those benefitting from the to fears of a prolonged economic downturn, high yield pandemic, such as digital transformation, bonds suffered major losses in the first quarter. work-from-home, remote learning and telemedicine However, amid aggressive Fed and fiscal stimulus, names) over “recovery” stocks (those poised to risk assets, including high yield bonds, rallied in the benefit when economies reopen, such as travel and second and third quarters. leisure companies). While high yield bond issuers aren’t as desperate Credit markets also rose during the period, with global today as they were in March, the quality of new high yield bonds returning 1.9% (ICE BofA issuance has been relatively solid in 2020. Most new Non-Financial Developed Markets High Yield deals over last several months were being issued to Constrained Index – USD Hedged). Credit spreads either bolster liquidity or refinance near-term expanded in all major regions (e.g., the spread on the maturities. These types of offerings are much more iTraxx Europe Crossover Index widened 114 basis creditor-friendly than LBOs, which typically are more points to end the fiscal year at 346 basis points), highly levered and aggressively structured. though the majority of this expansion occurred in the first quarter of 2020. Since then, total returns have New issue activity in the U.S. is on pace for its been driven by credit spread compression from the strongest year on record. We have been active buying elevated levels seen at the end of March. new issues. The influx of fallen angels (former investment grade bonds downgraded into the high
18 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Manager’s Report (Continued) yield bond market) also has broadened our of the fiscal year as many nations removed opportunity set. Record amounts of new issuance, lockdowns, economic activity resumed, central banks together with downgrades from the investment grade sustained their policy support and progress was market, mean the high yield bond market is growing made on COVID-19 vaccine. for the first time in years. Against this backdrop, global ex-U.S. equity markets After a decade of low defaults in the high yield bond fell 7.1% during the period (MSCI EAFE – EUR market, the cycle finally turned in 2020 and defaults Hedged). Asia ex-Japan was the strongest region, picked up considerably. As we would expect, our despite being hit by the virus first (MSCI Asia defensively-positioned portfolio experienced a ex-Japan – EUR Hedged up 5.9%). After the considerably lower default rate than the broader implementation of draconian measures, China market. effectively contained the virus and officials moved ahead to restart the economy. Europe lagged (STOXX There are plenty of headwinds to monitor; including Europe 600 – EUR Hedged down 5.8%). Equity increasing COVID-19 infection rates and the potential markets also experienced significant performance for further lockdowns. We are confident that Oaktree’s divergence by sector. The best performing sectors risk-controlled approach is well-suited for today’s during the period – information technology and health environment. care – were up 22% and 18%, while the worst performing sectors – energy and financials – were Oaktree (Lux.) Funds - Oaktree Global down 45% and 19%. Also notable was the sharp Ex-U.S. Convertible Bond Fund outperformance of “quarantine” stocks (those benefitting from the pandemic, such as digital Convertible bonds performed well during the twelve transformation, work-from-home, remote learning months ended September 30, 2020 (Thomson and telemedicine names) over “recovery” stocks Reuters Global Focus ex U.S. Convertible Index – (those poised to benefit when economies reopen, EUR Hedged up 3.4%). Although performance was such as travel and leisure companies). volatile amid the COVID-19 pandemic, the asset class outpaced the equity, high yield bond and senior loan Credit markets (in Euro hedged terms) were broadly markets. This performance pattern – within an flat during the period, with global high yield bonds extremely challenging macro-economic environment falling 0.2% (ICE BofA Non-Financial Developed – has proven the diversification benefits of investing in Markets High Yield Constrained Index – EUR a balanced convertible strategy. The Fund Hedged). Credit spreads expanded in all major outperformed the convertible market benchmark regions (e.g., the spread on the iTraxx Europe during the period and significantly outpaced global Crossover Index widened 114 basis points to end the ex-U.S. equities. fiscal year at 346 basis points), though the majority of this expansion occurred in the first quarter of 2020. Risk assets generated strong returns through the end Since then, total returns have been driven by credit of 2019 as markets reacted positively to three key spread compression from the elevated levels seen at developments: a “phase-one” trade deal between the the end of March. U.S. and China, a continuation of Fed easing and Prime Minister Boris Johnson’s election victory in the Global new issuance surged during the twelve months UK, which calmed fears of a disorderly Brexit. In ended September 30, 2020, with $140 billion coming mid-January, the COVID-19 virus broke out in China to market. This marked the highest twelve month and by late-February, global markets began to sell off volume since 2008. The majority of issuance was as the virus spread globally. The rout accelerated over concentrated in the U.S. ($97 billion), followed by the next few weeks as governments around the world Europe ($25 billion) and Asia ex-Japan ($16 billion). enacted widespread lockdowns and social-distancing Japan remained lackluster, with only $2 billion in measures. Global equity and credit markets exhibited issuance over the period. Sectors with the highest extraordinary levels of volatility, and central banks, led issuance were information technology, consumer by the Fed, responded with aggressive and discretionary and health care. These sectors unprecedented measures to prevent a global financial performed well during the period and consist of many crisis. Equities snapped back after bottoming in issuers which are poised to thrive in the current March, and the rally continued through the remainder
19 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Manager’s Report (Continued) market environment. Pricing on new deals has There are plenty of headwinds to monitor; including improved amid the uncertainty created by COVID-19, increasing COVID-19 infection rates and the potential and we continue to evaluate each on a case-by-case for further lockdowns. We are confident that Oaktree’s basis. risk-controlled approach is well-suited for today’s environment. We believe our portfolio continues to offer a conservative way of gaining equity market exposure Oaktree (Lux.) Funds - Oaktree European to both the growth names that are benefitting from the Convertible Bond Fund pandemic, as well as the value plays that could benefit as economies reopen. Further, the healthy Convertible bonds performed well during the twelve new issuance calendar has been a good source of months ended September 30, 2020 (Thomson opportunities for us. Against this backdrop, we remain Reuters Europe Focus Convertible Index – EUR mindful of the potential market volatility and aim to Hedged up 2.9%). Although performance was volatile invest in high-quality businesses with upside return amid the COVID-19 pandemic, the asset class potential. outpaced the equity, high yield bond and senior loan markets. This performance pattern – within an Oaktree (Lux.) Funds – Oaktree North American extremely challenging macro-economic environment High Yield Bond Fund – has proven the diversification benefits of investing in a balanced convertible strategy. The Fund After a strong fourth quarter of 2019 and solid start to outperformed the convertible market benchmark 2020, risk assets suffered a massive blow in February during the period and significantly outpaced due to the rapidly spreading coronavirus. Responding European equities. to fears of a prolonged economic downturn, high yield bonds suffered major losses in the first quarter. Risk assets generated strong returns through the end However, amid aggressive Fed and fiscal stimulus, of 2019 as markets reacted positively to three key risk assets, including high yield bonds, rallied in the developments: a “phase-one” trade deal between the second and third quarters. U.S. and China, a continuation of Fed easing and Prime Minister Boris Johnson’s election victory in the While high yield bond issuers aren’t as desperate UK, which calmed fears of a disorderly Brexit. In today as they were in March, the quality of new mid-January, the COVID-19 virus broke out in China issuance has been relatively solid in 2020. Most new and by late-February, global markets began to sell off deals over last several months were being issued to as the virus spread globally. The rout accelerated over either bolster liquidity or refinance near-term the next few weeks as governments around the world maturities. These types of offerings are much more enacted widespread lockdowns and social-distancing creditor-friendly than LBOs, which typically are more measures. Global equity and credit markets exhibited highly levered and aggressively structured. extraordinary levels of volatility, and central banks, led by the Fed, responded with aggressive and New issue activity in the U.S. is on pace for its unprecedented measures to prevent a global financial strongest year on record. We have been active buying crisis. Equities snapped back after bottoming in new issues. The influx of fallen angels (former March, and the rally continued through the remainder investment grade bonds downgraded into the high of the fiscal year as many nations removed yield bond market) also has broadened our lockdowns, economic activity resumed, central banks opportunity set. Record amounts of new issuance, sustained their policy support and progress was together with downgrades from the investment grade made on COVID-19 vaccine. market, mean the high yield bond market is growing for the first time in years. Against this backdrop, European equity markets fell 5.8% during the period (STOXX Europe 600 – EUR After a decade of low defaults in the high yield bond Hedged). Equity markets experienced significant market, the cycle finally turned in 2020 and defaults performance divergence by sector. The best picked up considerably. As we would expect, our performing sectors during the period – information defensively-positioned portfolio experienced a technology and health care – were up 15% and 5%, considerably lower default rate than the broader while the worst performing sectors – energy and market. financials – were down 51% and 27%. Also notable
20 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Manager’s Report (Continued) was the sharp outperformance of “quarantine” stocks (those benefitting from the pandemic, such as digital transformation, work-from-home, remote learning and telemedicine names) over “recovery” stocks (those poised to benefit when economies reopen, such as travel and leisure companies).
Credit markets were broadly flat during the period, with European high yield bonds falling 0.1% (ICE BofA Global High Yield European Issuers Constrained Index – EUR Hedged). Credit spreads expanded in all major regions (e.g., the spread on the iTraxx Europe Crossover Index widened 114 basis points to end the fiscal year at 346 basis points), though the majority of this expansion occurred in the first quarter of 2020. Since then, total returns have been driven by credit spread compression from the elevated levels seen at the end of March.
Global new issuance surged during the twelve months ended September 30, 2020, with $140 billion coming to market. This marked the highest twelve month volume since 2008. The majority of issuance was concentrated in the U.S. ($97 billion), followed by Europe ($25 billion) and Asia ex-Japan ($16 billion). Japan remained lackluster, with only $2 billion in issuance over the period. Sectors with the highest issuance were information technology, consumer discretionary and health care. These sectors performed well during the period and consist of many issuers which are poised to thrive in the current market environment. Pricing on new deals has improved amid the uncertainty created by COVID-19, and we continue to evaluate each on a case-by-case basis.
We believe our portfolio continues to offer a conservative way of gaining equity market exposure to both the growth names that are benefitting from the pandemic, as well as the value plays that could benefit as economies reopen. Further, the healthy new issuance calendar has been a good source of opportunities for us. Against this backdrop, we remain mindful of the potential market volatility and aim to invest in high-quality businesses with upside return potential.
21 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Emerging Markets Equity Fund
Statement of Net Assets in USD
Assets 30.09.2020
Investments in securities at market value 152,972,775.78 Cash at banks and at brokers 100,000.04 Income receivable 271,835.50 153,344,611.32
Liabilities
Provisions for accrued expenses 847,870.63 Net unrealised loss on forward foreign exchange contracts 3,889.53 Other liabilities 4,710.37 856,470.53
Net Assets 152,488,140.79
Technical Data Valoren ISIN Total Expense Ratio R USD -Capitalisation USD 21362459 LU0931247406 2.07% E USD -Capitalisation USD 22987214 LU0999481087 1.45% I USD -Capitalisation USD 21362893 LU0931248719 1.23% Rh CHF -Capitalisation CHF 21362678 LU0931247661 2.10% Rh EUR -Capitalisation EUR 21362591 LU0931247588 2.08% Ih GBP -Capitalisation* GBP 21363128 LU0931249105 0.00%
*Considering the low level of assets, no fees were charged to the share class.
Fund Performance YTD Since Inception 2019 2018 2017 R USD -Capitalisation USD -9.66% / 24.00% -12.43% 31.37% E USD -Capitalisation USD -9.23% / 24.75% -11.90% 32.16% I USD -Capitalisation USD -9.08% / 25.04% -11.69% 32.50% Rh CHF -Capitalisation CHF -11.47% / 20.19% -15.48% 27.96% Rh EUR -Capitalisation EUR -11.43% / 20.41% -15.01% 28.55% Ih GBP -Capitalisation GBP -10.50% / 22.82% -13.75% 30.77%
Fund Evolution 30.09.2020 30.09.2019 30.09.2018
Total Net Assets USD 152,488,140.79 167,481,384.59 252,643,522.91 Net asset Value per share and share class R USD -Capitalisation USD 107.59 105.60 104.19 E USD -Capitalisation USD 114.99 112.16 110.00 I USD -Capitalisation USD 123.95 120.63 118.03 Rh CHF -Capitalisation CHF 92.32 93.25 95.05 Rh EUR -Capitalisation EUR 95.26 96.01 97.72 Ih GBP -Capitalisation GBP 105.24 104.37 104.47
The accompanying notes are an integral part of these financial statements. 22 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Emerging Markets Equity Fund
Number of share outstanding per share class at the end at the beginning Number of shares Number of shares of the year of the year issued redeemed
R USD -Capitalisation USD 2,183.800 2,183.800 0.000 0.000 E USD -Capitalisation USD 4,058.521 19,686.525 0.000 15,628.004 I USD -Capitalisation USD 1,221,383.390 1,363,063.203 93,847.074 235,526.887 Rh CHF -Capitalisation CHF 969.061 969.061 0.000 0.000 Rh EUR -Capitalisation EUR 2,696.632 4,997.514 1,246.684 3,547.566 Ih GBP -Capitalisation GBP 0.743 0.743 0.000 0.000
The accompanying notes are an integral part of these financial statements. 23 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Emerging Markets Equity Fund
Statement of Operations and Changes in Net Assets in USD for the financial year from 01.10.2019 to 30.09.2020
Net assets at the beginning of the year 167,481,384.59
Income
Dividends (net) 2,743,215.94 Other income 36,635.92 2,779,851.86
Expenses
Management fees 1,160,339.34 Depositary bank fees 187,174.48 Administration expenses 117,689.09 Printing and publication expenses 25,067.34 Interest and bank charges 2,934.22 Audit, control, legal, representative bank and other expenses 268,264.42 “Taxe d’abonnement” 14,723.53 Total Expenses 1,776,192.42
Net income 1,003,659.44
Realised gain (loss) Net realised gain on sales of investments 6,211,180.38 Net realised gain on forward foreign exchange contracts 10,140.74 Net realised loss on foreign exchange (2,298,623.81) 3,922,697.31 Net realised gain 4,926,356.75
Change in net unrealised appreciation (depreciation) Change in net unrealised appreciation on investments 584,527.20 Change in net unrealised appreciation on forward foreign exchange contracts 8,016.15 Change in net unrealised appreciation on foreign currencies 100.42 592,643.77
Net increase (decrease) in net assets as a result of operations 5,519,000.52
Subscriptions / Redemptions Subscriptions 10,820,624.90 Redemptions (31,332,869.22) (20,512,244.32)
Distribution -
Net assets at the end of the year 152,488,140.79
The accompanying notes are an integral part of these financial statements. 24 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Emerging Markets Equity Fund
Schedule of Investments in Securities
Securities listed on a stock exchange or other organised markets Valuation % of net Currency Description Quantity (in USD) assets
Shares
Brazil USD AZUL SA ADR 74,980 986,736.80 0.65 USD BANCO BRADESCO SA ADR 352,228 1,208,142.04 0.79 USD ITAU UNIBANCO -H- ADR 618,953 2,463,432.94 1.61 USD PETROLEO BRASILEIRO SA ADR 192,277 1,369,012.24 0.90 USD VALE SA-AP ADR 198,743 2,102,700.94 1.38 8,130,024.96 5.33
Cayman Islands USD AFYA LTD -A- 81,273 2,213,876.52 1.45 HKD ALIBABA GROUP HOLDING LTD 212,900 7,570,998.71 4.96 USD BAIDU INC ADR 17,647 2,233,933.73 1.47 HKD BUDWEISER BREWING CO APAC LTD 518,700 1,505,903.23 0.99 HKD GEELY AUTOMOBILE HOLDINGS LTD 1,274,000 2,531,561.29 1.66 USD GENETRON HOLDINGS LTD 28,200 336,708.00 0.22 HKD KANGJI MEDICAL HOLDINGS LTD 413,500 1,032,949.68 0.68 USD KINGSOFT CLOUD HOLDINGS LTD ADR 34,000 1,004,020.00 0.66 HKD SHIMAO PROPERTY HOLDINGS LTD 513,000 2,118,193.55 1.39 HKD TENCENT HOLDINGS LTD 124,600 8,223,600.00 5.39 HKD WANT WANT CHINA HOLDINGS LTD 2,138,000 1,484,185.81 0.97 30,255,930.52 19.84
Chile USD SOCIEDAD QUIMICA Y MINERA DE CHILE SA ADR 15,420 499,916.40 0.33
China HKD ANHUI CONCH CEMENT CO LTD -H- 320,000 2,200,774.19 1.44 HKD CHINA CONSTRUCTION BANK CORP -H- 2,998,000 1,941,930.32 1.27 HKD CHINA LONGYUAN POWER GROUP CORP LTD -H- 1,994,200 1,245,410.06 0.82 HKD CHINA MERCHANTS BANK CO LTD -H- 391,000 1,844,006.45 1.21 HKD CHINA PACIFIC INSURANCE GROUP CO LTD -H- 258,500 730,470.97 0.48 HKD CHINA RAILWAY GROUP LTD -H- 2,332,000 1,095,287.74 0.72 CNY HANGZHOU TIGERMED CONSULTING CO LTD -A- 71,849 1,086,079.72 0.71 HKD INDUSTRIAL & COMMERCIAL BANK OF CHINA LTD -H- 1,159,000 601,184.52 0.39 CNY JIANGSU YANGHE BREWERY JOINT-STOCK CO LTD 108,492 1,991,074.95 1.31 CNY PING AN BANK CO LTD -A- 800,500 1,783,041.88 1.17 HKD PING AN INSURANCE GROUP CO OF CHINA LTD -H- 409,500 4,200,677.42 2.75 CNY SUOFEIYA HOME COLLECTION CO LTD -A- 298,995 1,157,241.39 0.76 HKD WEICHAI POWER CO LTD 412,000 825,063.23 0.54 HKD WUXI APPTEC CO LTD -H- 182,358 2,618,896.18 1.72 23,321,139.02 15.29
Greece EUR ALPHA BANK AE 1,235,021 750,192.47 0.49
Hong Kong HKD AIA GROUP LTD 323,200 3,165,274.84 2.08 HKD CHINA MOBILE LTD 397,500 2,536,306.45 1.66 USD CNOOC LTD ADR 14,714 1,413,279.70 0.93 HKD GALAXY ENTERTAINMENT GROUP LTD 352,000 2,359,535.48 1.55 HKD MMG LTD 1,484,200 369,613.68 0.24 9,844,010.15 6.46
Hungary HUF OTP BANK NYRT 48,472 1,461,807.65 0.96
The accompanying notes are an integral part of these financial statements. 25 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Emerging Markets Equity Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Quantity (in USD) assets
Shares (Continued)
India USD ICICI BANK LTD ADR 280,354 2,755,879.82 1.81
Indonesia IDR BANK RAKYAT INDONESIA PERSERO TBK PT 14,352,700 2,932,272.04 1.92 IDR SEMEN INDONESIA PERSERO TBK PT 3,279,300 2,022,014.62 1.33 4,954,286.66 3.25
Japan JPY MURATA MANUFACTURING CO LTD 15,500 994,802.43 0.65
Jersey GBP POLYMETAL INTERNATIONAL PLC 30,474 665,608.59 0.44
Mexico USD AMERICA MOVIL SAB DE CV ADR -L- 125,005 1,561,312.45 1.02 USD CEMEX SAB DE CV ADR 576,736 2,191,596.80 1.44 MXN GRUPO FINANCIERO BANORTE SAB DE CV -O- 419,200 1,450,582.11 0.95 5,203,491.36 3.41
Russia USD LUKOIL PJSC ADR 41,988 2,430,265.44 1.60 USD MMC NORILSK NICKEL PJSC ADR 46,686 1,127,466.90 0.74 USD SBERBANK OF RUSSIA PJSC ADR 352,701 4,121,311.19 2.70 7,679,043.53 5.04
South Africa USD ANGLOGOLD ASHANTI LTD ADR 134,582 3,550,273.16 2.33 ZAR SHOPRITE HOLDINGS LTD 199,511 1,634,483.10 1.07 5,184,756.26 3.40
South Korea KRW HANA FINANCIAL GROUP INC 135,287 3,250,589.74 2.13 KRW KB FINANCIAL GROUP INC 43,551 1,398,324.11 0.92 KRW LG CHEM LTD 3,855 2,155,767.42 1.41 KRW SAMSUNG ELECTRONICS CO LTD 160,788 8,001,591.79 5.25 KRW SK HYNIX INC 42,039 3,019,474.99 1.98 17,825,748.05 11.69
Taiwan TWD ASE TECHNOLOGY HOLDING CO LTD 968,000 1,978,647.88 1.30 TWD GIANT MANUFACTURING CO LTD 79,202 745,202.16 0.49 TWD MEDIATEK INC 167,000 3,500,069.06 2.29 USD TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD ADR 112,741 9,139,912.87 5.99 15,363,831.97 10.07
Thailand THB CHAROEN POKPHAND FOODS PCL 3,331,300 2,943,633.93 1.93
United States USD MERCADOLIBRE INC 1,400 1,515,472.00 0.99
Total Shares 139,349,575.77 91.38
The accompanying notes are an integral part of these financial statements. 26 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Emerging Markets Equity Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Quantity (in USD) assets
Certificates
Netherlands USD GLENMARK PHARMACEUTICALS LTD 138,200 904,069.30 0.59 USD ICICI PRUDENTIAL LIFE INSURANCE CO LTD 125,729 717,258.55 0.47 USD LARSEN & TOUBRO LTD 152,100 1,858,679.34 1.22 USD RELIANCE INDUSTRIES LTD 153,242 4,640,773.37 3.05 USD ULTRATECH CEMENT LTD 24,500 1,344,727.24 0.88 USD UNITED BANK LTD 725,175 503,619.53 0.33 9,969,127.33 6.54
Total Certificates 9,969,127.33 6.54
Investment Funds
Luxembourg USD JPMORGAN LIQUIDITY FUND 3,654,073 3,654,072.68 2.40
Total Investment Funds 3,654,072.68 2.40
Total Securities listed on a stock exchange or other organised markets 152,972,775.78 100.32
Securities not listed on a stock exchange or other organised markets
Shares
Hong Kong HKD TIANHE CHEMICALS * 16,136,000 0.00 0.00
Total Shares 0.00 0.00
Total Securities not listed on a stock exchange or other organised markets 0.00 0.00
Total Portfolio 152,972,775.78 100.32 Cash at banks and at brokers 100,000.04 0.07 Other Net Liabilities (584,635.03) (0.39)
Total Net Assets 152,488,140.79 100.00
*Fair valued position
The accompanying notes are an integral part of these financial statements. 27 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Emerging Markets Equity Fund
Schedule of Investments in Securities (Continued)
Forward foreign exchange hedged contracts Purchases Counterparty Sales Maturity Valuation (in USD) CHF STATE STREET BANK AND TRUST COMPANY 94,029 USD 103,718 30.11.2020 (1,206.18) EUR STATE STREET BANK AND TRUST COMPANY 270,115 USD 319,646 30.11.2020 (2,511.22) GBP STATE STREET BANK AND TRUST COMPANY 82 USD 108 30.11.2020 (1.88) USD STATE STREET BANK AND TRUST COMPANY 5,277 CHF 4,880 30.11.2020 (43.21) USD STATE STREET BANK AND TRUST COMPANY 5 GBP 4 30.11.2020 (0.08) USD STATE STREET BANK AND TRUST COMPANY 16,364 EUR 14,046 30.11.2020 (126.96) Net unrealised loss on forward foreign exchange hedged contracts (3,889.53)
Breakdown by Economic Sector % of net assets Financial 29.10 Technology 17.47 Communications 15.49 Consumer, Non-cyclical 11.64 Industrial 9.85 Basic Materials 6.87 Consumer, Cyclical 5.65 Energy 3.43 Utilities 0.82 Total 100.32
The accompanying notes are an integral part of these financial statements. 28 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European High Yield Bond Fund
Statement of Net Assets in EUR
Assets 30.09.2020
Investments in securities at market value 50,077,195.15 Cash at banks and at brokers 505,600.36 Fees waiver receivable 351,063.64 Net unrealised gain on forward foreign exchange contracts 13,587.19 Income receivable 670,355.60 51,617,801.94
Liabilities
Due to banks and to brokers 399,202.59 Payables for purchases of securities 454,765.25 Provisions for accrued expenses 322,191.74 Dividend payable 216,896.14 1,393,055.72
Net Assets 50,224,746.22
Technical Data Valoren ISIN Total Expense Ratio R EUR -Capitalisation EUR 26079316 LU1138669772 1.45% E EUR -Distribution EUR 28071480 LU1227292494 0.85% E EUR -Capitalisation EUR 21367590 LU0931244213 0.85% I EUR -Distribution EUR 21369220 LU0931245533 0.71% Rh CHF -Capitalisation CHF 26114629 LU1138670192 1.48% Eh GBP -Distribution GBP 28071482 LU1227292734 0.88% Ih GBP -Distribution GBP 21370509 LU0931246424 0.74% Ih NOK -Capitalisation NOK 32303928 LU1399208302 0.74% Rh USD -Capitalisation USD 26114621 LU1138669939 1.48% Eh USD -Capitalisation USD 21369216 LU0931244569 0.88% Ih USD -Distribution USD 21369221 LU0931245889 0.74% Ih USD -Capitalisation USD 21370511 LU0931246853 0.74% I EUR -Capitalisation EUR 21370510 LU0931246770 0.71%
The accompanying notes are an integral part of these financial statements. 29 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European High Yield Bond Fund
Fund Performance YTD Since Inception 2019 2018 2017 R EUR -Capitalisation EUR -3.09% / 9.99% -4.04% 4.54% CB -Capitalisation* EUR / / / -3.61% 5.10% E EUR -Distribution EUR -2.67% 4.26% 10.66% -3.46% / E EUR -Capitalisation EUR -2.65% / 10.60% -3.46% 5.16% I EUR -Distribution EUR -2.55% / 10.78% -3.27% 5.28% Rh CHF -Capitalisation CHF -3.25% / 9.44% -4.44% 4.07% Eh GBP -Distribution GBP -2.39% / 11.70% -2.42% 6.08% Ih GBP -Distribution GBP -2.28% / 11.80% -2.30% 6.26% Ih NOK -Capitalisation NOK -2.83% / 12.72% -2.09% 6.77% Rh USD -Capitalisation USD -1.53% / 13.15% -1.30% 6.62% Eh USD -Capitalisation USD -1.08% 17.52% 13.83% -0.69% / Ih USD -Distribution USD -0.97% / 13.99% -0.56% 7.57% Ih USD -Capitalisation USD -0.96% / 14.01% -0.56% 7.55% I EUR -Capitalisation EUR -2.56% / 10.75% -3.37% 5.36%
*The share class closed on 01 August 2019.
Distribution Ex-date Amount
E EUR -Distribution EUR 31.12.2019 0.83 E EUR -Distribution EUR 31.03.2020 0.85 E EUR -Distribution EUR 30.06.2020 0.83 E EUR -Distribution EUR 30.09.2020 0.87 I EUR -Distribution EUR 31.12.2019 0.90 I EUR -Distribution EUR 31.03.2020 0.92 I EUR -Distribution EUR 30.06.2020 0.90 I EUR -Distribution EUR 30.09.2020 0.94 Eh GBP -Distribution GBP 31.12.2019 0.85 Eh GBP -Distribution GBP 31.03.2020 0.91 Eh GBP -Distribution GBP 30.06.2020 0.88 Eh GBP -Distribution GBP 30.09.2020 0.91 Ih GBP -Distribution GBP 31.12.2019 0.88 Ih GBP -Distribution GBP 31.03.2020 0.94 Ih GBP -Distribution GBP 30.06.2020 0.91 Ih GBP -Distribution GBP 30.09.2020 0.94 Ih USD -Distribution USD 31.12.2019 0.89 Ih USD -Distribution USD 31.03.2020 0.89 Ih USD -Distribution USD 30.06.2020 0.90 Ih USD -Distribution USD 30.09.2020 0.93
The accompanying notes are an integral part of these financial statements. 30 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European High Yield Bond Fund
Fund Evolution 30.09.2020 30.09.2019 30.09.2018
Total Net Assets EUR 50,224,746.22 65,626,028.37 59,351,136.48 Net asset Value per share and share class R EUR -Capitalisation EUR 115.36 117.80 112.21 CB -Capitalisation* EUR / 116.47 111.53 E EUR -Distribution EUR 94.14 99.10 97.26 E EUR -Capitalisation EUR 118.43 120.21 113.86 I EUR -Distribution EUR 97.97 103.13 101.22 Rh CHF -Capitalisation CHF 111.77 114.42 109.54 Eh GBP -Distribution GBP 98.42 103.15 100.13 Ih GBP -Distribution GBP 98.13 102.85 99.83 Ih NOK -Capitalisation NOK 1,207.32 1,221.21 1,136.49 Rh USD -Capitalisation USD 128.44 128.14 118.61 Eh USD -Capitalisation USD 117.52 116.54 107.22 Ih USD -Distribution USD 97.43 100.19 95.45 Ih USD -Capitalisation USD 132.96 131.65 120.93 I EUR -Capitalisation EUR 139.32 141.22 13.36
*The share class closed on 01 August 2019.
