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| Share Name | Share Symbol | Market | Type |
|---|---|---|---|
| Blackstone Strategic Credit 2027 Term Fund | NYSE:BGB | NYSE | Common Stock |
| Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|
| 0.01 | 0.08% | 11.85 | 11.865 | 11.81 | 11.85 | 136,067 | 01:00:00 |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22686
Blackstone / GSO Strategic Credit Fund
(exact name of registrant as specified in charter)
345 Park Avenue, 31st Floor
New York, New York 10154
(Address of principal executive offices) (Zip code)
Marisa Beeney
345 Park Avenue, 31st Floor
New York, New York 10154
(Name and address of agent for service)
Registrant’s telephone number, including area code: (877) 876-1121
Date of fiscal year end: December 31
Date of reporting period: December 31, 2019
Item 1. Report to Stockholders.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on each Fund’s website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Shareholders who invest directly with a Fund may elect to receive shareholder reports and other communications from the Fund electronically by calling 1-800-522-6645 to make such arrangements. For shareholders who invest through a financial intermediary, please contact that financial intermediary directly for information on how to receive shareholder reports and other communications electronically.
You may elect to receive all future reports in paper free of charge. If you invest directly with a Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-522-6645 to make such arrangements. For shareholders who invest through a financial intermediary, please contact that financial intermediary directly to inform them that you wish to continue receiving paper copies of your shareholder reports. If your common shares are held through a financial intermediary, your election to receive reports in paper will apply to all funds held with that financial intermediary.
Table of Contents
| Manager Commentary | 2 |
| Fund Summary | 3 |
| Portfolio of Investments | 9 |
| Statements of Assets and Liabilities | 45 |
| Statements of Operations | 46 |
| Statements of Changes in Net Assets | 47 |
| Statements of Cash Flows | 48 |
| Financial Highlights | 49 |
| Notes to Financial Statements | 54 |
| Report of Independent Registered Public Accounting Firm | 69 |
| Summary of Dividend Reinvestment Plan | 70 |
| Additional Information | 71 |
| Privacy Procedures | 72 |
| Trustees & Officers | 80 |
| Blackstone / GSO Funds | Manager Commentary |
December 31, 2019 (Unaudited)
To Our Shareholders:
The U.S. credit markets posted strong performance in 2019 despite lingering tensions over trade and concerns about a weakening global economy. Ample Collateralized Loan Obligation (“CLO”) creation and institutional demand supported loan performance of 8.64%, offsetting persistent loan retail fund outflows and negative media coverage. High yield and investment grade bonds, which returned 14.32% and 14.54%, respectively, for the year, outperformed most other credit asset classes as investors sought fixed-coupon, longer-duration assets due to the downward shift in the U.S. Treasury yield curve.
Investor flight to quality drove dispersion in performance by credit quality throughout much of the second half of 2019, before the year culminated in a strong rally in risk assets. BB rated and B rated loans returned 9.3% and 9.0%, respectively, in 2019 versus 3.4% for CCC rated loans. Similarly, in high yield, higher quality paper generally outperformed lower quality in 2019 with BB rated and B rated high yield bonds returning 15.5% and 14.8%, respectively, versus 9.5% for CCC rated high yield bonds.
A topical theme throughout fixed income during 2019 was the expectation for falling interest rates, with retail loan funds facing redemptions for much of the year while high yield and investment grade bond funds experienced strong inflows. Loan mutual funds and Exchange Traded Funds (“ETFs”) reported $38 billion in net outflows in 2019 and more than $58 billion in net outflows since October 2018 when expectations for near-term rate hikes peaked. With the market pricing in only one Federal Funds rate cut during 2020, loan retail outflows are expected to stabilize somewhat. Retail investor demand for high yield bonds, on the other hand, was resilient throughout 2019. Net inflows totaled $19 billion as investors rotated into fixed-rate, longer-duration assets amid the declining rate environment.
Primary loan issuance slowed in 2019 due to a decline in both M&A related financing and refinancing activity, coupled with an increase in bond-for-loan refinancings and secured high yield issuance. Gross loan issuance totaled $392 billion in 2019, a 44% decrease year-over-year, and net issuance totaled $192 billion, a 36% decrease year-over-year. High yield bond issuance, on the other hand, increased year-over-year with gross issuance totaling $287 billion, a 53% increase over 2018. Net issuance of $93 billion represented a 27% increase year-over-year. We believe the investor preference for fixed-rate, longer-duration assets led to a relatively high volume of senior secured notes issued in 2019, which otherwise may have taken the form of senior secured loans. Senior secured note issuance increased by over 140% in 2019 compared to 2018, and it represented a greater proportion of total high yield bond issuance than it did in the prior year.
| Total Returns through December 31, 2019 | |
|
US Loans (S&P/LSTA Leveraged Loan Index) |
8.64% |
|
US High Yield Bonds (Bloomberg Barclays U.S. High Yield Index) |
14.32% |
|
3-month Treasury Bills (Bloomberg Barclays U.S. Treasury Bellwethers: 3 Month) |
2.30% |
|
10-Year Treasuries (Bloomberg Barclays U.S. Treasury Bellwethers: 10 Year) |
8.90% |
|
US Aggregate Bonds (Bloomberg Barclays U.S. Aggregate Index) |
8.72% |
|
US Investment Grade Bonds (Bloomberg Barclays U.S. Corporate Investment Grade Index) |
14.54% |
|
Emerging Markets (Bloomberg Barclays EM USD Aggregate Index) |
13.11% |
|
US Large Cap Equities (S&P 500® Index) |
31.50% |
Sources: Bloomberg, Barclays, S&P/LCD
Past Performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
U.S. CLO gross issuance was healthy in 2019, down just 8% compared to record-breaking issuance in 2018. JP Morgan is forecasting net new supply in 2020 of $90-100 billion (a 15-24% decrease year-over-year) driven primarily by continuing tight arbitrage, depressed loan supply, a saturated manager base, and U.S. election uncertainty.
In 2019, 43 companies in the loan and high yield bond markets defaulted with debt totaling $51.5 billion, compared to 32 companies with debt totaling $43.1 billion in 2018, according to JP Morgan. Although total debt involved in defaults picked up almost 20% year-over-year, energy and metals/mining defaults accounted for over half of 2019’s defaults/distressed activity by volume. The par-weighted loan last twelve months (“LTM”) default rate at the end of 2019 was 1.64% versus the 20-year average of 3.0%, and the par-weighted high yield bond LTM default rate was 2.63% versus the 20-year average of 3.1%. JP Morgan is forecasting loan and high yield bond default rates of 2.0% and 3.0%, respectively, in 2020.
Average LTM revenue and EBITDA growth continues to be positive for the public issuers in the S&P/LSTA Leveraged Loan Index as of September 30, 2019. While growth has slowed, leverage and interest coverage levels remain stable, and we remain focused on key loan protections and covenants.
At GSO / Blackstone, we value your continued investment and confidence in us and in our family of funds. Additional information about our funds is available on our website at www.blackstone-gso.com.
Sincerely,
GSO / Blackstone Debt Funds Management LLC
| 2 | www.blackstone-gso.com |
| Blackstone / GSO Senior Floating Rate Term Fund | Fund Summary |
December 31, 2019 (Unaudited)
Blackstone / GSO Senior Floating Rate Term Fund
Fund Overview
Blackstone / GSO Senior Floating Rate Term Fund (“BSL” or herein, the “Fund”) is a closed-end term fund that trades on the New York Stock Exchange under the symbol “BSL”. BSL’s primary investment objective is to seek high current income, with a secondary objective to seek preservation of capital, consistent with its primary goal of high current income. Under normal market conditions, the Fund invests at least 80% of its Managed Assets in senior, secured floating rate loans (“Senior Loans”). BSL may also invest in second-lien loans and high yield bonds and employs financial leverage, which may increase risk to the Fund. The Fund has a limited term, and absent shareholder approval to extend the life of the Fund, the Fund will dissolve on or about May 31, 2022.
On November 18, 2019, the Board of Trustees of BSL approved a proposal to amend BSL's charter to allow an extension greater than two years in length (the “Charter Amendment”) and also approved a proposal to extend the term of BSL by five years by changing BSL's scheduled dissolution date from May 31, 2022 to May 31, 2027 (the "Term Extension"). The Charter Amendment and the Term Extension were subject to shareholder approval, which was obtained at a special shareholder meeting held on February 19, 2020.
Portfolio Management Commentary
Fund Performance
As of December 31, 2019, BSL outperformed its key benchmark, the S&P/LSTA Leveraged Loan Index (“S&P LLI”), on a Net Asset Value (“NAV”) per share basis for the periods of three years, five years, and since inception and underperformed its benchmark for the one year period. On a share price basis, the Fund outperformed its benchmark for the periods of one year, five years, and since inception and underperformed its benchmark for the three year period. The shares of the Fund traded at an average discount to NAV of 0.6% for the twelve months ended December 31, 2019, compared to its peer group average discount of 11.8% over the same time.1
NAV Performance Factors
The Fund’s underperformance relative to its benchmark in 2019 was primarily attributable to an underweight allocation to BBB/BB rated credit. The Fund’s 2019 relative performance was also impacted by a snap-back of larger loan tranches in January 2019, which we believe was largely a normalization following the significant underperformance of larger loans in late 2018 as open-end loan mutual funds facing record outflows aggressively sold these larger, more liquid tranches to meet redemptions. The Fund, which is generally underweight larger loans, outperformed its benchmark on an asset-level basis by +1.2% during November and December 2018 and then lagged by -1.0% in January 2019 as this temporary phenomenon reversed. Net of this impact, credit selection within credit rating tiers was positive for 2019. Illustratively, single-B rated loans below $1.0 billion (approximately 52% of the Fund during 2019) returned approximately +8.6% compared to approximately +7.6% for single-B loans sub-$1.0 billion in the benchmark. By issuer, the largest positive contributors to performance relative to the benchmark were Advantage Sales & Marketing, Beacon Health, and US LBM, while Southern Graphics, Sheridan Production Partners, and Mortgage Contracting Services were the most significant detractors.
Portfolio Activity and Positioning
During 2019, we continued to dynamically manage the Fund, using the secondary market to add or exit positions based on relative value while also leveraging our scale in the primary market to take advantage of new issue discounts. The Fund slightly reduced its allocation to second lien loans throughout the year in favor of additional high yield.
As of December 31, 2019, the Fund held 82.3% of its Managed Assets in Senior Loans, 12.0% in second lien loans, and 3.0% in high yield bonds. BSL’s investments represented the obligations of 276 companies, with an average position size representing 0.31% of Managed Assets of the Fund. Electronics/electric, business equipment and services, and healthcare represented the Fund’s top sector weightings.2
| 1 | Average discount and peer group per Morningstar. |
| 2 | Industries per S&P classifications. |
| Annual Report | December 31, 2019 | 3 |
| Blackstone / GSO Senior Floating Rate Term Fund | Fund Summary |
December 31, 2019 (Unaudited)
BSL’s Portfolio Composition*
| * | Numbers may not sum to 100.00% due to rounding. The Fund’s Cash and Other represents net cash and other assets and liabilities, which includes amounts payable for investments purchased but not yet settled and amounts receivable for investments sold but not yet settled. At period end, the amounts payable for investments purchased but not yet settled exceeded the amount of cash on hand. The Fund uses sales proceeds or funds from its leverage program to settle amounts payable for investments purchased, but such amounts are not reflected in the Fund’s net cash. |
BSL’s Moody’s Rating*
| * | For more information on Moody's ratings and descriptions refer to www.moodys.com. |
| Portfolio Characteristics | |
| Average All-In Rate | 6.51% |
| Current Dividend Yield^ | 7.50% |
| Effective Duration^^ | 0.25 yr |
| Average Position* | 0.31% |
| Leverage* | 32.99% |
| ^ | Using current dividend rate of $0.101/share and market price/share as of 12/31/2019. |
| ^^ | Loan durations are based on the actual remaining time until LIBOR is reset for each individual loan. |
| * | As a percentage of Managed Assets. |
| Top 10 Issuers* | |
| EG Group, Ltd. | 1.4% |
| Advantage Sales & Marketing, Inc. | 1.3% |
| TKC Holdings, Inc. | 1.1% |
| Ellie Mae, Inc. | 1.1% |
| Quest Software US Holdings, Inc. | 1.1% |
| Ivanti Software, Inc. | 1.1% |
| GI Revelation Acquisition LLC | 1.0% |
| KUEHG Corp | 1.0% |
| Netsmart Technologies, Inc. | 1.0% |
| National Intergovernmental Purchasing Alliance Co | 0.9% |
| Top 10 Issuer | 11.0% |
| * | As a percentage of Managed Assets. |
Portfolio holdings and distributions are subject to change and are not recommendations to buy or sell any security.
| Top 5 Industries*^ | |
| Electronics/Electric | 19.0% |
| Business Equipment & Services | 15.8% |
| Healthcare | 15.1% |
| Building & Development | 5.6% |
| Chemical & Plastics | 3.5% |
| Top 5 Industries | 59.0% |
| * | As a percentage of Managed Assets. |
| ^ | S&P Industry Classification Schema. |
| BSL Total Return | ||||
|
1
Year |
3
Year† |
5
Year† |
Since
Inception† |
|
| NAV* | 7.98%** | 5.50% | 5.68% | 5.70% |
| Market Price* | 14.17% | 3.98% | 6.96% | 5.01% |
| S&P LLI | 8.64% | 4.35% | 4.44% | 4.83% |
| † | Annualized. |
| * | NAV is equal to the total assets attributable to common shareholders less liabilities divided by the number of common shares outstanding. Market Price is the price at which a share can currently be traded in the market. Market Price is based on the close price at 4 p.m. ET and does not represent the returns an investor would receive if shares were traded at other times. Return assumes distributions are reinvested pursuant to the Fund’s dividend reinvestment plan. Performance data quoted represents past performance and does not guarantee future results. |
| ** | Excludes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value and total return for shareholder transactions reported to the market at year ended December 31, 2019 may differ from the net asset value for financial reporting purposes. |
| 4 | www.blackstone-gso.com |
| Blackstone / GSO Long-Short Credit Income Fund | Fund Summary |
December 31, 2019 (Unaudited)
Blackstone / GSO Long-Short Credit Income Fund
Fund Overview
Blackstone / GSO Long Short Credit Income Fund (“BGX” or herein, the “Fund”) is a closed-end fund that trades on the New York Stock Exchange under the symbol “BGX”. BGX’s primary investment objective is to provide current income, with a secondary objective of capital appreciation. BGX will take long positions in investments which we believe offer the potential for attractive returns under various economic and interest rate environments. BGX may also take short positions in investments which we believe will under-perform due to a greater sensitivity to earnings growth of the issuer, default risk or the general level and direction of interest rates. BGX must hold no less than 70% of its Managed Assets in first-and second-lien secured loans (“Secured Loans”), but may also invest in unsecured loans and high yield bonds.
Portfolio Management Commentary
Fund Performance
As of December 31, 2019, BGX outperformed a composite weighting of the S&P LLI and the Barclays U.S. High Yield Index (“Barclays HYI”) (70% loans, 30% high yield bonds) on a NAV per share basis for the periods of one year, three years, five years, and since inception. On a share price basis, the Fund outperformed its benchmark for the periods of one year, three years, five years, and since inception. The shares of the Fund traded at an average discount to NAV of 2.7% for the twelve months ended December 31, 2019, compared to its peer group average discount of 8.1% over the same time.1
NAV Performance Factors
The Fund’s underperformance relative to its benchmark in 2019 was primarily attributable to an underweight allocation to BBB/BB rated credit. The Fund’s 2019 relative performance was also impacted by a snap-back of larger loan tranches in January 2019, which we believe was largely a normalization following the significant underperformance of larger loans in late 2018 as open-end loan mutual funds facing record outflows aggressively sold these larger, more liquid tranches to meet redemptions. Due primarily to this tranche size effect, the Fund’s loans outperformed the loan benchmark on an asset-level basis by +1.4% during November and December 2018 and then lagged by -1.3% in January 2019 as this temporary phenomenon reversed. Net of this impact, credit selection within credit rating tiers was positive for 2019. Illustratively, single-B rated loans below $1.0 billion (approximately 47% of the Fund during 2019) returned approximately +8.5% compared to approximately +7.6% for single-B loans sub-$1.0 billion in the benchmark. By issuer, the largest positive contributors to performance relative to the benchmark were York Risk Services, Advantage Sales & Marketing, and Avantor, while Southern Graphics, Pier 1 Imports, and Mortgage Contracting Services were the most significant detractors.