Number of share outstanding per share class at the end at the beginning Number of shares Number of shares of the year of the year issued redeemed
R EUR -Capitalisation EUR 50,681.873 54,787.394 522.789 4,628.310 E EUR -Distribution EUR 3,180.610 3,176.096 4.514 0.000 E EUR -Capitalisation EUR 43,951.449 42,684.346 17,008.090 15,740.987 I EUR -Distribution EUR 183,213.938 285,605.385 204.225 102,595.672 Rh CHF -Capitalisation CHF 50,000.000 50,000.000 0.000 0.000 Eh GBP -Distribution GBP 2,215.597 2,134.281 81.316 0.000 Ih GBP -Distribution GBP 20,237.872 19,475.722 762.150 0.000 Ih NOK -Capitalisation NOK 2,012.789 5,039.316 0.000 3,026.527 Rh USD -Capitalisation USD 69,023.804 76,002.368 0.000 6,978.564 Eh USD -Capitalisation USD 1,084.034 1,084.034 0.000 0.000 Ih USD -Distribution USD 22,412.421 21,575.072 837.349 0.000 Ih USD -Capitalisation USD 607.403 2,178.441 0.000 1,571.038 I EUR -Capitalisation EUR 25,017.535 32,424.942 0.000 7,407.407
The accompanying notes are an integral part of these financial statements. 31 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European High Yield Bond Fund
Statement of Operations and Changes in Net Assets in EUR for the financial year from 01.10.2019 to 30.09.2020
Net assets at the beginning of the year 65,626,028.37
Income
Interest on investments in securities (net) 2,608,459.18 2,608,459.18
Expenses
Management fees 436,929.61 Depositary bank fees 52,138.65 Administration expenses 67,876.82 Printing and publication expenses 9,347.64 Interest and bank charges 1,432.37 Audit, control, legal, representative bank and other expenses 121,593.00 “Taxe d’abonnement” 15,238.92 Total expenses before expense waiver 704,557.01 Fees waived (127,655.04) Total Expenses 576,901.97
Net income 2,031,557.21
Realised gain (loss) Net realised loss on sales of investments (741,713.68) Net realised loss on forward foreign exchange contracts (171,953.40) Net realised loss on foreign exchange (10,949.72) (924,616.80) Net realised gain 1,106,940.41
Change in net unrealised appreciation (depreciation) Change in net unrealised depreciation on investments (2,859,063.95) Change in net unrealised depreciation on forward foreign exchange contracts (42,317.63) Change in net unrealised depreciation on foreign currencies (2,590.12) (2,903,971.70)
Net increase (decrease) in net assets as a result of operations (1,797,031.29)
Subscriptions / Redemptions Subscriptions 2,108,691.30 Redemptions (14,682,443.50) (12,573,752.20)
Distribution (1,030,498.66)
Net assets at the end of the year 50,224,746.22
The accompanying notes are an integral part of these financial statements. 32 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European High Yield Bond Fund
Schedule of Investments in Securities
Securities listed on a stock exchange or other organised markets Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Corporate Bonds
Austria EUR WIENERBERGER AG -REGS- 100,000 06/04/2025 2.75 103,502.00 0.21
Canada EUR BAUSCH HEALTH COS INC -REGS- 340,000 05/15/2023 4.50 338,086.82 0.67 EUR PRIMO WATER CORP -REGS- 310,000 07/01/2024 5.50 316,639.58 0.63 654,726.40 1.30
Cayman Islands EUR UPCB FINANCE IV LTD -REGS- 432,000 01/15/2027 4.00 438,754.32 0.87
Denmark EUR DKT FINANCE APS -REGS- 425,000 06/17/2023 7.00 430,318.45 0.86
Finland EUR TEOLLISUUDEN VOIMA OYJ -REGS- 315,000 05/08/2024 2.00 315,521.43 0.63
France USD ALTICE FRANCE SA -144A- 340,000 05/01/2026 7.37 304,134.09 0.61 EUR ALTICE FRANCE SA -REGS- 150,000 02/01/2027 5.87 158,964.15 0.32 EUR ALTICE FRANCE SA -REGS- 325,000 01/15/2028 3.38 314,244.13 0.63 EUR BANIJAY ENTERTAINMENT SASU -REGS- 340,000 03/01/2025 3.50 332,803.22 0.66 EUR CASINO GUICHARD PERRACHON SA -REGS- 200,000 06/13/2022 1.87 187,969.00 0.37 EUR CASINO GUICHARD PERRACHON SA -REGS- 200,000 03/07/2024 4.50 161,000.00 0.32 EUR CONSTANTIN INVESTISSEMENT 3 SASU -REGS- 355,000 04/15/2025 5.37 357,662.50 0.71 EUR CROWN EUROPEAN HOLDINGS SA -REGS- 120,000 09/30/2024 2.63 123,110.88 0.25 EUR ELECTRICITE DE FRANCE SA -REGS- 100,000 01/29/2049 5.37 110,062.80 0.22 GBP ELECTRICITE DE FRANCE SA -REGS- 200,000 12/29/2049 6.00 238,226.07 0.47 EUR ELIS SA -REGS- 200,000 04/11/2024 1.75 197,333.80 0.39 EUR ELIS SA -REGS- 100,000 02/15/2026 2.88 101,456.60 0.20 EUR FAURECIA SE -REGS- 210,000 06/15/2026 3.13 209,097.00 0.42 EUR FAURECIA SE -REGS- 180,000 06/15/2028 3.75 179,682.30 0.36 EUR LA FINANCIERE ATALIAN SASU -REGS- 450,000 05/15/2025 5.12 383,625.00 0.76 EUR LOXAM SAS -REGS- 120,000 07/15/2026 3.75 115,186.80 0.23 EUR LOXAM SAS -REGS- 195,000 07/15/2026 3.75 187,178.55 0.37 EUR LOXAM SAS -REGS- 100,000 04/15/2027 4.50 86,777.80 0.17 EUR LOXAM SAS -REGS- 130,000 07/15/2027 5.75 117,346.32 0.23 EUR NEXANS SA -REGS- 200,000 08/08/2023 3.75 209,450.00 0.42 EUR NOVAFIVES SAS -REGS- 175,000 06/15/2025 5.00 128,756.25 0.26 EUR ORANO SA -REGS- 300,000 04/23/2026 3.38 310,395.90 0.62 EUR ORANO SA -REGS- 100,000 03/08/2028 2.75 99,076.40 0.20 EUR PAPREC HOLDING SA -REGS- 100,000 03/31/2025 4.00 96,119.40 0.19 EUR PARTS EUROPE SA -REGS- 149,000 07/16/2025 6.50 150,882.62 0.30 EUR PICARD GROUPE SAS -REGS- 115,000 11/30/2023 3.00 112,038.64 0.22 EUR RENAULT SA -REGS- 400,000 06/24/2025 1.25 369,510.80 0.74 EUR REXEL SA -REGS- 200,000 06/15/2026 2.75 199,450.00 0.40 USD SPCM SA -144A- 385,000 09/15/2025 4.87 340,821.62 0.68 EUR SPIE SA -REGS- 400,000 06/18/2026 2.63 398,287.60 0.79 EUR TEREOS FINANCE GROUPE I SA -REGS- 100,000 06/16/2023 4.13 92,962.80 0.19 EUR VALLOUREC SA -REGS- 100,000 10/15/2022 6.62 57,454.00 0.11 EUR VALLOUREC SA -REGS- 135,000 10/15/2023 6.37 77,283.18 0.15 6,508,350.22 12.96
Germany EUR ADLER REAL ESTATE AG -REGS- 100,000 02/06/2024 2.13 96,404.00 0.19 EUR CERAMTEC BONDCO GMBH -REGS- 310,000 12/15/2025 5.25 297,693.00 0.59 EUR CHEPLAPHARM ARZNEIMITTEL GMBH -REGS- 170,000 02/11/2027 3.50 164,483.84 0.33 EUR IHO VERWALTUNGS GMBH -REGS- 150,000 05/15/2025 3.62 150,802.65 0.30
The accompanying notes are an integral part of these financial statements. 33 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Corporate Bonds (Continued)
Germany (Continued) EUR IHO VERWALTUNGS GMBH -REGS- 340,000 09/15/2026 3.75 340,634.10 0.68 USD IHO VERWALTUNGS GMBH -144A- 200,000 09/15/2026 4.75 173,181.18 0.35 EUR INEOS STYROLUTION GROUP GMBH -REGS- 265,000 01/16/2027 2.25 247,968.45 0.49 EUR NIDDA BONDCO GMBH -REGS- 135,000 09/30/2025 5.00 131,951.70 0.26 EUR NIDDA HEALTHCARE HOLDING GMBH -REGS- 400,000 09/30/2024 3.50 391,380.00 0.78 EUR PLATIN 1426 GMBH -REGS- 100,000 06/15/2023 5.37 95,000.00 0.19 EUR PROGROUP AG -REGS- 315,000 03/31/2026 3.00 313,263.91 0.62 EUR REBECCA BIDCO GMBH -REGS- 200,000 07/15/2025 5.75 201,100.00 0.40 EUR TECHEM VERWALTUNGSGESELLSCHAFT 674 MBH -REGS- 440,000 07/30/2026 6.00 450,395.00 0.90 EUR TELE COLUMBUS AG -REGS- 475,000 05/02/2025 3.87 454,932.68 0.91 EUR THYSSENKRUPP AG -REGS- 405,000 02/22/2024 2.88 381,420.09 0.76 EUR VERTICAL MIDCO GMBH -REGS- 705,000 07/15/2027 4.37 719,276.25 1.43 EUR WEPA HYGIENEPRODUKTE GMBH -REGS- 300,000 12/15/2027 2.88 295,806.23 0.59 EUR ZF FINANCE GMBH -REGS- 900,000 09/21/2028 3.75 873,668.70 1.74 5,779,361.78 11.51
Ireland USD C&W SENIOR FINANCING DAC -144A- 310,000 09/15/2027 6.87 275,283.00 0.55 EUR EIRCOM FINANCE DAC -REGS- 180,000 05/15/2026 3.50 179,814.06 0.36 EUR EIRCOM FINANCE DAC -REGS- 100,000 02/15/2027 2.63 96,206.70 0.19 USD JAMES HARDIE INTERNATIONAL FINANCE DAC -144A- 200,000 01/15/2025 4.75 174,799.74 0.35 EUR SMURFIT KAPPA ACQUISITIONS ULC -REGS- 300,000 02/01/2025 2.75 317,432.40 0.63 EUR SMURFIT KAPPA TREASURY ULC -REGS- 160,000 09/15/2027 1.50 158,774.11 0.31 GBP VIRGIN MEDIA VENDOR FINANCING NOTES III DAC -REGS- 775,000 07/15/2028 4.88 864,509.51 1.72 2,066,819.52 4.11
Isle of Man EUR PLAYTECH PLC -REGS- 180,000 10/12/2023 3.75 180,054.72 0.36
Italy EUR BORMIOLI PHARMA BIDCO SPA -REGS- 340,000 11/15/2024 3.50 324,292.00 0.65 EUR DIOCLE SPA -REGS- 339,893 06/30/2026 3.87 335,455.96 0.67 EUR GAMMA BIDCO SPA -REGS- 100,000 07/15/2025 6.00 97,000.00 0.19 EUR GUALA CLOSURES SPA -REGS- 240,000 04/15/2024 3.50 238,930.80 0.48 EUR INTER MEDIA AND COMMUNICATION SPA -REGS- 430,800 12/31/2022 4.87 417,606.75 0.83 EUR LEONARDO SPA -REGS- 200,000 01/08/2026 2.38 198,686.60 0.40 EUR LIMACORPORATE SPA -REGS- 180,000 08/15/2023 3.75 172,350.00 0.34 EUR NEXI SPA -REGS- 220,000 10/31/2024 1.75 217,738.40 0.43 EUR SISAL PAY SPA -REGS- 325,000 12/17/2026 3.88 317,484.38 0.63 EUR TEAMSYSTEM SPA -REGS- 320,000 04/15/2023 4.00 318,168.96 0.63 EUR TELECOM ITALIA SPA -REGS- 413,000 04/11/2024 4.00 439,326.27 0.87 EUR TELECOM ITALIA SPA -REGS- 246,000 01/19/2024 3.63 259,068.75 0.52 USD TELECOM ITALIA SPA -144A- 413,000 05/30/2024 5.30 382,984.13 0.76 3,719,093.00 7.40
Jersey GBP CPUK FINANCE LTD -REGS- 151,042 08/28/2022 4.25 165,040.43 0.33 GBP GALAXY BIDCO LTD -REGS- 175,000 07/31/2026 6.50 197,753.68 0.39 EUR LHC3 PLC -REGS- 170,000 08/15/2024 4.13 172,125.00 0.34 534,919.11 1.06
Luxembourg EUR ADO PROPERTIES SA -REGS- 400,000 08/05/2025 3.25 405,026.40 0.81 USD ALTICE FINANCING SA -144A- 200,000 01/15/2028 5.00 165,874.66 0.33 EUR ALTICE FINANCING SA -REGS- 100,000 01/15/2028 3.00 93,171.20 0.18 USD ALTICE FINANCING SA -144A- 510,000 05/15/2026 7.50 460,911.24 0.92
The accompanying notes are an integral part of these financial statements. 34 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Corporate Bonds (Continued)
Luxembourg (Continued) EUR ALTICE FINCO SA -REGS- 285,000 01/15/2028 4.75 259,350.00 0.52 USD ALTICE FRANCE HOLDING SA -144A- 575,000 02/15/2028 6.00 468,593.05 0.93 EUR ARAMARK INTERNATIONAL FINANCE SARL -REGS- 340,000 04/01/2025 3.13 326,488.40 0.65 USD ARCELORMITTAL SA 265,000 07/16/2024 3.60 236,904.13 0.47 USD ARCELORMITTAL SA 615,000 03/11/2026 4.55 566,964.77 1.13 USD ARCELORMITTAL SA 220,000 10/15/2039 7.25 237,861.74 0.47 EUR ARD FINANCE SA -REGS- 225,000 06/30/2027 5.00 220,320.09 0.44 EUR ARENA LUXEMBOURG FINANCE SARL -REGS- 330,000 02/01/2028 1.88 297,081.18 0.59 GBP B&M EUROPEAN VALUE RETAIL SA -REGS- 110,000 07/15/2025 3.62 123,802.07 0.25 EUR CIRSA FINANCE INTERNATIONAL SARL -REGS- 405,000 12/20/2023 6.25 370,675.44 0.74 EUR LHMC FINCO 2 SARL -REGS- 338,000 10/02/2025 7.25 262,795.00 0.52 EUR LINCOLN FINANCING SARL -REGS- 265,000 04/01/2024 3.62 255,831.53 0.51 EUR MATTERHORN TELECOM SA -REGS- 390,000 09/15/2026 3.13 373,215.96 0.74 EUR MONITCHEM HOLDCO 2 SA -REGS- 200,000 09/15/2026 9.50 207,231.00 0.41 EUR MOTION FINCO SARL -REGS- 450,000 05/15/2025 7.00 445,701.60 0.89 EUR SAMSONITE FINCO SARL -REGS- 200,000 05/15/2026 3.50 163,516.60 0.32 EUR SES SA -REGS- 495,000 12/29/2049 5.62 525,325.19 1.05 EUR SUMMER BC HOLDCO A SARL -REGS- 103,621 10/31/2027 9.25 96,643.62 0.19 EUR SUMMER BC HOLDCO B SARL -REGS- 325,000 10/31/2026 5.75 320,513.05 0.64 USD TELECOM ITALIA CAPITAL SA 420,000 11/15/2033 6.37 425,384.80 0.85 USD TELENET FINANCE LUXEMBOURG NOTES SARL -144A- 400,000 03/01/2028 5.50 359,442.13 0.72 7,668,624.85 15.27
Netherlands EUR AXALTA COATING SYSTEMS DUTCH HOLDING B BV -REGS- 300,000 01/15/2025 3.75 301,541.40 0.60 EUR DARLING GLOBAL FINANCE BV -REGS- 310,000 05/15/2026 3.63 316,476.21 0.63 EUR DIAMOND BC BV -REGS- 210,000 08/15/2025 5.62 206,275.23 0.41 EUR DUFRY ONE BV -REGS- 450,000 10/15/2024 2.50 391,004.10 0.78 EUR ENERGIZER GAMMA ACQUISITION BV -REGS- 300,000 07/15/2026 4.62 309,713.79 0.62 EUR FIAT CHRYSLER AUTOMOBILES NV -REGS- 320,000 01/05/2026 3.87 346,774.72 0.69 EUR FIAT CHRYSLER AUTOMOBILES NV -REGS- 540,000 07/07/2028 4.50 616,123.80 1.23 EUR INTERTRUST GROUP BV -REGS- 390,000 11/15/2025 3.38 398,728.20 0.79 EUR LKQ EUROPEAN HOLDINGS BV -REGS- 265,000 04/01/2026 3.62 269,091.60 0.54 USD METINVEST BV -REGS- 220,000 04/23/2026 8.50 189,550.93 0.38 EUR NATURGY FINANCE BV -REGS- 200,000 12/29/2049 3.38 205,422.40 0.41 USD OCI NV -144A- 275,000 04/15/2023 6.62 242,778.00 0.48 EUR PHOENIX PIB DUTCH FINANCE BV -REGS- 200,000 08/05/2025 2.38 201,980.00 0.40 EUR Q-PARK HOLDING I BV -REGS- 360,000 03/01/2026 2.00 325,411.20 0.65 EUR REPSOL INTERNATIONAL FINANCE BV -REGS- 270,000 03/25/2075 4.50 284,528.70 0.57 EUR REPSOL INTERNATIONAL FINANCE BV -REGS- 160,000 12/31/2099 3.75 161,402.88 0.32 EUR SAIPEM FINANCE INTERNATIONAL BV -REGS- 305,000 07/15/2026 3.38 297,650.42 0.59 EUR SIGMA HOLDCO BV -REGS- 390,000 05/15/2026 5.75 385,970.52 0.77 EUR SUNSHINE MID BV -REGS- 335,000 05/15/2026 6.50 343,375.00 0.68 EUR TELEFONICA EUROPE BV -REGS- 100,000 12/31/2049 3.75 101,875.00 0.20 EUR TELEFONICA EUROPE BV -REGS- 600,000 12/31/2099 4.37 634,142.40 1.26 EUR TRIVIUM PACKAGING FINANCE BV -REGS- 250,000 08/15/2026 3.75 248,213.74 0.50 USD UPC HOLDING BV -144A- 420,000 01/15/2028 5.50 370,474.83 0.74 USD ZIGGO BOND CO BV -144A- 695,000 01/15/2027 6.00 614,158.90 1.22 EUR ZIGGO BV -REGS- 180,000 01/15/2027 4.25 187,659.00 0.37 7,950,322.97 15.83
Panama EUR CARNIVAL CORP -REGS- 100,000 02/01/2026 10.13 106,574.50 0.21
Spain EUR EL CORTE INGLES SA -REGS- 100,000 03/15/2024 3.62 101,193.00 0.20 EUR GRIFOLS SA -REGS- 100,000 05/01/2025 3.20 100,620.80 0.20
The accompanying notes are an integral part of these financial statements. 35 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Corporate Bonds (Continued)
Spain (Continued) EUR GRUPO ANTOLIN-IRAUSA SA -REGS- 270,000 04/30/2026 3.38 219,641.49 0.44 EUR INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA -REGS- 100,000 07/04/2027 1.50 70,775.00 0.14 EUR LORCA TELECOM BONDCO SAU -REGS- 360,000 09/18/2027 4.00 361,242.00 0.72 EUR TENDAM BRANDS SAU -REGS- 320,000 09/15/2024 5.00 264,792.32 0.53 1,118,264.61 2.23
Supranational USD ARDAGH PACKAGING FINANCE PLC / ARDAGH HOLDINGS USA INC -144A- 200,000 04/30/2025 5.25 178,458.12 0.36 EUR ARDAGH PACKAGING FINANCE PLC / ARDAGH HOLDINGS USA INC -REGS- 250,000 08/15/2026 2.13 243,409.56 0.49 USD ARDAGH PACKAGING FINANCE PLC / ARDAGH HOLDINGS USA INC -144A- 360,000 08/15/2027 5.25 313,136.78 0.62 EUR CLARIOS GLOBAL LP / CLARIOS US FINANCE CO -REGS- 205,000 05/15/2026 4.37 206,281.25 0.41 USD CONNECT FINCO SARL / CONNECT US FINCO LLC -144A- 745,000 10/01/2026 6.75 638,298.88 1.27 EUR EAGLE INTERMEDIATE GLOBAL HOLDING BV / RUYI US FINANCE LLC -REGS- 210,000 05/01/2023 5.37 141,750.00 0.28 1,721,334.59 3.43
Sweden EUR INTRUM AB -REGS- 335,000 09/15/2027 3.00 293,250.63 0.59 EUR UNILABS SUBHOLDING AB -REGS- 365,000 05/15/2025 5.75 368,389.39 0.73 EUR VERISURE HOLDING AB -REGS- 125,000 07/15/2026 3.87 125,555.50 0.25 EUR VERISURE MIDHOLDING AB -REGS- 415,000 12/01/2023 5.75 416,212.63 0.83 1,203,408.15 2.40
United Kingdom GBP ARQIVA BROADCAST FINANCE PLC -REGS- 255,000 09/30/2023 6.75 290,615.23 0.58 USD DRAX FINCO PLC -144A- 275,000 11/01/2025 6.62 244,478.21 0.49 GBP HEATHROW FINANCE PLC -REGS- 175,000 09/01/2029 4.12 177,303.06 0.35 GBP HURRICANE FINANCE PLC -REGS- 100,000 10/15/2025 8.00 115,162.92 0.23 GBP ICELAND BONDCO PLC -REGS- 130,000 07/15/2024 6.75 144,471.46 0.29 EUR INEOS FINANCE PLC -REGS- 380,000 05/01/2026 2.88 367,084.94 0.73 EUR INTERNATIONAL GAME TECHNOLOGY PLC -REGS- 140,000 04/15/2028 2.38 123,200.00 0.24 GBP IRON MOUNTAIN UK PLC -REGS- 200,000 11/15/2025 3.88 223,374.54 0.44 GBP JAGUAR LAND ROVER AUTOMOTIVE PLC -REGS- 195,000 03/01/2023 3.88 195,760.44 0.39 EUR JAGUAR LAND ROVER AUTOMOTIVE PLC -REGS- 175,000 11/15/2024 5.87 158,814.95 0.32 GBP LADBROKES GROUP FINANCE PLC -REGS- 200,000 09/08/2023 5.12 228,716.26 0.46 GBP MOTO FINANCE PLC -REGS- 290,000 10/01/2022 4.50 307,126.16 0.61 USD NEPTUNE ENERGY BONDCO PLC -144A- 210,000 05/15/2025 6.62 160,174.07 0.32 GBP PINEWOOD FINANCE CO LTD -REGS- 115,000 09/30/2025 3.25 126,764.59 0.25 EUR SYNLAB BONDCO PLC -REGS- 155,000 07/01/2025 4.75 157,242.85 0.31 EUR SYNLAB UNSECURED BONDCO -REGS- 175,000 07/01/2023 8.25 180,053.13 0.36 EUR SYNLAB UNSECURED BONDCO PLC -REGS- 145,000 07/01/2023 8.25 149,186.88 0.30 EUR SYNTHOMER PLC -REGS- 160,000 07/01/2025 3.88 163,512.00 0.33 GBP THAMES WATER KEMBLE FINANCE PLC -REGS- 275,000 07/15/2022 5.87 311,078.03 0.62 USD TULLOW OIL PLC -144A- 375,000 04/15/2022 6.25 166,289.95 0.33 GBP VIRGIN MEDIA SECURED FINANCE PLC -REGS- 250,000 05/15/2029 5.25 292,255.14 0.58 EUR VODAFONE GROUP PLC -REGS- 185,000 01/03/2079 3.10 188,534.06 0.37 GBP WAGAMAMA FINANCE PLC -REGS- 145,000 07/01/2022 4.13 149,121.30 0.30 4,620,320.17 9.20
United States EUR AVANTOR INC -REGS- 330,000 10/01/2024 4.75 342,455.85 0.68 EUR COTY INC -REGS- 150,000 04/15/2023 4.00 126,644.40 0.25
The accompanying notes are an integral part of these financial statements. 36 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Corporate Bonds (Continued)
United States (Continued) EUR MAUSER PACKAGING SOLUTIONS HOLDING CO -REGS- 215,000 04/15/2024 4.75 210,141.63 0.42 EUR REFINITIV US HOLDINGS INC -REGS- 270,000 05/15/2026 4.50 283,374.45 0.57 EUR SCIENTIFIC GAMES INTERNATIONAL INC -REGS- 180,000 02/15/2026 3.38 172,532.52 0.34 EUR SPECTRUM BRANDS INC -REGS- 255,000 10/01/2026 4.00 262,293.00 0.52 EUR STANDARD INDUSTRIES INC/NJ -REGS- 200,000 11/21/2026 2.25 191,926.59 0.38 EUR UGI INTERNATIONAL LLC -REGS- 395,000 11/01/2025 3.25 401,428.63 0.80 EUR VERITAS US INC / VERITAS BERMUDA LTD -REGS- 425,000 02/01/2023 7.50 423,937.50 0.85 EUR WMG ACQUISITION CORP -REGS- 255,000 10/15/2026 3.62 261,100.88 0.52 USD ZF NORTH AMERICA CAPITAL INC -144A- 605,000 04/29/2025 4.75 528,792.42 1.05 3,204,627.87 6.38
Total Corporate Bonds 48,324,898.66 96.22
Valuation % of net Currency Description Quantity (in EUR) assets
Investment Funds
Luxembourg EUR MORGAN STANLEY LIQUIDITY EURO FUND 78 771,849.67 1.54
Total Investment Funds 771,849.67 1.54
Total Securities listed on a stock exchange or other organised markets 49,096,748.33 97.76
Securities not listed on a stock exchange or other organised markets Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Corporate Bonds
France EUR KAPLA HOLDING SAS -REGS- 200,000 12/15/2026 3.38 186,430.00 0.37
Luxembourg EUR ALTICE FRANCE HOLDING SA -REGS- 270,000 05/15/2027 8.00 287,145.00 0.57
Netherlands EUR ZIGGO BOND CO BV -REGS- 180,000 02/28/2030 3.38 171,774.00 0.34
The accompanying notes are an integral part of these financial statements. 37 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities not listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Corporate Bonds (Continued)
United Kingdom EUR EG GLOBAL FINANCE PLC -REGS- 335,000 10/30/2025 6.25 335,097.82 0.67
Total Corporate Bonds 980,446.82 1.95
Total Securities not listed on a stock exchange or other organised markets 980,446.82 1.95
Total Portfolio 50,077,195.15 99.71 Cash at banks and at brokers 106,397.77 0.21 Other Net Assets 41,153.30 0.08
Total Net Assets 50,224,746.22 100.00
The accompanying notes are an integral part of these financial statements. 38 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Forward foreign exchange contracts Purchases Counterparty Sales Maturity Valuation (in EUR) EUR STATE STREET BANK LONDON 8,445,777 USD 10,019,301 06.10.2020 (97,664.77) EUR STATE STREET BANK LONDON 4,526,076 GBP 4,024,768 06.10.2020 89,221.37 Net unrealised loss on forward foreign exchange contracts (8,443.40)
Forward foreign exchange hedged contracts Purchases Counterparty Sales Maturity Valuation (in EUR) CHF STATE STREET BANK AND TRUST COMPANY 5,652,506 EUR 5,268,786 30.11.2020 (20,008.98) EUR STATE STREET BANK AND TRUST COMPANY 31,724 CHF 34,035 30.11.2020 119.89 EUR STATE STREET BANK AND TRUST COMPANY 3,826 GBP 3,432 30.11.2020 45.31 EUR STATE STREET BANK AND TRUST COMPANY 653,598 USD 773,913 30.11.2020 (5,571.67) GBP STATE STREET BANK AND TRUST COMPANY 2,181,817 EUR 2,426,040 30.11.2020 (22,884.94) NOK STATE STREET BANK AND TRUST COMPANY 2,385,868 EUR 225,563 30.11.2020 (8,358.31) USD STATE STREET BANK AND TRUST COMPANY 11,816,868 EUR 9,986,164 30.11.2020 78,689.29 Net unrealised gain on forward foreign exchange hedged contracts 22,030.59
Forwards Total 13,587.19
Breakdown by Economic Sector % of net assets Communications 24.46 Consumer, Non-cyclical 19.97 Consumer, Cyclical 19.77 Industrial 11.38 Basic Materials 9.15 Financial 5.70 Utilities 3.66 Energy 2.93 Technology 2.07 Diversified 0.62 Total 99.71
The accompanying notes are an integral part of these financial statements. 39 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Convertible Bond Fund
Statement of Net Assets in USD
Assets 30.09.2020
Investments in securities at market value 279,594,449.46 Cash at banks and at brokers 461,404.62 Receivables from sales of securities 1,561,740.65 Subscriptions receivable 39,083.35 Income receivable 693,021.28 282,349,699.36
Liabilities
Payables for purchases of securities 1,004,049.37 Redemptions payable 188,130.84 Provisions for accrued expenses 1,315,924.73 Net unrealised loss on forward foreign exchange contracts 2,795,677.77 5,303,782.71
Net Assets 277,045,916.65
Technical Data Valoren ISIN Total Expense Ratio R USD -Capitalisation USD 20012773 LU0854923066 1.53% E USD -Capitalisation USD 21363504 LU0931237514 0.93% Rh CHF -Capitalisation CHF 20012776 LU0854923223 1.56% Eh CHF -Capitalisation CHF 21363583 LU0931237860 0.96% Rh EUR -Capitalisation EUR 20012775 LU0854923140 1.56% Eh EUR -Capitalisation EUR 21363534 LU0931237787 0.96% Ih EUR -Capitalisation EUR 20012787 LU0854924973 0.83% Eh GBP -Capitalisation GBP 21363608 LU0931238082 0.96% Ih GBP -Distribution GBP 28071462 LU1227292221 0.83% Ih GBP -Capitalisation GBP 20012796 LU0854925277 0.82% I USD -Capitalisation USD 20012785 LU0854924890 0.79%
The accompanying notes are an integral part of these financial statements. 40 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Convertible Bond Fund
Fund Performance YTD Since Inception 2019 2018 2017 R USD -Capitalisation USD 9.46% / 10.77% -5.13% 7.58% CB -Capitalisation USD / / / -4.74% 8.01% E USD -Capitalisation USD 9.96% / 11.45% -4.54% 8.23% GB -Capitalisation USD / / / -4.73% 8.01% Rh CHF -Capitalisation CHF 7.75% / 7.10% -8.16% 4.90% H CHF CB -Capitalisation CHF / / / -7.81% 5.35% Eh CHF -Capitalisation CHF 8.23% / 7.77% -7.61% 5.48% H CHF GB -Capitalisation CHF / / / -7.81% 5.34% Rh EUR -Capitalisation EUR 7.77% / 7.59% -7.70% 5.33% H EUR CB -Capitalisation EUR / / / -7.33% 5.75% Eh EUR -Capitalisation EUR 8.26% / 8.23% -7.14% 5.97% H EUR GB -Capitalisation EUR / / / -7.33% 5.72% Ih EUR -Distribution* EUR -4.06% -0.47% 8.40% -7.02% / Ih EUR -Capitalisation EUR 8.37% 9.68% 8.39% -7.01% / Eh GBP -Capitalisation GBP 8.54% / 9.45% -6.17% 6.84% H GBP CB -Capitalisation GBP / / / / 6.61% Ih GBP -Distribution GBP 8.64% / 9.61% -6.05% 7.01% Ih GBP -Capitalisation GBP 8.64% / 9.65% -6.05% 6.99% I USD -Capitalisation USD 10.07% / 11.59% -4.43% 8.40%
*The share class closed on 10 March 2020.
Distribution Ex-date Amount
Ih EUR -Distribution EUR 31.12.2019 0.05 Ih GBP -Distribution GBP 31.12.2019 0.05
The accompanying notes are an integral part of these financial statements. 41 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Convertible Bond Fund
Fund Evolution 30.09.2020 30.09.2019 30.09.2018
Total Net Assets USD 277,045,916.65 307,705,996.30 609,631,522.45 Net asset Value per share and share class R USD -Capitalisation USD 163.85 143.39 144.85 CB -Capitalisation USD / 111.29 111.03 E USD -Capitalisation USD 143.90 125.16 125.66 GB -Capitalisation USD / 149.83 149.55 Rh CHF -Capitalisation CHF 139.41 125.03 130.66 H CHF CB -Capitalisation CHF / 99.88 102.57 Eh CHF -Capitalisation CHF 116.20 103.59 107.59 H CHF GB -Capitalisation CHF / 128.98 132.46 Rh EUR -Capitalisation EUR 145.18 129.99 135.31 H EUR CB -Capitalisation EUR / 106.56 109.12 Eh EUR -Capitalisation EUR 127.03 113.06 116.99 H EUR GB -Capitalisation EUR / 136.60 139.89 Ih EUR -Distribution* EUR 98.40** 98.83 102.47 Ih EUR -Capitalisation EUR 109.68 97.48 100.72 Eh GBP -Capitalisation GBP 134.52 119.22 121.83 H GBP CB -Capitalisation GBP / / 108.41 Ih GBP -Distribution GBP 117.03 103.62 106.12 Ih GBP -Capitalisation GBP 124.73 110.39 112.62 I USD -Capitalisation USD 169.63 147.35 14.77
*The share class closed on 10 March 2020. **NAV per share at closing date.
Number of share outstanding per share class at the end at the beginning Number of shares Number of shares of the year of the year issued redeemed
R USD -Capitalisation USD 202,083.547 266,762.180 40,420.789 105,099.422 E USD -Capitalisation USD 16,194.249 56,018.723 9,008.000 48,832.474 Rh CHF -Capitalisation CHF 300,341.563 401,644.799 16,091.426 117,394.662 Eh CHF -Capitalisation CHF 127,411.349 111,943.785 35,944.844 20,477.280 Rh EUR -Capitalisation EUR 115,643.471 213,097.808 6,580.000 104,034.337 Eh EUR -Capitalisation EUR 164,171.053 213,401.223 23,346.361 72,576.531 Ih EUR -Distribution* EUR 0.000 44,085.000 0.001 44,085.001 Ih EUR -Capitalisation EUR 7,540.000 41,441.000 0.000 33,901.000 Eh GBP -Capitalisation GBP 3,224.617 3,224.617 0.000 0.000 Ih GBP -Distribution GBP 16,916.890 25,563.490 5,595.531 14,242.131 Ih GBP -Capitalisation GBP 354.616 354.616 0.000 0.000 I USD -Capitalisation USD 775,953.116 889,127.468 38,431.505 151,605.857
*The share class closed on 10 March 2020.
The accompanying notes are an integral part of these financial statements. 42 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Convertible Bond Fund
Statement of Operations and Changes in Net Assets in USD for the financial year from 01.10.2019 to 30.09.2020
Net assets at the beginning of the year 307,705,996.30
Income
Interest on investments in securities (net) 2,058,842.72 Dividends (net) 144,162.65 2,203,005.37
Expenses
Management fees 2,093,223.40 Depositary bank fees 126,383.88 Administration expenses 101,211.95 Printing and publication expenses 49,366.08 Interest and bank charges 12,571.98 Audit, control, legal, representative bank and other expenses 513,042.47 “Taxe d’abonnement” 79,859.25 Total Expenses 2,975,659.01
Net income (772,653.64)
Realised gain (loss) Net realised gain on sales of investments 31,074,209.72 Net realised gain on forward foreign exchange contracts 4,146,482.33 Net realised gain on foreign exchange 1,297.98 35,221,990.03 Net realised gain 34,449,336.39
Change in net unrealised appreciation (depreciation) Change in net unrealised appreciation on investments 10,555,552.97 Change in net unrealised depreciation on forward foreign exchange contracts (2,829,110.40) Change in net unrealised appreciation on foreign currencies 16,254.17 7,742,696.74
Net increase (decrease) in net assets as a result of operations 42,192,033.13
Subscriptions / Redemptions Subscriptions 24,616,273.48 Redemptions (97,466,067.85) (72,849,794.37)
Distribution (2,318.41)
Net assets at the end of the year 277,045,916.65
The accompanying notes are an integral part of these financial statements. 43 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Convertible Bond Fund
Schedule of Investments in Securities
Securities listed on a stock exchange or other organised markets Valuation % of net Currency Description Quantity (in USD) assets
Shares
United States USD 2020 CASH MANDATORY EXCHANGEABLE TRUST 1,000 1,078,280.00 0.39
Total Shares 1,078,280.00 0.39
Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Convertible Bonds
Australia AUD SEVEN GROUP HOLDINGS LTD -REGS- 1,000,000 03/05/2025 2.20 734,409.69 0.26
Belgium EUR BIOCARTIS NV -REGS- 900,000 05/09/2024 4.00 622,677.42 0.22
Bermuda USD JAZZ INVESTMENTS I LTD -144A- 2,896,000 06/15/2026 2.00 3,396,394.42 1.23
British Virgin Islands USD ADM AG HOLDING LTD -REGS- 2,400,000 08/26/2023 0.00 2,600,900.74 0.94 HKD BEST PATH GLOBAL LTD -REGS- 8,000,000 05/18/2021 0.00 1,319,741.94 0.48 USD MAIL.RU GROUP LTD -REGS- 200,000 10/01/2025 1.63 201,110.00 0.07 HKD SMART INSIGHT INTERNATIONAL LTD -REGS- 20,000,000 12/05/2023 4.50 2,997,396.21 1.08 7,119,148.89 2.57
Canada USD CANADIAN SOLAR INC -144A- 1,528,000 10/01/2025 2.50 1,787,189.26 0.65 CAD ELEMENT FLEET MANAGEMENT CORP 824,000 06/30/2024 4.25 705,188.55 0.25 USD SHOPIFY INC 1,590,000 11/01/2025 0.12 1,782,490.17 0.64 USD SSR MINING INC 1,697,000 04/01/2039 2.50 2,273,980.00 0.82 6,548,847.98 2.36
Cayman Islands USD BILIBILI INC -144A- 1,441,000 06/15/2027 1.25 1,736,656.67 0.63 USD ESR CAYMAN LTD -REGS- 1,800,000 09/30/2025 1.50 1,860,720.68 0.67 HKD HARVEST INTERNATIONAL CO -REGS- 13,000,000 11/21/2022 0.00 1,809,857.20 0.65 USD HERBALIFE NUTRITION LTD 2,154,000 03/15/2024 2.62 2,158,038.75 0.78 USD HUAZHU GROUP LTD 1,285,000 11/01/2022 0.38 1,450,230.26 0.52 USD IQIYI INC 1,718,000 04/01/2025 2.00 1,638,542.50 0.59 USD JOYY INC 1,785,000 06/15/2025 0.75 1,931,095.09 0.70 HKD KINGSOFT CORP LTD -REGS- 6,000,000 04/29/2025 0.62 1,006,776.77 0.36 EUR SINO BIOPHARMACEUTICAL LTD -REGS- 2,053,000 02/17/2025 0.00 2,344,960.38 0.85 USD TRIP.COM GROUP LTD -REGS- 1,000,000 07/01/2027 1.50 1,194,390.00 0.43 USD ZHEN DING TECHNOLOGY HOLDING LTD -REGS- 1,200,000 06/30/2025 0.00 1,276,500.00 0.46 HKD ZHONGSHENG GROUP HOLDINGS LTD -REGS- 10,000,000 05/21/2025 0.00 1,606,154.84 0.58 20,013,923.14 7.22
Cyprus USD ABIGROVE LTD -REGS- 400,000 02/16/2022 0.00 442,900.00 0.16
Denmark EUR GN STORE NORD A/S -REGS- 1,400,000 05/21/2024 0.00 1,936,676.87 0.70
Finland EUR OUTOKUMPU OYJ -REGS- 500,000 07/09/2025 5.00 564,783.66 0.20
The accompanying notes are an integral part of these financial statements. 44 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Convertible Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Convertible Bonds (Continued)
France EUR ARCHER OBLIGATIONS SA -REGS- 700,000 03/31/2023 0.00 1,155,119.97 0.42 EUR ATOS SE -REGS- 900,000 11/06/2024 0.00 1,333,980.83 0.48 EUR ELECTRICITE DE FRANCE SA -REGS- 19,843,800 09/14/2024 0.00 2,842,876.62 1.03 EUR KORIAN SA -REGS- 3,602,200 12/31/2099 2.50 1,750,847.73 0.63 EUR SAFRAN SA -REGS- 1,057,900 05/15/2027 0.87 1,510,911.78 0.54 EUR SELENA SARL -REGS- 1,500,000 06/25/2025 0.00 1,878,454.19 0.68 EUR UBISOFT ENTERTAINMENT SA -REGS- 1,245,900 09/24/2024 0.00 1,804,151.57 0.65 USD VINCI SA -REGS- 1,600,000 02/16/2022 0.38 1,732,008.00 0.62 EUR WORLDLINE SA -REGS- 280,000 07/30/2025 0.00 405,363.00 0.15 EUR WORLDLINE SA -REGS- 1,342,700 07/30/2026 0.00 1,795,462.05 0.65 16,209,175.74 5.85
Germany EUR ADIDAS AG -REGS- 1,000,000 09/12/2023 0.05 1,428,405.58 0.52 EUR DELIVERY HERO SE -REGS- 2,400,000 01/23/2024 0.25 3,343,461.12 1.21 EUR DELIVERY HERO SE -REGS- 900,000 07/15/2025 0.87 1,057,559.55 0.38 EUR DEUTSCHE WOHNEN SE -REGS- 1,600,000 07/26/2024 0.33 2,084,973.00 0.75 EUR LEG IMMOBILIEN AG -REGS- 1,200,000 06/30/2028 0.40 1,485,968.65 0.54 EUR RAG-STIFTUNG -REGS- 2,200,000 06/17/2026 0.00 2,680,831.50 0.97 EUR SYMRISE AG -REGS- 600,000 06/20/2024 0.24 946,898.87 0.34 EUR ZALANDO SE -REGS- 2,600,000 08/06/2025 0.05 3,491,133.00 1.26 EUR ZALANDO SE -REGS- 400,000 08/06/2027 0.62 540,981.20 0.19 17,060,212.47 6.16
Hong Kong USD LENOVO GROUP LTD -REGS- 1,048,000 01/24/2024 3.38 1,111,319.45 0.40
Israel USD CYBERARK SOFTWARE LTD -144A- 1,039,000 11/15/2024 0.00 1,019,321.76 0.37 USD WIX.COM LTD -144A- 1,100,000 08/15/2025 0.00 1,109,594.20 0.40 2,128,915.96 0.77
Italy EUR NEXI SPA -REGS- 1,800,000 04/24/2027 1.75 2,546,803.41 0.92
Japan JPY EDION CORP -REGS- 130,000,000 06/19/2025 0.00 1,315,008.49 0.48 JPY MINEBEA MITSUMI INC -REGS- 160,000,000 08/03/2022 0.00 1,718,625.36 0.62 JPY NAGOYA RAILROAD CO LTD -REGS- 140,000,000 12/11/2024 0.00 1,463,446.44 0.53 JPY SBI HOLDINGS INC -REGS- 140,000,000 07/25/2025 0.00 1,474,225.34 0.53 5,971,305.63 2.16
Liberia USD ROYAL CARIBBEAN CRUISES LTD -144A- 3,301,000 06/15/2023 4.25 3,868,555.88 1.40
Luxembourg HKD CITIGROUP GLOBAL MARKETS FUNDING LUXEMBOURG SCA -L- -REGS- 9,000,000 07/25/2024 0.00 1,242,865.16 0.45
Malaysia USD CINDAI CAPITAL LTD -REGS- 528,000 02/08/2023 0.00 533,340.40 0.19
Netherlands USD BRENNTAG FINANCE BV -REGS- 1,000,000 12/02/2022 1.88 1,033,885.00 0.37 EUR IBERDROLA INTERNATIONAL BV -REGS- 1,300,000 11/11/2022 0.00 1,934,491.05 0.70
The accompanying notes are an integral part of these financial statements. 45 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Convertible Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Convertible Bonds (Continued)
Netherlands (Continued) EUR JUST EAT TAKEAWAY.COM NV -REGS- 1,900,000 04/30/2026 1.25 2,486,220.77 0.90 USD QIAGEN NV -REGS- 1,400,000 11/13/2024 1.00 1,784,536.45 0.64 USD STMICROELECTRONICS NV -REGS- 2,800,000 08/04/2025 0.00 3,066,483.22 1.11 USD YANDEX NV -REGS- 2,200,000 03/03/2025 0.75 2,723,717.99 0.98 13,029,334.48 4.70
South Korea EUR LG CHEM LTD -REGS- 700,000 04/16/2021 0.00 1,001,434.81 0.36 USD LG DISPLAY CO LTD -REGS- 1,200,000 08/22/2024 1.50 1,250,739.36 0.45 2,252,174.17 0.81
Spain EUR AMADEUS IT GROUP SA -REGS- 1,400,000 04/09/2025 1.50 2,035,557.11 0.74 EUR CELLNEX TELECOM SA -REGS- 2,000,000 07/05/2028 0.50 3,132,384.03 1.13 5,167,941.14 1.87
Sweden EUR GEELY SWEDEN FINANCIALS HOLDING AB -REGS- 2,100,000 06/19/2024 0.00 2,737,880.95 0.99
Switzerland CHF CEMBRA MONEY BANK AG -REGS- 800,000 07/09/2026 0.00 906,158.14 0.33 CHF IDORSIA LTD -REGS- 400,000 07/17/2024 0.75 462,911.56 0.17 CHF SIKA AG -REGS- 2,960,000 06/05/2025 0.15 4,172,995.92 1.50 5,542,065.62 2.00
Taiwan USD INNOLUX CORP -REGS- 1,000,000 01/22/2025 0.00 1,078,750.00 0.39
United Kingdom GBP OCADO GROUP PLC -REGS- 1,200,000 01/18/2027 0.75 1,928,673.65 0.70
United States USD AKAMAI TECHNOLOGIES INC -144A- 631,000 09/01/2027 0.38 732,515.28 0.26 USD AKAMAI TECHNOLOGIES INC 4,748,000 09/01/2027 0.38 5,516,787.61 1.99 USD BLACKLINE INC 426,000 08/01/2024 0.13 588,085.16 0.21 USD BOFA FINANCE LLC 100,000 09/01/2022 0.13 113,650.00 0.04 USD BOOKING HOLDINGS INC -144A- 1,696,000 05/01/2025 0.75 2,186,125.34 0.79 USD BOOKING HOLDINGS INC 1,428,000 09/15/2021 0.90 1,523,111.38 0.55 USD BRIDGEBIO PHARMA INC -144A- 979,000 03/15/2027 2.50 1,115,417.56 0.40 USD BURLINGTON STORES INC -144A- 2,273,000 04/15/2025 2.25 2,719,699.67 0.98 USD CHEGG INC -144A- 1,192,000 09/01/2026 0.00 1,193,788.00 0.43 USD CLEVELAND-CLIFFS INC 668,000 01/15/2025 1.50 693,572.37 0.25 USD CLOUDFLARE INC -144A- 1,471,000 05/15/2025 0.75 1,987,840.09 0.72 USD CONMED CORP 676,000 02/01/2024 2.62 760,191.16 0.27 USD COUPA SOFTWARE INC -144A- 1,500,000 06/15/2026 0.38 1,774,687.50 0.64 USD DATADOG INC -144A- 1,928,000 06/15/2025 0.13 2,554,600.00 0.92 USD DEXCOM INC -144A- 2,030,000 11/15/2025 0.25 2,150,531.25 0.78 USD ENVESTNET INC -144A- 1,285,000 08/15/2025 0.75 1,296,913.52 0.47 USD ENVISTA HOLDINGS CORP -144A- 1,297,000 06/01/2025 2.37 1,803,140.92 0.65 USD EQT CORP -144A- 48,000 05/01/2026 1.75 54,945.47 0.02 USD ETSY INC -144A- 1,245,000 09/01/2027 0.13 1,272,165.13 0.46 USD EVERBRIDGE INC -144A- 555,000 12/15/2024 0.13 738,296.65 0.27 USD EXACT SCIENCES CORP 2,317,000 03/15/2027 0.37 2,723,377.36 0.98 USD FIREEYE INC 1,074,000 06/01/2024 0.87 1,000,793.92 0.36 USD FIVE9 INC -144A- 1,828,000 06/01/2025 0.50 2,218,252.97 0.80 USD FORTIVE CORP 3,167,000 02/15/2022 0.87 3,188,842.42 1.15
The accompanying notes are an integral part of these financial statements. 46 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Convertible Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Convertible Bonds (Continued)
United States (Continued) USD GUIDEWIRE SOFTWARE INC 1,189,000 03/15/2025 1.25 1,369,675.68 0.49 USD HALOZYME THERAPEUTICS INC -144A- 1,173,000 12/01/2024 1.25 1,505,105.63 0.54 USD HUBSPOT INC -144A- 697,000 06/01/2025 0.38 887,032.07 0.32 USD IAC FINANCECO 2 INC -144A- 431,000 06/15/2026 0.87 617,522.22 0.22 USD IH MERGER SUB LLC 872,000 01/15/2022 3.50 1,130,482.58 0.41 USD ILLUMINA INC 1,071,000 08/15/2023 0.00 1,143,645.01 0.41 USD INPHI CORP -144A- 825,000 04/15/2025 0.75 991,613.54 0.36 USD INSMED INC 2,237,000 01/15/2025 1.75 2,438,818.74 0.88 USD INSULET CORP -144A- 1,908,000 09/01/2026 0.38 2,439,265.43 0.88 USD INVITAE CORP 1,136,000 09/01/2024 2.00 1,873,718.40 0.68 USD J2 GLOBAL INC -144A- 962,000 11/01/2026 1.75 855,432.24 0.31 USD JPMORGAN CHASE BANK NA -REGS- 1,300,000 12/30/2020 0.00 1,341,641.47 0.48 EUR JPMORGAN CHASE BANK NA -REGS- 600,000 05/24/2022 0.00 776,376.46 0.28 USD JPMORGAN CHASE BANK NA -REGS- 1,100,000 08/07/2022 0.00 1,398,168.73 0.51 EUR JPMORGAN CHASE BANK NA -REGS- 1,300,000 09/18/2022 0.00 1,662,736.22 0.60 USD JPMORGAN CHASE BANK NA -144A- 2,100,000 01/01/2023 0.13 2,668,312.50 0.96 USD LENDINGTREE INC -144A- 1,305,000 07/15/2025 0.50 1,276,500.78 0.46 USD LIBERTY BROADBAND CORP -144A- 1,096,000 09/30/2050 2.75 1,181,738.50 0.43 USD LIBERTY MEDIA CORP-LIBERTY FORMULA ONE 437,000 01/30/2023 1.00 520,597.06 0.19 USD LIVE NATION ENTERTAINMENT INC 1,753,000 03/15/2023 2.50 1,961,372.34 0.71 USD LUMENTUM HOLDINGS INC -144A- 1,468,000 12/15/2026 0.50 1,566,074.09 0.57 USD LYFT INC -144A- 1,075,000 05/15/2025 1.50 1,123,375.00 0.41 USD MICROCHIP TECHNOLOGY INC 300,000 02/15/2027 1.62 462,950.70 0.17 USD MONGODB INC -144A- 2,381,000 01/15/2026 0.25 3,115,727.10 1.13 USD NANOSTRING TECHNOLOGIES INC -144A- 794,000 03/01/2025 2.62 955,964.13 0.35 USD NEOGENOMICS INC 716,000 05/01/2025 1.25 898,478.18 0.32 USD NUANCE COMMUNICATIONS INC 1,261,000 11/01/2035 1.50 2,079,032.87 0.75 USD NUTANIX INC 411,000 01/15/2023 0.00 386,340.00 0.14 USD OKTA INC -144A- 2,939,000 06/15/2026 0.38 3,370,973.19 1.22 USD OMNICELL INC -144A- 1,193,000 09/15/2025 0.25 1,228,898.56 0.44 USD ON SEMICONDUCTOR CORP 880,000 12/01/2020 1.00 1,056,000.00 0.38 USD ON SEMICONDUCTOR CORP 1,738,000 10/15/2023 1.62 2,299,591.25 0.83 USD PACIRA BIOSCIENCES INC -144A- 1,084,000 08/01/2025 0.75 1,173,900.37 0.42 USD PALO ALTO NETWORKS INC -144A- 6,535,000 06/01/2025 0.38 6,951,743.49 2.51 USD PEGASYSTEMS INC -144A- 1,566,000 03/01/2025 0.75 1,791,345.41 0.65 USD PERFICIENT INC -144A- 1,587,000 08/01/2025 1.25 1,692,619.61 0.61 USD PRA GROUP INC 974,000 06/01/2023 3.50 1,072,444.13 0.39 USD PURE STORAGE INC 581,000 04/15/2023 0.13 565,569.84 0.20 USD Q2 HOLDINGS INC 377,000 06/01/2026 0.75 463,657.45 0.17 USD RAPID7 INC -144A- 853,000 05/01/2025 2.25 1,076,912.50 0.39 USD REPLIGEN CORP 833,000 07/15/2024 0.37 1,189,087.81 0.43 USD RINGCENTRAL INC -144A- 1,835,000 03/01/2025 0.00 1,963,450.00 0.71 USD SILICON LABORATORIES INC -144A- 633,000 06/15/2025 0.62 680,315.90 0.25 USD SLACK TECHNOLOGIES INC -144A- 1,359,000 04/15/2025 0.50 1,583,157.12 0.57 USD SNAP INC -144A- 2,402,000 05/01/2025 0.25 3,353,792.50 1.21 USD SOLAREDGE TECHNOLOGIES INC -144A- 2,216,000 09/15/2025 0.00 2,549,547.31 0.92 USD SOUTHWEST AIRLINES CO 4,825,000 05/01/2025 1.25 6,320,750.00 2.28 USD SPLUNK INC -144A- 2,137,000 06/15/2027 1.12 2,309,961.00 0.83 USD SYNAPTICS INC 1,611,000 06/15/2022 0.50 1,996,483.22 0.72 USD TANDEM DIABETES CARE INC -144A- 1,228,000 05/01/2025 1.50 1,593,313.97 0.58 USD TELADOC HEALTH INC -144A- 2,188,000 06/01/2027 1.25 2,747,141.21 0.99 USD TWITTER INC 2,891,000 06/15/2024 0.25 3,232,457.92 1.17 USD UNDER ARMOUR INC -144A- 1,357,000 06/01/2024 1.50 1,702,572.26 0.61 USD VIAVI SOLUTIONS INC 538,000 03/01/2024 1.00 608,276.25 0.22 USD VONAGE HOLDINGS CORP 514,000 06/01/2024 1.75 497,759.12 0.18 USD WAYFAIR INC -144A- 2,313,000 10/01/2025 0.62 2,364,318.51 0.85 USD WORKDAY INC 413,000 10/01/2022 0.25 636,409.26 0.23 USD WORKIVA INC 890,000 08/15/2026 1.12 890,946.36 0.32 USD ZENDESK INC -144A- 2,195,000 06/15/2025 0.62 2,614,832.84 0.94
The accompanying notes are an integral part of these financial statements. 47 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Convertible Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Convertible Bonds (Continued)
United States (Continued) USD ZILLOW GROUP INC 1,194,000 07/01/2023 1.50 1,706,607.94 0.62 USD ZSCALER INC -144A- 1,431,000 07/01/2025 0.13 1,695,879.26 0.61 USD ZYNGA INC 1,346,000 06/01/2024 0.25 1,710,261.25 0.62 145,226,005.21 52.42
Total Convertible Bonds 269,015,081.39 97.10
Valuation % of net Currency Description Quantity (in USD) assets
Investment Funds
Luxembourg USD JPMORGAN LIQUIDITY FUND 753,215 753,215.38 0.27
Total Investment Funds 753,215.38 0.27
Total Securities listed on a stock exchange or other organised markets 270,846,576.77 97.76
Securities not listed on a stock exchange or other organised markets Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Convertible Bonds
Belgium EUR UMICORE SA -REGS- 1,400,000 06/23/2025 0.00 1,578,521.26 0.57
France EUR SILICON ON INSULATOR TEC -REGS- 260,100 10/01/2025 0.00 539,434.31 0.19
India USD BHARTI AIRTEL LTD -REGS- 1,208,000 02/17/2025 1.50 1,317,468.96 0.48 USD VIDEOCON INDUSTRIES LTD -REGS-* 154,733 12/31/2020 2.80 0.00 0.00 1,317,468.96 0.48
Japan JPY CYBERAGENT INC -REGS- 150,000,000 02/19/2025 0.00 1,790,707.73 0.65 JPY KONAMI HOLDINGS CORP -REGS- 140,000,000 12/22/2022 0.00 1,576,102.40 0.57
The accompanying notes are an integral part of these financial statements. 48 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Convertible Bond Fund
Schedule of Investments in Securities (Continued)
Securities not listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Convertible Bonds (Continued)
Japan (Continued) JPY SHIP HEALTHCARE HOLDINGS INC -REGS- 180,000,000 12/13/2023 0.00 1,945,638.03 0.70 5,312,448.16 1.92
Total Convertible Bonds 8,747,872.69 3.16
Total Securities not listed on a stock exchange or other organised markets 8,747,872.69 3.16
Total Portfolio 279,594,449.46 100.92 Cash at banks and at brokers 461,404.62 0.17 Other Net Liabilities (3,009,937.43) (1.09)
Total Net Assets 277,045,916.65 100.00
*Fair valued position
The accompanying notes are an integral part of these financial statements. 49 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Convertible Bond Fund
Schedule of Investments in Securities (Continued)
Forward foreign exchange contracts Purchases Counterparty Sales Maturity Valuation (in USD) AUD STATE STREET BANK AND TRUST COMPANY 1,040,000 USD 734,847 21.10.2020 10,603.63 CAD STATE STREET BANK AND TRUST COMPANY 62,843 USD 47,007 21.10.2020 42.63 CHF STATE STREET BANK AND TRUST COMPANY 1,088,000 USD 1,185,716 21.10.2020 (871.98) EUR STATE STREET BANK AND TRUST COMPANY 2,155,500 USD 2,556,333 21.10.2020 (27,692.77) GBP STATE STREET BANK AND TRUST COMPANY 2,583,583 USD 3,350,805 21.10.2020 (10,425.95) HKD STATE STREET BANK AND TRUST COMPANY 27,134,969 USD 3,500,481 21.10.2020 660.71 JPY STATE STREET BANK AND TRUST COMPANY 314,625,000 USD 2,984,134 21.10.2020 (2,141.79) TWD STATE STREET BANK AND TRUST COMPANY 19,602,000 USD 675,931 21.10.2020 2,334.95 USD STATE STREET BANK AND TRUST COMPANY 1,452,391 AUD 2,070,942 21.10.2020 (32,017.88) USD STATE STREET BANK AND TRUST COMPANY 5,210,565 GBP 4,103,679 21.10.2020 (95,182.63) USD STATE STREET BANK AND TRUST COMPANY 13,654,644 HKD 105,868,717 21.10.2020 (5,271.45) USD STATE STREET BANK AND TRUST COMPANY 6,716,038 CHF 6,283,419 21.10.2020 (126,669.50) USD STATE STREET BANK AND TRUST COMPANY 14,079,439 JPY 1,503,858,462 21.10.2020 (174,021.88) USD STATE STREET BANK AND TRUST COMPANY 742,383 CAD 1,004,264 21.10.2020 (9,501.57) USD STATE STREET BANK AND TRUST COMPANY 57,997,930 EUR 50,445,557 21.10.2020 (1,180,279.26) USD STATE STREET BANK AND TRUST COMPANY 671,761 TWD 19,602,000 21.10.2020 (6,504.50) Net unrealised loss on forward foreign exchange contracts (1,656,939.24)