Portfolio Activity and Positioning
During 2019, we continued to dynamically manage the Fund, using the secondary market to add or exit positions based on relative value while also leveraging our scale in the primary market to take advantage of new issue discounts. The Fund slightly reduced its allocation to second lien loans throughout the year in favor of incremental single-B loan exposure.
As of December 31, 2019, the Fund held 86.2% of its Managed Assets in Secured Loans and 11.0% in high yield bonds. BGX’s investments represented the obligations of 285 companies, with an average position size representing 0.31% of Managed Assets of the Fund. Electronics/electric, healthcare, and business equipment and services represented the Fund’s top sector weightings.2
| 1 | Average discount and peer group per Morningstar. |
| 2 | Industries per S&P classifications. |
| Annual Report | December 31, 2019 | 5 |
| Blackstone / GSO Long-Short Credit Income Fund | Fund Summary |
December 31, 2019 (Unaudited)
BGX’s Portfolio Composition*
| * | Numbers may not sum to 100.00% due to rounding. The Fund’s Cash and Other represents net cash and other assets and liabilities, which includes amounts payable for investments purchased but not yet settled and amounts receivable for investments sold but not yet settled. At period end, the amounts payable for investments purchased but not yet settled exceeded the amount of cash on hand. The Fund uses sales proceeds or funds from its leverage program to settle amounts payable for investments purchased, but such amounts are not reflected in the Fund’s net cash. |
BGX’s Moody’s Rating Distribution*
| * | For more information on Moody's ratings and descriptions refer to www.moodys.com. |
| Portfolio Characteristics | |
| Average All-In Rate | 6.76% |
| Current Dividend Yield^ | 8.82% |
| Effective Duration^^ | 0.40 yr |
| Average Position* | 0.31% |
| Leverage* | 39.02% |
| ^ | Using current dividend rate of $0.115/share and market price/share as of 12/31/2019. |
| ^^ | Loan durations are based on the actual remaining time until LIBOR is reset for each individual loan. |
| * | As a percentage of Managed Assets. |
| Top 10 Issuers* | |
| Ivanti Software, Inc. | 1.5% |
| Advantage Sales & Marketing, Inc. | 1.3% |
| KUEHG Corp | 1.1% |
| Quest Software US Holdings, Inc. | 1.1% |
| Priso Acquisition Corp | 1.1% |
| Ellie Mae, Inc. | 1.0% |
| Asurion LLC | 1.0% |
| Carestream Health, Inc. | 1.0% |
| Netsmart Technologies, Inc. | 1.0% |
| GI Revelation Acquisition LLC | 0.9% |
| Top 10 Issuer | 11.0% |
| * | As a percentage of Managed Assets. |
Portfolio holdings and distributions are subject to change and are not recommendations to buy or sell any security.
| Top 5 Industries*^ | |
| Electronics/Electric | 17.8% |
| Healthcare | 14.8% |
| Business Equipment & Services | 14.4% |
| Building & Development | 6.6% |
| Telecommunications | 4.1% |
| Top 5 Industries | 57.7% |
| * | As a percentage of Managed Assets. |
| ^ | S&P Industry Classification Schema. |
| BGX Total Return | ||||
|
1
Year |
3
Year† |
5
Year† |
Since
Inception† |
|
| NAV* | 10.73%** | 6.86% | 6.82% | 6.14% |
| Market Price* | 25.08% | 8.87% | 9.64% | 5.51% |
| 70% S&P LLI / 30% Barclays HYI | 9.80% | 4.79% | 4.94% | 4.96% |
| † | Annualized. |
| * | NAV is equal to the total assets attributable to common shareholders less liabilities divided by the number of common shares outstanding. Market Price is the price at which a share can currently be traded in the market. Market Price is based on the close price at 4 p.m. ET and does not represent the returns an investor would receive if shares were traded at other times. Return assumes distributions are reinvested pursuant to the Fund’s dividend reinvestment plan. Performance data quoted represents past performance and does not guarantee future results. |
| ** | Excludes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value and total return for shareholder transactions reported to the market at year ended December 31, 2019 may differ from the net asset value for financial reporting purposes. |
| 6 | www.blackstone-gso.com |
| Blackstone / GSO Strategic Credit Fund | Fund Summary |
December 31, 2019 (Unaudited)
Blackstone / GSO Strategic Credit Fund
Fund Overview
Blackstone / GSO Strategic Credit Fund (“BGB” or herein, the “Fund”) is a closed-end term fund that trades on the New York Stock Exchange under the symbol “BGB”. BGB’s primary investment objective is to seek high current income, with a secondary objective to seek preservation of capital, consistent with its primary goal of high current income. BGB invests primarily in a diversified portfolio of loans and other fixed income instruments of predominantly U.S. corporate issuers, including first- and second-lien loans (“Senior Secured Loans”) and high yield corporate bonds of varying maturities. BGB must hold no less than 80% of its Managed Assets in credit investments comprised of corporate fixed income instruments and other investments (including derivatives) with similar economic characteristics. The Fund has a limited term and will dissolve on or about September 15, 2027, absent shareholder approval to extend such term.
Portfolio Management Commentary
Fund Performance
As of December 31, 2019, BGB outperformed a composite weighting of the S&P LLI and the Barclays HYI (75% loans, 25% high yield bonds) on a NAV per share basis for the periods of three years, five years, and since inception and underperformed its benchmark for the one year period. On a share price basis, the Fund outperformed its benchmark for the periods of one year, three years, and five years and underperformed its benchmark for the inception period. The shares of the Fund traded at an average discount to NAV of 7.1% for the twelve months ended December 31, 2019, compared to its peer group average discount of 7.6% over the same time.1
NAV Performance Factors
The Fund’s underperformance relative to its benchmark in 2019 was primarily attributable to an underweight allocation to BBB/BB rated credit. The Fund’s 2019 relative performance was also impacted by a snap-back of larger loan tranches in January 2019, which we believe was largely a normalization following the significant underperformance of larger loans in late 2018 as open-end loan mutual funds facing record outflows aggressively sold these larger, more liquid tranches to meet redemptions. Due primarily to this tranche size effect, the Fund’s loans outperformed the loan benchmark on an asset-level basis by +1.3% during November and December 2018 and then lagged by -1.2% in January 2019 as this temporary phenomenon reversed. Net of this impact, credit selection within credit rating tiers was positive for 2019. Illustratively, single-B rated loans below $1.0 billion (approximately 46% of the Fund during 2019) returned approximately +8.7% compared to approximately +7.6% for single-B loans sub-$1.0 billion in the benchmark. Mark-downs on legacy, reorganized equity positions, which are typically illiquid until a monetization event, were also a headwind to performance. By issuer, the largest positive contributors to performance relative to the benchmark were York Risk Services, Advantage Sales & Marketing, and Calumet Specialty Products Partners, while Southern Graphics, Mood Media, and NPC International were the most significant detractors.
Portfolio Activity and Positioning
During 2019, we continued to dynamically manage the Fund, using the secondary market to add or exit positions based on relative value while also leveraging our scale in the primary market to take advantage of new issue discounts. The Fund reduced its allocation to CCC exposure during the year in favor of incremental B-rated credit.
As of December 31, 2019, the Fund held 86.2% of its Managed Assets in Senior Secured Loans and 12.5% in high yield bonds. BGB’s investments represented the obligations of 286 companies, with an average position size representing 0.30% of Managed Assets of the Fund. Electronics/electric, business equipment and services, and healthcare represented the Fund’s top sector weightings.2
| 1 | Average discount and peer group per Morningstar. |
| 2 | Industries per S&P classifications. |
| Annual Report | December 31, 2019 | 7 |
| Blackstone / GSO Strategic Credit Fund | Fund Summary |
December 31, 2019 (Unaudited)
BGB’s Portfolio Composition*
| * | Numbers may not sum to 100.00% due to rounding. The Fund’s Cash and Other represents net cash and other assets and liabilities, which includes amounts payable for investments purchased but not yet settled and amounts receivable for investments sold but not yet settled. At period end, the amounts payable for investments purchased but not yet settled exceeded the amount of cash on hand. The Fund uses sales proceeds or funds from its leverage program to settle amounts payable for investments purchased, but such amounts are not reflected in the Fund’s net cash. |
BGB’s Moody’s Rating Distribution*
| * | For more information on Moody's ratings and descriptions refer to www.moodys.com. |
| Portfolio Characteristics | |
| Average All-In Rate | 6.85% |
| Current Dividend Yield^ | 8.76% |
| Effective Duration^^ | 0.41 yr |
| Average Position* | 0.30% |
| Leverage* | 37.08% |
| ^ | Using current dividend rate of $0.105/share and market price/share as of 12/31/2019. |
| ^^ | Loan durations are based on the actual remaining time until LIBOR is reset for each individual loan. |
| * | As a percentage of Managed Assets. |
| Top 10 Issuers* | |
| Advantage Sales & Marketing, Inc. | 1.4% |
| Priso Acquisition Corp | 1.2% |
| Quest Software US Holdings, Inc. | 1.1% |
| Ivanti Software, Inc. | 1.1% |
| Ellie Mae, Inc. | 1.1% |
| KUEHG Corp | 1.0% |
| American Bath Group LLC | 1.0% |
| Carestream Health, Inc. | 1.0% |
| GI Revelation Acquisition LLC | 0.9% |
| Gigamon, Inc. | 0.9% |
| Top 10 Issuer | 10.7% |
| * | As a percentage of Managed Assets. |
Portfolio holdings and distributions are subject to change and are not recommendations to buy or sell any security.
| Top 5 Industries*^ | |
| Electronics/Electric | 18.6% |
| Business Equipment & Services | 15.1% |
| Healthcare | 14.0% |
| Building & Development | 7.6% |
| Telecommunications | 4.0% |
| Top 5 Industries | 59.3% |
| * | As a percentage of Managed Assets. |
| ^ | S&P Industry Classification Schema. |
| BGB Total Return | ||||
|
1
Year |
3
Year† |
5
Year† |
Since
Inception† |
|
| NAV* | 9.29%** | 5.95% | 5.91% | 5.50% |
| Market Price* | 17.05% | 7.05% | 6.50% | 3.98% |
| 75% S&P LLI / 25% Barclays HYI | 9.60% | 4.71% | 4.86% | 4.66% |
| † | Annualized. |
| * | NAV is equal to the total assets attributable to common shareholders less liabilities divided by the number of common shares outstanding. Market Price is the price at which a share can currently be traded in the market. Market Price is based on the close price at 4 p.m. ET and does not represent the returns an investor would receive if shares were traded at other times. Return assumes distributions are reinvested pursuant to the Fund’s dividend reinvestment plan. Performance data quoted represents past performance and does not guarantee future results. |
| ** | Excludes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value and total return for shareholder transactions reported to the market at year ended December 31, 2019 may differ from the net asset value for financial reporting purposes. |
| 8 | www.blackstone-gso.com |
| Blackstone / GSO Senior Floating Rate Term Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal Amount |
Value | |||||||
| FLOATING RATE LOAN INTERESTS(a) - 140.75% | ||||||||
| Aerospace & Defense - 1.54% | ||||||||
| Nordam Group LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 04/09/2026(b) | $ | 1,746,800 | $ | 1,744,616 | ||||
| Propulsion Acquisition LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 07/13/2021(b) | 2,132,624 | 2,111,298 | ||||||
| 3,855,914 | ||||||||
| Air Transport - 0.76% | ||||||||
| Air Medical Group Holdings, Inc., First Lien 2018 New Term Loan, 1M US L + 4.25%, 03/14/2025 | 1,965,000 | 1,910,962 | ||||||
| Automotive - 1.09% | ||||||||
| Bright Bidco B.V., First Lien 2018 Refinancing B Term Loan, 3M US L + 3.50%, 06/30/2024 | 1,750,919 | 1,041,797 | ||||||
| Midas Intermediate Holdco II LLC, First Lien 2017 Refinancing Term Loan, 3M US L + 2.75%, 08/18/2021 | 434,402 | 428,609 | ||||||
| Superior Industries International, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 05/22/2024(b) | 1,289,688 | 1,254,222 | ||||||
| 2,724,628 | ||||||||
| Brokers, Dealers & Investment Houses - 1.71% | ||||||||
| Advisor Group Holdings, Inc., First Lien Initial B Term Loan, 1M US L + 5.00%, 07/31/2026 | 1,166,667 | 1,160,110 | ||||||
| Advisor Group Holdings, Inc., First Lien Initial A Term Loan, 1M US L + 4.00%, 01/31/2025 | 830,499 | 804,550 | ||||||
| Deerfield Dakota Holding LLC, First Lien Initial Term Loan, 1M US L + 3.25%, 02/13/2025 | 871,134 | 870,275 | ||||||
| Edelman Financial Center LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 07/20/2026 | 676,923 | 677,769 | ||||||
| Newport Group Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 09/12/2025(b) | 762,013 | 763,918 | ||||||
| 4,276,622 | ||||||||
| Building & Development - 8.01% | ||||||||
| American Bath Group LLC, Second Lien Term Loan, 1M US L + 9.75%, 09/30/2024(b) | 250,000 | 250,000 | ||||||
| American Bath Group LLC, First Lien 2018 Replacement Term Loan, 1M US L + 4.25%, 09/30/2023(b) | 3,183,671 | 3,203,569 | ||||||
| CPG International LLC, First Lien New Term Loan, 3M US L + 3.75%, 05/05/2024 | 288,148 | 288,990 | ||||||
| Dayton Superior Corp., First Lien Term Loan, 3M US L + 7.00%, 12/04/2024 | 325,342 | 322,902 | ||||||
| Forterra Finance LLC, First Lien Replacement Term Loan, 1M US L + 3.00%, 10/25/2023 | 1,288,275 | 1,263,585 | ||||||
| Hillman Group, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025 | 3,253,216 | 3,208,484 | ||||||
| Interior Logic Group Holdings IV LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b) | 2,370,000 | 2,263,350 | ||||||
| LBM Borrower LLC, Second Lien Initial Term Loan, 1M US L + 9.25%, 08/20/2023 | 400,000 | 394,376 | ||||||
| LBM Borrower LLC, First Lien Tranche C Term Loan, 1M US L + 3.75%, 08/20/2022 | 2,614,372 | 2,634,804 | ||||||
| MI Windows and Doors LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 11/06/2026 | 840,000 | 841,050 | ||||||
| Ply Gem Midco, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 04/12/2025 | 1,361,822 | 1,363,089 | ||||||
| Road Infrastructure Investment Holdings, Inc., First Lien Term Loan, 1M US L + 3.50%, 06/13/2023 | 351,529 | 327,977 | ||||||
| SIWF Holdings, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 06/15/2025 | 866,800 | 866,076 | ||||||
| SRS Distribution, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 05/23/2025 | 2,871,461 | 2,854,591 | ||||||
| 20,082,843 | ||||||||
| Business Equipment & Services - 23.55% | ||||||||
| Access CIG LLC, First Lien B Term Loan, 1M US L + 3.75%, 02/27/2025 | 1,044,629 | 1,045,501 | ||||||
| Access CIG LLC, Second Lien Initial Term Loan, 1M US L + 7.75%, 02/27/2026 | 119,565 | 119,266 | ||||||
| Advantage Sales & Marketing, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 07/23/2021 | 1,027,665 | 997,992 | ||||||
| Advantage Sales & Marketing, Inc., Second Lien Term Loan, 1M US L + 6.50%, 07/25/2022 | 3,248,461 | 2,904,676 | ||||||