Forward foreign exchange hedged contracts Purchases Counterparty Sales Maturity Valuation (in USD) CHF STATE STREET BANK AND TRUST COMPANY 57,664,078 USD 63,570,690 30.11.2020 (704,474.83) EUR STATE STREET BANK AND TRUST COMPANY 39,954,011 USD 47,280,466 30.11.2020 (371,560.31) GBP STATE STREET BANK AND TRUST COMPANY 2,520,111 USD 3,316,671 30.11.2020 (57,722.27) USD STATE STREET BANK AND TRUST COMPANY 262,577 CHF 236,887 30.11.2020 4,319.07 USD STATE STREET BANK AND TRUST COMPANY 26,042 GBP 20,268 30.11.2020 (168.42) USD STATE STREET BANK AND TRUST COMPANY 1,842,770 EUR 1,577,331 30.11.2020 (9,131.77) Net unrealised loss on forward foreign exchange hedged contracts (1,138,738.53)
Forwards Total (2,795,677.77)
Breakdown by Economic Sector % of net assets Technology 23.49 Consumer, Non-cyclical 21.16 Communications 19.96 Consumer, Cyclical 11.43 Financial 10.52 Industrial 7.00 Basic Materials 3.07 Energy 2.56 Utilities 1.73 Total 100.92
The accompanying notes are an integral part of these financial statements. 50 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Statement of Net Assets in USD
Assets 30.09.2020
Investments in securities at market value 482,767,998.91 Cash at banks and at brokers 978,679.60 Receivables from sales of securities 2,433,153.91 Subscriptions receivable 1,768,689.93 Income receivable 6,860,815.84 494,809,338.19
Liabilities
Payables for purchases of securities 6,013,242.02 Redemptions payable 421,339.09 Provisions for accrued expenses 1,444,179.71 Net unrealised loss on forward foreign exchange contracts 3,559,219.19 Dividend payable 2,946,366.68 14,384,346.69
Net Assets 480,424,991.50
Technical Data Valoren ISIN Total Expense Ratio R USD -Capitalisation USD 20012743 LU0854925350 1.49% E USD -Capitalisation USD 21363627 LU0931238165 0.89% I USD -Distribution USD 21366057 LU0931238835 0.73% I USD -Capitalisation USD 20012945 LU0854925434 0.70% Rh CHF -Capitalisation CHF 20012746 LU0854924031 1.52% H CHF EB - Capitalisation CHF 21365228 LU0931238678 0.92% Ih CHF -Capitalisation CHF 20012948 LU0854925608 0.77% Rh EUR -Capitalisation EUR 20012745 LU0854923900 1.52% Eh EUR -Capitalisation EUR 21364138 LU0931238249 0.89% Ih EUR -Distribution EUR 21367167 LU0931239056 0.76% Ih EUR -Capitalisation EUR 20012947 LU0854925517 0.79% Eh GBP -Capitalisation GBP 21365253 LU0931238751 0.92% Ih GBP -Distribution GBP 21367261 LU0931239304 0.76% Ih GBP -Capitalisation GBP 20013046 LU0854925780 0.75%
The accompanying notes are an integral part of these financial statements. 51 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Fund Performance YTD Since Inception 2019 2018 2017 R USD -Capitalisation USD -1.85% / 12.91% -4.08% 5.70% CB -Capitalisation USD / / / -3.71% 6.12% E USD -Capitalisation USD -1.40% / 13.59% -3.51% 6.34% GB -Capitalisation USD / / / -3.71% 6.13% I USD -Distribution USD -1.31% / 13.76% -3.38% 6.49% I USD -Capitalisation USD -1.31% / 13.75% -3.38% 6.49% Rh CHF -Capitalisation CHF -3.68% / 9.24% -7.08% 3.06% H CHF CB -Capitalisation CHF / / / -6.71% 3.48% H CHF EB - Capitalisation CHF -3.25% -1.11% / / / H CHF GB -Capitalisation CHF / / / -6.71% 3.48% Ih CHF -Capitalisation CHF -3.15% / 10.06% -6.40% 3.79% Rh EUR -Capitalisation EUR -3.51% / 9.67% -6.70% 3.53% Eh EUR -Capitalisation EUR -3.08% / 10.31% -6.14% 4.28% Gh EUR -Capitalisation EUR / / / -6.33% 3.81% Ih EUR -Distribution EUR -2.98% / 10.47% -6.01% 4.28% Ih EUR -Capitalisation EUR -2.98% / 10.48% -6.01% 4.22% Eh GBP -Capitalisation GBP -2.99% / 11.43% -4.98% 4.99% Ih GBP -Distribution GBP -2.89% / 11.62% -4.86% 5.09% Ih GBP -Capitalisation GBP -2.88% / 11.59% -4.82% 5.14%
Distribution Ex-date Amount
I USD -Distribution USD 31.12.2019 1.06 I USD -Distribution USD 31.03.2020 1.07 I USD -Distribution USD 30.06.2020 0.96 I USD -Distribution USD 30.09.2020 1.06 Ih EUR -Distribution EUR 31.12.2019 1.06 Ih EUR -Distribution EUR 31.03.2020 1.08 Ih EUR -Distribution EUR 30.06.2020 0.94 Ih EUR -Distribution EUR 30.09.2020 1.04 Ih GBP -Distribution GBP 31.12.2019 1.06 Ih GBP -Distribution GBP 31.03.2020 1.14 Ih GBP -Distribution GBP 30.06.2020 0.98 Ih GBP -Distribution GBP 30.09.2020 1.07
The accompanying notes are an integral part of these financial statements. 52 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Fund Evolution 30.09.2020 30.09.2019 30.09.2018
Total Net Assets USD 480,424,991.50 340,027,585.56 417,759,677.15 Net asset Value per share and share class R USD -Capitalisation USD 150.67 150.30 143.19 CB -Capitalisation USD / 120.03 115.37 E USD -Capitalisation USD 128.49 127.40 120.65 GB -Capitalisation USD / 153.51 147.47 I USD -Distribution USD 87.98 91.40 90.79 I USD -Capitalisation USD 136.47 135.14 127.79 Rh CHF -Capitalisation CHF 128.21 131.47 129.44 H CHF CB -Capitalisation CHF / 107.60 106.32 H CHF EB - Capitalisation CHF 98.89 100.80 / H CHF GB -Capitalisation CHF / 134.79 133.19 Ih CHF -Capitalisation CHF 111.01 112.99 110.42 Rh EUR -Capitalisation EUR 134.29 137.31 134.69 Eh EUR -Capitalisation EUR 114.48 116.37 113.47 Gh EUR -Capitalisation EUR / 140.13 139.10 Ih EUR -Distribution EUR 87.68 93.32 95.47 Ih EUR -Capitalisation EUR 109.88 111.53 108.60 Eh GBP -Capitalisation GBP 124.45 126.16 121.55 Ih GBP -Distribution GBP 89.40 94.96 95.95 Ih GBP -Capitalisation GBP 110.83 112.19 107.96
Number of share outstanding per share class at the end at the beginning Number of shares Number of shares of the year of the year issued redeemed
R USD -Capitalisation USD 155,387.691 217,561.079 7,689.228 69,862.616 E USD -Capitalisation USD 31,080.251 34,832.760 3,563.289 7,315.798 I USD -Distribution USD 365,908.771 503,494.822 596,476.323 734,062.374 I USD -Capitalisation USD 815,791.559 238,710.948 882,592.393 305,511.782 Rh CHF -Capitalisation CHF 104,432.494 110,686.808 2,325.000 8,579.314 H CHF EB - Capitalisation CHF 17,835.020 11,333.059 7,650.000 1,148.039 Ih CHF -Capitalisation CHF 95,286.529 199,762.665 1,851.509 106,327.645 Rh EUR -Capitalisation EUR 20,226.716 28,243.455 850.000 8,866.739 Eh EUR -Capitalisation EUR 67,387.610 21,891.418 69,944.842 24,448.650 Ih EUR -Distribution EUR 169,045.965 58,261.885 124,943.217 14,159.137 Ih EUR -Capitalisation EUR 158,968.432 495,232.976 44,608.216 380,872.760 Eh GBP -Capitalisation GBP 882.337 1,277.897 0.000 395.560 Ih GBP -Distribution GBP 1,708,339.863 877,278.503 1,162,177.837 331,116.477 Ih GBP -Capitalisation GBP 235,907.247 74,040.187 182,869.386 21,002.326
The accompanying notes are an integral part of these financial statements. 53 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Statement of Operations and Changes in Net Assets in USD for the financial year from 01.10.2019 to 30.09.2020
Net assets at the beginning of the year 340,027,585.56
Income
Interest on investments in securities (net) 20,050,387.34 Dividends (net) 90,433.74 20,140,821.08
Expenses
Management fees 2,192,675.25 Depositary bank fees 134,007.01 Administration expenses 115,736.03 Printing and publication expenses 55,602.72 Interest and bank charges 17,953.55 Audit, control, legal, representative bank and other expenses 588,803.70 “Taxe d’abonnement” 59,277.09 Total Expenses 3,164,055.35
Net income 16,976,765.73
Realised gain (loss) Net realised loss on sales of investments (5,941,554.12) Net realised gain on forward foreign exchange contracts 10,318,170.48 Net realised loss on foreign exchange (2,014,918.73) 2,361,697.63 Net realised gain 19,338,463.36
Change in net unrealised appreciation (depreciation) Change in net unrealised appreciation on investments 11,933,029.71 Change in net unrealised depreciation on forward foreign exchange contracts (3,089,735.60) Change in net unrealised appreciation on foreign currencies 49,360.65 8,892,654.76
Net increase (decrease) in net assets as a result of operations 28,231,118.12
Subscriptions / Redemptions Subscriptions 341,956,652.76 Redemptions (221,070,589.48) 120,886,063.28
Distribution (8,719,775.46)
Net assets at the end of the year 480,424,991.50
The accompanying notes are an integral part of these financial statements. 54 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Schedule of Investments in Securities
Securities listed on a stock exchange or other organised markets Valuation % of net Currency Description Quantity (in USD) assets
Shares
United States USD PHI GROUP INC * 39,929 448,402.67 0.09
Total Shares 448,402.67 0.09
Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds
Australia USD MINERAL RESOURCES LTD -144A- 1,330,000 05/01/2027 8.13 1,447,192.95 0.30 USD NUFARM AUSTRALIA LTD / NUFARM AMERICAS INC -144A- 2,245,000 04/30/2026 5.75 2,298,116.70 0.48 3,745,309.65 0.78
Bermuda USD NABORS INDUSTRIES LTD -144A- 365,000 01/15/2026 7.25 181,131.25 0.04 USD NABORS INDUSTRIES LTD -144A- 190,000 01/15/2028 7.50 92,031.25 0.02 273,162.50 0.06
Canada USD 1011778 BC ULC / NEW RED FINANCE INC -144A- 2,370,000 10/15/2030 4.00 2,394,197.70 0.50 USD BAUSCH HEALTH COS INC -144A- 3,771,000 04/15/2025 6.12 3,864,332.25 0.80 USD BAUSCH HEALTH COS INC -144A- 825,000 01/30/2028 5.00 802,312.50 0.17 USD BAUSCH HEALTH COS INC -144A- 1,140,000 02/15/2029 6.25 1,174,200.00 0.24 USD BAYTEX ENERGY CORP -144A- 1,450,000 04/01/2027 8.75 657,937.50 0.14 USD BOMBARDIER INC -144A- 1,195,000 12/01/2021 8.75 1,212,429.08 0.25 USD BOMBARDIER INC -144A- 895,000 01/15/2023 6.12 766,120.00 0.16 USD ELDORADO GOLD CORP -144A- 652,000 06/01/2024 9.50 695,126.54 0.14 USD FIRST QUANTUM MINERALS LTD -144A- 125,000 04/01/2023 7.25 125,034.38 0.03 USD FIRST QUANTUM MINERALS LTD -144A- 775,000 03/01/2024 6.50 744,968.75 0.15 USD GFL ENVIRONMENTAL INC -144A- 1,245,000 05/01/2027 8.50 1,353,159.38 0.28 USD GOEASY LTD -144A- 310,000 12/01/2024 5.38 314,488.80 0.07 USD MASONITE INTERNATIONAL CORP -144A- 480,000 02/01/2028 5.38 513,547.20 0.11 USD MATTAMY GROUP CORP -144A- 700,000 03/01/2030 4.63 710,024.00 0.15 USD MEG ENERGY CORP -144A- 2,095,000 02/01/2027 7.12 1,884,096.35 0.39 EUR PRIMO WATER CORP -REGS- 910,000 07/01/2024 5.50 1,089,967.37 0.23 USD TELESAT CANADA / TELESAT LLC -144A- 475,000 06/01/2027 4.88 478,408.13 0.10 USD VERMILION ENERGY INC -144A- 920,000 03/15/2025 5.62 766,953.40 0.16 19,547,303.33 4.07
Cayman Islands USD GLOBAL AIRCRAFT LEASING CO LTD -144A- 1,818,618 09/15/2024 6.50 1,020,699.35 0.21 USD TRANSOCEAN GUARDIAN LTD -144A- 811,200 01/15/2024 5.88 527,279.80 0.11 USD TRANSOCEAN POSEIDON LTD -144A- 1,470,000 02/01/2027 6.87 1,183,350.00 0.25 2,731,329.15 0.57
Denmark EUR DKT FINANCE APS -REGS- 1,145,000 06/17/2023 7.00 1,359,487.19 0.28
France USD ALTICE FRANCE SA -144A- 205,000 05/01/2026 7.37 215,034.75 0.04 EUR ALTICE FRANCE SA -REGS- 195,000 02/01/2027 5.87 242,332.21 0.05 EUR ALTICE FRANCE SA -REGS- 1,035,000 01/15/2028 3.38 1,173,526.10 0.24
The accompanying notes are an integral part of these financial statements. 55 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
France (Continued) USD ALTICE FRANCE SA -144A- 345,000 01/15/2028 5.50 349,743.75 0.07 EUR ALTICE FRANCE SA -REGS- 1,860,000 01/15/2029 4.13 2,184,390.73 0.45 EUR BANIJAY ENTERTAINMENT SASU -REGS- 1,345,000 03/01/2025 3.50 1,543,830.03 0.32 EUR CONSTANTIN INVESTISSEMENT 3 SASU -REGS- 1,290,000 04/15/2025 5.37 1,524,064.55 0.32 EUR ELECTRICITE DE FRANCE SA -REGS- 800,000 01/29/2049 5.37 1,032,521.59 0.22 EUR FAURECIA SE -REGS- 1,030,000 06/15/2026 3.13 1,202,636.35 0.25 EUR FAURECIA SE -REGS- 370,000 06/15/2028 3.75 433,114.89 0.09 EUR LA FINANCIERE ATALIAN SASU -REGS- 1,100,000 05/15/2025 5.12 1,099,653.01 0.23 EUR LOXAM SAS -REGS- 205,000 04/15/2025 6.00 226,573.62 0.05 EUR LOXAM SAS -REGS- 565,000 07/15/2026 3.75 635,972.75 0.13 EUR LOXAM SAS -REGS- 215,000 04/15/2027 4.50 218,784.07 0.05 EUR NOVAFIVES SAS -REGS- 555,000 06/15/2025 5.00 478,841.57 0.10 EUR ORANO SA -REGS- 900,000 04/23/2026 3.38 1,091,957.73 0.23 EUR REXEL SA -REGS- 915,000 06/15/2024 2.63 1,075,713.45 0.22 EUR SPIE SA -REGS- 700,000 06/18/2026 2.63 817,341.27 0.17 EUR VALLOUREC SA -REGS- 485,000 10/15/2023 6.37 325,582.87 0.07 15,871,615.29 3.30
Germany EUR CERAMTEC BONDCO GMBH -REGS- 1,105,000 12/15/2025 5.25 1,244,336.39 0.26 EUR CHEPLAPHARM ARZNEIMITTEL GMBH -REGS- 965,000 02/11/2027 3.50 1,094,889.33 0.23 EUR IHO VERWALTUNGS GMBH -REGS- 1,175,000 05/15/2025 3.62 1,385,237.30 0.29 EUR INEOS STYROLUTION GROUP GMBH -REGS- 510,000 01/16/2027 2.25 559,614.97 0.12 EUR NIDDA BONDCO GMBH -REGS- 775,000 09/30/2025 5.00 888,283.35 0.18 EUR NIDDA HEALTHCARE HOLDING GMBH -REGS- 540,000 09/30/2024 3.50 619,585.14 0.13 EUR NIDDA HEALTHCARE HOLDING GMBH -REGS- 500,000 09/30/2024 3.50 571,228.55 0.12 EUR TECHEM VERWALTUNGSGESELLSCHAFT 674 MBH -REGS- 1,080,000 07/30/2026 6.00 1,296,382.72 0.27 EUR TELE COLUMBUS AG -REGS- 840,000 05/02/2025 3.87 943,412.01 0.19 EUR WEPA HYGIENEPRODUKTE GMBH -REGS- 645,000 12/15/2027 2.88 745,786.26 0.15 EUR ZF FINANCE GMBH -REGS- 1,500,000 09/21/2025 3.00 1,715,991.67 0.36 11,064,747.69 2.30
Ireland EUR JAMES HARDIE INTERNATIONAL FINANCE DAC -REGS- 930,000 10/01/2026 3.62 1,113,421.03 0.23 EUR SMURFIT KAPPA ACQUISITIONS ULC -REGS- 700,000 01/15/2026 2.88 877,034.92 0.18 GBP VIRGIN MEDIA VENDOR FINANCING NOTES III DAC -REGS- 1,150,000 07/15/2028 4.88 1,504,300.18 0.32 3,494,756.13 0.73
Isle of Man EUR PLAYTECH PLC -REGS- 680,000 10/12/2023 3.75 797,644.75 0.17 EUR PLAYTECH PLC -REGS- 325,000 03/07/2026 4.25 384,433.57 0.08 1,182,078.32 0.25
Italy EUR BORMIOLI PHARMA BIDCO SPA -REGS- 1,046,000 11/15/2024 3.50 1,169,923.86 0.24 EUR GUALA CLOSURES SPA -REGS- 1,025,000 04/15/2024 3.50 1,196,612.01 0.25 EUR LIMACORPORATE SPA -REGS- 405,000 08/15/2023 3.75 454,739.21 0.10 EUR SISAL PAY SPA -REGS- 825,000 12/17/2026 3.88 945,064.70 0.20 EUR TEAMSYSTEM SPA -REGS- 830,000 04/15/2023 4.00 967,730.70 0.20 EUR TELECOM ITALIA SPA -REGS- 550,000 04/11/2024 4.00 686,069.97 0.14 EUR TELECOM ITALIA SPA -REGS- 755,000 01/19/2024 3.63 932,385.42 0.19 USD TELECOM ITALIA SPA -144A- 1,135,000 05/30/2024 5.30 1,234,227.38 0.26 7,586,753.25 1.58
The accompanying notes are an integral part of these financial statements. 56 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
Jersey EUR LHC3 PLC -REGS- 915,000 08/15/2024 4.13 1,086,387.40 0.23
Luxembourg EUR ADO PROPERTIES SA -REGS- 400,000 08/05/2025 3.25 474,954.41 0.10 USD ALTICE FINANCING SA -144A- 770,000 01/15/2028 5.00 748,875.05 0.16 EUR ALTICE FINANCING SA -REGS- 260,000 01/15/2028 3.00 284,068.86 0.06 USD ALTICE FINANCING SA -144A- 655,000 05/15/2026 7.50 694,155.90 0.14 EUR ALTICE FINCO SA -REGS- 425,000 01/15/2028 4.75 453,522.58 0.09 USD ALTICE FRANCE HOLDING SA -144A- 1,190,000 02/15/2028 6.00 1,137,217.55 0.24 USD ARCELORMITTAL SA 855,000 07/16/2024 3.60 896,316.66 0.19 USD ARCELORMITTAL SA 1,030,000 03/11/2026 4.55 1,113,491.16 0.23 USD ARCELORMITTAL SA 350,000 10/15/2039 7.25 443,750.19 0.09 EUR ARD FINANCE SA -REGS- 2,165,000 06/30/2027 5.00 2,485,982.51 0.52 EUR ARENA LUXEMBOURG FINANCE SARL -REGS- 945,000 02/01/2028 1.88 997,611.86 0.21 USD INTELSAT JACKSON HOLDINGS SA -144A- 2,040,000 02/15/2024 8.00 2,073,986.40 0.43 EUR LHMC FINCO 2 SARL -REGS- 790,400 10/02/2025 7.25 720,635.95 0.15 EUR LINCOLN FINANCING SARL -REGS- 885,000 04/01/2024 3.62 1,001,890.04 0.21 EUR MATTERHORN TELECOM SA -REGS- 735,000 09/15/2026 3.13 824,805.47 0.17 EUR MONITCHEM HOLDCO 2 SA -REGS- 845,000 09/15/2026 9.50 1,026,715.30 0.21 EUR MONITCHEM HOLDCO 3 SA -REGS- 145,000 03/15/2025 5.25 173,486.02 0.04 EUR MOTION FINCO SARL -REGS- 915,000 05/15/2025 7.00 1,062,726.15 0.22 USD NIELSEN CO LUXEMBOURG SARL -144A- 2,000 10/01/2021 5.50 2,005.63 0.00 EUR SAMSONITE FINCO SARL -REGS- 465,000 05/15/2026 3.50 445,813.70 0.09 EUR SES SA -REGS- 950,000 12/29/2049 5.62 1,182,266.07 0.25 EUR SUMMER BC HOLDCO B SARL -REGS- 1,005,000 10/31/2026 5.75 1,162,243.20 0.24 USD TELECOM ITALIA CAPITAL SA 990,000 11/15/2033 6.37 1,175,808.15 0.24 EUR TELENET FINANCE LUXEMBOURG NOTES SARL -REGS- 900,000 03/01/2028 3.50 1,091,557.74 0.23 21,673,886.55 4.51
Netherlands EUR DIAMOND BC BV -REGS- 835,000 08/15/2025 5.62 961,795.76 0.20 EUR DUFRY ONE BV -REGS- 1,000,000 10/15/2024 2.50 1,018,913.68 0.21 EUR ENERGIZER GAMMA ACQUISITION BV -REGS- 1,455,000 07/15/2026 4.62 1,761,452.28 0.37 EUR FIAT CHRYSLER AUTOMOBILES NV -REGS- 1,180,000 07/07/2028 4.50 1,578,791.68 0.33 EUR INTERTRUST GROUP BV -REGS- 685,000 11/15/2025 3.38 821,242.68 0.17 EUR LKQ EUROPEAN HOLDINGS BV -REGS- 920,000 04/01/2026 3.63 1,095,495.73 0.23 EUR NATURGY FINANCE BV -REGS- 900,000 12/29/2049 3.38 1,083,999.07 0.23 USD OCI NV -144A- 1,565,000 11/01/2024 5.25 1,619,501.13 0.34 EUR SAIPEM FINANCE INTERNATIONAL BV -REGS- 960,000 01/07/2025 2.63 1,107,451.14 0.23 EUR SIGMA HOLDCO BV -REGS- 910,000 05/15/2026 5.75 1,056,086.56 0.22 EUR SUNSHINE MID BV -REGS- 910,000 05/15/2026 6.50 1,093,789.76 0.23 EUR TELEFONICA EUROPE BV -REGS- 200,000 12/31/2049 3.75 238,927.54 0.05 EUR TELEFONICA EUROPE BV -REGS- 900,000 12/31/2099 4.37 1,115,441.11 0.23 USD TRIVIUM PACKAGING FINANCE BV -144A- 1,335,000 08/15/2026 5.50 1,385,696.63 0.29 EUR TRIVIUM PACKAGING FINANCE BV -REGS- 955,000 08/15/2026 3.75 1,111,879.65 0.23 USD UPC HOLDING BV -144A- 1,320,000 01/15/2028 5.50 1,365,375.00 0.28 EUR ZF EUROPE FINANCE BV -REGS- 100,000 02/23/2026 2.00 107,418.54 0.02 USD ZIGGO BOND CO BV -144A- 590,000 01/15/2027 6.00 611,387.50 0.13 USD ZIGGO BOND CO BV -144A- 490,000 02/28/2030 5.12 497,291.20 0.10 USD ZIGGO BV -144A- 200,000 01/15/2030 4.87 207,375.00 0.04 19,839,311.64 4.13
Spain EUR EL CORTE INGLES SA -REGS- 390,000 03/15/2024 3.63 462,789.69 0.09 EUR LORCA TELECOM BONDCO SAU -REGS- 1,505,000 09/18/2027 4.00 1,770,927.71 0.37 2,233,717.40 0.46
The accompanying notes are an integral part of these financial statements. 57 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
Supranational USD ARDAGH PACKAGING FINANCE PLC / ARDAGH HOLDINGS USA INC -144A- 1,720,000 08/15/2027 5.25 1,754,400.00 0.36 USD ARDAGH PACKAGING FINANCE PLC / ARDAGH HOLDINGS USA INC -144A- 1,970,000 08/15/2027 5.25 2,009,400.00 0.42 USD CASCADES INC/CASCADES USA INC -144A- 2,805,000 01/15/2028 5.38 2,954,015.63 0.61 EUR CLARIOS GLOBAL LP / CLARIOS US FINANCE CO -REGS- 555,000 05/15/2026 4.37 654,888.66 0.14 USD CONNECT FINCO SARL / CONNECT US FINCO LLC -144A- 960,000 10/01/2026 6.75 964,512.00 0.20 USD DELTA AIR LINES INC / SKYMILES IP LTD -144A- 2,895,000 10/20/2028 4.75 3,007,855.58 0.63 USD ENDO DAC / ENDO FINANCE LLC / ENDO FINCO INC -144A- 75,000 07/31/2027 9.50 78,515.63 0.02 USD JBS USA LUX SA / JBS USA FOOD CO / JBS USA FINANCE INC -144A- 1,110,000 01/15/2030 5.50 1,211,287.50 0.25 12,634,875.00 2.63
Sweden EUR INTRUM AB -REGS- 1,125,000 09/15/2027 3.00 1,154,822.56 0.24 EUR UNILABS SUBHOLDING AB -REGS- 935,000 05/15/2025 5.75 1,106,609.66 0.23 EUR VERISURE HOLDING AB -REGS- 705,000 07/15/2026 3.87 830,392.54 0.17 EUR VERISURE MIDHOLDING AB -REGS- 1,105,000 12/01/2023 5.75 1,299,565.08 0.27 4,391,389.84 0.91
United Kingdom GBP ARQIVA BROADCAST FINANCE PLC -REGS- 770,000 09/30/2023 6.75 1,029,052.44 0.22 USD DRAX FINCO PLC -144A- 1,075,000 11/01/2025 6.62 1,120,687.50 0.23 EUR INEOS FINANCE PLC -REGS- 760,000 05/01/2026 2.87 860,924.68 0.18 EUR INTERNATIONAL GAME TECHNOLOGY PLC -REGS- 1,100,000 04/15/2028 2.38 1,135,125.69 0.24 EUR SYNLAB BONDCO PLC -REGS- 1,045,000 07/01/2025 4.75 1,243,151.60 0.26 EUR SYNLAB UNSECURED BONDCO -REGS- 750,000 07/01/2023 8.25 904,883.09 0.19 USD TRONOX FINANCE PLC -144A- 65,000 10/01/2025 5.75 64,261.93 0.01 USD VIRGIN MEDIA FINANCE PLC -144A- 1,265,000 07/15/2030 5.00 1,260,256.25 0.26 GBP VIRGIN MEDIA SECURED FINANCE PLC -REGS- 465,000 05/15/2029 5.25 637,446.44 0.13 EUR VODAFONE GROUP PLC -REGS- 310,000 01/03/2079 3.10 370,466.01 0.08 8,626,255.63 1.80