| Advantage Sales & Marketing, Inc., First Lien B-2 Term Loan, 1M US L + 3.25%, 07/23/2021 | 950,625 | 922,301 | ||||||
| ALKU LLC, First Lien B Term Loan, 3M US L + 5.50%, 07/29/2026 | 2,100,000 | 2,075,504 | ||||||
| Allied Universal Holdco LLC, First Lien Delayed Draw Term Loan, 1M US L + 4.25%, 07/10/2026 | 138,739 | 139,750 | ||||||
| Allied Universal Holdco LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 07/10/2026 | 1,401,261 | 1,411,476 | ||||||
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 9 |
| Blackstone / GSO Senior Floating Rate Term Fund | Portfolio of Investments |
December 31, 2019
|
Principal Amount |
Value | |||||||
| Business Equipment & Services (continued) | ||||||||
| APFS Staffing Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/15/2026 | $ | 1,990,000 | $ | 1,990,000 | ||||
| AqGen Ascensus, Inc., First Lien Replacement Term Loan, 3M US L + 4.00%, 12/05/2022 | 1,746,782 | 1,754,974 | ||||||
| BMC Acquisition, Inc., First Lien Initial Term Loan, 3M US L + 5.25%, 12/28/2024(b) | 857,500 | 855,356 | ||||||
| Cambium Learning Group, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 12/18/2025 | 458,182 | 444,436 | ||||||
| Capri Acquisitions BidCo, Ltd., First Lien Initial Dollar Term Loan, 3M US L + 3.00%, 11/01/2024 | 2,154,522 | 2,138,094 | ||||||
| Cast & Crew Payroll LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 02/09/2026 | 398,005 | 400,493 | ||||||
| DG Investment Intermediate Holdings 2, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 02/02/2026(b) | 465,517 | 451,552 | ||||||
| DG Investment Intermediate Holdings 2, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 02/03/2025 | 333,562 | 332,728 | ||||||
| Dun & Bradstreet Corp., First Lien Initial Borrowing Term Loan, 1M US L + 5.00%, 02/06/2026 | 1,506,306 | 1,521,369 | ||||||
| Epicor Software Corp., First Lien B Term Loan, 1M US L + 3.25%, 06/01/2022 | 493,910 | 497,276 | ||||||
| Explorer Holdings, Inc., First Lien Term Loan, 3M US L + 4.50%, 11/20/2026 | 630,000 | 635,906 | ||||||
| Garda World Security Corp., First Lien Initial Term Loan, 3M US L + 4.75%, 10/30/2026 | 1,076,923 | 1,085,678 | ||||||
| GI Revelation Acquisition LLC, First Lien Initial Term Loan, 1M US L + 5.00%, 04/16/2025 | 2,010,178 | 1,902,141 | ||||||
| GI Revelation Acquisition LLC, Second Lien Initial Term Loan, 1M US L + 9.00%, 04/16/2026 | 2,200,000 | 1,985,500 | ||||||
| Inmar, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 05/01/2024 | 390,762 | 374,155 | ||||||
| Inmar, Inc., Second Lien Initial Term Loan, 3M US L + 8.00%, 05/01/2025 | 1,183,432 | 1,109,840 | ||||||
| KUEHG Corp, First Lien B-3 Term Loan, 3M US L + 3.75%, 02/21/2025 | 1,625,053 | 1,632,837 | ||||||
| KUEHG Corp, Second Lien Tranche B Term Loan, 3M US L + 8.25%, 08/22/2025 | 2,250,000 | 2,254,579 | ||||||
| LD Intermediate Holdings, Inc., First Lien Initial Term Loan, 3M US L + 5.88%, 12/09/2022 | 1,910,340 | 1,915,116 | ||||||
| LegalZoom.com, Inc., First Lien 2018 Term Loan, 1M US L + 4.50%, 11/21/2024 | 1,866,857 | 1,884,359 | ||||||
| Minotaur Acquisition, Inc., First Lien B Term Loan, 1M US L + 5.00%, 03/27/2026 | 1,356,791 | 1,339,831 | ||||||
| Mitchell International, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 11/29/2024 | 2,066,419 | 2,053,835 | ||||||
| Mitchell International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 12/01/2025 | 690,909 | 665,000 | ||||||
| National Intergovernmental Purchasing Alliance Co., Second Lien Initial Term Loan, 3M US L + 7.50%, 05/22/2026(b) | 1,540,000 | 1,516,900 | ||||||
| National Intergovernmental Purchasing Alliance Co., First Lien Initial Term Loan, 3M US L + 3.75%, 05/23/2025 | 2,022,302 | 2,028,197 | ||||||
| Polyconcept North America Holdings, Inc., First Lien Closing Date Term Loan, 1M US L + 3.75%, 08/16/2023 | 577,819 | 577,819 | ||||||
| PriceWaterhouseCoopers, First Lien Initial Term Loan, 1M US L + 4.50%, 05/01/2025 | 1,675,747 | 1,666,321 | ||||||
| PriceWaterhouseCoopers, Second Lien Initial Term Loan, 1M US L + 8.00%, 05/01/2026(b) | 440,000 | 433,400 | ||||||
| Project Boost Purchaser LLC, First Lien B Term Loan, 1M US L + 3.50%, 06/01/2026 | 634,773 | 638,642 | ||||||
| Revspring, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/11/2025 | 1,306,800 | 1,308,434 | ||||||
| Sedgwick Claims Management Services, Inc., First Lien 2019 Term Loan, 1M US L + 4.00%, 09/03/2026 | 1,090,174 | 1,101,534 | ||||||
| Sedgwick Claims Management Services, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 12/31/2025 | 1,445,309 | 1,448,019 | ||||||
| Surveymonkey, Inc., First Lien Term Loan, 1W US L + 3.75%, 10/10/2025(b) | 2,558,826 | 2,568,421 | ||||||
| ThoughtWorks, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 10/11/2024 | 1,927,855 | 1,932,675 | ||||||
| TRC Companies, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 06/21/2024 | 1,915,435 | 1,848,394 | ||||||
| Weld North Education LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 02/15/2025(b) | 3,144,000 | 3,155,790 | ||||||
| 59,066,067 | ||||||||
| Cable & Satellite Television - 0.20% | ||||||||
| Radiate Holdco LLC, First Lien Amendment No. 2 Incremental Term Loan, 1M US L + 3.50%, 02/01/2024 | 498,747 | 502,737 | ||||||
| Chemical & Plastics - 5.02% | ||||||||
| Ascend Performance Materials Operations LLC, First Lien Initial Term Loan, 1M US L + 5.25%, 08/27/2026 | 1,496,250 | 1,511,213 | ||||||
| Composite Resins Holding B.V., First Lien Initial Term Loan, 3M US L + 4.25%, 08/01/2025 | 2,600,400 | 2,613,402 | ||||||
| DCG Acquisition Corp., First Lien B Term Loan, 1W US L + 4.50%, 09/30/2026(b) | 1,220,817 | 1,228,447 | ||||||
See Notes to Financial Statements.
| 10 | www.blackstone-gso.com |
| Blackstone / GSO Senior Floating Rate Term Fund | Portfolio of Investments |
December 31, 2019
|
Principal Amount |
Value | |||||||
| Chemical & Plastics (continued) | ||||||||
| Emerald Performance Materials LLC, First Lien Initial Term Loan, 1M US L + 3.50%, 07/30/2021 | $ | 1,924,055 | $ | 1,914,435 | ||||
| Nouryon Finance B.V., First Lien Initial Dollar Term Loan, 1M US L + 3.25%, 10/01/2025 | 1,786,349 | 1,790,073 | ||||||
| Peroxychem LLC, First Lien Initial Term Loan, 6M US L + 5.00%, 10/01/2024(b) | 1,367,442 | 1,365,733 | ||||||
| Spectrum Holdings III Corp., First Lien Closing Date Term Loan, 1M US L + 3.25%, 01/31/2025 | 406,723 | 378,592 | ||||||
| Spectrum Holdings III Corp., Second Lien Closing Date Term Loan, 1M US L + 7.00%, 01/31/2026 | 600,000 | 486,000 | ||||||
| Vantage Specialty Chemicals, Inc., First Lien Closing Date Term Loan, 1M US L + 3.50%, 10/28/2024 | 722,785 | 676,408 | ||||||
| Vantage Specialty Chemicals, Inc., Second Lien Initial Term Loan, 3M US L + 8.25%, 10/27/2025(b) | 725,111 | 632,659 | ||||||
| 12,596,962 | ||||||||
| Conglomerates - 0.51% | ||||||||
| Output Services Group, Inc., First Lien B Term Loan, 1M US L + 4.50%, 03/27/2024 | 600,889 | 509,254 | ||||||
| Spring Education Group, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 07/30/2025 | 776,032 | 781,367 | ||||||
| 1,290,621 | ||||||||
| Containers & Glass Products - 2.23% | ||||||||
| Charter NEX US, Inc., First Lien Third Amendment Incremental Term Loan, 1M US L + 3.50%, 05/16/2024 | 236,313 | 238,233 | ||||||
| Flex Acquisition Co., Inc., First Lien Incremental B-2018 Term Loan, 3M US L + 3.25%, 06/29/2025 | 1,281,393 | 1,274,986 | ||||||
| IBC Capital I, Ltd., First Lien Tranche B-1 Term Loan, 3M US L + 3.75%, 09/11/2023 | 1,080,750 | 1,083,452 | ||||||
| IBC Capital, Ltd., Second Lien Tranche B-1 Term Loan, 3M US L + 7.00%, 09/11/2024(b) | 620,110 | 612,358 | ||||||
| ProAmpac PG Borrower LLC, First Lien Initial Term Loan, 3M US L + 3.50%, 11/20/2023 | 580,263 | 573,193 | ||||||
| ProAmpac PG Borrower LLC, Second Lien Initial Term Loan, 3M US L + 8.50%, 11/18/2024(b) | 488,038 | 469,736 | ||||||
| Strategic Materials Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.75%, 10/31/2025(b) | 1,400,000 | 966,000 | ||||||
| Trident TPI Holdings, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.00%, 10/17/2024 | 378,246 | 368,445 | ||||||
| 5,586,403 | ||||||||
| Diversified Insurance - 1.40% | ||||||||
| Acrisure LLC, First Lien 2017-2 Refinancing Term Loan, 3M US L + 4.25%, 11/22/2023 | 1,462,507 | 1,468,905 | ||||||
| Acrisure LLC, First Lien 2018-1 Additional Term Loan, 3M US L + 3.75%, 11/22/2023 | 608,708 | 610,482 | ||||||
| AmWINS Group, Inc., First Lien Term Loan, 1W US L + 6.75%, 01/25/2024 | 217,412 | 219,559 | ||||||
| Broadstreet Partners, Inc., First Lien Tranche B-2 Term Loan, 1M US L + 3.25%, 11/08/2023 | 284,681 | 286,284 | ||||||
| CP VI Bella Midco LLC, First Lien Initial Term Loan, 1M US L + 2.75%, 12/27/2024 | 413,437 | 405,816 | ||||||
| CP VI Bella Midco LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 12/29/2025 | 385,714 | 382,100 | ||||||
| NFP Corp., First Lien B Term Loan, 1M US L + 3.00%, 01/08/2024 | 147,472 | 147,116 | ||||||
| 3,520,262 | ||||||||
| Drugs - 2.19% | ||||||||
| Albany Molecular Research, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 08/30/2024 | 623,386 | 621,830 | ||||||
| Albany Molecular Research, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 08/30/2025 | 392,857 | 392,857 | ||||||
| Arbor Pharmaceuticals LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 07/05/2023 | 1,512,734 | 1,335,744 | ||||||
| Cambrex Corp., First Lien Initial Dollar Term Loan, 3M US L + 5.00%, 12/04/2026 | 1,260,000 | 1,259,213 | ||||||
| Packaging Coordinators Midco, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 06/30/2023 | 1,880,619 | 1,876,708 | ||||||
| 5,486,352 | ||||||||
| Ecological Services & Equipment - 0.91% | ||||||||
| Eagle 4, Ltd., Second Lien Initial Term Loan, 3M US L + 7.75%, 07/12/2027 | 649,091 | 649,091 | ||||||
| Emerald 2, Ltd., First Lien Initial B-1 Term Loan, 3M US L + 3.75%, 07/10/2026 | 344,660 | 346,254 | ||||||
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 11 |
| Blackstone / GSO Senior Floating Rate Term Fund | Portfolio of Investments |
December 31, 2019
|
Principal Amount |
Value | |||||||
| Ecological Services & Equipment (continued) | ||||||||
| EnergySolutions LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 05/09/2025 | $ | 922,134 | $ | 874,012 | ||||
| Tunnel Hill Partners LP, First Lien Initial Term Loan, 1M US L + 3.50%, 02/06/2026 | 405,783 | 404,769 | ||||||
| 2,274,126 | ||||||||
| Electronics/Electric - 28.03% | ||||||||
| Applovin Corp., First Lien Initial Term Loan, 1M US L + 3.50%, 08/15/2025 | 403,100 | 406,313 | ||||||
| Boxer Parent Co., Inc., First Lien Initial Dollar Term Loan, 1M US L + 4.25%, 10/02/2025 | 3,267,000 | 3,237,679 | ||||||
| Brave Parent Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 04/18/2025 | 868,972 | 853,587 | ||||||
| CommerceHub, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 05/21/2025 | 1,255,875 | 1,238,607 | ||||||
| Compuware Corp., First Lien Term Loan, 1M US L + 4.00%, 08/22/2025 | 353,146 | 355,941 | ||||||
| ConvergeOne Holdings, Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 01/04/2026 | 2,183,500 | 2,094,599 | ||||||
| CPI International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 07/28/2025(b) | 313,725 | 301,961 | ||||||
| Curvature, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 10/30/2023 | 3,836,948 | 3,013,923 | ||||||
| DCert Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/16/2026 | 1,152,439 | 1,158,201 | ||||||
| DiscoverOrg LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 02/02/2026 | 1,819,583 | 1,828,681 | ||||||
| ECi Macola/MAX Holding LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 09/27/2024 | 823,446 | 824,990 | ||||||
| Electronics for Imaging, Inc., First Lien Initial Term Loan, 3M US L + 5.00%, 07/23/2026 | 1,050,000 | 981,099 | ||||||
| Ellie Mae, Inc., First Lien Term Loan, 3M US L + 4.00%, 04/17/2026 | 4,139,625 | 4,173,280 | ||||||
| Excelitas Technologies Corp., First Lien Initial USD Term Loan, 3M US L + 3.50%, 12/02/2024 | 69,822 | 69,779 | ||||||
| Flexera Software LLC, First Lien Initial Term Loan, 1M US L + 3.50%, 02/26/2025 | 225,862 | 226,850 | ||||||
| Flexera Software LLC, Second Lien Initial Term Loan, 1M US L + 7.25%, 02/26/2026 | 773,145 | 775,078 | ||||||
| Gigamon, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 12/27/2024 | 1,874,639 | 1,858,236 | ||||||
| Help/Systems Holdings, Inc., First Lien Term Loan, 1M US L + 4.75%, 11/19/2026 | 1,161,702 | 1,156,864 | ||||||
| Hyland Software, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 07/07/2025 | 696,541 | 707,425 | ||||||
| Idera, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2024 | 1,733,814 | 1,742,492 | ||||||
| Imperva, Inc., Second Lien Term Loan, 3M US L + 7.75%, 01/11/2027 | 980,805 | 861,882 | ||||||
| Imperva, Inc., First Lien Term Loan, 3M US L + 4.00%, 01/12/2026 | 1,194,000 | 1,128,927 | ||||||
| Ivanti Software, Inc., Second Lien Term Loan, 1M US L + 9.00%, 01/20/2025 | 2,000,000 | 1,972,500 | ||||||
| Ivanti Software, Inc., First Lien Term Loan, 1M US L + 4.25%, 01/20/2024 | 2,062,810 | 2,067,750 | ||||||
| LI Group Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 12/20/2026(b) | 840,000 | 842,100 | ||||||
| MACOM Technology Solutions Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.25%, 05/17/2024 | 1,637,405 | 1,569,862 | ||||||
| McAfee LLC, First Lien B USD Term Loan, 1M US L + 3.75%, 09/30/2024 | 2,633,818 | 2,648,633 | ||||||
| Merrill Communications LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 10/05/2026 | 630,000 | 636,300 | ||||||
| MH Sub I LLC, First Lien Amendment No. 2 Initial Term Loan, 1M US L + 3.75%, 09/13/2024 | 933,202 | 936,767 | ||||||
| MLN US HoldCo LLC, First Lien B Term Loan, 1M US L + 4.50%, 11/30/2025 | 1,495,458 | 1,419,436 | ||||||
| MYOB US Borrower LLC, First Lien Initial U.S. Term Loan, 1M US L + 4.00%, 05/06/2026(b) | 972,889 | 982,618 | ||||||
| Navex Topco, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 09/05/2025 | 661,985 | 662,813 | ||||||
| Navex Topco, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 09/04/2026 | 1,100,000 | 1,090,831 | ||||||
| Navico, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/31/2023 | 64,413 | 52,819 | ||||||
| Park Place Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 03/29/2025 | 2,250,009 | 2,242,516 | ||||||
| Perforce Software, Inc., First Lien B Term Loan, 1M US L + 4.50%, 07/01/2026 | 576,493 | 577,576 | ||||||
| Project Alpha Intermediate Holding, Inc., First Lien Term Loan, 3M US L + 3.50%, 04/26/2024 | 3,324,232 | 3,336,714 | ||||||
| Project Angel Parent LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b) | 1,297,015 | 1,277,560 | ||||||
| Project Leopard Holdings, Inc., First Lien 2019 Incremental Term Loan, 1M US L + 4.25%, 07/07/2023 | 377,520 | 380,351 | ||||||
| Project Leopard Holdings, Inc., First Lien 2018 Repricing Term Loan, 1M US L + 4.50%, 07/07/2023 | 320,941 | 323,751 | ||||||
| Project Silverback Holdings Corp., First Lien New Term Loan, 3M US L + 3.50%, 08/21/2024 | 743,451 | 638,126 | ||||||
| Quest Software US Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 8.25%, 05/18/2026 | 2,994,017 | 2,938,628 | ||||||
| Quest Software US Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 05/16/2025 | 1,136,295 | 1,129,199 | ||||||
| Riverbed Technology, Inc., First Lien First Amendment Term Loan, 1M US L + 3.25%, 04/24/2022 | 986,004 | 865,840 | ||||||
| Rocket Software, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 11/28/2025 | 2,053,128 | 2,003,093 | ||||||
See Notes to Financial Statements.