United States USD ACADIA HEALTHCARE CO INC 600,000 02/15/2023 5.63 605,313.00 0.13 USD ACADIA HEALTHCARE CO INC 2,335,000 03/01/2024 6.50 2,404,804.83 0.50 USD ACADIA HEALTHCARE CO INC -144A- 760,000 07/01/2028 5.50 783,094.50 0.16 USD ACCO BRANDS CORP -144A- 970,000 12/15/2024 5.25 996,573.15 0.21 USD ACRISURE LLC / ACRISURE FINANCE INC -144A- 275,000 02/15/2024 8.12 288,679.88 0.06 USD ACRISURE LLC / ACRISURE FINANCE INC -144A- 935,000 08/01/2026 10.12 1,037,850.00 0.22 USD ADIENT US LLC -144A- 310,000 04/15/2025 9.00 342,356.25 0.07 USD ADIENT US LLC -144A- 775,000 05/15/2026 7.00 831,280.50 0.17 USD AES CORP/VA 1,095,000 03/15/2024 5.50 1,122,375.00 0.23 USD ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC -144A- 1,140,000 02/15/2028 5.88 1,218,876.60 0.25 USD ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP -144A- 980,000 07/15/2026 6.62 1,044,925.00 0.22 USD AMERICAN AXLE & MANUFACTURING INC 1,515,000 07/01/2028 6.87 1,472,458.80 0.31 USD AMERICAN BUILDERS & CONTRACTORS SUPPLY CO INC -144A- 1,155,000 05/15/2026 5.87 1,200,478.13 0.25 USD APACHE CORP 1,590,000 04/15/2043 4.75 1,416,531.00 0.30 USD APX GROUP INC 305,000 12/01/2022 7.87 305,571.88 0.06 USD APX GROUP INC -144A- 1,125,000 02/15/2027 6.75 1,169,122.50 0.24 USD ARAMARK SERVICES INC -144A- 1,245,000 05/01/2025 6.37 1,298,441.63 0.27
The accompanying notes are an integral part of these financial statements. 58 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
United States (Continued) USD ARCHROCK PARTNERS LP / ARCHROCK PARTNERS FINANCE CORP -144A- 580,000 04/01/2027 6.87 558,371.80 0.12 USD ARCHROCK PARTNERS LP / ARCHROCK PARTNERS FINANCE CORP -144A- 635,000 04/01/2028 6.25 600,075.00 0.13 USD ARCONIC CORP -144A- 1,145,000 05/15/2025 6.00 1,224,921.00 0.26 USD ASBURY AUTOMOTIVE GROUP INC -144A- 414,000 03/01/2028 4.50 417,363.75 0.09 USD ASBURY AUTOMOTIVE GROUP INC -144A- 510,000 03/01/2030 4.75 514,781.25 0.11 USD ASCENT RESOURCES UTICA HOLDINGS LLC / ARU FINANCE CORP -144A- 700,000 11/01/2026 7.00 537,250.00 0.11 EUR AVANTOR FUNDING INC -REGS- 940,000 07/15/2028 3.88 1,132,136.02 0.24 USD AVIENT CORP -144A- 800,000 05/15/2025 5.75 849,000.00 0.18 EUR AXALTA COATING SYSTEMS -REGS- 915,000 08/15/2024 4.25 1,083,177.06 0.23 USD BERRY PETROLEUM CO LLC -144A- 995,000 02/15/2026 7.00 777,154.70 0.16 USD BIG RIVER STEEL LLC / BRS FINANCE CORP -144A- 1,430,000 01/31/2029 6.62 1,448,625.75 0.30 USD BOYD GAMING CORP -144A- 1,710,000 06/01/2025 8.62 1,876,776.30 0.39 USD BOYD GAMING CORP 600,000 04/01/2026 6.37 625,548.00 0.13 USD BOYD GAMING CORP 740,000 12/01/2027 4.75 727,649.40 0.15 USD BOYNE USA INC -144A- 1,115,000 05/01/2025 7.25 1,169,239.18 0.24 USD BRINK’S CO -144A- 1,295,000 07/15/2025 5.50 1,350,846.88 0.28 USD BUCKEYE PARTNERS LP -144A- 415,000 03/01/2025 4.13 397,103.13 0.08 USD BUCKEYE PARTNERS LP -144A- 670,000 03/01/2028 4.50 647,387.50 0.13 USD CABLEVISION LIGHTPATH LLC -144A- 580,000 09/15/2028 5.63 590,425.50 0.12 USD CAESARS ENTERTAINMENT INC -144A- 2,360,000 07/01/2025 6.25 2,463,261.80 0.51 USD CALLON PETROLEUM CO 470,000 10/01/2024 6.12 135,418.75 0.03 USD CALLON PETROLEUM CO 175,000 07/01/2026 6.37 43,498.00 0.01 USD CALPINE CORP -144A- 1,215,000 02/15/2028 4.50 1,246,371.30 0.26 USD CALPINE CORP -144A- 470,000 03/15/2028 5.13 487,115.05 0.10 USD CALPINE CORP -144A- 1,015,000 02/01/2029 4.63 1,015,634.38 0.21 USD CARDTRONICS INC / CARDTRONICS USA INC -144A- 965,000 05/01/2025 5.50 968,517.43 0.20 USD CARPENTER TECHNOLOGY CORP 705,000 07/15/2028 6.37 738,682.50 0.15 USD CARRIAGE SERVICES INC -144A- 2,165,000 06/01/2026 6.62 2,280,957.40 0.47 EUR CATALENT PHARMA SOLUTIONS INC -REGS- 875,000 03/01/2028 2.38 989,515.48 0.21 USD CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP -144A- 245,000 06/01/2029 5.38 265,798.05 0.06 USD CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP -144A- 1,705,000 03/01/2030 4.75 1,807,300.00 0.38 USD CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP -144A- 2,445,000 02/01/2031 4.25 2,537,787.16 0.53 USD CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP -144A- 950,000 02/01/2028 5.00 999,637.50 0.21 USD CEDAR FAIR LP 1,345,000 07/15/2029 5.25 1,279,189.15 0.27 USD CEDAR FAIR LP / CANADA’S WONDERLAND CO / MAGNUM MANAGEMENT CORP 985,000 06/01/2024 5.38 944,989.30 0.20 USD CENTRAL GARDEN & PET CO 840,000 02/01/2028 5.13 884,990.40 0.18 USD CENTURYLINK INC -144A- 3,190,000 12/15/2026 5.13 3,282,015.55 0.68 USD CHAMPIONX CORP 1,040,000 05/01/2026 6.37 997,100.00 0.21 USD CHANGE HEALTHCARE HOLDINGS LLC / CHANGE HEALTHCARE FINANCE INC -144A- 635,000 03/01/2025 5.75 643,731.25 0.13 USD CHENIERE ENERGY INC -144A- 1,805,000 10/15/2028 4.63 1,855,765.63 0.39 USD CIT GROUP INC 840,000 06/19/2024 3.93 847,350.00 0.18 USD CITGO HOLDING INC -144A- 280,000 08/01/2024 9.25 267,400.00 0.06 USD CITGO PETROLEUM CORP -144A- 2,095,000 06/15/2025 7.00 2,070,121.88 0.43 USD CITGO PETROLEUM CORP -144A- 275,000 08/15/2022 6.25 273,570.00 0.06 USD CLEARWAY ENERGY OPERATING LLC -144A- 735,000 03/15/2028 4.75 763,253.40 0.16 USD CLEVELAND-CLIFFS INC -144A- 1,935,000 10/17/2025 9.87 2,162,362.50 0.45 USD CLEVELAND-CLIFFS INC -144A- 395,000 03/15/2026 6.75 402,287.75 0.08 USD COMMSCOPE INC -144A- 960,000 03/01/2024 5.50 987,777.60 0.21 USD COMMSCOPE INC -144A- 1,300,000 07/01/2028 7.12 1,337,466.00 0.28
The accompanying notes are an integral part of these financial statements. 59 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
United States (Continued) USD COMMSCOPE TECHNOLOGIES LLC -144A- 1,050,000 06/15/2025 6.00 1,065,645.00 0.22 USD COMMSCOPE TECHNOLOGIES LLC -144A- 670,000 03/15/2027 5.00 644,456.25 0.13 USD COMSTOCK RESOURCES INC 1,195,000 08/15/2026 9.75 1,232,284.00 0.26 USD COMSTOCK RESOURCES INC 180,000 08/15/2026 9.75 184,873.50 0.04 USD CONTINENTAL RESOURCES INC 1,260,000 09/15/2022 5.00 1,252,603.80 0.26 USD COVANTA HOLDING CORP 600,000 07/01/2025 5.87 622,437.00 0.13 USD COVANTA HOLDING CORP 1,900,000 01/01/2027 6.00 1,982,764.00 0.41 USD CROWNROCK LP / CROWNROCK FINANCE INC -144A- 1,143,000 10/15/2025 5.63 1,080,135.00 0.22 USD CSC HOLDINGS LLC -144A- 2,000,000 01/15/2030 5.75 2,127,930.00 0.44 USD CSC HOLDINGS LLC -144A- 1,915,000 12/01/2030 4.63 1,926,710.23 0.40 USD CUSHMAN & WAKEFIELD US BORROWER LLC -144A- 1,185,000 05/15/2028 6.75 1,233,910.88 0.26 USD CVR ENERGY INC -144A- 460,000 02/15/2025 5.25 401,637.50 0.08 USD CVR ENERGY INC -144A- 970,000 02/15/2028 5.75 826,925.00 0.17 USD DANA INC 2,835,000 06/15/2028 5.63 2,931,772.73 0.61 USD DAVITA INC -144A- 2,730,000 06/01/2030 4.63 2,803,778.25 0.58 USD DCP MIDSTREAM OPERATING LP 1,170,000 03/15/2023 3.88 1,160,289.00 0.24 USD DELL INTERNATIONAL LLC / EMC CORP -144A- 865,000 06/15/2021 5.87 867,733.40 0.18 USD DELTA AIR LINES INC -144A- 2,775,000 05/01/2025 7.00 3,050,653.90 0.64 USD DISH DBS CORP 510,000 07/01/2026 7.75 561,318.75 0.12 USD DISH DBS CORP -144A- 560,000 07/01/2028 7.37 577,500.00 0.12 USD EDGEWELL PERSONAL CARE CO -144A- 790,000 06/01/2028 5.50 832,355.85 0.17 USD ENCOMPASS HEALTH CORP 2,565,000 02/01/2030 4.75 2,606,629.95 0.54 USD ENERGIZER HOLDINGS INC -144A- 520,000 03/31/2029 4.38 526,500.00 0.11 USD ENERSYS -144A- 580,000 12/15/2027 4.38 593,412.50 0.12 USD ESH HOSPITALITY INC -144A- 1,000,000 10/01/2027 4.63 982,520.00 0.20 USD ESH HOSPITALITY INC -144A- 990,000 05/01/2025 5.25 1,001,360.25 0.21 USD FORD MOTOR CREDIT CO LLC 85,000 11/02/2020 0.68 84,736.17 0.02 USD FORD MOTOR CREDIT CO LLC 695,000 10/12/2021 1.15 667,827.97 0.14 USD FORD MOTOR CREDIT CO LLC 360,000 01/07/2022 3.42 355,608.70 0.07 USD FORD MOTOR CREDIT CO LLC 610,000 03/28/2022 1.50 582,736.39 0.12 USD FORD MOTOR CREDIT CO LLC 1,995,000 08/03/2022 1.33 1,890,919.59 0.39 USD FORD MOTOR CREDIT CO LLC 495,000 09/20/2022 4.25 500,098.50 0.10 USD FORD MOTOR CREDIT CO LLC 245,000 11/01/2022 3.35 241,658.20 0.05 USD FORD MOTOR CREDIT CO LLC 3,165,000 02/15/2023 1.52 2,913,408.33 0.61 USD FORD MOTOR CREDIT CO LLC 575,000 06/16/2025 5.13 593,687.50 0.12 USD FORD MOTOR CREDIT CO LLC 1,655,000 05/03/2029 5.11 1,702,581.25 0.35 USD FRONTIER COMMUNICATIONS CORP -144A- 1,955,000 04/01/2027 8.00 1,951,334.38 0.41 USD GOLDEN NUGGET INC -144A- 1,925,000 10/15/2024 6.75 1,609,781.25 0.34 USD GOODYEAR TIRE & RUBBER CO 985,000 05/31/2025 9.50 1,070,601.43 0.22 USD GREYSTAR REAL ESTATE PARTNERS LLC -144A- 1,765,000 12/01/2025 5.75 1,787,062.50 0.37 USD GRINDING MEDIA INC / MOLY-COP ALTASTEEL LTD -144A- 1,005,000 12/15/2023 7.37 1,020,075.00 0.21 USD H&E EQUIPMENT SERVICES INC 1,450,000 09/01/2025 5.63 1,513,437.50 0.32 USD HARVEST MIDSTREAM I LP -144A- 1,065,000 09/01/2028 7.50 1,062,337.50 0.22 USD HAT HOLDINGS I LLC / HAT HOLDINGS II LLC -144A- 1,915,000 04/15/2025 6.00 2,042,443.25 0.43 USD HERC HOLDINGS INC -144A- 2,290,000 07/15/2027 5.50 2,373,642.25 0.49 USD HESS MIDSTREAM OPERATIONS LP -144A- 1,815,000 06/15/2028 5.13 1,812,549.75 0.38 USD HUB INTERNATIONAL LTD -144A- 1,735,000 05/01/2026 7.00 1,799,637.43 0.37 USD HUNT COS INC -144A- 2,155,000 02/15/2026 6.25 2,075,060.28 0.43 USD IAA INC -144A- 385,000 06/15/2027 5.50 401,603.13 0.08 USD IHEARTCOMMUNICATIONS INC 195,000 05/01/2026 6.37 203,511.75 0.04 USD IHEARTCOMMUNICATIONS INC 725,000 05/01/2027 8.37 715,440.88 0.15 USD IHEARTCOMMUNICATIONS INC -144A- 1,600,000 08/15/2027 5.25 1,562,704.00 0.33 USD ILLUMINATE BUYER LLC / ILLUMINATE HOLDINGS IV INC -144A- 450,000 07/01/2028 9.00 483,187.50 0.10 USD INGLES MARKETS INC 836,000 06/15/2023 5.75 850,475.34 0.18 USD IRON MOUNTAIN INC -144A- 985,000 03/15/2028 5.25 1,027,478.13 0.21 USD IRON MOUNTAIN INC -144A- 405,000 07/15/2028 5.00 415,627.20 0.09 USD IRON MOUNTAIN INC -144A- 235,000 09/15/2029 4.88 239,347.50 0.05
The accompanying notes are an integral part of these financial statements. 60 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
United States (Continued) USD IRON MOUNTAIN INC -144A- 1,395,000 07/15/2030 5.25 1,456,903.13 0.30 USD IRON MOUNTAIN INC -144A- 155,000 02/15/2031 4.50 156,145.45 0.03 USD IRON MOUNTAIN INC -144A- 1,350,000 09/15/2027 4.88 1,380,601.13 0.29 USD JAGUAR HOLDING CO II / PPD DEVELOPMENT LP -144A- 1,360,000 06/15/2025 4.63 1,403,016.80 0.29 USD JAGUAR HOLDING CO II / PPD DEVELOPMENT LP -144A- 10,000 06/15/2028 5.00 10,450.00 0.00 USD KAR AUCTION SERVICES INC -144A- 1,250,000 06/01/2025 5.13 1,251,537.50 0.26 USD KENNEDY-WILSON INC 2,680,000 04/01/2024 5.87 2,669,950.00 0.56 USD KRAFT HEINZ FOODS CO 1,475,000 01/26/2039 6.87 1,977,350.34 0.41 USD KRAFT HEINZ FOODS CO 1,305,000 02/09/2040 6.50 1,660,557.52 0.35 USD KRAFT HEINZ FOODS CO 2,625,000 06/01/2046 4.38 2,702,880.10 0.56 USD KRAFT HEINZ FOODS CO -144A- 3,060,000 06/01/2050 5.50 3,513,556.23 0.73 EUR KRATON POLYMERS LLC / KRATON POLYMERS CAPITAL CORP -REGS- 555,000 05/15/2026 5.25 658,956.29 0.14 EUR KRONOS INTERNATIONAL INC -REGS- 975,000 09/15/2025 3.75 1,132,735.54 0.24 USD L BRANDS INC -144A- 1,615,000 07/01/2025 9.37 1,855,231.25 0.39 USD L BRANDS INC 665,000 06/15/2029 7.50 696,048.85 0.15 USD L BRANDS INC -144A- 275,000 10/01/2030 6.62 280,500.00 0.06 USD L BRANDS INC 365,000 03/01/2033 6.95 325,247.85 0.07 USD LAMAR MEDIA CORP -144A- 1,750,000 01/15/2029 4.88 1,824,375.00 0.38 USD LAREDO PETROLEUM INC 1,560,000 01/15/2025 9.50 931,101.60 0.19 EUR LEVI STRAUSS & CO 755,000 03/15/2027 3.38 902,645.58 0.19 USD LIVE NATION ENTERTAINMENT INC -144A- 1,415,000 05/15/2027 6.50 1,528,935.80 0.32 USD LOGAN MERGER SUB INC -144A- 700,000 09/01/2027 5.50 711,812.50 0.15 USD MARRIOTT OWNERSHIP RESORTS INC / ILG LLC 1,815,000 09/15/2026 6.50 1,866,618.60 0.39 USD MASTEC INC -144A- 1,020,000 08/15/2028 4.50 1,031,475.00 0.21 USD MAUSER PACKAGING SOLUTIONS HOLDING CO -144A- 2,865,000 04/15/2024 5.50 2,879,325.00 0.60 EUR MAUSER PACKAGING SOLUTIONS HOLDING CO -REGS- 875,000 04/15/2024 4.75 1,002,883.02 0.21 USD MEDNAX INC -144A- 2,615,000 01/15/2027 6.25 2,716,278.95 0.57 USD MEDNAX INC -144A- 235,000 12/01/2023 5.25 237,680.18 0.05 USD MERCER INTERNATIONAL INC 1,505,000 01/15/2025 7.37 1,526,634.38 0.32 USD MERCER INTERNATIONAL INC 1,550,000 01/15/2026 5.50 1,490,906.25 0.31 USD MGIC INVESTMENT CORP 955,000 08/15/2028 5.25 989,929.13 0.21 USD MTS SYSTEMS CORP -144A- 2,120,000 08/15/2027 5.75 2,094,189.00 0.44 USD NATIONSTAR MORTGAGE HOLDINGS INC -144A- 647,000 01/15/2027 6.00 660,638.76 0.14 USD NCR CORP -144A- 1,130,000 04/15/2025 8.12 1,251,051.25 0.26 USD NCR CORP -144A- 380,000 09/01/2027 5.75 398,152.60 0.08 USD NCR CORP -144A- 785,000 09/01/2029 6.12 830,773.35 0.17 USD NCR CORP -144A- 1,010,000 10/01/2030 5.25 1,011,893.75 0.21 USD NEW ENTERPRISE STONE & LIME CO INC -144A- 625,000 03/15/2026 6.25 644,921.88 0.13 USD NEW RESIDENTIAL INVESTMENT CORP -144A- 1,640,000 10/15/2025 6.25 1,619,262.20 0.34 USD NEXSTAR BROADCASTING INC -144A- 910,000 07/15/2027 5.63 955,968.65 0.20 USD NEXSTAR BROADCASTING INC -144A- 1,780,000 11/01/2028 4.75 1,820,050.00 0.38 USD NFP CORP -144A- 710,000 08/15/2028 6.87 718,591.00 0.15 USD NIELSEN FINANCE LLC / NIELSEN FINANCE CO -144A- 1,555,000 04/15/2022 5.00 1,560,442.50 0.32 USD NORTHERN OIL AND GAS INC 465,000 05/15/2023 8.50 387,403.13 0.08 USD NOVELIS CORP -144A- 1,895,000 09/30/2026 5.87 1,949,481.25 0.41 USD NOVELIS CORP -144A- 165,000 01/30/2030 4.75 161,367.53 0.03 USD NUSTAR LOGISTICS LP 1,245,000 10/01/2030 6.37 1,294,800.00 0.27 USD OASIS PETROLEUM INC 1,435,000 03/15/2022 6.87 339,915.63 0.07 USD OASIS PETROLEUM INC 943,000 01/15/2023 6.87 221,605.00 0.05 USD OCCIDENTAL PETROLEUM CORP 240,000 02/15/2022 3.13 227,726.40 0.05 USD OCCIDENTAL PETROLEUM CORP 290,000 04/15/2022 2.60 274,775.00 0.06 USD OCCIDENTAL PETROLEUM CORP 565,000 08/15/2022 2.70 528,950.18 0.11 USD OCCIDENTAL PETROLEUM CORP 4,405,000 08/15/2022 1.73 3,922,935.26 0.82 USD OCCIDENTAL PETROLEUM CORP 2,185,000 09/01/2030 6.62 2,019,759.38 0.42 USD OCCIDENTAL PETROLEUM CORP 1,050,000 04/15/2046 4.40 750,928.50 0.16 USD OCCIDENTAL PETROLEUM CORP 495,000 08/15/2049 4.40 347,886.00 0.07 USD OCEANEERING INTERNATIONAL INC 535,000 02/01/2028 6.00 335,980.00 0.07 USD OLIN CORP -144A- 1,270,000 06/01/2025 9.50 1,481,899.50 0.31
The accompanying notes are an integral part of these financial statements. 61 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
United States (Continued) USD OLIN CORP 1,980,000 02/01/2030 5.00 1,865,783.70 0.39 USD ONEMAIN FINANCE CORP 730,000 05/15/2022 6.12 759,200.00 0.16 USD ONEMAIN FINANCE CORP 2,135,000 06/01/2025 8.87 2,368,462.25 0.49 USD ORTHO-CLINICAL DIAGNOSTICS INC / ORTHO-CLINICAL DIAGNOSTICS SA -144A- 1,740,000 06/01/2025 7.37 1,769,362.50 0.37 USD ORTHO-CLINICAL DIAGNOSTICS INC / ORTHO-CLINICAL DIAGNOSTICS SA -144A- 990,000 02/01/2028 7.25 1,031,456.25 0.21 USD OUTFRONT MEDIA CAPITAL LLC / OUTFRONT MEDIA CAPITAL CORP 780,000 02/15/2024 5.63 791,781.90 0.16 USD OUTFRONT MEDIA CAPITAL LLC / OUTFRONT MEDIA CAPITAL CORP -144A- 1,555,000 06/15/2025 6.25 1,604,565.63 0.33 USD OUTFRONT MEDIA CAPITAL LLC / OUTFRONT MEDIA CAPITAL CORP -144A- 295,000 08/15/2027 5.00 288,123.55 0.06 USD OWENS-BROCKWAY GLASS CONTAINER INC -144A- 1,815,000 05/13/2027 6.62 1,969,275.00 0.41 USD PAR PHARMACEUTICAL INC -144A- 1,530,000 04/01/2027 7.50 1,604,954.70 0.33 USD PDC ENERGY INC 450,000 09/15/2024 6.12 429,750.00 0.09 USD PDC ENERGY INC 1,405,000 05/15/2026 5.75 1,313,675.00 0.27 USD PERFORMANCE FOOD GROUP INC -144A- 1,270,000 05/01/2025 6.87 1,358,106.25 0.28 USD PERFORMANCE FOOD GROUP INC -144A- 720,000 06/01/2024 5.50 721,800.00 0.15 USD PG&E CORP 490,000 07/01/2028 5.00 475,949.25 0.10 USD PG&E CORP 1,855,000 07/01/2030 5.25 1,797,031.25 0.37 USD PIKE CORP -144A- 2,105,000 09/01/2028 5.50 2,124,608.08 0.44 USD PILGRIM’S PRIDE CORP -144A- 1,185,000 03/15/2025 5.75 1,208,700.00 0.25 USD PLANTRONICS INC -144A- 1,080,000 05/31/2023 5.50 964,564.20 0.20 USD POST HOLDINGS INC -144A- 1,135,000 03/01/2027 5.75 1,196,363.78 0.25 USD POST HOLDINGS INC -144A- 700,000 04/15/2030 4.63 721,000.00 0.15 USD POWERTEAM SERVICES LLC -144A- 1,780,000 12/04/2025 9.03 1,883,462.50 0.39 USD PQ CORP -144A- 570,000 12/15/2025 5.75 588,465.15 0.12 USD PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC -144A- 1,440,000 04/15/2026 5.75 1,543,096.80 0.32 USD PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC -144A- 4,025,000 01/15/2028 6.25 4,080,987.75 0.85 USD QEP RESOURCES INC 525,000 10/01/2022 5.38 431,812.50 0.09 USD QUICKEN LOANS INC -144A- 355,000 01/15/2028 5.25 374,714.93 0.08 USD QUICKEN LOANS INC -144A- 195,000 05/01/2025 5.75 200,850.00 0.04 USD QUICKEN LOANS LLC / QUICKEN LOANS CO-ISSUER INC -144A- 1,380,000 03/01/2031 3.88 1,366,200.00 0.28 USD REALOGY GROUP LLC / REALOGY CO-ISSUER CORP -144A- 2,585,000 06/15/2025 7.62 2,711,703.78 0.56 EUR REFINITIV US HOLDINGS INC -REGS- 545,000 05/15/2026 4.50 670,752.08 0.14 USD REYNOLDS GROUP ISSUER INC / REYNOLDS GROUP ISSUER LLC / REYNOLDS GROUP ISSUER LU -144A- 2,115,000 10/15/2027 4.00 2,131,285.50 0.44 USD RHP HOTEL PROPERTIES LP / RHP FINANCE CORP 1,735,000 10/15/2027 4.75 1,601,595.85 0.33 USD RITE AID CORP -144A- 1,292,000 11/15/2026 8.00 1,294,422.50 0.27 USD SABRE GLBL INC -144A- 1,025,000 04/15/2025 9.25 1,130,006.13 0.24 USD SABRE GLBL INC -144A- 445,000 09/01/2025 7.37 450,117.50 0.09 EUR SCIENTIFIC GAMES INTERNATIONAL INC -REGS- 930,000 02/15/2026 3.38 1,045,321.79 0.22 USD SHEA HOMES LP / SHEA HOMES FUNDING CORP -144A- 660,000 04/01/2029 4.75 659,587.50 0.14 USD SIGNATURE AVIATION US HOLDINGS INC -144A- 905,000 05/01/2026 5.38 916,679.03 0.19 EUR SILGAN HOLDINGS INC 1,945,000 06/01/2028 2.25 2,230,853.33 0.46 USD SIMMONS FOODS INC -144A- 370,000 11/01/2024 5.75 371,348.65 0.08 USD SIRIUS XM RADIO INC -144A- 985,000 07/01/2029 5.50 1,060,918.88 0.22 USD SIRIUS XM RADIO INC -144A- 3,565,000 07/01/2030 4.13 3,657,832.60 0.76 USD SIX FLAGS ENTERTAINMENT CORP -144A- 370,000 04/15/2027 5.50 351,333.50 0.07 USD SIX FLAGS THEME PARKS INC -144A- 1,500,000 07/01/2025 7.00 1,598,437.50 0.33 USD SM ENERGY CO 230,000 01/15/2024 5.00 123,625.00 0.03 USD SM ENERGY CO 250,000 09/15/2026 6.75 112,140.00 0.02 USD SM ENERGY CO 690,000 01/15/2027 6.62 308,495.55 0.06
The accompanying notes are an integral part of these financial statements. 62 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
United States (Continued) USD SOUTHWESTERN ENERGY CO 1,180,000 03/15/2022 4.10 1,169,397.70 0.24 USD SOUTHWESTERN ENERGY CO 160,000 01/23/2025 6.45 155,644.80 0.03 USD SOUTHWESTERN ENERGY CO 105,000 09/15/2028 8.37 103,370.93 0.02 USD SPECTRUM BRANDS INC -144A- 760,000 10/01/2029 5.00 790,400.00 0.16 USD SPECTRUM BRANDS INC -144A- 355,000 07/15/2030 5.50 375,190.63 0.08 USD SS&C TECHNOLOGIES INC -144A- 1,335,000 09/30/2027 5.50 1,420,399.95 0.30 EUR STANDARD INDUSTRIES INC/NJ -REGS- 940,000 11/21/2026 2.25 1,057,795.19 0.22 USD STATION CASINOS LLC -144A- 1,385,000 02/15/2028 4.50 1,283,721.88 0.27 USD SUBURBAN PROPANE PARTNERS LP / SUBURBAN ENERGY FINANCE CORP 1,375,000 06/01/2024 5.50 1,387,904.38 0.29 USD SUBURBAN PROPANE PARTNERS LP / SUBURBAN ENERGY FINANCE CORP 945,000 03/01/2025 5.75 960,455.48 0.20 USD SUMMIT MATERIALS LLC / SUMMIT MATERIALS FINANCE CORP -144A- 300,000 06/01/2025 5.13 305,218.50 0.06 USD SUMMIT MATERIALS LLC / SUMMIT MATERIALS FINANCE CORP -144A- 580,000 03/15/2027 6.50 619,764.80 0.13 USD SUMMIT MATERIALS LLC / SUMMIT MATERIALS FINANCE CORP -144A- 125,000 01/15/2029 5.25 130,390.63 0.03 USD SUNCOKE ENERGY PARTNERS LP / SUNCOKE ENERGY PARTNERS FINANCE CORP -144A- 1,235,000 06/15/2025 7.50 1,117,082.20 0.23 USD TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP -144A- 375,000 10/01/2023 4.75 356,480.63 0.07 USD TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP -144A- 660,000 03/01/2027 6.00 605,550.00 0.13 USD TARGA RESOURCES PARTNERS / TARGA RESOURCES PARTNERS FINANCE CORP 1,105,000 02/01/2025 5.13 1,105,679.58 0.23 USD TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP 1,520,000 04/15/2026 5.88 1,563,434.00 0.33 USD TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP 505,000 02/01/2027 5.38 509,007.18 0.11 USD TEGNA INC -144A- 2,375,000 03/15/2026 4.75 2,431,287.50 0.51 USD TENET HEALTHCARE CORP 240,000 06/15/2023 6.75 252,240.00 0.05 USD TENET HEALTHCARE CORP 4,780,000 05/01/2025 5.13 4,790,755.00 1.00 USD TENET HEALTHCARE CORP 580,000 08/01/2025 7.00 598,081.50 0.12 USD TENET HEALTHCARE CORP -144A- 970,000 02/01/2027 6.25 1,002,596.85 0.21 USD TENET HEALTHCARE CORP -144A- 80,000 11/01/2027 5.13 82,488.00 0.02 USD TENET HEALTHCARE CORP -144A- 600,000 10/01/2028 6.12 585,375.00 0.12 USD TENNANT CO 965,000 05/01/2025 5.63 1,004,492.63 0.21 USD TMS INTERNATIONAL CORP -144A- 1,290,000 08/15/2025 7.25 1,210,987.50 0.25 USD TPC GROUP INC -144A- 810,000 08/01/2024 10.50 682,003.80 0.14 USD TRANSDIGM INC -144A- 300,000 12/15/2025 8.00 326,550.00 0.07 USD TRANSDIGM INC -144A- 3,510,000 03/15/2026 6.25 3,684,815.55 0.77 USD TRANSDIGM INC 480,000 05/15/2025 6.50 479,400.00 0.10 USD TREEHOUSE FOODS INC 1,660,000 09/01/2028 4.00 1,682,003.30 0.35 USD TRIMAS CORP -144A- 1,590,000 10/15/2025 4.88 1,613,603.55 0.34 USD TRONOX INC -144A- 480,000 05/01/2025 6.50 500,100.00 0.10 USD TRONOX INC -144A- 785,000 04/15/2026 6.50 786,471.88 0.16 USD UBER TECHNOLOGIES INC -144A- 1,075,000 05/15/2025 7.50 1,147,562.50 0.24 USD UBER TECHNOLOGIES INC -144A- 635,000 11/01/2026 8.00 676,910.00 0.14 USD UBER TECHNOLOGIES INC -144A- 125,000 01/15/2028 6.25 128,515.63 0.03 EUR UGI INTERNATIONAL LLC -REGS- 750,000 11/01/2025 3.25 893,801.55 0.19 USD ULTRA RESOURCES INC 373,849 07/12/2024 11.00 21,029.01 0.00 USD UNITED AIRLINES HOLDINGS INC 1,045,000 10/01/2022 4.25 967,931.25 0.20 USD UNIVAR SOLUTIONS USA INC -144A- 900,000 12/01/2027 5.13 925,146.00 0.19 USD UNIVISION COMMUNICATIONS INC -144A- 820,000 05/01/2025 9.50 881,500.00 0.18 USD UNIVISION COMMUNICATIONS INC -144A- 95,000 06/01/2027 6.62 92,981.25 0.02 USD US FOODS INC -144A- 755,000 06/15/2024 5.87 761,832.75 0.16
The accompanying notes are an integral part of these financial statements. 63 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
United States (Continued) USD USA COMPRESSION PARTNERS LP / USA COMPRESSION FINANCE CORP 946,000 04/01/2026 6.87 939,496.25 0.20 USD USA COMPRESSION PARTNERS LP / USA COMPRESSION FINANCE CORP 325,000 09/01/2027 6.87 322,825.75 0.07 USD VIASAT INC -144A- 1,420,000 09/15/2025 5.63 1,393,375.00 0.29 USD VICI PROPERTIES LP / VICI NOTE CO INC -144A- 425,000 12/01/2026 4.25 427,645.63 0.09 USD VICI PROPERTIES LP / VICI NOTE CO INC -144A- 280,000 12/01/2029 4.63 286,475.00 0.06 USD VICI PROPERTIES LP / VICI NOTE CO INC -144A- 715,000 08/15/2030 4.13 705,168.75 0.15 USD WATCO COS LLC / WATCO FINANCE CORP -144A- 4,065,000 06/15/2027 6.50 4,166,625.04 0.87 USD WEST STREET MERGER SUB INC -144A- 1,330,000 09/01/2025 6.37 1,359,645.70 0.28 USD WESTERN MIDSTREAM OPERATING LP 90,000 03/01/2048 5.30 72,900.00 0.02 USD WESTERN MIDSTREAM OPERATING LP 2,665,000 08/15/2048 5.50 2,211,950.00 0.46 USD WINDSTREAM ESCROW LLC / WINDSTREAM ESCROW FINANCE CORP -144A- 1,225,000 08/15/2028 7.75 1,206,625.00 0.25 USD WOLVERINE WORLD WIDE INC -144A- 665,000 05/15/2025 6.37 704,484.38 0.15 USD WR GRACE & CO-CONN -144A- 1,110,000 06/15/2027 4.88 1,148,378.25 0.24 USD XEROX HOLDINGS CORP -144A- 3,330,000 08/15/2025 5.00 3,295,101.60 0.69 USD XPO LOGISTICS INC -144A- 995,000 05/01/2025 6.25 1,061,540.63 0.22 USD ZF NORTH AMERICA CAPITAL INC -144A- 1,160,000 04/29/2025 4.75 1,188,930.40 0.25 331,236,861.47 68.95
Total Corporate Bonds 468,579,227.43 97.54
Valuation % of net Currency Description Quantity (in USD) assets
Certificates
United States USD PHI GROUP INC WTS * 26,503 297,602.19 0.06
Total Certificates 297,602.19 0.06
Investment Funds
Luxembourg USD JPMORGAN LIQUIDITY FUND 7,099,852 7,099,852.65 1.48
Total Investment Funds 7,099,852.65 1.48
Total Securities listed on a stock exchange or other organised markets 476,425,084.94 99.17
Securities not listed on a stock exchange or other organised markets
Shares
United States USD COM * 6,779,045 0.00 0.00 USD DBI INVESTORS INC * 35 24.15 0.00 USD PHI GROUP INC DEL * 6,610 74,230.30 0.01
The accompanying notes are an integral part of these financial statements. 64 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities not listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Quantity (in USD) assets
Shares (Continued)
United States (Continued) USD SEQUA CORPORATION * 2,039 1,909,645.84 0.40 1,983,900.29 0.41
Total Shares 1,983,900.29 0.41
Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds
France EUR KAPLA HOLDING SAS -REGS- 755,000 12/15/2026 3.38 825,280.06 0.17
Luxembourg EUR ALTICE FRANCE HOLDING SA -REGS- 955,000 05/15/2027 8.00 1,190,993.69 0.25
Netherlands EUR ZIGGO BOND CO BV -REGS- 665,000 02/28/2030 3.38 744,175.15 0.16
United States USD ESC CB PHI INC * 1,465,000 03/15/2049 5.25 0.00 0.00 EUR NETFLIX INC -REGS- 1,175,000 06/15/2030 3.62 1,497,683.43 0.31 1,497,683.43 0.31
Total Corporate Bonds 4,258,132.33 0.89
Valuation % of net Currency Description Quantity (in USD) assets
Certificates
Canada USD ULTRA PETE CORP * 20,972 0.00 0.00
United States USD DAVIDS BRIDAL INC * 12,291 0.00 0.00 USD EDUCATION MGMT CORP WTS * 4,162,241 0.01 0.00 USD PHI GROUP INC DEL WTS * 8,984 100,881.34 0.02 100,881.35 0.02
Total Certificates 100,881.35 0.02
Total Securities not listed on a stock exchange or other organised markets 6,342,913.97 1.32
Total Portfolio 482,767,998.91 100.49 Cash at banks and at brokers 978,679.60 0.20 Other Net Liabilities (3,321,687.01) (0.69)
Total Net Assets 480,424,991.50 100.00
*Fair valued position
The accompanying notes are an integral part of these financial statements. 65 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Forward foreign exchange contracts Purchases Counterparty Sales Maturity Valuation (in USD) EUR STATE STREET BANK LONDON 398,276 USD 468,480 06.10.2020 (1,402.07) USD STATE STREET BANK LONDON 4,195,335 GBP 3,144,735 06.10.2020 129,749.87 USD STATE STREET BANK LONDON 96,567,434 EUR 81,436,588 06.10.2020 1,062,868.37 Net unrealised gain on forward foreign exchange contracts 1,191,216.17
Forward foreign exchange hedged contracts Purchases Counterparty Sales Maturity Valuation (in USD) CHF STATE STREET BANK AND TRUST COMPANY 24,846,281 USD 27,406,278 30.11.2020 (318,501.35) EUR STATE STREET BANK AND TRUST COMPANY 46,565,990 USD 55,095,457 30.11.2020 (423,606.75) GBP STATE STREET BANK AND TRUST COMPANY 180,906,400 USD 237,988,781 30.11.2020 (4,044,653.94) USD STATE STREET BANK AND TRUST COMPANY 3,858,431 GBP 2,959,549 30.11.2020 31,206.33 USD STATE STREET BANK AND TRUST COMPANY 5,077,050 EUR 4,319,947 30.11.2020 5,120.35 Net unrealised loss on forward foreign exchange hedged contracts (4,750,435.36)
Forwards Total (3,559,219.19)
Breakdown by Economic Sector % of net assets Consumer, Non-cyclical 20.51 Communications 16.57 Consumer, Cyclical 16.49 Industrial 12.10 Energy 10.92 Financial 10.10 Basic Materials 7.96 Technology 3.06 Utilities 2.78 Total 100.49
The accompanying notes are an integral part of these financial statements. 66 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Ex-U.S. Convertible Bond Fund
Statement of Net Assets in EUR
Assets 30.09.2020
Investments in securities at market value 216,026,753.05 Cash at banks and at brokers 5,001,766.43 Income receivable 395,327.91 221,423,847.39
Liabilities
Due to banks and to brokers 253,207.15 Payables for purchases of securities 944,972.08 Provisions for accrued expenses 575,586.61 Net unrealised loss on forward foreign exchange contracts 1,195,672.56 2,969,438.40
Net Assets 218,454,408.99
Technical Data Valoren ISIN Total Expense Ratio I EUR -Distribution EUR 22987590 LU0999480196 0.69% Ih GBP -Capitalisation GBP 21372257 LU0931241201 0.72% I EUR -Capitalisation EUR 21372210 LU0931240575 0.69%
Fund Performance YTD Since Inception 2019 2018 2017 I EUR -Distribution EUR 2.65% / 6.83% -7.97% 6.39% Ih GBP -Capitalisation GBP 2.93% / 8.09% -7.00% 7.22% I EUR -Capitalisation EUR 2.65% / 6.85% -7.97% 6.31%
Fund Evolution 30.09.2020 30.09.2019 30.09.2018
Total Net Assets EUR 218,454,408.99 220,168,754.25 242,699,954.74 Net asset Value per share and share class I EUR -Distribution EUR 106.53 101.08 103.16 Ih GBP -Capitalisation GBP 112.68 106.39 107.14 I EUR -Capitalisation EUR 238.12 225.93 23.05
Number of share outstanding per share class at the end at the beginning Number of shares Number of shares of the year of the year issued redeemed
I EUR -Distribution EUR 322,360.391 322,360.391 0.000 0.000 Ih GBP -Capitalisation GBP 63,460.289 84,338.670 20,961.520 41,839.901 I EUR -Capitalisation EUR 740,098.321 785,407.101 10,273.992 55,582.772
The accompanying notes are an integral part of these financial statements. 67 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Ex-U.S. Convertible Bond Fund
Statement of Operations and Changes in Net Assets in EUR for the financial year from 01.10.2019 to 30.09.2020
Net assets at the beginning of the year 220,168,754.25
Income
Interest on investments in securities (net) 1,125,224.75 1,125,224.75
Expenses
Management fees 1,091,346.97 Depositary bank fees 68,860.63 Administration expenses 54,901.96 Printing and publication expenses 29,269.02 Interest and bank charges 3,622.49 Audit, control, legal, representative bank and other expenses 243,646.06 “Taxe d’abonnement” 21,516.39 Total Expenses 1,513,163.52
Net income (387,938.77)
Realised gain (loss) Net realised gain on sales of investments 9,251,577.09 Net realised gain on forward foreign exchange contracts 4,026,005.04 Net realised gain on foreign exchange 2,576,484.47 15,854,066.60 Net realised gain 15,466,127.83
Change in net unrealised appreciation (depreciation) Change in net unrealised depreciation on investments (4,929,174.96) Change in net unrealised appreciation on forward foreign exchange contracts 713,158.98 Change in net unrealised depreciation on foreign currencies (59,965.74) (4,275,981.72)
Net increase (decrease) in net assets as a result of operations 11,190,146.11
Subscriptions / Redemptions Subscriptions 4,873,090.29 Redemptions (17,777,581.66) (12,904,491.37)
Distribution -
Net assets at the end of the year 218,454,408.99
The accompanying notes are an integral part of these financial statements. 68 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Ex-U.S. Convertible Bond Fund
Schedule of Investments in Securities
Securities listed on a stock exchange or other organised markets Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Convertible Bonds
Australia AUD SEVEN GROUP HOLDINGS LTD -REGS- 3,400,000 03/05/2025 2.20 2,129,358.17 0.97
Belgium EUR BIOCARTIS NV -REGS- 1,400,000 05/09/2024 4.00 826,000.00 0.38
British Virgin Islands USD ADM AG HOLDING LTD -REGS- 2,800,000 08/26/2023 0.00 2,587,628.77 1.18 HKD BEST PATH GLOBAL LTD -REGS- 16,000,000 05/18/2021 0.00 2,250,870.02 1.03 HKD CHINA CONCH VENTURE HOLDINGS INTERNATIONAL LTD -REGS- 28,000,000 09/05/2023 0.00 3,403,001.34 1.56 USD MAIL.RU GROUP LTD -REGS- 200,000 10/01/2025 1.62 171,500.37 0.08 HKD SMART INSIGHT INTERNATIONAL LTD -REGS- 38,000,000 12/05/2023 4.50 4,856,564.47 2.22 EUR STRATEGIC INTERNATIONAL GROUP LTD -REGS- 911,000 06/29/2025 0.00 886,591.01 0.41 14,156,155.98 6.48
Canada USD CANADIAN SOLAR INC -144A- 1,467,000 10/01/2025 2.50 1,463,216.91 0.67 CAD ELEMENT FLEET MANAGEMENT CORP 1,276,000 06/30/2024 4.25 931,236.77 0.42 USD SSR MINING INC 2,769,000 04/01/2039 2.50 3,164,165.26 1.45 5,558,618.94 2.54
Cayman Islands USD BILIBILI INC -144A- 2,572,000 06/15/2027 1.25 2,643,335.91 1.21 USD ESR CAYMAN LTD -REGS- 3,800,000 09/30/2025 1.50 3,349,837.04 1.53 HKD HARVEST INTERNATIONAL CO -REGS- 30,000,000 11/21/2022 0.00 3,561,669.49 1.63 HKD KINGSOFT CORP LTD -REGS- 13,000,000 04/29/2025 0.62 1,860,187.38 0.85 EUR SINO BIOPHARMACEUTICAL LTD -REGS- 4,483,000 02/17/2025 0.00 4,366,633.11 2.00 USD ZHEN DING TECHNOLOGY HOLDING LTD -REGS- 1,000,000 06/30/2025 0.00 907,133.02 0.42 HKD ZHONGSHENG GROUP HOLDINGS LTD -REGS- 22,000,000 05/21/2025 0.00 3,013,293.92 1.38 19,702,089.87 9.02
Cyprus USD ABIGROVE LTD -REGS- 800,000 02/16/2022 0.00 755,382.78 0.35
Denmark EUR GN STORE NORD A/S -REGS- 2,000,000 05/21/2024 0.00 2,359,340.00 1.08
Finland EUR OUTOKUMPU OYJ -REGS- 900,000 07/09/2025 5.00 866,934.00 0.40
France EUR ARCHER OBLIGATIONS SA -REGS- 1,300,000 03/31/2023 0.00 1,829,379.50 0.84 EUR ATOS SE -REGS- 1,600,000 11/06/2024 0.00 2,022,360.00 0.93 USD CARREFOUR SA -REGS- 1,400,000 03/27/2024 0.00 1,164,543.05 0.53 EUR EDENRED -REGS- 2,620,800 09/06/2024 0.00 1,600,928.78 0.73 EUR ELECTRICITE DE FRANCE SA -REGS- 36,115,500 09/14/2024 0.00 4,412,230.64 2.02 EUR KORIAN SA -REGS- 5,519,400 12/31/2099 2.50 2,287,725.07 1.05 EUR ORPEA -REGS- 1,463,800 05/17/2027 0.38 2,012,622.53 0.92 EUR SAFRAN SA -REGS- 2,795,800 05/15/2027 0.87 3,405,116.65 1.56 EUR SELENA SARL -REGS- 2,400,000 06/25/2025 0.00 2,563,020.00 1.17 EUR UBISOFT ENTERTAINMENT SA -REGS- 2,294,400 09/24/2024 0.00 2,833,285.73 1.30 USD VINCI SA -REGS- 2,400,000 02/16/2022 0.37 2,215,504.09 1.01 USD VINCI SA -REGS- 1,000,000 02/16/2022 0.38 923,126.71 0.42 EUR WORLDLINE SA -REGS- 1,003,000 07/30/2025 0.00 1,238,278.73 0.57 EUR WORLDLINE SA -REGS- 2,523,400 07/30/2026 0.00 2,877,496.11 1.32 31,385,617.59 14.37
The accompanying notes are an integral part of these financial statements. 69 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Ex-U.S. Convertible Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Convertible Bonds (Continued)
Germany EUR ADIDAS AG -REGS- 2,200,000 09/12/2023 0.05 2,679,820.00 1.23 EUR DELIVERY HERO SE -REGS- 3,700,000 01/23/2024 0.25 4,395,600.00 2.01 EUR DELIVERY HERO SE -REGS- 2,800,000 07/15/2025 0.87 2,805,768.00 1.28 EUR DEUTSCHE WOHNEN SE -REGS- 5,000,000 07/26/2024 0.33 5,556,251.05 2.54 EUR LEG IMMOBILIEN AG -REGS- 2,100,000 06/30/2028 0.40 2,217,579.00 1.02 EUR RAG-STIFTUNG -REGS- 3,500,000 06/17/2026 0.00 3,637,025.00 1.67 EUR SYMRISE AG -REGS- 1,300,000 06/20/2024 0.24 1,749,553.00 0.80 EUR TAG IMMOBILIEN AG -REGS- 400,000 08/27/2026 0.62 421,164.00 0.19 EUR ZALANDO SE -REGS- 3,900,000 08/06/2025 0.05 4,465,695.00 2.04 EUR ZALANDO SE -REGS- 900,000 08/06/2027 0.63 1,037,997.00 0.48 28,966,452.05 13.26
Hong Kong USD LENOVO GROUP LTD -REGS- 2,341,000 01/24/2024 3.38 2,116,949.27 0.97
Israel USD CYBERARK SOFTWARE LTD -144A- 2,892,000 11/15/2024 0.00 2,419,498.96 1.11 USD NICE LTD -144A- 1,031,000 09/15/2025 0.00 890,722.42 0.41 USD WIX.COM LTD -144A- 1,050,000 08/15/2025 0.00 903,217.19 0.41 4,213,438.57 1.93
Italy EUR NEXI SPA -REGS- 3,600,000 04/24/2027 1.75 4,343,670.00 1.99
Japan JPY EDION CORP -REGS- 260,000,000 06/19/2025 0.00 2,242,796.95 1.03 JPY MINEBEA MITSUMI INC -REGS- 320,000,000 08/03/2022 0.00 2,931,180.86 1.34 JPY NAGOYA RAILROAD CO LTD -REGS- 350,000,000 12/11/2024 0.00 3,119,954.39 1.43 JPY SBI HOLDINGS INC -REGS- 240,000,000 07/25/2025 0.00 2,155,154.86 0.98 10,449,087.06 4.78
Luxembourg HKD CITIGROUP GLOBAL MARKETS FUNDING LUXEMBOURG SCA -L- -REGS- 16,000,000 07/25/2024 0.00 1,884,225.57 0.86
Malaysia USD CINDAI CAPITAL LTD -REGS- 1,107,000 02/08/2023 0.00 953,563.43 0.44
Netherlands USD BRENNTAG FINANCE BV -REGS- 2,750,000 12/02/2022 1.87 2,424,578.96 1.11 USD ELM BV FOR SWISS RE LTD -REGS- 1,400,000 06/13/2024 3.25 1,248,663.60 0.57 EUR IBERDROLA INTERNATIONAL BV -REGS- 2,400,000 11/11/2022 0.00 3,045,552.00 1.40 EUR JUST EAT TAKEAWAY.COM NV -REGS- 2,900,000 04/30/2026 1.25 3,236,052.00 1.48 USD QIAGEN NV -REGS- 800,000 09/13/2023 0.50 900,865.17 0.41 USD QIAGEN NV -REGS- 2,400,000 11/13/2024 1.00 2,608,795.48 1.20 USD STMICROELECTRONICS NV -REGS- 5,400,000 08/04/2025 0.00 5,043,217.82 2.31 USD YANDEX NV -REGS- 4,600,000 03/03/2025 0.75 4,856,559.28 2.22 23,364,284.31 10.70
South Korea EUR LG CHEM LTD -REGS- 1,900,000 04/16/2021 0.00 2,317,979.80 1.06 USD LG DISPLAY CO LTD -REGS- 2,600,000 08/22/2024 1.50 2,310,948.80 1.06 4,628,928.60 2.12
The accompanying notes are an integral part of these financial statements. 70 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Ex-U.S. Convertible Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Convertible Bonds (Continued)
Spain EUR AMADEUS IT GROUP SA -REGS- 3,100,000 04/09/2025 1.50 3,843,690.00 1.76 EUR CELLNEX TELECOM SA -REGS- 3,600,000 07/05/2028 0.50 4,808,160.00 2.20 8,651,850.00 3.96
Sweden EUR GEELY SWEDEN FINANCIALS HOLDING AB -REGS- 3,600,000 06/19/2024 0.00 4,002,480.00 1.83
Switzerland CHF CEMBRA MONEY BANK AG -REGS- 2,000,000 07/09/2026 0.00 1,931,858.93 0.88 CHF IDORSIA LTD -REGS- 600,000 07/17/2024 0.75 592,134.95 0.27 CHF SIKA AG -REGS- 5,940,000 06/05/2025 0.15 7,141,247.72 3.27 9,665,241.60 4.42
Taiwan USD INNOLUX CORP -REGS- 1,200,000 01/22/2025 0.00 1,103,909.47 0.51
United Kingdom USD GSK FINANCE NO 3 PLC -144A- 4,050,000 06/22/2023 0.00 3,502,853.90 1.60 GBP OCADO GROUP PLC -REGS- 2,100,000 01/18/2027 0.75 2,878,247.93 1.32 6,381,101.83 2.92
United States USD JPMORGAN CHASE BANK NA -REGS- 1,800,000 12/30/2020 0.00 1,584,152.66 0.72 EUR JPMORGAN CHASE BANK NA -REGS- 1,500,000 05/24/2022 0.00 1,655,174.45 0.76 USD JPMORGAN CHASE BANK NA -REGS- 1,800,000 08/07/2022 0.00 1,951,060.82 0.89 EUR JPMORGAN CHASE BANK NA -REGS- 2,500,000 09/18/2022 0.00 2,726,788.28 1.25 USD JPMORGAN CHASE BANK NA -144A- 2,700,000 01/01/2023 0.13 2,925,583.95 1.34 10,842,760.16 4.96
Total Convertible Bonds 199,307,439.25 91.24
Valuation % of net Currency Description Quantity (in EUR) assets
Investment Funds
Luxembourg EUR MORGAN STANLEY LIQUIDITY EURO FUND 121 1,201,745.65 0.55
Total Investment Funds 1,201,745.65 0.55
Total Securities listed on a stock exchange or other organised markets 200,509,184.90 91.79
Securities not listed on a stock exchange or other organised markets Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Convertible Bonds
Belgium EUR UMICORE SA -REGS- 3,000,000 06/23/2025 0.00 2,884,530.00 1.32
The accompanying notes are an integral part of these financial statements. 71 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Ex-U.S. Convertible Bond Fund
Schedule of Investments in Securities (Continued)
Securities not listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Convertible Bonds (Continued)
France EUR SILICON ON INSULATOR TEC -REGS- 444,200 10/01/2025 0.00 785,612.12 0.36
India USD BHARTI AIRTEL LTD -REGS- 2,252,000 02/17/2025 1.50 2,094,465.68 0.96
Japan JPY CYBERAGENT INC -REGS- 290,000,000 02/19/2025 0.00 2,952,316.08 1.35 JPY KONAMI HOLDINGS CORP -REGS- 200,000,000 12/22/2022 0.00 1,920,073.23 0.88 JPY MEDIPAL HOLDINGS CORP -REGS- 160,000,000 10/07/2022 0.00 1,377,858.14 0.63 JPY SHIP HEALTHCARE HOLDINGS INC -REGS- 380,000,000 12/13/2023 0.00 3,502,712.90 1.60 9,752,960.35 4.46
Total Convertible Bonds 15,517,568.15 7.10
Total Securities not listed on a stock exchange or other organised markets 15,517,568.15 7.10
Total Portfolio 216,026,753.05 98.89 Cash at banks and at brokers 4,748,559.28 2.17 Other Net Liabilities (2,320,903.34) (1.06)
Total Net Assets 218,454,408.99 100.00
The accompanying notes are an integral part of these financial statements. 72 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree Global Ex-U.S. Convertible Bond Fund
Schedule of Investments in Securities (Continued)
Forward foreign exchange contracts Purchases Counterparty Sales Maturity Valuation (in EUR) EUR STATE STREET BANK AND TRUST COMPANY 3,418,270 GBP 3,151,928 17.12.2020 (52,360.82) EUR STATE STREET BANK AND TRUST COMPANY 10,246,509 CHF 11,016,299 17.12.2020 15,484.69 EUR STATE STREET BANK AND TRUST COMPANY 61,890,355 USD 73,494,344 17.12.2020 (676,294.55) EUR STATE STREET BANK AND TRUST COMPANY 2,559,621 AUD 4,158,434 17.12.2020 21,736.78 EUR STATE STREET BANK AND TRUST COMPANY 950,800 CAD 1,486,899 17.12.2020 2,837.18 EUR STATE STREET BANK AND TRUST COMPANY 20,926,998 HKD 192,733,509 17.12.2020 (241,087.59) EUR STATE STREET BANK AND TRUST COMPANY 19,894,631 JPY 2,487,681,826 17.12.2020 (194,359.23) GBP STATE STREET BANK AND TRUST COMPANY 119,395 EUR 129,860 17.12.2020 1,607.02 Net unrealised loss on forward foreign exchange contracts (1,122,436.52)
Forward foreign exchange hedged contracts Purchases Counterparty Sales Maturity Valuation (in EUR) EUR STATE STREET BANK AND TRUST COMPANY 20,752 GBP 18,618 30.11.2020 245.75 GBP STATE STREET BANK AND TRUST COMPANY 7,005,650 EUR 7,789,829 30.11.2020 (73,481.79) Net unrealised loss on forward foreign exchange hedged contracts (73,236.04)
Forwards Total (1,195,672.56)
Breakdown by Economic Sector % of net assets Consumer, Non-cyclical 24.41 Financial 19.78 Industrial 12.71 Consumer, Cyclical 10.59 Technology 10.51 Communications 8.64 Basic Materials 6.49 Utilities 3.42 Energy 2.34 Total 98.89
The accompanying notes are an integral part of these financial statements. 73 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund
Statement of Net Assets in USD
Assets 30.09.2020
Investments in securities at market value 20,847,204.88 Cash at banks and at brokers 108,059.51 Receivables from sales of securities 121,612.50 Fees waiver receivable 335,931.72 Income receivable 306,205.82 21,719,014.43