| 12 | www.blackstone-gso.com |
| Blackstone / GSO Senior Floating Rate Term Fund | Portfolio of Investments |
December 31, 2019
|
Principal Amount |
Value | |||||||
| Electronics/Electric (continued) | ||||||||
| S2P Acquisition Borrower, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 08/14/2026 | $ | 1,163,750 | $ | 1,170,540 | ||||
| SonicWall US Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 05/18/2026 | 1,760,000 | 1,560,530 | ||||||
| SonicWall US Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 05/16/2025 | 1,316,601 | 1,287,524 | ||||||
| Triton Solar US Acquisition Co., First Lien Initial Term Loan, 1M US L + 6.00%, 10/29/2024 | 250,246 | 212,292 | ||||||
| Veritas US, Inc., First Lien New Dollar B Term Loan, 1M US L + 4.50%, 01/27/2023 | 1,787,684 | 1,726,134 | ||||||
| Vero Parent, Inc., First Lien 2019 Incremental Term Loan, 3M US L + 6.00%, 08/16/2024 | 1,470,000 | 1,403,850 | ||||||
| Vero Parent, Inc., First Lien 2018 Refinancing Term Loan, 3M US L + 6.25%, 08/16/2024 | 611,972 | 589,023 | ||||||
| Web.com Group, Inc., Second Lien Initial Term Loan, 1M US L + 7.75%, 10/09/2026 | 804,990 | 777,069 | ||||||
| Web.com Group, Inc., First Lien B Term Loan, 1M US L + 3.75%, 10/10/2025 | 1,999,087 | 2,000,376 | ||||||
| 70,319,515 | ||||||||
| Equipment Leasing - 0.24% | ||||||||
| CSC SW Holdco, Inc., First Lien B-1 Term Loan, 3M US L + 3.25%, 11/14/2022 | 617,089 | 613,343 | ||||||
| Financial Intermediaries - 1.36% | ||||||||
| ASP MCS Acquisition Corp., First Lien Initial Term Loan, 1M US L + 4.75%, 05/20/2024 | 2,733,323 | 1,301,062 | ||||||
| NorthStar Financial Services Group LLC, First Lien Initial Term Loan, 1M US L + 3.50%, 05/25/2025 | 1,683,142 | 1,668,414 | ||||||
| NorthStar Financial Services Group LLC, Second Lien Initial Term Loan, 1M US L + 7.50%, 05/25/2026(b) | 433,744 | 429,406 | ||||||
| 3,398,882 | ||||||||
| Food Products - 3.43% | ||||||||
| Alphabet Holding Co., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/26/2024 | 2,063,811 | 2,000,050 | ||||||
| Give & Go Prepared Foods Corp., First Lien 2017 Term Loan, 3M US L + 4.25%, 07/29/2023 | 553,927 | 529,693 | ||||||
| Snacking Investments Bidco Pty Limited, First Lien Term Loan, 3M US L + 4.00%, 10/16/2026 | 1,852,941 | 1,858,741 | ||||||
| TKC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 02/01/2023 | 3,435,360 | 3,203,473 | ||||||
| TKC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 8.00%, 02/01/2024 | 1,105,408 | 1,005,921 | ||||||
| 8,597,878 | ||||||||
| Food Service - 3.64% | ||||||||
| CEC Entertainment, Inc., First Lien B Term Loan, 1M US L + 6.50%, 08/30/2026 | 1,726,622 | 1,663,419 | ||||||
| Flynn Restaurant Group LP, First Lien B Initial Term Loan, 1M US L + 3.50%, 06/27/2025 | 1,837,929 | 1,770,156 | ||||||
| Fogo de Chao, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.25%, 04/07/2025(b) | 1,868,314 | 1,879,991 | ||||||
| Quidditch Acquisition, Inc., First Lien B Term Loan, 1M US L + 7.00%, 03/21/2025(b) | 1,255,417 | 1,267,971 | ||||||
| Tacala Investment Corp., First Lien Initial Term Loan, 1M US L + 3.25%, 01/31/2025 | 733,135 | 737,192 | ||||||
| Tacala Investment Corp., Second Lien Initial Term Loan, 1M US L + 7.75%, 01/30/2026 | 1,308,103 | 1,304,833 | ||||||
| Whatabrands LLC, First Lien B Term Loan, 1M US L + 3.25%, 08/02/2026 | 490,820 | 494,239 | ||||||
| 9,117,801 | ||||||||
| Food/Drug Retailers - 2.02% | ||||||||
| EG Group, Ltd., First Lien Facility B Term Loan, 3M US L + 4.00%, 02/07/2025 | 204,688 | 204,283 | ||||||
| EG Group, Ltd., First Lien Additional Facility Term Loan, 3M US L + 4.00%, 02/07/2025 | 4,881,370 | 4,871,729 | ||||||
| 5,076,012 | ||||||||
| Health Insurance - 1.49% | ||||||||
| Achilles Acquisition LLC, First Lien Closing Date Term Loan, 1M US L + 4.00%, 10/13/2025 | 838,464 | 848,421 | ||||||
| FHC Health Systems, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 12/23/2021 | 2,539,091 | 2,542,265 | ||||||
| MPH Acquisition Holdings LLC, First Lien Initial Term Loan, 3M US L + 2.75%, 06/07/2023 | 344,433 | 340,434 | ||||||
| 3,731,120 | ||||||||
| Healthcare - 21.74% | ||||||||
| Alvogen Pharma US, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.75%, 04/01/2022 | 2,375,157 | 2,041,162 | ||||||
| American Renal Holdings, Inc., First Lien B Term Loan, 1M US L + 3.25%, 06/14/2024 | 418,926 | 399,140 | ||||||
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 13 |
| Blackstone / GSO Senior Floating Rate Term Fund | Portfolio of Investments |
December 31, 2019
|
Principal Amount |
Value | |||||||
| Healthcare (continued) | ||||||||
| ATI Holdings Acquisition, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 05/10/2023 | $ | 328,051 | $ | 327,369 | ||||
| BioClinica Holding I LP, First Lien Initial Term Loan, 1M US L + 4.25%, 10/20/2023 | 1,826,366 | 1,781,282 | ||||||
| BioClinica Holding I LP, Second Lien Initial Term Loan, 1M US L + 8.25%, 10/21/2024 | 1,052,629 | 984,208 | ||||||
| Carestream Health, Inc., Second Lien Extended Term Loan, 1M US L + 9.50%, 06/07/2021 | 2,390,930 | 2,265,406 | ||||||
| Carestream Health, Inc., First Lien Extended Term Loan, 1M US L + 5.50%, 02/28/2021 | 173,634 | 171,500 | ||||||
| Certara Holdco, Inc., First Lien Replacement Term Loan, 3M US L + 3.50%, 08/15/2024(b) | 219,263 | 218,989 | ||||||
| Covenant Surgical Partners, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 07/01/2026 | 1,309,219 | 1,305,946 | ||||||
| CPI Holdco LLC, First Lien B Term Loan, 3M US L + 4.25%, 11/04/2026(b) | 1,260,000 | 1,265,513 | ||||||
| CT Technologies Intermediate Holdings, Inc., First Lien New Facility Term Loan, 1M US L + 4.25%, 12/01/2021 | 2,159,823 | 2,043,193 | ||||||
| Endo International PLC, First Lien Initial Term Loan, 1M US L + 4.25%, 04/29/2024 | 767,908 | 737,311 | ||||||
| Envision Healthcare Corp., First Lien Initial Term Loan, 1M US L + 3.75%, 10/10/2025 | 2,276,361 | 1,952,924 | ||||||
| Femur Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 03/05/2026(b) | 734,766 | 718,233 | ||||||
| Greenway Health LLC, First Lien Term Loan, 3M US L + 3.75%, 02/16/2024 | 1,344,828 | 1,203,621 | ||||||
| Heartland Dental LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 04/30/2025 | 2,955,458 | 2,949,295 | ||||||
| Heartland Dental LLC, First Lien Incremental 2 Facility Term Loan, 1M US L + 4.50%, 04/30/2025 | 489,727 | 486,054 | ||||||
| Immucor, Inc., First Lien B-3 Term Loan, 3M US L + 5.00%, 06/15/2021 | 359,357 | 358,683 | ||||||
| Lanai Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 4.75%, 08/29/2022 | 1,359,609 | 1,289,589 | ||||||
| Lifescan Global Corp., First Lien Initial Term Loan, 3M US L + 6.00%, 10/01/2024 | 2,623,750 | 2,512,241 | ||||||
| Maravai Intermediate Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 08/02/2025 | 998,649 | 996,153 | ||||||
| Navicure, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/22/2026 | 1,065,217 | 1,072,541 | ||||||
| Netsmart Technologies, Inc., First Lien D-1 Term Loan, 1M US L + 3.75%, 04/19/2023 | 3,675,594 | 3,668,702 | ||||||
| NMSC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/19/2023 | 236,749 | 235,861 | ||||||
| nThrive, Inc., First Lien Additional B-2 Term Loan, 1M US L + 4.50%, 10/20/2022 | 3,506,260 | 2,938,684 | ||||||
| NVA Holdings, Inc., First Lien Incremental B-4 Term Loan, 3M US L + 3.50%, 02/02/2025 | 656,700 | 657,114 | ||||||
| Onex TSG Holdings II Corp., First Lien Initial Term Loan, 1M US L + 4.00%, 07/29/2022 | 1,196,887 | 1,117,893 | ||||||
| Ortho-Clinical Diagnostics, Inc., First Lien Second Amendment New Term Loan, 1M US L + 3.25%, 06/30/2025 | 474,967 | 470,514 | ||||||
| Parexel International Corp., First Lien Initial Term Loan, 1M US L + 2.75%, 09/27/2024 | 1,574,941 | 1,549,348 | ||||||
| PetVet Care Centers LLC, First Lien Initial Term Loan, 1M US L + 2.75%, 02/14/2025 | 747,707 | 739,882 | ||||||
| PetVet Care Centers LLC, First Lien 2018 Term Loan, 1M US L + 3.25%, 02/14/2025 | 653,383 | 648,483 | ||||||
| Phoenix Guarantor, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/05/2026 | 3,137,102 | 3,158,701 | ||||||
| Project Ruby Ultimate Parent Corp., First Lien New Term Loan, 1M US L + 3.50%, 02/09/2024 | 797,538 | 792,885 | ||||||
| Regionalcare Hospital Partners Holdings, Inc., First Lien B Term Loan, 1M US L + 4.50%, 11/16/2025 | 1,957,733 | 1,976,087 | ||||||
| Sunshine Luxembourg VII SARL, First Lien Facility B1 Term Loan, 3M US L + 4.25%, 10/01/2026 | 518,519 | 524,119 | ||||||
| Surgery Center Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 09/02/2024 | 138,958 | 138,640 | ||||||
| Team Health Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.75%, 02/06/2024 | 987,310 | 804,040 | ||||||
| U.S. Anesthesia Partners, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 06/23/2024 | 690,957 | 690,093 | ||||||
| Verscend Holding Corp., First Lien B Term Loan, 1M US L + 4.50%, 08/27/2025 | 1,357,813 | 1,370,257 | ||||||
| Viant Medical Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 07/02/2025 | 410,221 | 403,169 | ||||||
| Vyaire Medical, Inc., First Lien Term Loan, 3M US L + 4.75%, 04/16/2025 | 3,250,500 | 2,827,935 | ||||||
| YI LLC, First Lien Initial Term Loan, 3M US L + 4.00%, 11/07/2024 | 1,391,394 | 1,303,270 | ||||||
| Zest Acquisition Corp., Second Lien Initial Term Loan, 1M US L + 7.50%, 03/13/2026(b) | 1,500,000 | 1,413,750 | ||||||
| 54,509,780 | ||||||||
| Home Furnishings - 1.76% | ||||||||
| AI Aqua Merger Sub, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.25%, 12/13/2023 | 1,293,272 | 1,259,860 | ||||||
| AI Aqua Merger Sub, Inc., First Lien 2017 Incremental Term Loan, 1M US L + 3.25%, 12/13/2023 | 940,800 | 916,104 | ||||||
| Hayward Industries, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/05/2024 | 109,061 | 108,516 | ||||||
| Prime Security Services Borrower LLC, First Lien 2019 Refinancing B-1 Term Loan, 1M US L + 3.25%, 09/23/2026 | 1,625,925 | 1,632,941 | ||||||
See Notes to Financial Statements.