Liabilities
Payables for purchases of securities 235,043.75 Provisions for accrued expenses 132,339.18 Net unrealised loss on forward foreign exchange contracts 9,509.15 Dividend payable 247,568.41 624,460.49
Net Assets 21,094,553.94
Technical Data Valoren ISIN Total Expense Ratio R USD - Capitalisation USD 26176149 LU1128923031 1.45% E USD -Capitalisation USD 22983966 LU0999480519 0.85% J USD -Capitalisation USD 33774850 LU1484435059 0.81% Ih GBP -Distribution GBP 21365241 LU0931242787 0.73% Ih GBP -Capitalisation GBP 21365252 LU0931243322 0.74% I USD -Distribution USD 21365237 LU0931242357 0.71%
Fund Performance YTD Since Inception 2019 2018 2017 R USD - Capitalisation USD 1.32% 13.12% / / / E USD -Capitalisation USD 1.78% / 13.74% -4.22% 5.25% J USD -Capitalisation USD 1.81% / 13.87% -2.31% 5.52% Ih GBP -Distribution GBP 1.13% / 11.89% -5.83% 4.15% Ih GBP -Capitalisation GBP 0.15% / 11.89% -5.71% 4.08% I USD -Distribution USD 1.88% / 13.92% -4.08% 5.41%
Distribution Ex-date Amount
I USD -Distribution USD 31.12.2019 1.08 I USD -Distribution USD 31.03.2020 1.14 I USD -Distribution USD 30.06.2020 1.10 I USD -Distribution USD 30.09.2020 1.14
The accompanying notes are an integral part of these financial statements. 74 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund
Fund Evolution 30.09.2020 30.09.2019 30.09.2018
Total Net Assets USD 21,094,553.94 24,360,190.78 24,429,396.95 Net asset Value per share and share class R USD - Capitalisation USD 113.12 109.52 / E USD -Capitalisation USD 124.39 119.71 113.77 J USD -Capitalisation USD 121.81 117.18 111.10 Ih GBP -Distribution GBP 89.41 86.99 88.52 Ih GBP -Capitalisation GBP 115.46 113.46 109.57 I USD -Distribution USD 87.35 88.47 8.85
Number of share outstanding per share class at the end at the beginning Number of shares Number of shares of the year of the year issued redeemed
R USD - Capitalisation USD 5,000.000 5,000.000 0.000 0.000 E USD -Capitalisation USD 4,300.000 1,550.000 2,750.000 0.000 J USD -Capitalisation USD 4,542.977 4,542.977 0.000 0.000 Ih GBP -Distribution GBP 0.913 771.103 0.000 770.190 Ih GBP -Capitalisation GBP 3,651.407 7,741.780 1,740.341 5,830.714 I USD -Distribution USD 216,312.734 247,882.930 0.000 31,570.196
The accompanying notes are an integral part of these financial statements. 75 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund
Statement of Operations and Changes in Net Assets in USD for the financial year from 01.10.2019 to 30.09.2020
Net assets at the beginning of the year 24,360,190.78
Income
Interest on investments in securities (net) 1,303,724.37 Dividends (net) 5,489.87 1,309,214.24
Expenses
Management fees 116,604.61 Depositary bank fees 66,867.90 Administration expenses 81,865.39 Printing and publication expenses 3,279.36 Interest and bank charges 2,434.91 Audit, control, legal, representative bank and other expenses 67,590.60 “Taxe d’abonnement” 2,535.47 Total expenses before expense waiver 341,178.24 Fees waived (174,942.32) Total Expenses 166,235.92
Net income 1,142,978.32
Realised gain (loss) Net realised loss on sales of investments (538,939.21) Net realised gain on forward foreign exchange contracts 40,129.45 Net realised loss on foreign exchange (1,349.94) (500,159.70) Net realised gain 642,818.62
Change in net unrealised appreciation (depreciation) Change in net unrealised depreciation on investments (298,950.01) Change in net unrealised depreciation on forward foreign exchange contracts (17,706.76) Change in net unrealised appreciation on foreign currencies 566.68 (316,090.09)
Net increase (decrease) in net assets as a result of operations 326,728.53
Subscriptions / Redemptions Subscriptions 590,542.42 Redemptions (3,183,517.87) (2,592,975.45)
Distribution (999,389.92)
Net assets at the end of the year 21,094,553.94
The accompanying notes are an integral part of these financial statements. 76 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund
Schedule of Investments in Securities
Securities listed on a stock exchange or other organised markets Valuation % of net Currency Description Quantity (in USD) assets
Shares
United States USD LEAR CORP 527 57,469.35 0.27 USD PHI GROUP INC * 2,507 28,153.61 0.14 85,622.96 0.41
Total Shares 85,622.96 0.41
Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds
Australia USD MINERAL RESOURCES LTD -144A- 65,000 05/01/2027 8.12 70,727.48 0.34 USD NUFARM AUSTRALIA LTD / NUFARM AMERICAS INC -144A- 120,000 04/30/2026 5.75 122,839.20 0.58 193,566.68 0.92
Bermuda USD NABORS INDUSTRIES LTD -144A- 15,000 01/15/2026 7.25 7,443.75 0.04 USD NABORS INDUSTRIES LTD -144A- 15,000 01/15/2028 7.50 7,265.63 0.03 14,709.38 0.07
Canada USD 1011778 BC ULC / NEW RED FINANCE INC -144A- 125,000 10/15/2025 5.00 128,381.88 0.61 USD 1011778 BC ULC / NEW RED FINANCE INC -144A- 105,000 10/15/2030 4.00 106,072.05 0.50 USD BAUSCH HEALTH COS INC -144A- 56,000 04/15/2025 6.12 57,386.00 0.27 USD BAUSCH HEALTH COS INC -144A- 55,000 01/30/2028 5.00 53,487.50 0.25 USD BAUSCH HEALTH COS INC -144A- 35,000 02/15/2029 6.25 36,050.00 0.17 USD BAYTEX ENERGY CORP -144A- 115,000 04/01/2027 8.75 52,181.25 0.25 USD BOMBARDIER INC -144A- 145,000 01/15/2023 6.12 124,120.00 0.59 USD ELDORADO GOLD CORP -144A- 56,000 06/01/2024 9.50 59,704.12 0.28 USD FIRST QUANTUM MINERALS LTD -144A- 100,000 04/01/2023 7.25 100,027.50 0.47 USD FIRST QUANTUM MINERALS LTD -144A- 65,000 03/01/2024 6.50 62,481.25 0.30 USD GFL ENVIRONMENTAL INC -144A- 18,000 06/01/2026 7.00 19,009.35 0.09 USD GOEASY LTD -144A- 70,000 12/01/2024 5.38 71,013.60 0.34 USD MASONITE INTERNATIONAL CORP -144A- 40,000 02/01/2028 5.38 42,795.60 0.20 USD MATTAMY GROUP CORP -144A- 55,000 03/01/2030 4.63 55,787.60 0.26 USD MEG ENERGY CORP -144A- 70,000 02/01/2027 7.12 62,953.10 0.30 USD NEW GOLD INC -144A- 50,000 07/15/2027 7.50 53,437.50 0.25 USD PRECISION DRILLING CORP 115,000 12/15/2023 7.75 87,759.38 0.42 USD RITCHIE BROS AUCTIONEERS INC -144A- 85,000 01/15/2025 5.37 87,656.25 0.42 USD TELESAT CANADA / TELESAT LLC -144A- 55,000 06/01/2027 4.88 55,394.63 0.26 USD VERMILION ENERGY INC -144A- 60,000 03/15/2025 5.62 50,018.70 0.24 1,365,717.26 6.47
Cayman Islands USD GLOBAL AIRCRAFT LEASING CO LTD -144A- 119,168 09/15/2024 6.50 66,883.04 0.32 USD TRANSOCEAN POSEIDON LTD -144A- 25,000 02/01/2027 6.88 20,125.00 0.09 87,008.04 0.41
France USD CONSTELLIUM SE -144A- 30,000 06/15/2028 5.63 30,618.75 0.15
Germany USD IHO VERWALTUNGS GMBH -144A- 15,000 05/15/2027 6.00 15,869.03 0.08
The accompanying notes are an integral part of these financial statements. 77 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
Ireland USD VIRGIN MEDIA VENDOR FINANCING NOTES IV DAC -144A- 60,000 07/15/2028 5.00 59,910.00 0.28
Luxembourg USD ALTICE FRANCE HOLDING SA -144A- 45,000 02/15/2028 6.00 43,004.03 0.20 USD ARD FINANCE SA -144A- 24,981 06/30/2027 6.50 24,882.33 0.12 USD DANA FINANCING LUXEMBOURG SARL -144A- 115,000 04/15/2025 5.75 117,946.88 0.56 USD INTELSAT JACKSON HOLDINGS SA -144A- 90,000 02/15/2024 8.00 91,499.40 0.43 277,332.64 1.31
Netherlands USD ZIGGO BOND CO BV -144A- 15,000 02/28/2030 5.13 15,223.20 0.07 USD ZIGGO BV -144A- 70,000 01/15/2027 5.50 73,454.15 0.35 88,677.35 0.42
Supranational USD ARDAGH PACKAGING FINANCE PLC / ARDAGH HOLDINGS USA INC -144A- 75,000 08/15/2027 5.25 76,500.00 0.36 USD CASCADES INC/CASCADES USA INC -144A- 130,000 01/15/2028 5.37 136,906.25 0.65 USD CONNECT FINCO SARL / CONNECT US FINCO LLC -144A- 45,000 10/01/2026 6.75 45,211.50 0.21 USD DELTA AIR LINES INC / SKYMILES IP LTD -144A- 50,000 10/20/2028 4.75 51,949.15 0.25 USD JBS USA LUX SA / JBS USA FOOD CO / JBS USA FINANCE INC -144A- 125,000 01/15/2030 5.50 136,406.25 0.65 446,973.15 2.12
United Kingdom USD TRONOX FINANCE PLC -144A- 40,000 10/01/2025 5.75 39,545.80 0.19 USD VIRGIN MEDIA FINANCE PLC -144A- 55,000 07/15/2030 5.00 54,793.75 0.26 USD VIRGIN MEDIA SECURED FINANCE PLC -144A- 95,000 08/15/2026 5.50 99,215.63 0.47 193,555.18 0.92
United States USD ACADIA HEALTHCARE CO INC 50,000 02/15/2023 5.63 50,442.75 0.24 USD ACADIA HEALTHCARE CO INC -144A- 10,000 07/01/2028 5.50 10,303.88 0.05 USD ACCO BRANDS CORP -144A- 105,000 12/15/2024 5.25 107,876.48 0.51 USD ACRISURE LLC / ACRISURE FINANCE INC -144A- 70,000 08/01/2026 10.12 77,700.00 0.37 USD ADIENT US LLC -144A- 50,000 05/15/2026 7.00 53,631.00 0.25 USD AES CORP/VA 32,000 03/15/2023 4.50 32,243.36 0.15 USD AES CORP/VA 35,000 05/15/2026 6.00 36,882.13 0.17 USD ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC -144A- 95,000 01/15/2027 4.63 97,303.28 0.46 USD ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC -144A- 100,000 02/15/2028 5.87 106,919.00 0.51 USD ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP -144A- 100,000 07/15/2026 6.62 106,625.00 0.51 USD ALLISON TRANSMISSION INC -144A- 110,000 06/01/2029 5.87 119,115.15 0.56 USD AMERICAN AXLE & MANUFACTURING INC 85,000 07/01/2028 6.87 82,613.20 0.39 USD AMERICAN BUILDERS & CONTRACTORS SUPPLY CO INC -144A- 120,000 05/15/2026 5.87 124,725.00 0.59 USD AMSTED INDUSTRIES INC -144A- 50,000 05/15/2030 4.63 51,718.75 0.25 USD APACHE CORP 50,000 09/01/2040 5.10 45,038.75 0.21 USD APACHE CORP 5,000 04/15/2043 4.75 4,454.50 0.02 USD APACHE CORP 90,000 01/15/2044 4.25 76,725.00 0.36 USD APX GROUP INC -144A- 60,000 02/15/2027 6.75 62,353.20 0.30 USD ARAMARK SERVICES INC -144A- 40,000 05/01/2025 6.37 41,717.00 0.20 USD ARCHROCK PARTNERS LP / ARCHROCK PARTNERS FINANCE CORP -144A- 65,000 04/01/2027 6.87 62,576.15 0.30
The accompanying notes are an integral part of these financial statements. 78 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
United States (Continued) USD ARCHROCK PARTNERS LP / ARCHROCK PARTNERS FINANCE CORP -144A- 25,000 04/01/2028 6.25 23,625.00 0.11 USD ASBURY AUTOMOTIVE GROUP INC -144A- 28,000 03/01/2028 4.50 28,227.50 0.13 USD ASBURY AUTOMOTIVE GROUP INC -144A- 28,000 03/01/2030 4.75 28,262.50 0.13 USD ASCENT RESOURCES UTICA HOLDINGS LLC / ARU FINANCE CORP -144A- 45,000 11/01/2026 7.00 34,537.50 0.16 USD ASGN INC -144A- 25,000 05/15/2028 4.63 25,145.25 0.12 USD AVANTOR FUNDING INC -144A- 55,000 07/15/2028 4.63 57,131.25 0.27 USD BERRY PETROLEUM CO LLC -144A- 80,000 02/15/2026 7.00 62,484.80 0.30 USD BIG RIVER STEEL LLC / BRS FINANCE CORP -144A- 60,000 01/31/2029 6.62 60,781.50 0.29 USD BLOCK COMMUNICATIONS INC -144A- 35,000 03/01/2028 4.88 35,782.08 0.17 USD BOYD GAMING CORP 105,000 04/01/2026 6.37 109,470.90 0.52 USD BOYD GAMING CORP 95,000 12/01/2027 4.75 93,414.45 0.44 USD BOYNE USA INC -144A- 50,000 05/01/2025 7.25 52,432.25 0.25 USD BRINK’S CO -144A- 55,000 07/15/2025 5.50 57,371.88 0.27 USD BUCKEYE PARTNERS LP -144A- 30,000 03/01/2025 4.13 28,706.25 0.14 USD BUCKEYE PARTNERS LP -144A- 20,000 03/01/2028 4.50 19,325.00 0.09 USD BUCKEYE PARTNERS LP 30,000 10/15/2044 5.60 26,702.70 0.13 USD CABLEVISION LIGHTPATH LLC -144A- 25,000 09/15/2028 5.63 25,449.38 0.12 USD CAESARS ENTERTAINMENT INC -144A- 110,000 07/01/2025 6.25 114,813.05 0.54 USD CALLON PETROLEUM CO 15,000 10/01/2024 6.12 4,321.88 0.02 USD CALLON PETROLEUM CO 40,000 07/01/2026 6.37 9,942.40 0.05 USD CALPINE CORP -144A- 87,000 02/15/2028 4.50 89,246.34 0.42 USD CALPINE CORP -144A- 35,000 03/15/2028 5.13 36,274.53 0.17 USD CARDTRONICS INC / CARDTRONICS USA INC -144A- 65,000 05/01/2025 5.50 65,236.93 0.31 USD CARPENTER TECHNOLOGY CORP 30,000 07/15/2028 6.37 31,433.30 0.15 USD CARRIAGE SERVICES INC -144A- 115,000 06/01/2026 6.62 121,159.40 0.57 USD CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP -144A- 55,000 05/01/2025 5.38 56,650.00 0.27 USD CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP -144A- 110,000 03/01/2030 4.75 116,600.00 0.55 USD CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP -144A- 30,000 02/01/2028 5.00 31,567.50 0.15 USD CEDAR FAIR LP 145,000 07/15/2029 5.25 137,905.15 0.65 USD CENTRAL GARDEN & PET CO 70,000 02/01/2028 5.13 73,749.20 0.35 USD CENTURYLINK INC -144A- 160,000 12/15/2026 5.13 164,615.20 0.78 USD CF INDUSTRIES INC 20,000 03/15/2034 5.15 23,678.30 0.11 USD CHANGE HEALTHCARE HOLDINGS LLC / CHANGE HEALTHCARE FINANCE INC -144A- 85,000 03/01/2025 5.75 86,168.75 0.41 USD CHENIERE ENERGY INC -144A- 80,000 10/15/2028 4.63 82,250.00 0.39 USD CHURCHILL DOWNS INC -144A- 50,000 04/01/2027 5.50 52,305.75 0.25 USD CITGO HOLDING INC -144A- 40,000 08/01/2024 9.25 38,200.00 0.18 USD CITGO PETROLEUM CORP -144A- 65,000 08/15/2022 6.25 64,662.00 0.31 USD CLEARWAY ENERGY OPERATING LLC -144A- 35,000 03/15/2028 4.75 36,345.40 0.17 USD CLEVELAND-CLIFFS INC -144A- 5,000 10/17/2025 9.87 5,587.50 0.03 USD CLEVELAND-CLIFFS INC -144A- 130,000 03/15/2026 6.75 132,398.50 0.63 USD COMMSCOPE INC -144A- 45,000 03/01/2024 5.50 46,302.08 0.22 USD COMMSCOPE INC -144A- 155,000 07/01/2028 7.12 159,467.10 0.76 USD COMMSCOPE TECHNOLOGIES LLC -144A- 56,000 06/15/2025 6.00 56,834.40 0.27 USD COMMSCOPE TECHNOLOGIES LLC -144A- 35,000 03/15/2027 5.00 33,665.63 0.16 USD COMSTOCK RESOURCES INC 40,000 08/15/2026 9.75 41,248.00 0.20 USD COMSTOCK RESOURCES INC 25,000 08/15/2026 9.75 25,676.88 0.12 USD CONSOLIDATED COMMUNICATIONS INC -144A- 45,000 10/01/2028 6.50 46,012.50 0.22 USD CONTINENTAL RESOURCES INC 40,000 09/15/2022 5.00 39,765.20 0.19 USD COVANTA HOLDING CORP 20,000 07/01/2025 5.87 20,747.90 0.10 USD COVANTA HOLDING CORP 130,000 01/01/2027 6.00 135,662.80 0.64 USD COVANTA HOLDING CORP 25,000 09/01/2030 5.00 25,263.75 0.12 USD CROWNROCK LP / CROWNROCK FINANCE INC -144A- 54,000 10/15/2025 5.63 51,030.00 0.24
The accompanying notes are an integral part of these financial statements. 79 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
United States (Continued) USD CSC HOLDINGS LLC -144A- 230,000 05/15/2026 5.50 239,487.50 1.14 USD CUSHMAN & WAKEFIELD US BORROWER LLC -144A- 20,000 05/15/2028 6.75 20,825.50 0.10 USD CVR ENERGY INC -144A- 35,000 02/15/2028 5.75 29,837.50 0.14 USD DANA INC 20,000 06/15/2028 5.63 20,682.70 0.10 USD DAVITA INC -144A- 125,000 06/01/2030 4.63 128,378.13 0.61 USD DELTA AIR LINES INC -144A- 135,000 05/01/2025 7.00 148,410.19 0.70 USD DISH DBS CORP 35,000 07/01/2026 7.75 38,521.88 0.18 USD DISH DBS CORP -144A- 40,000 07/01/2028 7.37 41,250.00 0.20 USD EDGEWELL PERSONAL CARE CO -144A- 40,000 06/01/2028 5.50 42,144.60 0.20 USD ENCOMPASS HEALTH CORP 90,000 02/01/2028 4.50 90,602.10 0.43 USD ENERGIZER HOLDINGS INC -144A- 70,000 06/15/2028 4.75 72,534.00 0.34 USD ENERGIZER HOLDINGS INC -144A- 75,000 03/31/2029 4.38 75,937.50 0.36 USD ENERSYS -144A- 95,000 12/15/2027 4.38 97,196.88 0.46 USD ESH HOSPITALITY INC -144A- 70,000 10/01/2027 4.63 68,776.40 0.33 USD ESH HOSPITALITY INC -144A- 95,000 05/01/2025 5.25 96,090.13 0.46 USD FIRSTCASH INC -144A- 45,000 09/01/2028 4.63 46,096.88 0.22 USD FORD MOTOR CREDIT CO LLC 10,000 11/02/2020 0.68 9,968.96 0.05 USD FORD MOTOR CREDIT CO LLC 20,000 10/12/2021 1.15 19,218.07 0.09 USD FORD MOTOR CREDIT CO LLC 25,000 01/07/2022 5.60 25,625.00 0.12 USD FORD MOTOR CREDIT CO LLC 25,000 01/07/2022 3.42 24,695.05 0.12 USD FORD MOTOR CREDIT CO LLC 35,000 03/28/2022 1.50 33,435.69 0.16 USD FORD MOTOR CREDIT CO LLC 75,000 08/03/2022 1.33 71,087.20 0.34 USD FORD MOTOR CREDIT CO LLC 50,000 09/20/2022 4.25 50,515.00 0.24 USD FORD MOTOR CREDIT CO LLC 15,000 11/01/2022 3.35 14,795.40 0.07 USD FORD MOTOR CREDIT CO LLC 60,000 02/15/2023 1.52 55,230.49 0.26 USD FORD MOTOR CREDIT CO LLC 30,000 05/03/2029 5.11 30,862.50 0.15 USD FRONTIER COMMUNICATIONS CORP -144A- 125,000 04/01/2027 8.00 124,765.63 0.59 USD GO DADDY OPERATING CO LLC / GD FINANCE CO INC -144A- 40,000 12/01/2027 5.25 41,711.40 0.20 USD GOLDEN NUGGET INC -144A- 170,000 10/15/2024 6.75 142,162.50 0.67 USD GOODYEAR TIRE & RUBBER CO 50,000 05/31/2025 9.50 54,345.25 0.26 USD GRAHAM PACKAGING CO INC -144A- 45,000 08/15/2028 7.12 46,940.63 0.22 USD GREYSTAR REAL ESTATE PARTNERS LLC -144A- 135,000 12/01/2025 5.75 136,687.50 0.65 USD GRINDING MEDIA INC / MOLY-COP ALTASTEEL LTD -144A- 75,000 12/15/2023 7.37 76,125.00 0.36 USD H&E EQUIPMENT SERVICES INC 75,000 09/01/2025 5.63 78,281.25 0.37 USD HARVEST MIDSTREAM I LP -144A- 45,000 09/01/2028 7.50 44,887.50 0.21 USD HAT HOLDINGS I LLC / HAT HOLDINGS II LLC -144A- 30,000 07/15/2024 5.25 31,321.50 0.15 USD HAT HOLDINGS I LLC / HAT HOLDINGS II LLC -144A- 65,000 04/15/2025 6.00 69,325.75 0.33 USD HERC HOLDINGS INC -144A- 115,000 07/15/2027 5.50 119,200.38 0.57 USD HESS MIDSTREAM OPERATIONS LP -144A- 100,000 02/15/2026 5.63 102,060.50 0.48 USD HESS MIDSTREAM OPERATIONS LP -144A- 30,000 06/15/2028 5.13 29,959.50 0.14 USD HUB INTERNATIONAL LTD -144A- 80,000 05/01/2026 7.00 82,980.40 0.39 USD HUNT COS INC -144A- 165,000 02/15/2026 6.25 158,879.33 0.75 USD IAA INC -144A- 60,000 06/15/2027 5.50 62,587.50 0.30 USD IHEARTCOMMUNICATIONS INC 30,000 05/01/2026 6.37 31,309.50 0.15 USD IHEARTCOMMUNICATIONS INC 55,000 05/01/2027 8.37 54,274.83 0.26 USD IHEARTCOMMUNICATIONS INC -144A- 70,000 08/15/2027 5.25 68,368.30 0.32 USD ILLUMINATE BUYER LLC / ILLUMINATE HOLDINGS IV INC -144A- 55,000 07/01/2028 9.00 59,056.25 0.28 USD IRON MOUNTAIN INC -144A- 20,000 07/15/2028 5.00 20,524.80 0.10 USD IRON MOUNTAIN INC -144A- 30,000 07/15/2030 5.25 31,331.25 0.15 USD IRON MOUNTAIN INC -144A- 60,000 02/15/2031 4.50 60,443.40 0.29 USD IRON MOUNTAIN INC -144A- 150,000 09/15/2027 4.88 153,400.13 0.73 USD JAGUAR HOLDING CO II / PPD DEVELOPMENT LP -144A- 40,000 06/15/2025 4.63 41,265.20 0.20 USD JAGUAR HOLDING CO II / PPD DEVELOPMENT LP -144A- 5,000 06/15/2028 5.00 5,225.00 0.02 USD KAR AUCTION SERVICES INC -144A- 120,000 06/01/2025 5.13 120,147.60 0.57 USD KENNEDY-WILSON INC 125,000 04/01/2024 5.87 124,531.25 0.59 USD KRAFT HEINZ FOODS CO 110,000 06/01/2046 4.38 113,263.55 0.54
The accompanying notes are an integral part of these financial statements. 80 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
United States (Continued) USD KRATON POLYMERS LLC / KRATON POLYMERS CAPITAL CORP -144A- 65,000 04/15/2025 7.00 66,421.88 0.31 USD L BRANDS INC 155,000 06/15/2029 7.50 162,236.95 0.77 USD L BRANDS INC 25,000 03/01/2033 6.95 22,277.25 0.11 USD LAMAR MEDIA CORP -144A- 25,000 02/15/2030 4.00 25,046.88 0.12 USD LAREDO PETROLEUM INC 135,000 01/15/2025 9.50 80,576.10 0.38 USD LEVEL 3 FINANCING INC -144A- 85,000 09/15/2027 4.63 87,490.08 0.41 USD LITHIA MOTORS INC -144A- 25,000 12/15/2027 4.63 25,875.00 0.12 USD LIVE NATION ENTERTAINMENT INC -144A- 150,000 05/15/2027 6.50 162,078.00 0.77 USD LOGAN MERGER SUB INC -144A- 30,000 09/01/2027 5.50 30,506.25 0.14 USD MARRIOTT OWNERSHIP RESORTS INC -144A- 45,000 09/15/2025 6.12 47,150.10 0.22 USD MARRIOTT OWNERSHIP RESORTS INC / ILG LLC 10,000 09/15/2026 6.50 10,284.40 0.05 USD MASTEC INC -144A- 45,000 08/15/2028 4.50 45,506.25 0.22 USD MATTHEWS INTERNATIONAL CORP -144A- 50,000 12/01/2025 5.25 47,432.25 0.22 USD MAUSER PACKAGING SOLUTIONS HOLDING CO -144A- 155,000 04/15/2024 5.50 155,775.00 0.74 USD MEDNAX INC -144A- 95,000 01/15/2027 6.25 98,679.35 0.47 USD MEDNAX INC -144A- 45,000 12/01/2023 5.25 45,513.23 0.22 USD MERCER INTERNATIONAL INC 105,000 01/15/2025 7.37 106,509.38 0.50 USD MERCER INTERNATIONAL INC 75,000 01/15/2026 5.50 72,140.63 0.34 USD MGIC INVESTMENT CORP 45,000 08/15/2028 5.25 46,645.88 0.22 USD MGM RESORTS INTERNATIONAL 46,000 06/15/2025 5.75 48,331.05 0.23 USD MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP 25,000 05/01/2024 5.50 25,351.63 0.12 USD MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP 100,000 08/01/2026 5.25 103,250.00 0.49 USD MTS SYSTEMS CORP -144A- 85,000 08/15/2027 5.75 83,965.13 0.40 USD NATIONSTAR MORTGAGE HOLDINGS INC -144A- 39,000 01/15/2027 6.00 39,822.12 0.19 USD NCR CORP -144A- 15,000 04/15/2025 8.12 16,606.88 0.08 USD NCR CORP -144A- 65,000 09/01/2027 5.75 68,105.05 0.32 USD NCR CORP -144A- 20,000 09/01/2029 6.12 21,166.20 0.10 USD NCR CORP -144A- 65,000 10/01/2030 5.25 65,121.88 0.31 USD NEW ENTERPRISE STONE & LIME CO INC -144A- 70,000 03/15/2026 6.25 72,231.25 0.34 USD NEW RESIDENTIAL INVESTMENT CORP -144A- 70,000 10/15/2025 6.25 69,114.85 0.33 USD NEXSTAR BROADCASTING INC -144A- 120,000 07/15/2027 5.63 126,061.80 0.60 USD NEXSTAR BROADCASTING INC -144A- 45,000 11/01/2028 4.75 46,012.50 0.22 USD NFP CORP -144A- 35,000 08/15/2028 6.87 35,423.50 0.17 USD NIELSEN FINANCE LLC / NIELSEN FINANCE CO -144A- 135,000 04/15/2022 5.00 135,472.50 0.64 USD NORTHERN OIL AND GAS INC 35,000 05/15/2023 8.50 29,159.38 0.14 USD NOVELIS CORP -144A- 100,000 09/30/2026 5.87 102,875.00 0.49 USD NUSTAR LOGISTICS LP 50,000 10/01/2030 6.37 52,000.00 0.25 USD OASIS PETROLEUM INC 40,000 03/15/2022 6.87 9,475.00 0.04 USD OASIS PETROLEUM INC 70,000 01/15/2023 6.87 16,450.00 0.08 USD OCCIDENTAL PETROLEUM CORP 20,000 02/15/2022 3.13 18,977.20 0.09 USD OCCIDENTAL PETROLEUM CORP 5,000 04/15/2022 2.60 4,737.50 0.02 USD OCCIDENTAL PETROLEUM CORP 45,000 08/15/2022 2.70 42,128.78 0.20 USD OCCIDENTAL PETROLEUM CORP 55,000 08/15/2022 1.73 48,981.03 0.23 USD OCCIDENTAL PETROLEUM CORP 50,000 09/01/2030 6.62 46,218.75 0.22 USD OCCIDENTAL PETROLEUM CORP 50,000 04/15/2046 4.40 35,758.50 0.17 USD OCCIDENTAL PETROLEUM CORP 25,000 08/15/2049 4.40 17,570.00 0.08 USD OCEANEERING INTERNATIONAL INC 45,000 02/01/2028 6.00 28,260.00 0.13 USD OLIN CORP 50,000 09/15/2027 5.13 49,593.75 0.24 USD OLIN CORP 15,000 08/01/2029 5.63 14,793.68 0.07 USD OLIN CORP 80,000 02/01/2030 5.00 75,385.20 0.36 USD ONEMAIN FINANCE CORP 25,000 10/01/2021 7.75 26,205.00 0.12 USD ONEMAIN FINANCE CORP 5,000 05/15/2022 6.12 5,200.00 0.02 USD ONEMAIN FINANCE CORP 80,000 06/01/2025 8.87 88,748.00 0.42 USD ONEMAIN FINANCE CORP 70,000 01/15/2028 6.62 77,804.30 0.37 USD ORTHO-CLINICAL DIAGNOSTICS INC / ORTHO-CLINICAL DIAGNOSTICS SA -144A- 60,000 06/01/2025 7.37 61,012.50 0.29 USD ORTHO-CLINICAL DIAGNOSTICS INC / ORTHO-CLINICAL DIAGNOSTICS SA -144A- 70,000 02/01/2028 7.25 72,931.25 0.35