| 14 | www.blackstone-gso.com |
| Blackstone / GSO Senior Floating Rate Term Fund | Portfolio of Investments |
December 31, 2019
|
Principal Amount |
Value | |||||||
| Home Furnishings (continued) | ||||||||
| Serta Simmons Bedding LLC, Second Lien Initial Term Loan, 1M US L + 8.00%, 11/08/2024 | $ | 1,645,600 | $ | 507,396 | ||||
| 4,424,817 | ||||||||
| Industrial Equipment - 4.18% | ||||||||
| Apex Tool Group LLC, First Lien Third Amendment Term Loan, 1M US L + 5.50%, 08/01/2024 | 2,111,971 | 2,088,539 | ||||||
| Engineered Machinery Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.00%, 07/19/2024 | 1,471,960 | 1,460,000 | ||||||
| Justrite Safety Group, First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2026(b) | 943,606 | 908,221 | ||||||
| Justrite Safety Group, First Lien Delayed Draw Term Loan, 3M US L + 4.50%, 06/28/2026(b)(c) | 51,003 | 49,090 | ||||||
| LTI Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/06/2025 | 881,247 | 796,898 | ||||||
| LTI Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 09/06/2026 | 468,085 | 358,085 | ||||||
| Robertshaw US Holding Corp., First Lien Initial Term Loan, 1M US L + 3.25%, 02/28/2025(b) | 1,380,373 | 1,263,041 | ||||||
| Tailwind Smith Cooper Intermediate Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 05/28/2026 | 1,005,813 | 965,581 | ||||||
| Titan Acquisition, Ltd., First Lien Initial Term Loan, 1M US L + 3.00%, 03/28/2025 | 2,638,287 | 2,601,061 | ||||||
| 10,490,516 | ||||||||
| Insurance - 0.97% | ||||||||
| APCO Holdings LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 06/09/2025(b) | 1,562,557 | 1,554,745 | ||||||
| Outcomes Group Holdings, Inc., Second Lien Term Loan, 3M US L + 7.50%, 10/26/2026(b) | 423,077 | 420,962 | ||||||
| Outcomes Group Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 10/24/2025 | 475,200 | 468,466 | ||||||
| 2,444,173 | ||||||||
| Leisure Goods/Activities/Movies - 2.18% | ||||||||
| Recess Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 09/30/2024 | 1,953,825 | 1,949,751 | ||||||
| Thunder Finco Pty, Ltd., First Lien Term Loan, 3M US L + 4.75%, 11/20/2026(b) | 1,050,000 | 1,050,000 | ||||||
| Travelport Finance S.à r.l., First Lien Initial Term Loan, 3M US L + 5.00%, 05/29/2026 | 2,633,400 | 2,470,129 | ||||||
| 5,469,880 | ||||||||
| Lodging & Casinos - 0.94% | ||||||||
| Aimbridge Acquisition Co., Inc., First Lien Initial (2019) Term Loan, 1M US L + 3.75%, 02/02/2026(b) | 698,250 | 705,233 | ||||||
| Casablanca US Holdings, Inc., First Lien Amendment No. 2 Initial Term Loan, 3M US L + 4.00%, 03/29/2024 | 1,729,200 | 1,645,619 | ||||||
| 2,350,852 | ||||||||
| Nonferrous Metals/Minerals - 1.17% | ||||||||
| Aleris International, Inc., First Lien Initial Term Loan, 1M US L + 4.75%, 02/27/2023 | 1,743,563 | 1,747,922 | ||||||
| American Rock Salt Co. LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 03/21/2025(b) | 967,445 | 974,701 | ||||||
| Murray Energy Corp., First Lien Superpriority B-2 Term Loan, 3M US L + 7.25%, 10/17/2022(d) | 967,856 | 211,854 | ||||||
| 2,934,477 | ||||||||
| Oil & Gas - 3.42% | ||||||||
| Ascent Resources - Marcellus LLC, First Lien Initial Term Loan, 1M US L + 6.50%, 03/30/2023 | 246,914 | 230,864 | ||||||
| BCP Raptor II LLC, First Lien Initial Term Loan, 2M US L + 4.75%, 11/03/2025 | 380,708 | 352,789 | ||||||
| Equitrans Midstream Corp., First Lien Holdco B Facility Term Loan, 1M US L + 4.50%, 01/31/2024 | 735,811 | 734,126 | ||||||
| Lower Cadence Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/22/2026 | 1,340,204 | 1,329,322 | ||||||
| Lucid Energy Group II Borrower LLC, First Lien Initial Term Loan, 1M US L + 3.00%, 02/17/2025 | 797,551 | 741,722 | ||||||
| Petroleum GEO-Services ASA, First Lien Extended Term Loan, 3M US L + 2.50%, 03/19/2021 | 1,629,883 | 1,551,649 | ||||||
| Sheridan Investment Partners I LLC, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019(d) | 2,772,674 | 1,705,194 | ||||||
| Sheridan Production Partners I LLC, First Lien Deferred Principal Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d) | 14,516 | 8,927 | ||||||
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 15 |
| Blackstone / GSO Senior Floating Rate Term Fund | Portfolio of Investments |
December 31, 2019
|
Principal Amount |
Value | |||||||
| Oil & Gas (continued) | ||||||||
| Sheridan Production Partners I LLC, First Lien M Deferred Principal TL Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d) | $ | 8,866 | $ | 5,453 | ||||
| Sheridan Production Partners I LLC, First Lien Deferred Principal TL Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d) | 109,547 | 67,371 | ||||||
| Sheridan Production Partners I-A LP, First Lien Tranche B-2 Term Loan, 1M US L + 3.50%, 10/01/2019(d) | 367,402 | 225,952 | ||||||
| Sheridan Production Partners I-M LP, First Lien Tranche B-2 Term Loan, 1M US L + 3.50%, 10/01/2019(d) | 224,411 | 138,013 | ||||||
| UTEX Industries, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/21/2021 | 2,036,441 | 1,495,929 | ||||||
| 8,587,311 | ||||||||
| Property & Casualty Insurance - 0.96% | ||||||||
| Asurion LLC, Second Lien Replacement B-2 Term Loan, 1M US L + 6.50%, 08/04/2025 | 1,910,526 | 1,938,468 | ||||||
| Confie Seguros Holding II Co., First Lien B Term Loan, 3M US L + 4.75%, 04/19/2022 | 490,239 | 477,372 | ||||||
| 2,415,840 | ||||||||
| Publishing - 2.81% | ||||||||
| Ancestry.com Operations, Inc., First Lien Extended Term Loan, 1M US L + 4.25%, 08/27/2026 | 1,076,680 | 1,061,542 | ||||||
| Champ Acquisition Corp., First Lien Initial Term Loan, 3M US L + 5.50%, 12/19/2025 | 1,613,060 | 1,613,737 | ||||||
| Clear Channel Outdoor Holdings, Inc., First Lien B Term Loan, 1M US L + 3.50%, 08/21/2026 | 1,163,750 | 1,172,164 | ||||||
| Recorded Books, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 08/29/2025(b) | 952,851 | 958,806 | ||||||
| Shutterfly, Inc., First Lien B Term Loan, 3M US L + 6.00%, 09/25/2026 | 1,680,000 | 1,586,895 | ||||||
| Southern Graphics, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 12/31/2023 | 1,500,000 | 414,000 | ||||||
| Southern Graphics, Inc., First Lien Refinancing Term Loan, 1M US L + 3.25%, 12/31/2022 | 404,451 | 253,107 | ||||||
| 7,060,251 | ||||||||
| Radio & Television - 1.63% | ||||||||
| iHeartCommunications, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/01/2026 | 1,613,697 | 1,629,495 | ||||||
| Terrier Media Buyer, Inc., First Lien B Term Loan, 3M US L + 4.25%, 12/12/2026 | 2,075,099 | 2,098,454 | ||||||
| William Morris Endeavor Entertainment LLC, First Lien B-1 Term Loan, 1M US L + 2.75%, 05/18/2025 | 353,402 | 352,372 | ||||||
| 4,080,321 | ||||||||
| Retailers (except food & drug) - 1.14% | ||||||||
| Ascena Retail Group, Inc., First Lien Tranche B Term Loan, 1M US L + 4.50%, 08/21/2022 | 1,094,008 | 749,395 | ||||||
| FBB Holdings III, Inc., First Lien Initial Term Loan, 3M US L + 9.00%, 02/07/2024(b) | 184,720 | 87,742 | ||||||
| FBB Holdings III, Inc., Second Lien Initial Term Loan, 3M US L + 7.00%, 01/31/2025(b) | 64,966 | 6,172 | ||||||
| Petco Animal Supplies, Inc., First Lien Term Loan, 3M US L + 3.25%, 01/26/2023 | 643,980 | 550,200 | ||||||
| Spencer Spirit IH LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 06/19/2026 | 1,466,325 | 1,454,873 | ||||||
| Sports Authority, Inc., First Lien B Term Loan, 3M US L + 6.00%, 11/16/2019(b)(d) | 4,090,935 | 8,182 | ||||||
| 2,856,564 | ||||||||
| Steel - 0.73% | ||||||||
| Can Am Construction, Inc., First Lien Closing Date Term Loan, 1M US L + 5.00%, 07/01/2024(b) | 1,493,147 | 1,493,146 | ||||||
| Phoenix Services International LLC, First Lien B Term Loan, 1M US L + 3.75%, 03/01/2025 | 357,911 | 338,523 | ||||||
| 1,831,669 | ||||||||
| Surface Transport - 1.15% | ||||||||
| Drive Chassis Holdco LLC, Second Lien B Term Loan, 3M US L + 8.25%, 04/10/2026(b) | 2,200,000 | 2,029,500 | ||||||
| SMB Shipping Logistics LLC, First Lien Term Loan, 3M US L + 4.00%, 02/05/2024 | 863,441 | 863,445 | ||||||
| 2,892,945 | ||||||||
| Telecommunications - 3.23% | ||||||||
| Alorica, Inc., First Lien New B Term Loan, 1M US L + 4.25%, 06/30/2022 | 842,907 | 730,800 | ||||||
See Notes to Financial Statements.
| 16 | www.blackstone-gso.com |
| Blackstone / GSO Senior Floating Rate Term Fund | Portfolio of Investments |
December 31, 2019
|
Principal Amount |
Value | |||||||
| Telecommunications (continued) | ||||||||
| Avaya, Inc., First Lien Tranche B Term Loan, 1M US L + 4.25%, 12/15/2024 | $ | 903,808 | $ | 889,573 | ||||
| Aventiv Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 11/01/2024 | 167,011 | 125,146 | ||||||
| Cyxtera DC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 05/01/2025 | 300,751 | 186,800 | ||||||
| Ensono LP, First Lien Term Loan, 1M US L + 5.25%, 06/27/2025 | 1,229,085 | 1,232,668 | ||||||
| Masergy Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 12/16/2024 | 588,972 | 577,193 | ||||||
| Masergy Holdings, Inc., First Lien 2017 Replacement Term Loan, 3M US L + 3.25%, 12/15/2023 | 713,879 | 705,252 | ||||||
| Peak 10 Holding Corp., First Lien Initial Term Loan, 3M US L + 3.50%, 08/01/2024 | 1,066,364 | 892,125 | ||||||
| Peak 10 Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.25%, 08/01/2025 | 1,157,143 | 732,859 | ||||||
| Vertiv Group Corp., First Lien B Term Loan, 1M US L + 4.00%, 11/30/2023 | 2,040,638 | 2,040,638 | ||||||
| 8,113,054 | ||||||||
| Utilities - 3.41% | ||||||||
| Brookfield WEC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/01/2025 | 671,841 | 677,508 | ||||||
| Eastern Power LLC, First Lien Term Loan, 1M US L + 3.75%, 10/02/2023 | 560,692 | 563,013 | ||||||
| Granite Acquisition, Inc., First Lien B Term Loan, 3M US L + 3.50%, 12/17/2021 | 62,698 | 63,056 | ||||||
| Granite Acquisition, Inc., Second Lien B Term Loan, 3M US L + 7.25%, 12/19/2022 | 2,055,115 | 2,061,959 | ||||||
| Green Energy Partners/Stonewall LLC, First Lien B-1 Conversion Advances Term Loan, 3M US L + 5.50%, 11/13/2021 | 488,750 | 455,322 | ||||||
| Moxie Patriot LLC, First Lien Construction B-1 Advances Term Loan, 3M US L + 5.75%, 12/19/2020 | 1,362,538 | 1,214,362 | ||||||
| Panda Liberty LLC, First Lien Construction B-1 Advance Term Loan, 3M US L + 6.50%, 08/21/2020 | 2,357,497 | 2,106,022 | ||||||
| Pike Corp., First Lien Initial (2019) Term Loan, 1M US L + 3.25%, 07/24/2026 | 609,520 | 613,774 | ||||||
| Southeast PowerGen LLC, First Lien B Advance Term Loan, 1M US L + 3.50%, 12/02/2021 | 862,830 | 798,118 | ||||||
| 8,553,134 | ||||||||
| TOTAL FLOATING RATE LOAN INTERESTS | ||||||||
| (Cost $368,244,636) | 353,044,634 | |||||||
| COLLATERALIZED LOAN OBLIGATION SECURITIES(a) - 2.41% | ||||||||
| Structured Finance Obligations - 2.41% | ||||||||
| Babson CLO, Ltd. 2015-I 3M US L + 5.50%, 01/20/2031(b)(e) | 875,000 | 781,922 | ||||||
| Canyon Capital CLO 2016-1, Ltd. 3M US L + 1.90%, 07/15/2031(b)(e) | 500,000 | 487,400 | ||||||
| Carlyle Global Market Strategies CLO 2016-2, Ltd. 3M US L + 5.17%, 07/15/2027(b)(e) | 1,000,000 | 909,736 | ||||||
| Dryden 40 Senior Loan Fund 3M US L + 5.75%, 08/15/2031(b)(e) | 800,000 | 766,244 | ||||||
| Greywolf CLO IV, Ltd. 3M US L + 6.94%, 04/17/2030(b)(e) | 500,000 | 500,650 | ||||||
| Highbridge Loan Management 6-2015, Ltd. 3M US L + 5.10%, 02/05/2031(b)(e) | 834,000 | 749,023 | ||||||
| Neuberger Berman Loan Advisers CLO 27, Ltd. 3M US L + 5.20%, 01/15/2030(b)(e) | 667,000 | 623,758 | ||||||
| ROMARK CLO LLC 3M US L + 3.35%, 07/25/2031(b) | 250,000 | 247,603 | ||||||
| Romark CLO, Ltd. 3M US L + 2.15%, 10/23/2030(b)(e) | 330,000 | 326,830 | ||||||
| TICP CLO X, Ltd. 3M US L + 1.90%, 04/20/2031(b)(e) | 330,000 | 321,856 | ||||||
| TRESTLES CLO II, Ltd. 3M US L + 1.90%, 07/25/2031(b)(e) | 340,000 | 328,763 | ||||||
| 6,043,785 | ||||||||
| TOTAL COLLATERALIZED LOAN OBLIGATION SECURITIES | ||||||||
| (Cost $6,312,974) | 6,043,785 | |||||||
| CORPORATE BONDS - 4.52% | ||||||||
| Automotive - 0.20% | ||||||||
| Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. 7.875%, 10/01/2022(e) | 550,000 | 503,422 | ||||||
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 17 |
| Blackstone / GSO Senior Floating Rate Term Fund | Portfolio of Investments |
December 31, 2019
|
Principal Amount |
Value | |||||||
| Building & Development - 0.20% | ||||||||
| NWH Escrow Corp. 7.500%, 08/01/2021(e) | $ | 1,000,000 | $ | 510,000 | ||||
| Chemical & Plastics - 0.25% | ||||||||
| Starfruit Finco BV / Starfruit US Holdco LLC 8.000%, 10/01/2026(e) | 595,000 | 632,202 | ||||||
| Containers & Glass Products - 0.33% | ||||||||
| ARD Finance SA 6.500%, 06/30/2027(e)(f) | 800,000 | 828,640 | ||||||
| Diversified Insurance - 0.10% | ||||||||
| AmWINS Group, Inc. 7.750%, 07/01/2026(e) | 228,000 | 252,619 | ||||||
| Ecological Services & Equipment - 1.16% | ||||||||
| GFL Environmental, Inc.: | ||||||||
| 5.375%, 03/01/2023(e) | 1,325,000 | 1,368,063 | ||||||
| 7.000%, 06/01/2026(e) | 930,000 | 985,100 | ||||||
| 8.500%, 05/01/2027(e) | 513,000 | 565,249 | ||||||
| 2,918,412 | ||||||||
| Electronics/Electric - 0.50% | ||||||||
| Rackspace Hosting, Inc. 8.625%, 11/15/2024(e) | 452,000 | 442,960 | ||||||
| Riverbed Technology, Inc. 8.875%, 03/01/2023(e) | 1,385,000 | 803,300 | ||||||
| 1,246,260 | ||||||||
| Food/Drug Retailers - 0.39% | ||||||||
| Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC 5.875%, 02/15/2028(e) | 917,000 | 976,009 | ||||||
| Healthcare - 0.84% | ||||||||
| Envision Healthcare Corp. 8.750%, 10/15/2026(e) | 2,292,000 | 1,427,566 | ||||||
| Team Health Holdings, Inc. 6.375%, 02/01/2025(e) | 1,000,000 | 670,415 | ||||||
| 2,097,981 | ||||||||
| Property & Casualty Insurance - 0.15% | ||||||||
| GTCR AP Finance, Inc. 8.000%, 05/15/2027(e) | 350,000 | 364,997 | ||||||
| Publishing - 0.14% | ||||||||
| McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance 7.875%, 05/15/2024(e) | 420,000 | 362,424 | ||||||
| Radio & Television - 0.05% | ||||||||
| Entercom Media Corp. 6.500%, 05/01/2027(e) | 123,000 | 131,960 | ||||||
| Telecommunications - 0.21% | ||||||||
| Sprint Communications, Inc. 6.000%, 11/15/2022 | 500,000 | 525,265 | ||||||
| TOTAL CORPORATE BONDS | ||||||||
| (Cost $13,147,210) | 11,350,191 | |||||||
| Shares | ||||||||
| COMMON STOCK - 0.32% | ||||||||
| Building & Development - 0.20% | ||||||||
| Dayton Superior LLC(b)(g) | 5,726 | 515,342 | ||||||
See Notes to Financial Statements.
| 18 | www.blackstone-gso.com |
| Blackstone / GSO Senior Floating Rate Term Fund | Portfolio of Investments |
December 31, 2019
| Shares | Value | |||||||
| Oil & Gas - 0.12% | ||||||||
| Ascent Resources - Equity(g) | 177,384 | $ | 299,335 | |||||
| Templar Energy LLC(b)(g) | 72,786 | – | ||||||
| 299,335 | ||||||||
| TOTAL COMMON STOCK | ||||||||
| (Cost $3,974,819) | 814,677 | |||||||
| PREFERRED STOCK - 0.00% | ||||||||
| Oil & Gas - 0.00% | ||||||||
| Templar Energy LLC(b)(g) | 48,248 | – | ||||||
| TOTAL PREFERRED STOCK | ||||||||
| (Cost $482,483) | – | |||||||
| WARRANTS - 0.00%(h) | ||||||||
| Oil & Gas - 0.00% | ||||||||
| Ascent Resources Marcellus LLC expires 3/30/2023 at $6.15(b) | 45,926 | 1,378 | ||||||
| TOTAL WARRANTS | ||||||||
| (Cost $5,012) | 1,378 | |||||||
| Total Investments - 148.00% | ||||||||
| (Cost $392,167,134) | 371,254,665 | |||||||
| Other Assets in Excess of Liabilities - 1.23% | 3,092,863 | |||||||
| Leverage Facility - (49.23)% | (123,500,000 | ) | ||||||
| Net Assets - 100.00% | $ | 250,847,528 | ||||||
Amounts above are shown as a percentage of net assets as of December 31, 2019.