The accompanying notes are an integral part of these financial statements. 81 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
United States (Continued) USD OUTFRONT MEDIA CAPITAL LLC / OUTFRONT MEDIA CAPITAL CORP -144A- 120,000 08/15/2027 5.00 117,202.80 0.56 USD OWENS-BROCKWAY GLASS CONTAINER INC -144A- 115,000 08/15/2023 5.87 121,037.50 0.57 USD PAR PHARMACEUTICAL INC -144A- 85,000 04/01/2027 7.50 89,164.15 0.42 USD PDC ENERGY INC 85,000 05/15/2026 5.75 79,475.00 0.38 USD PERFORMANCE FOOD GROUP INC -144A- 5,000 10/15/2027 5.50 5,159.15 0.02 USD PERFORMANCE FOOD GROUP INC -144A- 55,000 06/01/2024 5.50 55,137.50 0.26 USD PG&E CORP 25,000 07/01/2028 5.00 24,283.13 0.12 USD PG&E CORP 80,000 07/01/2030 5.25 77,500.00 0.37 USD PIKE CORP -144A- 95,000 09/01/2028 5.50 95,884.93 0.45 USD PILGRIM’S PRIDE CORP -144A- 70,000 03/15/2025 5.75 71,400.00 0.34 USD PLANTRONICS INC -144A- 50,000 05/31/2023 5.50 44,655.75 0.21 USD POST HOLDINGS INC -144A- 5,000 08/15/2026 5.00 5,133.68 0.02 USD POST HOLDINGS INC -144A- 5,000 03/01/2027 5.75 5,270.33 0.02 USD POST HOLDINGS INC -144A- 70,000 04/15/2030 4.63 72,100.00 0.34 USD POWERTEAM SERVICES LLC -144A- 80,000 12/04/2025 9.03 84,650.00 0.40 USD PQ CORP -144A- 60,000 12/15/2025 5.75 61,943.70 0.29 USD PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC -144A- 145,000 04/15/2026 5.75 155,381.28 0.74 USD PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC -144A- 140,000 01/15/2028 6.25 141,947.40 0.67 USD QEP RESOURCES INC 40,000 10/01/2022 5.38 32,900.00 0.16 USD QUICKEN LOANS INC -144A- 65,000 01/15/2028 5.25 68,609.78 0.33 USD QUICKEN LOANS INC -144A- 15,000 05/01/2025 5.75 15,450.00 0.07 USD QUICKEN LOANS LLC / QUICKEN LOANS CO-ISSUER INC -144A- 60,000 03/01/2031 3.88 59,400.00 0.28 USD QVC INC 160,000 09/01/2028 4.38 163,100.00 0.77 USD RBS GLOBAL INC / REXNORD LLC -144A- 90,000 12/15/2025 4.88 91,462.50 0.43 USD REALOGY GROUP LLC / REALOGY CO-ISSUER CORP -144A- 110,000 06/15/2025 7.62 115,391.65 0.55 USD REYNOLDS GROUP ISSUER INC / REYNOLDS GROUP ISSUER LLC / REYNOLDS GROUP ISSUER LU -144A- 85,000 10/15/2027 4.00 85,654.50 0.41 USD RHP HOTEL PROPERTIES LP / RHP FINANCE CORP 105,000 10/15/2027 4.75 96,926.55 0.46 USD RITE AID CORP -144A- 56,000 11/15/2026 8.00 56,105.00 0.27 USD SABRE GLBL INC -144A- 15,000 11/15/2023 5.25 14,700.00 0.07 USD SABRE GLBL INC -144A- 65,000 09/01/2025 7.37 65,747.50 0.31 USD SCOTTS MIRACLE-GRO CO 75,000 12/15/2026 5.25 80,235.75 0.38 USD SCOTTS MIRACLE-GRO CO 15,000 10/15/2029 4.50 15,937.95 0.08 USD SHEA HOMES LP / SHEA HOMES FUNDING CORP -144A- 30,000 04/01/2029 4.75 29,981.25 0.14 USD SIMMONS FOODS INC -144A- 15,000 11/01/2024 5.75 15,054.68 0.07 USD SIRIUS XM RADIO INC -144A- 30,000 07/01/2029 5.50 32,312.25 0.15 USD SIX FLAGS ENTERTAINMENT CORP -144A- 50,000 04/15/2027 5.50 47,477.50 0.22 USD SIX FLAGS ENTERTAINMENT CORP -144A- 75,000 07/31/2024 4.88 70,674.75 0.33 USD SM ENERGY CO 75,000 01/15/2024 5.00 40,312.50 0.19 USD SM ENERGY CO 25,000 09/15/2026 6.75 11,214.00 0.05 USD SONIC AUTOMOTIVE INC 45,000 03/15/2027 6.12 46,622.70 0.22 USD SOUTHWESTERN ENERGY CO 20,000 03/15/2022 4.10 19,820.30 0.09 USD SOUTHWESTERN ENERGY CO 25,000 01/23/2025 6.45 24,319.50 0.12 USD SOUTHWESTERN ENERGY CO 35,000 10/01/2027 7.75 34,034.00 0.16 USD SPECTRUM BRANDS INC -144A- 85,000 10/01/2029 5.00 88,400.00 0.42 USD SPECTRUM BRANDS INC -144A- 20,000 07/15/2030 5.50 21,137.50 0.10 USD SS&C TECHNOLOGIES INC -144A- 115,000 09/30/2027 5.50 122,356.55 0.58 USD STATION CASINOS LLC -144A- 150,000 02/15/2028 4.50 139,031.25 0.66 USD STEVENS HOLDING CO INC -144A- 65,000 10/01/2026 6.12 69,781.40 0.33 USD SUBURBAN PROPANE PARTNERS LP / SUBURBAN ENERGY FINANCE CORP 5,000 06/01/2024 5.50 5,046.93 0.02 USD SUBURBAN PROPANE PARTNERS LP / SUBURBAN ENERGY FINANCE CORP 140,000 03/01/2025 5.75 142,289.70 0.67
The accompanying notes are an integral part of these financial statements. 82 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds (Continued)
United States (Continued) USD SUMMIT MATERIALS LLC / SUMMIT MATERIALS FINANCE CORP -144A- 40,000 01/15/2029 5.25 41,725.00 0.20 USD SUNCOKE ENERGY PARTNERS LP / SUNCOKE ENERGY PARTNERS FINANCE CORP -144A- 90,000 06/15/2025 7.50 81,406.80 0.39 USD TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP -144A- 50,000 03/01/2027 6.00 45,875.00 0.22 USD TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP 110,000 04/15/2026 5.87 113,143.25 0.54 USD TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP 25,000 02/01/2027 5.38 25,198.38 0.12 USD TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP 25,000 07/15/2027 6.50 26,125.00 0.12 USD TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP -144A- 30,000 03/01/2030 5.50 29,878.20 0.14 USD TEGNA INC -144A- 105,000 03/15/2026 4.75 107,488.50 0.51 USD TENET HEALTHCARE CORP 265,000 05/01/2025 5.13 265,596.25 1.26 USD TENET HEALTHCARE CORP 115,000 08/01/2025 7.00 118,585.13 0.56 USD TENET HEALTHCARE CORP -144A- 30,000 11/01/2027 5.13 30,933.00 0.15 USD TENET HEALTHCARE CORP -144A- 25,000 10/01/2028 6.12 24,390.63 0.12 USD TENNANT CO 90,000 05/01/2025 5.63 93,683.25 0.44 USD TMS INTERNATIONAL CORP -144A- 60,000 08/15/2025 7.25 56,325.00 0.27 USD TPC GROUP INC -144A- 55,000 08/01/2024 10.50 46,308.90 0.22 USD TRANSDIGM INC -144A- 60,000 12/15/2025 8.00 65,310.00 0.31 USD TRANSDIGM INC 165,000 11/15/2027 5.50 158,886.75 0.75 USD TRANSDIGM INC 35,000 05/15/2025 6.50 34,956.25 0.17 USD TRIMAS CORP -144A- 85,000 10/15/2025 4.88 86,261.83 0.41 USD TRONOX INC -144A- 35,000 05/01/2025 6.50 36,465.63 0.17 USD UBER TECHNOLOGIES INC -144A- 105,000 05/15/2025 7.50 112,087.50 0.53 USD UBER TECHNOLOGIES INC -144A- 15,000 01/15/2028 6.25 15,421.88 0.07 USD ULTRA RESOURCES INC 22,471 07/12/2024 11.00 1,263.99 0.01 USD UNITED AIRLINES HOLDINGS INC 75,000 10/01/2022 4.25 69,468.75 0.33 USD UNIVAR SOLUTIONS USA INC -144A- 45,000 12/01/2027 5.13 46,257.30 0.22 USD UNIVISION COMMUNICATIONS INC -144A- 15,000 05/01/2025 9.50 16,125.00 0.08 USD UNIVISION COMMUNICATIONS INC -144A- 45,000 06/01/2027 6.62 44,043.75 0.21 USD USA COMPRESSION PARTNERS LP / USA COMPRESSION FINANCE CORP 25,000 04/01/2026 6.87 24,828.13 0.12 USD USA COMPRESSION PARTNERS LP / USA COMPRESSION FINANCE CORP 80,000 09/01/2027 6.87 79,464.80 0.38 USD VIASAT INC -144A- 5,000 07/15/2028 6.50 5,014.98 0.02 USD VIASAT INC -144A- 110,000 09/15/2025 5.63 107,937.50 0.51 USD VICI PROPERTIES LP / VICI NOTE CO INC -144A- 25,000 12/01/2026 4.25 25,155.63 0.12 USD VICI PROPERTIES LP / VICI NOTE CO INC -144A- 35,000 12/01/2029 4.63 35,809.38 0.17 USD VICI PROPERTIES LP / VICI NOTE CO INC -144A- 90,000 08/15/2030 4.13 88,762.50 0.42 USD WATCO COS LLC / WATCO FINANCE CORP -144A- 180,000 06/15/2027 6.50 184,500.00 0.87 USD WESCO DISTRIBUTION INC -144A- 35,000 06/15/2025 7.12 38,171.88 0.18 USD WESCO DISTRIBUTION INC -144A- 65,000 06/15/2028 7.25 71,310.20 0.34 USD WEST STREET MERGER SUB INC -144A- 70,000 09/01/2025 6.37 71,560.30 0.34 USD WILLIAMS SCOTSMAN INTERNATIONAL INC -144A- 45,000 08/15/2028 4.63 45,266.18 0.21 USD WINDSTREAM ESCROW LLC / WINDSTREAM ESCROW FINANCE CORP -144A- 55,000 08/15/2028 7.75 54,175.00 0.26 USD WOLVERINE WORLD WIDE INC -144A-* 35,000 05/15/2025 6.37 37,078.13 0.18 USD XEROX HOLDINGS CORP -144A- 150,000 08/15/2025 5.00 148,428.00 0.70 USD XPO LOGISTICS INC -144A- 45,000 05/01/2025 6.25 48,009.38 0.23 17,560,112.09 83.24
Total Corporate Bonds 20,334,049.55 96.39
The accompanying notes are an integral part of these financial statements. 83 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Quantity (in USD) assets
Certificates
United States USD PHI GROUP INC WTS * 1,664 18,685.06 0.09
Total Certificates 18,685.06 0.09
Investment Funds
Luxembourg USD JPMORGAN LIQUIDITY FUND 397,852 397,851.62 1.89
Total Investment Funds 397,851.62 1.89
Total Securities listed on a stock exchange or other organised markets 20,836,209.19 98.78
Securities not listed on a stock exchange or other organised markets
Shares
United States USD COM * 3,562,129 0.00 0.00 USD DBI INVESTORS INC * 3 2.07 0.00 USD PHI GROUP INC DEL * 415 4,660.45 0.02 4,662.52 0.02
Total Shares 4,662.52 0.02
Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in USD) assets
Corporate Bonds
United States USD ESC CB PHI INC * 92,000 03/15/2049 5.25 0.00 0.00
Total Corporate Bonds 0.00 0.00
Valuation % of net Currency Description Quantity (in USD) assets
Certificates
Canada USD ULTRA PETE CORP * 1,192 0.00 0.00
United States USD DAVIDS BRIDAL INC * 1,134 0.00 0.00 USD EDUCATION MGMT CORP WTS * 2,187,224 0.01 0.00
The accompanying notes are an integral part of these financial statements. 84 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Securities not listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Quantity (in USD) assets
Certificates (Continued)
United States (Continued) USD PHI GROUP INC DEL WTS * 564 6,333.16 0.03 6,333.17 0.03
Total Certificates 6,333.17 0.03
Total Securities not listed on a stock exchange or other organised markets 10,995.69 0.05
Total Portfolio 20,847,204.88 98.83 Cash at banks and at brokers 108,059.51 0.51 Other Net Assets 139,289.55 0.66
Total Net Assets 21,094,553.94 100.00
*Fair valued position
The accompanying notes are an integral part of these financial statements. 85 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree North American High Yield Bond Fund
Schedule of Investments in Securities (Continued)
Forward foreign exchange contracts Purchases Counterparty Sales Maturity Valuation (in USD) GBP STATE STREET BANK AND TRUST COMPANY 417,256 USD 549,096 30.11.2020 (9,509.15) Net unrealised loss on forward foreign exchange contracts (9,509.15)
Breakdown by Economic Sector % of net assets Consumer, Cyclical 19.47 Consumer, Non-cyclical 16.99 Communications 13.70 Financial 12.79 Industrial 12.42 Energy 11.36 Basic Materials 7.04 Technology 3.04 Utilities 2.02 Total 98.83
The accompanying notes are an integral part of these financial statements. 86 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European Convertible Bond Fund
Statement of Net Assets in EUR
Assets 30.09.2020
Investments in securities at market value 25,638,611.43 Cash at banks and at brokers 641,280.44 Fees waiver receivable 61,069.64 Net unrealised gain on forward foreign exchange contracts 143,073.51 Income receivable 37,683.32 26,521,718.34
Liabilities
Due to banks and to brokers 37,972.44 Payables for purchases of securities 263,128.34 Provisions for accrued expenses 91,225.07 392,325.85
Net Assets 26,129,392.49
Technical Data Valoren ISIN Total Expense Ratio IB - Capitalisation EUR 48986330 LU1863413099 0.71%
Fund Performance YTD Since Inception 2019 2018 2017 IB - Capitalisation EUR 2.09% 4.52% / / /
Fund Evolution 30.09.2020 30.09.2019 30.09.2018
Total Net Assets EUR 26,129,392.49 25,100,457.23 0.00 Net asset Value per share and share class IB - Capitalisation EUR 104.52 100.40 /
Number of share outstanding per share class at the end at the beginning Number of shares Number of shares of the year of the year issued redeemed
IB - Capitalisation EUR 250,000.000 250,000.000 0.000 0.000
The accompanying notes are an integral part of these financial statements. 87 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European Convertible Bond Fund
Statement of Operations and Changes in Net Assets in EUR for the financial year from 01.10.2019 to 30.09.2020
Net assets at the beginning of the year 25,100,457.23
Income
Interest on investments in securities (net) 102,598.41 102,598.41
Expenses
Management fees 125,279.51 Depositary bank fees 42,717.44 Administration expenses 10,286.06 Printing and publication expenses 2,928.00 Interest and bank charges 2,742.07 Audit, control, legal, representative bank and other expenses 46,855.49 “Taxe d’abonnement” 2,503.44 Total expenses before expense waiver 233,312.01 Fees waived (52,814.84) Total Expenses 180,497.17
Net income (77,898.76)
Realised gain (loss) Net realised gain on sales of investments 109,281.25 Net realised gain on forward foreign exchange contracts 107,490.33 Net realised loss on foreign exchange (189,596.00) 27,175.58 Net realised loss (50,723.18)
Change in net unrealised appreciation (depreciation) Change in net unrealised appreciation on investments 715,384.08 Change in net unrealised appreciation on forward foreign exchange contracts 362,531.38 Change in net unrealised appreciation on foreign currencies 1,742.98 1,079,658.44
Net increase (decrease) in net assets as a result of operations 1,028,935.26
Subscriptions / Redemptions -
Distribution -
Net assets at the end of the year 26,129,392.49
The accompanying notes are an integral part of these financial statements. 88 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European Convertible Bond Fund
Schedule of Investments in Securities
Securities listed on a stock exchange or other organised markets Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Convertible Bonds
Belgium EUR BIOCARTIS NV -REGS- 300,000 05/09/2024 4.00 177,000.00 0.68
British Virgin Islands USD MAIL.RU GROUP LTD -REGS- 200,000 10/01/2025 1.63 171,500.37 0.66
Denmark EUR GN STORE NORD A/S -REGS- 300,000 05/21/2024 0.00 353,901.00 1.35
Finland EUR OUTOKUMPU OYJ -REGS- 100,000 07/09/2025 5.00 96,326.00 0.37
France EUR ARCHER OBLIGATIONS SA -REGS- 200,000 03/31/2023 0.00 281,443.00 1.08 EUR ATOS SE -REGS- 300,000 11/06/2024 0.00 379,192.50 1.45 USD CARREFOUR SA -REGS- 400,000 03/27/2024 0.00 332,726.59 1.27 EUR EDENRED -REGS- 392,300 09/06/2024 0.00 239,638.42 0.92 EUR ELECTRICITE DE FRANCE SA -REGS- 6,784,700 09/14/2024 0.00 828,886.80 3.17 EUR KORIAN SA -REGS- 898,900 12/31/2099 2.50 372,583.26 1.43 EUR ORPEA -REGS- 259,500 05/17/2027 0.38 356,794.34 1.37 EUR SAFRAN SA -REGS- 564,900 05/15/2027 0.87 688,014.31 2.63 EUR SELENA SARL -REGS- 400,000 06/25/2025 0.00 427,170.00 1.63 EUR UBISOFT ENTERTAINMENT SA -REGS- 390,400 09/24/2024 0.00 482,093.25 1.84 USD VINCI SA -REGS- 600,000 02/16/2022 0.37 553,876.02 2.12 EUR WORLDLINE SA -REGS- 150,000 07/30/2025 0.00 185,186.25 0.71 EUR WORLDLINE SA -REGS- 695,546 07/30/2026 0.00 793,148.04 3.04 5,920,752.78 22.66
Germany EUR ADIDAS AG -REGS- 400,000 09/12/2023 0.05 487,240.00 1.87 EUR DELIVERY HERO SE -REGS- 900,000 01/23/2024 0.25 1,069,200.00 4.09 EUR DELIVERY HERO SE -REGS- 600,000 07/15/2025 0.87 601,236.00 2.30 EUR DEUTSCHE WOHNEN SE -REGS- 1,100,000 07/26/2024 0.33 1,222,375.23 4.68 EUR LEG IMMOBILIEN AG -REGS- 500,000 06/30/2028 0.40 527,995.00 2.02 EUR RAG-STIFTUNG -REGS- 700,000 06/17/2026 0.00 727,405.00 2.78 EUR SYMRISE AG -REGS- 300,000 06/20/2024 0.24 403,743.00 1.55 EUR TAG IMMOBILIEN AG -REGS- 100,000 08/27/2026 0.62 105,291.00 0.40 EUR ZALANDO SE -REGS- 700,000 08/06/2025 0.05 801,535.00 3.07 EUR ZALANDO SE -REGS- 200,000 08/06/2027 0.63 230,666.00 0.88 6,176,686.23 23.64
Italy EUR NEXI SPA -REGS- 600,000 04/24/2027 1.75 723,945.00 2.77 EUR SNAM SPA -REGS- 200,000 03/20/2022 0.00 210,960.00 0.81 934,905.00 3.58
Netherlands USD BRENNTAG FINANCE BV -REGS- 500,000 12/02/2022 1.87 440,832.54 1.69 USD ELM BV FOR SWISS RE LTD -REGS- 400,000 06/13/2024 3.25 356,761.03 1.37 EUR IBERDROLA INTERNATIONAL BV -REGS- 500,000 11/11/2022 0.00 634,490.00 2.43 EUR JUST EAT TAKEAWAY.COM NV -REGS- 500,000 04/30/2026 1.25 557,940.00 2.13 USD QIAGEN NV -REGS- 200,000 09/13/2023 0.50 225,216.29 0.86 USD QIAGEN NV -REGS- 600,000 11/13/2024 1.00 652,198.87 2.50 USD STMICROELECTRONICS NV -REGS- 1,000,000 08/04/2025 0.00 933,929.23 3.57 USD YANDEX NV -REGS- 1,000,000 03/03/2025 0.75 1,055,773.76 4.04 4,857,141.72 18.59
The accompanying notes are an integral part of these financial statements. 89 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European Convertible Bond Fund
Schedule of Investments in Securities (Continued)
Securities listed on a stock exchange or other organised markets (Continued) Valuation % of net Currency Description Nominal Maturity Date Interest Rate (in EUR) assets
Convertible Bonds (Continued)
Spain EUR AMADEUS IT GROUP SA -REGS- 600,000 04/09/2025 1.50 743,940.00 2.84 EUR CELLNEX TELECOM SA -REGS- 700,000 07/05/2028 0.50 934,920.00 3.58 1,678,860.00 6.42
Sweden EUR GEELY SWEDEN FINANCIALS HOLDING AB -REGS- 800,000 06/19/2024 0.00 889,440.00 3.40
Switzerland CHF CEMBRA MONEY BANK AG -REGS- 400,000 07/09/2026 0.00 386,371.79 1.48 CHF IDORSIA LTD -REGS- 200,000 07/17/2024 0.75 197,378.32 0.75 CHF SIKA AG -REGS- 1,160,000 06/05/2025 0.15 1,394,587.10 5.34 1,978,337.21 7.57
United Kingdom USD GSK FINANCE NO 3 PLC -144A- 500,000 06/22/2023 0.00 432,451.10 1.66 GBP OCADO GROUP PLC -REGS- 300,000 01/18/2027 0.75 411,178.28 1.57 843,629.38 3.23
United States EUR JPMORGAN CHASE BANK NA -REGS- 300,000 05/24/2022 0.00 331,034.89 1.27 EUR JPMORGAN CHASE BANK NA -REGS- 600,000 09/18/2022 0.00 654,429.19 2.50 985,464.08 3.77
Total Convertible Bonds 25,063,943.77 95.92
Total Securities listed on a stock exchange or other organised markets 25,063,943.77 95.92
Securities not listed on a stock exchange or other organised markets
Convertible Bonds
Belgium EUR UMICORE SA -REGS- 500,000 06/23/2025 0.00 480,755.00 1.84
France EUR SILICON ON INSULATOR TEC -REGS- 53,100 10/01/2025 0.00 93,912.66 0.36
Total Convertible Bonds 574,667.66 2.20
Total Securities not listed on a stock exchange or other organised markets 574,667.66 2.20
Total Portfolio 25,638,611.43 98.12 Cash at banks and at brokers 603,308.00 2.31 Other Net Liabilities (112,526.94) (0.43)
Total Net Assets 26,129,392.49 100.00
The accompanying notes are an integral part of these financial statements. 90 Oaktree (Lux.) Funds - Annual Report and audited financial statements as at 30.09.2020
Oaktree (Lux.) Funds - Oaktree European Convertible Bond Fund
Schedule of Investments in Securities (Continued)
Forward foreign exchange contracts Purchases Counterparty Sales Maturity Valuation (in EUR) CHF STATE STREET BANK AND TRUST COMPANY 492,152 EUR 455,156 21.10.2020 1,713.89 EUR STATE STREET BANK AND TRUST COMPANY 6,389,545 USD 7,348,775 21.10.2020 125,194.91 EUR STATE STREET BANK AND TRUST COMPANY 1,558,256 GBP 1,411,852 21.10.2020 2,206.87 EUR STATE STREET BANK AND TRUST COMPANY 2,403,369 CHF 2,581,794 21.10.2020 6,662.92 GBP STATE STREET BANK AND TRUST COMPANY 906,411 EUR 999,704 21.10.2020 (717.76) USD STATE STREET BANK AND TRUST COMPANY 900,000 EUR 759,178 21.10.2020 8,012.68 Net unrealised gain on forward foreign exchange contracts 143,073.51
Breakdown by Economic Sector % of net assets Consumer, Non-cyclical 25.85 Financial 16.43 Industrial 13.67 Communications 10.43 Consumer, Cyclical 9.22 Technology 7.88 Utilities 6.41 Basic Materials 5.45 Energy 2.78 Total 98.12
The accompanying notes are an integral part of these financial statements. 91