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
Libor Rates:
1M US L - 1 Month LIBOR as of December 31, 2019 was 1.76%
1W US L - 1 Week LIBOR as of December 31, 2019 was 1.63%
2M US L - 2 Month LIBOR as of December 31, 2019 was 1.83%
3M US L - 3 Month LIBOR as of December 31, 2019 was 1.91%
6M US L - 6 Month LIBOR as of December 31, 2019 was 1.91%
| (a) | Floating or variable rate security. The reference rate is described above. The rate in effect as of December 31, 2019 is based on the reference rate plus the displayed spread as of the security's last reset date. |
| (b) | Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs. |
| (c) | A portion of this position was not funded as of December 31, 2019. The Portfolio of Investments records only the funded portion of each position. As of December 31, 2019, the Fund has unfunded delayed draw loans in the amount of $595,240. Fair value of these unfunded delayed draws was $592,678. |
| (d) | Security is in default as of period end and is therefore non-income producing. |
| (e) | Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $16,621,108, which represented approximately 6.63% of net assets as of December 31, 2019. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. |
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 19 |
| Blackstone / GSO Senior Floating Rate Term Fund | Portfolio of Investments |
December 31, 2019
| (f) | Option to convert to pay-in-kind security. |
| (g) | Non-income producing security. |
| (h) | Amount represents less than 0.005% of net assets. |
See Notes to Financial Statements.
| 20 | www.blackstone-gso.com |
| Blackstone / GSO Long-Short Credit Income Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal
Amount |
Value | |||||||
| FLOATING RATE LOAN INTERESTS(a) - 141.33% | ||||||||
| Aerospace & Defense - 1.64% | ||||||||
| Nordam Group LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 04/09/2026(b) | $ | 1,429,200 | $ | 1,427,414 | ||||
| Propulsion Acquisition LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 07/13/2021(b) | 1,865,762 | 1,847,104 | ||||||
| 3,274,518 | ||||||||
| Air Transport - 1.18% | ||||||||
| Air Medical Group Holdings, Inc., First Lien 2018 New Term Loan, 1M US L + 4.25%, 03/14/2025 | 1,965,000 | 1,910,962 | ||||||
| Air Medical Group Holdings, Inc., First Lien 2018 Term Loan, 1M US L + 3.25%, 04/28/2022 | 467,085 | 458,984 | ||||||
| 2,369,946 | ||||||||
| Automotive - 1.02% | ||||||||
| Bright Bidco B.V., First Lien 2018 Refinancing B Term Loan, 3M US L + 3.50%, 06/30/2024 | 1,432,663 | 852,435 | ||||||
| Midas Intermediate Holdco II LLC, First Lien 2017 Refinancing Term Loan, 3M US L + 2.75%, 08/18/2021 | 355,420 | 350,680 | ||||||
| Superior Industries International, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 05/22/2024(b) | 859,793 | 836,148 | ||||||
| 2,039,263 | ||||||||
| Beverage & Tobacco - 0.23% | ||||||||
| Winebow Holdings, Inc., Second Lien Term Loan, 1M US L + 7.50%, 01/02/2022 | 693,642 | 469,363 | ||||||
| Brokers, Dealers & Investment Houses - 1.79% | ||||||||
| Advisor Group Holdings, Inc., First Lien Initial B Term Loan, 1M US L + 5.00%, 07/31/2026 | 1,000,000 | 994,380 | ||||||
| Advisor Group Holdings, Inc., First Lien Initial A Term Loan, 1M US L + 4.00%, 01/31/2025 | 711,856 | 689,614 | ||||||
| Deerfield Dakota Holding LLC, First Lien Initial Term Loan, 1M US L + 3.25%, 02/13/2025 | 712,746 | 712,044 | ||||||
| Edelman Financial Center LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 07/20/2026 | 553,846 | 554,538 | ||||||
| Newport Group Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 09/12/2025(b) | 623,465 | 625,024 | ||||||
| 3,575,600 | ||||||||
| Building & Development - 8.32% | ||||||||
| American Bath Group LLC, Second Lien Term Loan, 1M US L + 9.75%, 09/30/2024(b) | 150,000 | 150,000 | ||||||
| American Bath Group LLC, First Lien 2018 Replacement Term Loan, 1M US L + 4.25%, 09/30/2023(b) | 2,661,249 | 2,677,882 | ||||||
| CPG International LLC, First Lien New Term Loan, 3M US L + 3.75%, 05/05/2024 | 235,758 | 236,446 | ||||||
| Dayton Superior Corp., First Lien Term Loan, 3M US L + 7.00%, 12/04/2024 | 244,007 | 242,177 | ||||||
| Forterra Finance LLC, First Lien Replacement Term Loan, 1M US L + 3.00%, 10/25/2023 | 1,125,808 | 1,104,232 | ||||||
| Hillman Group, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025 | 2,661,722 | 2,625,123 | ||||||
| Interior Logic Group Holdings IV LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b) | 1,939,091 | 1,851,833 | ||||||
| LBM Borrower LLC, Second Lien Initial Term Loan, 1M US L + 9.25%, 08/20/2023 | 500,000 | 492,970 | ||||||
| LBM Borrower LLC, First Lien Tranche C Term Loan, 1M US L + 3.75%, 08/20/2022 | 2,067,589 | 2,083,747 | ||||||
| MI Windows and Doors LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 11/06/2026 | 720,000 | 720,900 | ||||||
| Ply Gem Midco, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 04/12/2025 | 1,114,218 | 1,115,255 | ||||||
| Road Infrastructure Investment Holdings, Inc., First Lien Term Loan, 1M US L + 3.50%, 06/13/2023 | 309,759 | 289,005 | ||||||
| SIWF Holdings, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 06/15/2025 | 709,200 | 708,608 | ||||||
| SRS Distribution, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 05/23/2025 | 2,364,298 | 2,350,407 | ||||||
| 16,648,585 | ||||||||
| Business Equipment & Services - 23.57% | ||||||||
| Access CIG LLC, First Lien B Term Loan, 1M US L + 3.75%, 02/27/2025 | 860,958 | 861,677 | ||||||
| Access CIG LLC, Second Lien Initial Term Loan, 1M US L + 7.75%, 02/27/2026 | 97,826 | 97,582 | ||||||
| Advantage Sales & Marketing, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 07/23/2021 | 770,751 | 748,496 | ||||||
| Advantage Sales & Marketing, Inc., Second Lien Term Loan, 1M US L + 6.50%, 07/25/2022 | 3,123,849 | 2,793,252 | ||||||
| See Notes to Financial Statements. |
| Annual Report | December 31, 2019 | 21 |
| Blackstone / GSO Long-Short Credit Income Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal
Amount |
Value | |||||||
| Business Equipment & Services (continued) | ||||||||
| Advantage Sales & Marketing, Inc., First Lien B-2 Term Loan, 1M US L + 3.25%, 07/23/2021 | $ | 739,375 | $ | 717,345 | ||||
| ALKU LLC, First Lien B Term Loan, 3M US L + 5.50%, 07/29/2026 | 1,800,000 | 1,779,003 | ||||||
| Allied Universal Holdco LLC, First Lien Delayed Draw Term Loan, 1M US L + 4.25%, 07/10/2026 | 118,919 | 119,786 | ||||||
| Allied Universal Holdco LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 07/10/2026 | 1,201,081 | 1,209,837 | ||||||
| APFS Staffing Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/15/2026 | 1,628,182 | 1,628,182 | ||||||
| AqGen Ascensus, Inc., First Lien Replacement Term Loan, 3M US L + 4.00%, 12/05/2022 | 1,279,476 | 1,285,476 | ||||||
| BMC Acquisition, Inc., First Lien Initial Term Loan, 3M US L + 5.25%, 12/28/2024(b) | 643,125 | 641,517 | ||||||
| Cambium Learning Group, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 12/18/2025 | 392,727 | 380,945 | ||||||
| Capri Acquisitions BidCo, Ltd., First Lien Initial Dollar Term Loan, 3M US L + 3.00%, 11/01/2024 | 1,762,791 | 1,749,349 | ||||||
| Cast & Crew Payroll LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 02/09/2026 | 325,641 | 327,676 | ||||||
| DG Investment Intermediate Holdings 2, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 02/03/2025 | 305,056 | 304,294 | ||||||
| DG Investment Intermediate Holdings 2, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 02/02/2026(b) | 439,655 | 426,466 | ||||||
| Dun & Bradstreet Corp., First Lien Initial Borrowing Term Loan, 1M US L + 5.00%, 02/06/2026 | 1,232,432 | 1,244,757 | ||||||
| Explorer Holdings, Inc., First Lien Term Loan, 3M US L + 4.50%, 11/20/2026 | 540,000 | 545,063 | ||||||
| Garda World Security Corp., First Lien Initial Term Loan, 3M US L + 4.75%, 10/30/2026 | 923,077 | 930,582 | ||||||
| GI Revelation Acquisition LLC, First Lien Initial Term Loan, 1M US L + 5.00%, 04/16/2025 | 1,563,537 | 1,479,505 | ||||||
| GI Revelation Acquisition LLC, Second Lien Initial Term Loan, 1M US L + 9.00%, 04/16/2026 | 1,800,000 | 1,624,500 | ||||||
| IG Investments Holdings LLC, First Lien Refinancing Term Loan, 1M US L + 4.00%, 05/23/2025 | 230,028 | 231,839 | ||||||
| Inmar, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 05/01/2024 | 312,610 | 299,324 | ||||||
| Inmar, Inc., Second Lien Initial Term Loan, 3M US L + 8.00%, 05/01/2025 | 946,746 | 887,872 | ||||||
| KUEHG Corp, Second Lien Tranche B Term Loan, 3M US L + 8.25%, 08/22/2025 | 2,198,220 | 2,202,693 | ||||||
| KUEHG Corp, First Lien B-3 Term Loan, 3M US L + 3.75%, 02/21/2025 | 1,394,839 | 1,401,521 | ||||||
| LD Intermediate Holdings, Inc., First Lien Initial Term Loan, 3M US L + 5.88%, 12/09/2022 | 1,882,755 | 1,887,462 | ||||||
| LegalZoom.com, Inc., First Lien 2018 Term Loan, 1M US L + 4.50%, 11/21/2024 | 1,527,429 | 1,541,748 | ||||||
| Minotaur Acquisition, Inc., First Lien B Term Loan, 1M US L + 5.00%, 03/27/2026 | 1,110,102 | 1,096,225 | ||||||
| Mitchell International, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 11/29/2024 | 1,450,684 | 1,441,849 | ||||||
| Mitchell International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 12/01/2025 | 460,606 | 443,333 | ||||||
| National Intergovernmental Purchasing Alliance Co., Second Lien Initial Term Loan, 3M US L + 7.50%, 05/22/2026(b) | 1,260,000 | 1,241,100 | ||||||
| National Intergovernmental Purchasing Alliance Co., First Lien Initial Term Loan, 3M US L + 3.75%, 05/23/2025 | 1,654,611 | 1,659,434 | ||||||
| Polyconcept North America Holdings, Inc., First Lien Closing Date Term Loan, 3M US L + 3.75%, 08/16/2023 | 495,274 | 495,274 | ||||||
| PriceWaterhouseCoopers, Second Lien Initial Term Loan, 1M US L + 8.00%, 05/01/2026(b) | 360,000 | 354,600 | ||||||
| PriceWaterhouseCoopers, 1M US L + 4.50%, 05/01/2025 | 1,436,354 | 1,428,275 | ||||||
| Revspring, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/11/2025 | 1,069,200 | 1,070,536 | ||||||
| Sedgwick Claims Management Services, Inc., First Lien 2019 Term Loan, 1M US L + 4.00%, 09/03/2026 | 934,435 | 944,172 | ||||||
| Sedgwick Claims Management Services, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 12/31/2025 | 1,182,525 | 1,184,743 | ||||||
| Surveymonkey, Inc., First Lien Term Loan, 1W US L + 3.75%, 10/10/2025(b) | 1,823,896 | 1,830,736 | ||||||
| ThoughtWorks, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 10/11/2024 | 1,099,481 | 1,102,229 | ||||||
| TRC Companies, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 06/21/2024 | 1,167,168 | 1,126,317 | ||||||
| Weld North Education LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 02/15/2025(b) | 2,358,000 | 2,366,842 | ||||||
| 47,133,414 | ||||||||
| Chemical & Plastics - 5.04% | ||||||||
| Ascend Performance Materials Operations LLC, First Lien Initial Term Loan, 1M US L + 5.25%, 08/27/2026 | 997,500 | 1,007,475 | ||||||
| Composite Resins Holding B.V., First Lien Initial Term Loan, 3M US L + 4.25%, 08/01/2025 | 2,129,075 | 2,139,721 | ||||||
| DCG Acquisition Corp., First Lien B Term Loan, 1W US L + 4.50%, 09/30/2026(b) | 1,046,415 | 1,052,955 | ||||||
| See Notes to Financial Statements. |
| 22 | www.blackstone-gso.com |
| Blackstone / GSO Long-Short Credit Income Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal
Amount |
Value | |||||||
| Chemical & Plastics (continued) | ||||||||
| Emerald Performance Materials LLC, Second Lien Initial Term Loan, 1M US L + 7.75%, 08/01/2022 | $ | 1,500,000 | $ | 1,468,748 | ||||
| Nouryon Finance B.V., First Lien Initial Dollar Term Loan, 1M US L + 3.25%, 10/01/2025 | 1,461,558 | 1,464,605 | ||||||
| Peroxychem LLC, First Lien Initial Term Loan, 6M US L + 5.00%, 10/01/2024(b) | 1,172,093 | 1,170,628 | ||||||
| Spectrum Holdings III Corp., First Lien Closing Date Term Loan, 1M US L + 3.25%, 01/31/2025 | 374,134 | 348,257 | ||||||
| Spectrum Holdings III Corp., Second Lien Closing Date Term Loan, 1M US L + 7.00%, 01/31/2026 | 566,667 | 459,000 | ||||||
| Vantage Specialty Chemicals, Inc., First Lien Closing Date Term Loan, 1M US L + 3.50%, 10/28/2024 | 489,551 | 458,139 | ||||||
| Vantage Specialty Chemicals, Inc., Second Lien Initial Term Loan, 3M US L + 8.25%, 10/27/2025(b) | 588,834 | 513,757 | ||||||
| 10,083,285 | ||||||||
| Clothing & Textiles - 0.25% | ||||||||
| Hercules Achievement, Inc., First Lien Initial Term Loan, 1M US L + 2.04%, 12/16/2024 | 501,221 | 493,954 | ||||||
| Conglomerates - 0.52% | ||||||||
| Output Services Group, Inc., First Lien B Term Loan, 1M US L + 4.50%, 03/27/2024 | 468,025 | 396,652 | ||||||
| Spring Education Group, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 07/30/2025 | 634,935 | 639,300 | ||||||
| 1,035,952 | ||||||||
| Containers & Glass Products - 2.20% | ||||||||
| Charter NEX US, Inc., First Lien Third Amendment Incremental Term Loan, 1M US L + 3.50%, 05/16/2024 | 193,347 | 194,918 | ||||||
| Flex Acquisition Co., Inc., First Lien Incremental B-2018 Term Loan, 3M US L + 3.25%, 06/29/2025 | 1,048,412 | 1,043,170 | ||||||
| IBC Capital I, Ltd., First Lien Tranche B-1 Term Loan, 3M US L + 3.75%, 09/11/2023 | 884,250 | 886,461 | ||||||
| IBC Capital, Ltd., Second Lien Tranche B-1 Term Loan, 3M US L + 7.00%, 09/11/2024(b) | 507,363 | 501,021 | ||||||
| ProAmpac PG Borrower LLC, First Lien Initial Term Loan, 3M US L + 3.50%, 11/20/2023 | 476,989 | 471,176 | ||||||
| ProAmpac PG Borrower LLC, Second Lien Initial Term Loan, 3M US L + 8.50%, 11/18/2024(b) | 366,029 | 352,303 | ||||||
| Strategic Materials Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.75%, 10/31/2025(b) | 933,333 | 644,000 | ||||||
| Trident TPI Holdings, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.00%, 10/17/2024 | 309,474 | 301,455 | ||||||
| 4,394,504 | ||||||||
| Diversified Insurance - 0.98% | ||||||||
| Acrisure LLC, First Lien 2017-2 Refinancing Term Loan, 3M US L + 4.25%, 11/22/2023 | 533,818 | 536,153 | ||||||
| Acrisure LLC, First Lien 2018-1 Additional Term Loan, 3M US L + 3.75%, 11/22/2023 | 498,034 | 499,486 | ||||||
| AmWINS Group, Inc., First Lien Term Loan, 1W US L + 6.75%, 01/25/2024 | 186,353 | 188,193 | ||||||
| CP VI Bella Midco LLC, First Lien Initial Term Loan, 1M US L + 2.75%, 12/27/2024 | 390,469 | 383,271 | ||||||
| CP VI Bella Midco LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 12/29/2025 | 364,286 | 360,872 | ||||||
| 1,967,975 | ||||||||
| Drugs - 2.64% | ||||||||
| Albany Molecular Research, Inc., 1M US L + 3.25%, 08/30/2024 | 549,678 | 548,307 | ||||||
| Albany Molecular Research, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 08/30/2025 | 294,643 | 294,643 | ||||||
| Arbor Pharmaceuticals LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 07/05/2023 | 1,134,552 | 1,001,810 | ||||||
| Cambrex Corp., First Lien Initial Dollar Term Loan, 3M US L + 5.00%, 12/04/2026 | 1,080,000 | 1,079,325 | ||||||
| Packaging Coordinators Midco, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 06/30/2023 | 2,353,845 | 2,348,949 | ||||||
| 5,273,034 | ||||||||
| Ecological Services & Equipment - 0.95% | ||||||||
| Eagle 4, Ltd., Second Lien Initial Term Loan, 3M US L + 7.75%, 07/12/2027 | 556,364 | 556,364 | ||||||
| See Notes to Financial Statements. |
| Annual Report | December 31, 2019 | 23 |
| Blackstone / GSO Long-Short Credit Income Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal
Amount |
Value | |||||||
| Ecological Services & Equipment (continued) | ||||||||
| Emerald 2, Ltd., First Lien Initial B-1 Term Loan, 3M US L + 3.75%, 07/10/2026 | $ | 295,423 | $ | 296,789 | ||||
| EnergySolutions LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 05/09/2025 | 754,473 | 715,101 | ||||||
| Tunnel Hill Partners LP, First Lien Initial Term Loan, 1M US L + 3.50%, 02/06/2026 | 332,004 | 331,174 | ||||||
| 1,899,428 | ||||||||
| Electronics/Electric - 27.39% | ||||||||
| Boxer Parent Co., Inc., First Lien Initial Dollar Term Loan, 1M US L + 4.25%, 10/02/2025 | 2,673,000 | 2,649,010 | ||||||
| Brave Parent Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 04/18/2025 | 710,977 | 698,390 | ||||||
| CommerceHub, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 05/21/2025 | 960,375 | 947,170 | ||||||
| ConvergeOne Holdings, Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 01/04/2026 | 1,786,500 | 1,713,763 | ||||||
| CPI International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 07/28/2025(b) | 209,150 | 201,307 | ||||||
| Curvature, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 10/30/2023 | 3,190,548 | 2,506,175 | ||||||
| DCert Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/16/2026 | 987,805 | 992,744 | ||||||
| DiscoverOrg LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 02/02/2026 | 1,488,750 | 1,496,194 | ||||||
| ECi Macola/MAX Holding LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 09/27/2024 | 645,358 | 646,569 | ||||||
| Electronics for Imaging, Inc., First Lien Initial Term Loan, 3M US L + 5.00%, 07/23/2026 | 900,000 | 840,942 | ||||||
| Ellie Mae, Inc., First Lien Term Loan, 3M US L + 4.00%, 04/17/2026 | 3,411,450 | 3,439,185 | ||||||
| Excelitas Technologies Corp., First Lien Initial USD Term Loan, 3M US L + 3.50%, 12/02/2024 | 59,847 | 59,810 | ||||||
| Flexera Software LLC, Second Lien Initial Term Loan, 1M US L + 7.25%, 02/26/2026 | 705,887 | 707,652 | ||||||
| Gigamon, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 12/27/2024 | 2,164,493 | 2,145,553 | ||||||
| Help/Systems Holdings, Inc., First Lien Term Loan, 1M US L + 4.75%, 11/19/2026 | 995,745 | 991,597 | ||||||
| Hyland Software, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 07/07/2025 | 603,517 | 612,947 | ||||||
| Idera, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2024 | 636,857 | 640,044 | ||||||
| Imperva, Inc., Second Lien Term Loan, 3M US L + 7.75%, 01/11/2027 | 802,477 | 705,176 | ||||||
| Imperva, Inc., First Lien Term Loan, 3M US L + 4.00%, 01/12/2026 | 976,909 | 923,668 | ||||||
| Ivanti Software, Inc., First Lien Term Loan, 1M US L + 4.25%, 01/20/2024 | 2,853,303 | 2,860,137 | ||||||
| Ivanti Software, Inc., Second Lien Term Loan, 1M US L + 9.00%, 01/20/2025 | 2,000,000 | 1,972,500 | ||||||
| LI Group Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 12/20/2026(b) | 720,000 | 721,800 | ||||||
| MACOM Technology Solutions Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.25%, 05/17/2024 | 1,339,695 | 1,284,432 | ||||||
| McAfee LLC, First Lien B USD Term Loan, 1M US L + 3.75%, 09/30/2024 | 724,732 | 728,808 | ||||||
| Merrill Communications LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 10/05/2026 | 540,000 | 545,400 | ||||||
| MH Sub I LLC, First Lien Amendment No. 2 Initial Term Loan, 1M US L + 3.75%, 09/13/2024 | 1,399,803 | 1,405,150 | ||||||
| MLN US HoldCo LLC, First Lien B Term Loan, 1M US L + 4.50%, 11/30/2025 | 1,223,556 | 1,161,357 | ||||||
| MYOB US Borrower LLC, First Lien Initial U.S. Term Loan, 1M US L + 4.00%, 05/06/2026(b) | 796,000 | 803,960 | ||||||
| Navex Topco, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 09/04/2026 | 900,000 | 892,499 | ||||||
| Navico, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/31/2023 | 55,211 | 45,273 | ||||||
| Park Place Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 03/29/2025 | 1,360,637 | 1,356,106 | ||||||
| Perforce Software, Inc., First Lien B Term Loan, 1M US L + 4.50%, 07/01/2026 | 418,623 | 419,410 | ||||||
| Project Alpha Intermediate Holding, Inc., First Lien 2019 Incremental Term Loan, 3M US L + 4.25%, 04/26/2024 | 1,809,091 | 1,827,933 | ||||||
| Project Angel Parent LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b) | 1,061,194 | 1,045,276 | ||||||
| Project Leopard Holdings, Inc., First Lien 2019 Incremental Term Loan, 1M US L + 4.25%, 07/07/2023 | 308,880 | 311,197 | ||||||
| Project Leopard Holdings, Inc., First Lien 2018 Repricing Term Loan, 1M US L + 4.50%, 07/07/2023 | 543,083 | 547,838 | ||||||
| Project Silverback Holdings Corp., First Lien New Term Loan, 3M US L + 3.50%, 08/21/2024 | 495,634 | 425,417 | ||||||
| Quest Software US Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 05/16/2025 | 960,346 | 954,348 | ||||||
| Quest Software US Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 8.25%, 05/18/2026 | 2,607,692 | 2,559,450 | ||||||
| Rocket Software, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 11/28/2025 | 1,531,602 | 1,494,276 | ||||||
| S2P Acquisition Borrower, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 08/14/2026 | 997,500 | 1,003,320 | ||||||
| SonicWall US Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 05/16/2025 | 1,077,219 | 1,053,428 | ||||||
| SonicWall US Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 05/18/2026 | 1,440,000 | 1,276,798 | ||||||
| Triton Solar US Acquisition Co., First Lien Initial Term Loan, 1M US L + 6.00%, 10/29/2024 | 204,747 | 173,694 | ||||||
| Veritas US, Inc., First Lien New Dollar B Term Loan, 1M US L + 4.50%, 01/27/2023 | 1,072,617 | 1,035,687 | ||||||
| See Notes to Financial Statements. |
| 24 | www.blackstone-gso.com |
| Blackstone / GSO Long-Short Credit Income Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal
Amount |
Value | |||||||
| Electronics/Electric (continued) | ||||||||
| Vero Parent, Inc., First Lien 2018 Refinancing Term Loan, 3M US L + 6.25%, 08/16/2024 | $ | 500,704 | $ | 481,928 | ||||
| Vero Parent, Inc., First Lien 2019 Incremental Term Loan, 3M US L + 6.00%, 08/16/2024 | 1,260,000 | 1,203,300 | ||||||
| Web.com Group, Inc., Second Lien Initial Term Loan, 1M US L + 7.75%, 10/09/2026 | 658,628 | 635,784 | ||||||
| Web.com Group, Inc., First Lien B Term Loan, 1M US L + 3.75%, 10/10/2025 | 1,635,616 | 1,636,671 | ||||||
| 54,781,073 | ||||||||
| Financial Intermediaries - 1.59% | ||||||||
| ASP MCS Acquisition Corp., First Lien Initial Term Loan, 1M US L + 4.75%, 05/20/2024 | 2,117,999 | 1,008,168 | ||||||
| Misys, Ltd., First Lien Dollar Term Loan, 3M US L + 3.50%, 06/13/2024 | 455,513 | 453,300 | ||||||
| NorthStar Financial Services Group LLC, First Lien Initial Term Loan, 1M US L + 3.50%, 05/25/2025 | 1,377,116 | 1,365,066 | ||||||
| NorthStar Financial Services Group LLC, Second Lien Initial Term Loan, 1M US L + 7.50%, 05/25/2026(b) | 354,881 | 351,332 | ||||||
| 3,177,866 | ||||||||
| Food Products - 2.82% | ||||||||
| Alphabet Holding Co., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/26/2024 | 1,618,387 | 1,568,387 | ||||||
| Give & Go Prepared Foods Corp., 3M US L + 4.25%, 07/29/2023 | 484,011 | 462,836 | ||||||
| Snacking Investments Bidco Pty Limited, First Lien Term Loan, 3M US L + 4.00%, 10/16/2026 | 1,588,235 | 1,593,207 | ||||||
| TKC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 02/01/2023 | 1,355,247 | 1,263,768 | ||||||
| TKC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 8.00%, 02/01/2024 | 831,382 | 756,557 | ||||||
| 5,644,755 | ||||||||
| Food Service - 3.45% | ||||||||
| Agro Merchants North America Holdings, Inc., First Lien Effective Date Term Loan, 3M US L + 3.75%, 12/06/2024(b) | 792,368 | 784,445 | ||||||
| CEC Entertainment, Inc., First Lien B Term Loan, 1M US L + 6.50%, 08/30/2026 | 1,477,090 | 1,423,021 | ||||||
| Flynn Restaurant Group LP, First Lien B Initial Term Loan, 1M US L + 3.50%, 06/27/2025 | 1,502,577 | 1,447,169 | ||||||
| Fogo de Chao, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.25%, 04/07/2025(b) | 590,094 | 593,782 | ||||||
| Quidditch Acquisition, Inc., First Lien B Term Loan, 1M US L + 7.00%, 03/21/2025(b) | 816,021 | 824,181 | ||||||
| Tacala Investment Corp., 1M US L + 3.25%, 01/31/2025 | 628,401 | 631,879 | ||||||
| Tacala Investment Corp., Second Lien Initial Term Loan, 1M US L + 7.75%, 01/30/2026 | 1,207,931 | 1,204,911 | ||||||
| 6,909,388 | ||||||||
| Food/Drug Retailers - 0.93% | ||||||||
| EG Group, Ltd., First Lien Facility B Term Loan, 3M US L + 4.00%, 02/07/2025 | 136,458 | 136,189 | ||||||
| EG Group, Ltd., First Lien Additional Facility Term Loan, 3M US L + 4.00%, 02/07/2025 | 1,725,850 | 1,722,441 | ||||||
| 1,858,630 | ||||||||
| Health Insurance - 1.63% | ||||||||
| Achilles Acquisition LLC, First Lien Closing Date Term Loan, 1M US L + 4.00%, 10/13/2025 | 686,016 | 694,162 | ||||||
| FHC Health Systems, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 12/23/2021 | 2,418,059 | 2,421,082 | ||||||
| MPH Acquisition Holdings LLC, First Lien Initial Term Loan, 3M US L + 2.75%, 06/07/2023 | 137,773 | 136,174 | ||||||
| 3,251,418 | ||||||||
| Healthcare - 22.67% | ||||||||
| Alvogen Pharma US, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.75%, 04/01/2022 | 2,204,475 | 1,894,482 | ||||||
| American Renal Holdings, Inc., First Lien B Term Loan, 1M US L + 3.25%, 06/14/2024 | 359,079 | 342,120 | ||||||
| BioClinica Holding I LP, First Lien Initial Term Loan, 1M US L + 4.25%, 10/20/2023 | 614,355 | 599,189 | ||||||
| BioClinica Holding I LP, Second Lien Initial Term Loan, 1M US L + 8.25%, 10/21/2024 | 789,474 | 738,158 | ||||||
| Carestream Health, Inc., Second Lien Extended Term Loan, 1M US L + 9.50%, 06/07/2021 | 3,276,562 | 3,104,542 | ||||||
| Carestream Health, Inc., First Lien Extended Term Loan, 1M US L + 5.50%, 02/28/2021 | 133,465 | 131,825 | ||||||
| Certara Holdco, Inc., First Lien Replacement Term Loan, 3M US L + 3.50%, 08/15/2024(b) | 157,599 | 157,402 | ||||||
| Covenant Surgical Partners, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 07/01/2026 | 1,122,188 | 1,119,382 | ||||||
| See Notes to Financial Statements. |
| Annual Report | December 31, 2019 | 25 |
| Blackstone / GSO Long-Short Credit Income Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal
Amount |
Value | |||||||
| Healthcare (continued) | ||||||||
| CPI Holdco LLC, First Lien B Term Loan, 3M US L + 4.25%, 11/04/2026(b) | $ | 1,080,000 | $ | 1,084,725 | ||||
| CT Technologies Intermediate Holdings, Inc., First Lien New Facility Term Loan, 1M US L + 4.25%, 12/01/2021 | 763,853 | 722,605 | ||||||
| Endo International PLC, First Lien Initial Term Loan, 1M US L + 4.25%, 04/29/2024 | 1,897,125 | 1,821,534 | ||||||
| Envision Healthcare Corp., First Lien Initial Term Loan, 1M US L + 3.75%, 10/10/2025 | 1,862,477 | 1,597,847 | ||||||
| Femur Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 03/05/2026(b) | 604,022 | 590,431 | ||||||
| Greenway Health LLC, First Lien Term Loan, 3M US L + 3.75%, 02/16/2024 | 1,344,828 | 1,203,621 | ||||||
| Heartland Dental LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 04/30/2025 | 1,484,699 | 1,481,603 | ||||||
| Heartland Dental LLC, First Lien Incremental 2 Facility Term Loan, 1M US L + 4.50%, 04/30/2025 | 419,766 | 416,617 | ||||||
| Immucor, Inc., First Lien B-3 Term Loan, 3M US L + 5.00%, 06/15/2021 | 308,020 | 307,443 | ||||||
| Lanai Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 4.75%, 08/29/2022 | 927,063 | 879,320 | ||||||
| Lifescan Global Corp., First Lien Initial Term Loan, 3M US L + 6.00%, 10/01/2024 | 2,286,723 | 2,189,537 | ||||||
| Maravai Intermediate Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 08/02/2025 | 817,077 | 815,034 | ||||||
| Navicure, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/22/2026 | 913,043 | 919,321 | ||||||
| Netsmart Technologies, Inc., First Lien D-1 Term Loan, 1M US L + 3.75%, 04/19/2023 | 3,227,379 | 3,221,327 | ||||||
| NMSC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/19/2023 | 202,927 | 202,166 | ||||||
| nThrive, Inc., First Lien Additional B-2 Term Loan, 1M US L + 4.50%, 10/20/2022 | 2,583,967 | 2,165,687 | ||||||
| Onex TSG Holdings II Corp., First Lien Initial Term Loan, 1M US L + 4.00%, 07/29/2022 | 2,361,755 | 2,205,879 | ||||||
| Ortho-Clinical Diagnostics, Inc., First Lien Second Amendment New Term Loan, 1M US L + 3.25%, 06/30/2025 | 415,017 | 411,126 | ||||||
| Parexel International Corp., First Lien Initial Term Loan, 1M US L + 2.75%, 09/27/2024 | 1,311,729 | 1,290,414 | ||||||
| PetVet Care Centers LLC, First Lien Initial Term Loan, 1M US L + 2.75%, 02/14/2025 | 435,592 | 431,034 | ||||||
| PetVet Care Centers LLC, First Lien 2018 Term Loan, 1M US L + 3.25%, 02/14/2025 | 534,586 | 530,577 | ||||||
| Phoenix Guarantor, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/05/2026 | 2,566,720 | 2,584,392 | ||||||
| Project Ruby Ultimate Parent Corp., First Lien New Term Loan, 1M US L + 3.50%, 02/09/2024 | 647,200 | 643,423 | ||||||
| Regionalcare Hospital Partners Holdings, Inc., First Lien B Term Loan, 1M US L + 4.50%, 11/16/2025 | 1,453,551 | 1,467,179 | ||||||
| Sunshine Luxembourg VII SARL, First Lien Facility B1 Term Loan, 3M US L + 4.25%, 10/01/2026 | 444,444 | 449,245 | ||||||
| Surgery Center Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 09/02/2024 | 113,693 | 113,433 | ||||||
| Team Health Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.75%, 02/06/2024 | 246,827 | 201,010 | ||||||
| U.S. Anesthesia Partners, Inc., 1M US L + 3.00%, 06/23/2024 | 599,561 | 598,811 | ||||||
| Verscend Holding Corp., First Lien B Term Loan, 1M US L + 4.50%, 08/27/2025 | 1,110,938 | 1,121,119 | ||||||
| Viant Medical Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 07/02/2025 | 740,625 | 727,894 | ||||||
| Vyaire Medical, Inc., First Lien Term Loan, 3M US L + 4.75%, 04/16/2025 | 2,659,500 | 2,313,765 | ||||||
| YI LLC, First Lien Initial Term Loan, 3M US L + 4.00%, 11/07/2024 | 1,391,394 | 1,303,270 | ||||||
| Zest Acquisition Corp., Second Lien Initial Term Loan, 1M US L + 7.50%, 03/13/2026(b) | 1,285,714 | 1,211,786 | ||||||
| 45,310,275 | ||||||||
| Home Furnishings - 1.54% | ||||||||
| AI Aqua Merger Sub, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.25%, 12/13/2023 | 1,050,228 | 1,023,096 | ||||||
| AI Aqua Merger Sub, Inc., First Lien 2017 Incremental Term Loan, 1M US L + 3.25%, 12/13/2023 | 627,200 | 610,736 | ||||||
| Hayward Industries, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/05/2024 | 75,940 | 75,560 | ||||||
| Prime Security Services Borrower LLC, First Lien 2019 Refinancing B-1 Term Loan, 1M US L + 3.25%, 09/23/2026 | 987,525 | 991,786 | ||||||
| Serta Simmons Bedding LLC, Second Lien Initial Term Loan, 1M US L + 8.00%, 11/08/2024 | 1,246,702 | 384,402 | ||||||
| 3,085,580 | ||||||||
| Industrial Equipment - 4.24% | ||||||||
| Apex Tool Group LLC, First Lien Third Amendment Term Loan, 1M US L + 5.50%, 08/01/2024 | 1,617,361 | 1,599,417 | ||||||
| Engineered Machinery Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.00%, 07/19/2024 | 1,115,240 | 1,106,179 | ||||||
| Justrite Safety Group, First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2026(b) | 808,805 | 778,475 | ||||||
| See Notes to Financial Statements. |
| 26 | www.blackstone-gso.com |
| Blackstone / GSO Long-Short Credit Income Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal
Amount |
Value | |||||||
| Industrial Equipment (continued) | ||||||||
| Justrite Safety Group, First Lien Delayed Draw Term Loan, 3M US L + 4.50%, 06/28/2026(b)(c) | $ | 43,717 | $ | 42,077 | ||||
| LTI Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/06/2025 | 730,086 | 660,206 | ||||||
| LTI Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 09/06/2026 | 382,979 | 292,979 | ||||||
| Robertshaw US Holding Corp., First Lien Initial Term Loan, 1M US L + 3.25%, 02/28/2025(b) | 1,129,396 | 1,033,397 | ||||||
| Tailwind Smith Cooper Intermediate Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 05/28/2026 | 821,850 | 788,976 | ||||||
| Titan Acquisition, Ltd., First Lien Initial Term Loan, 1M US L + 3.00%, 03/28/2025 | 2,216,011 | 2,184,743 | ||||||
| 8,486,449 | ||||||||
| Insurance - 1.41% | ||||||||
| APCO Holdings LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 06/09/2025(b) | 1,278,456 | 1,272,064 | ||||||
| Cypress Intermediate Holdings III, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 04/28/2025 | 813,953 | 819,244 | ||||||
| Outcomes Group Holdings, Inc., Second Lien Term Loan, 3M US L + 7.50%, 10/26/2026(b) | 346,154 | 344,423 | ||||||
| Outcomes Group Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 10/24/2025 | 388,800 | 383,291 | ||||||
| 2,819,022 | ||||||||
| Leisure Goods/Activities/Movies - 2.02% | ||||||||
| Recess Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 09/30/2024 | 1,115,628 | 1,113,302 | ||||||
| Thunder Finco Pty, Ltd., First Lien Term Loan, 3M US L + 4.75%, 11/20/2026(b) | 900,000 | 900,000 | ||||||
| Travelport Finance S.à r.l., First Lien Initial Term Loan, 3M US L + 5.00%, 05/29/2026 | 2,154,600 | 2,021,015 | ||||||
| 4,034,317 | ||||||||
| Lodging & Casinos - 0.98% | ||||||||
| Aimbridge Acquisition Co., Inc., First Lien Initial (2019) Term Loan, 1M US L + 3.75%, 02/02/2026(b) | 598,500 | 604,485 | ||||||
| Casablanca US Holdings, Inc., First Lien Amendment No. 2 Initial Term Loan, 3M US L + 4.00%, 03/29/2024 | 1,414,800 | 1,346,416 | ||||||
| 1,950,901 | ||||||||
| Nonferrous Metals/Minerals - 1.20% | ||||||||
| Aleris International, Inc., First Lien Initial Term Loan, 1M US L + 4.75%, 02/27/2023 | 1,426,552 | 1,430,118 | ||||||
| American Rock Salt Co. LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 03/21/2025(b) | 813,956 | 820,061 | ||||||
| Murray Energy Corp., First Lien Superpriority B-2 Term Loan, 3M US L + 7.25%, 10/17/2022(d) | 725,892 | 158,890 | ||||||
| 2,409,069 | ||||||||
| Oil & Gas - 3.10% | ||||||||
| BCP Raptor II LLC, First Lien Initial Term Loan, 2M US L + 4.75%, 11/03/2025 | 328,782 | 304,671 | ||||||
| Equitrans Midstream Corp., First Lien Holdco B Facility Term Loan, 1M US L + 4.50%, 01/31/2024 | 602,027 | 600,648 | ||||||
| Lower Cadence Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/22/2026 | 1,096,531 | 1,087,627 | ||||||
| Lucid Energy Group II Borrower LLC, First Lien Initial Term Loan, 1M US L + 3.00%, 02/17/2025 | 1,265,711 | 1,177,111 | ||||||
| Petroleum GEO-Services ASA, First Lien Extended Term Loan, 3M US L + 2.50%, 03/19/2021 | 1,053,380 | 1,002,818 | ||||||
| Sheridan Investment Partners I LLC, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019(d) | 860,683 | 529,320 | ||||||
| Sheridan Production Partners I LLC, First Lien Deferred Principal Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d) | 4,506 | 2,771 | ||||||
| Sheridan Production Partners I LLC, First Lien M Deferred Principal TL Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d) | 2,752 | 1,693 | ||||||
| Sheridan Production Partners I LLC, First Lien Deferred Principal TL Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d) | 34,005 | 20,913 | ||||||
| Sheridan Production Partners I-A LP, First Lien Tranche B-2 Term Loan, 1M US L + 3.50%, 10/01/2019(d) | 114,048 | 70,139 | ||||||
| See Notes to Financial Statements. |
| Annual Report | December 31, 2019 | 27 |
| Blackstone / GSO Long-Short Credit Income Fund | Portfolio of Investments |
December 31, 2019
|
Principal
Amount |
Value | |||||||
| Oil & Gas (continued) | ||||||||
| Sheridan Production Partners I-M LP, First Lien Tranche B-2 Term Loan, 1M US L + 3.50%, 10/01/2019(d) | $ | 69,661 | $ | 42,842 | ||||
| UTEX Industries, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/21/2021 | 1,841,596 | 1,352,799 | ||||||
| 6,193,352 | ||||||||
| Property & Casualty Insurance - 1.92% | ||||||||
| Asurion LLC, Second Lien Replacement B-2 Term Loan, 1M US L + 6.50%, 08/04/2025 | 3,381,340 | 3,430,792 | ||||||
| Confie Seguros Holding II Co., First Lien B Term Loan, 3M US L + 4.75%, 04/19/2022 | 420,205 | 409,176 | ||||||
| 3,839,968 | ||||||||
| Publishing - 2.49% | ||||||||
| Ancestry.com Operations, Inc., First Lien Extended Term Loan, 1M US L + 4.25%, 08/27/2026 | 922,869 | 909,893 | ||||||
| Champ Acquisition Corp., First Lien Initial Term Loan, 3M US L + 5.50%, 12/19/2025 | 1,319,776 | 1,320,330 | ||||||
| Recorded Books, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 08/29/2025(b) | 779,605 | 784,478 | ||||||
| Shutterfly, Inc., First Lien B Term Loan, 3M US L + 6.00%, 09/25/2026 | 1,440,000 | 1,360,195 | ||||||
| Southern Graphics, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 12/31/2023 | 1,500,000 | 414,000 | ||||||
| Southern Graphics, Inc., First Lien Refinancing Term Loan, 1M US L + 3.25%, 12/31/2022 | 303,338 | 189,831 | ||||||
| 4,978,727 | ||||||||
| Radio & Television - 1.37% | ||||||||
| Gray Television, Inc., First Lien B-2 Term Loan, 1M US L + 2.25%, 02/07/2024 | 142,857 | 143,491 | ||||||
| iHeartCommunications, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/01/2026 | 645,479 | 651,798 | ||||||
| Terrier Media Buyer, Inc., First Lien B Term Loan, 3M US L + 4.25%, 12/12/2026 | 1,778,656 | 1,798,675 | ||||||
| William Morris Endeavor Entertainment LLC, First Lien B-1 Term Loan, 1M US L + 2.75%, 05/18/2025 | 141,361 | 140,948 | ||||||
| 2,734,912 | ||||||||
| Retailers (except food & drug) - 1.13% | ||||||||
| Ascena Retail Group, Inc., First Lien Tranche B Term Loan, 1M US L + 4.50%, 08/21/2022 | 250,061 | 171,291 | ||||||
| FBB Holdings III, Inc., First Lien Initial Term Loan, 3M US L + 9.00%, 02/07/2024(b) | 138,540 | 65,807 | ||||||
| FBB Holdings III, Inc., Second Lien Initial Term Loan, 3M US L + 7.00%, 01/31/2025(b) | 49,472 | 4,700 | ||||||
| Petco Animal Supplies, Inc., First Lien Term Loan, 3M US L + 3.25%, 01/26/2023 | 304,290 | 259,978 | ||||||
| Pier 1 Imports , Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 04/30/2021 | 1,968,750 | 511,875 | ||||||
| Spencer Spirit IH LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 06/19/2026 | 1,256,850 | 1,247,034 | ||||||
| Sports Authority, Inc., First Lien B Term Loan, 3M US L + 6.00%, 11/16/2019(b)(d) | 3,226,826 | 6,454 | ||||||
| 2,267,139 | ||||||||
| Steel - 0.61% | ||||||||
| Can Am Construction, Inc., First Lien Closing Date Term Loan, 1M US L + 5.00%, 07/01/2024(b) | 995,431 | 995,431 | ||||||
| Phoenix Services International LLC, First Lien B Term Loan, 1M US L + 3.75%, 03/01/2025 | 238,607 | 225,682 | ||||||
| 1,221,113 | ||||||||
| Surface Transport - 1.19% | ||||||||
| Drive Chassis Holdco LLC, Second Lien B Term Loan, 3M US L + 8.25%, 04/10/2026(b) | 1,800,000 | 1,660,500 | ||||||
| SMB Shipping Logistics LLC, First Lien Term Loan, 3M US L + 4.00%, 02/05/2024 | 719,872 | 719,875 | ||||||
| 2,380,375 | ||||||||
| Telecommunications - 4.38% | ||||||||
| Alorica, Inc., First Lien New B Term Loan, 1M US L + 4.25%, 06/30/2022 | 674,326 | 584,640 | ||||||
| Avaya, Inc., First Lien Tranche B Term Loan, 1M US L + 4.25%, 12/15/2024 | 1,975,864 | 1,944,744 | ||||||
| Aventiv Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 11/01/2024 | 136,646 | 102,392 | ||||||
| Cyxtera DC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 05/01/2025 | 225,564 | 140,100 | ||||||
| Ensono LP, First Lien Term Loan, 1M US L + 5.25%, 06/27/2025 | 1,005,615 | 1,008,547 | ||||||
| Masergy Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 12/16/2024 | 548,872 | 537,895 | ||||||
See Notes to Financial Statements.
| 28 | www.blackstone-gso.com |
| Blackstone / GSO Long-Short Credit Income Fund | Portfolio of Investments |
December 31, 2019
|
Principal
Amount |
Value | |||||||
| Telecommunications (continued) | ||||||||
| Masergy Holdings, Inc., First Lien 2017 Replacement Term Loan, 3M US L + 3.25%, 12/15/2023 | $ | 693,435 | $ | 685,055 | ||||
| Peak 10 Holding Corp., First Lien Initial Term Loan, 3M US L + 3.50%, 08/01/2024 | 710,909 | 594,750 | ||||||
| Peak 10 Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.25%, 08/01/2025 | 771,429 | 488,573 | ||||||
| TierPoint LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 05/06/2024 | 1,381,963 | 1,350,578 | ||||||
| Vertiv Group Corp., First Lien B Term Loan, 1M US L + 4.00%, 11/30/2023 | 1,312,355 | 1,312,355 | ||||||
| 8,749,629 | ||||||||
| Utilities - 2.94% | ||||||||
| Brookfield WEC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/01/2025 | 629,851 | 635,163 | ||||||
| Eastern Power LLC, First Lien Term Loan, 1M US L + 3.75%, 10/02/2023 | 478,726 | 480,708 | ||||||
| Granite Acquisition, Inc., Second Lien B Term Loan, 3M US L + 7.25%, 12/19/2022 | 2,421,507 | 2,429,571 | ||||||
| Green Energy Partners/Stonewall LLC, First Lien B-1 Conversion Advances Term Loan, 3M US L + 5.50%, 11/13/2021 | 488,750 | 455,322 | ||||||
| Moxie Patriot LLC, First Lien Construction B-1 Advances Term Loan, 3M US L + 5.75%, 12/19/2020 | 681,269 | 607,181 | ||||||
| Panda Liberty LLC, First Lien Construction B-1 Advance Term Loan, 3M US L + 6.50%, 08/21/2020 | 1,414,064 | 1,263,226 | ||||||
| 5,871,171 | ||||||||
| TOTAL FLOATING RATE LOAN INTERESTS | ||||||||
| (Cost $295,073,000) | 282,613,950 | |||||||
| COLLATERALIZED LOAN OBLIGATION SECURITIES(a) - 4.38% | ||||||||
| Structured Finance Obligations - 4.38% | ||||||||
| Babson CLO, Ltd. 2015-I 3M US L + 5.50%, 01/20/2031(b)(e) | 875,000 | 781,922 | ||||||
| Canyon Capital CLO 2016-1, Ltd. 3M US L + 1.90%, 07/15/2031(b)(e) | 500,000 | 487,400 | ||||||
| Carlyle Global Market Strategies CLO 2016-2, Ltd. 3M US L + 5.17%, 07/15/2027(b)(e) | 1,000,000 | 909,736 | ||||||
| Dryden 40 Senior Loan Fund 3M US L + 5.75%, 08/15/2031(b)(e) | 700,000 | 670,464 | ||||||
| Greywolf CLO IV, Ltd. 3M US L + 6.94%, 04/17/2030(b)(e) | 500,000 | 500,650 | ||||||
| Highbridge Loan Management 6-2015, Ltd. 3M US L + 5.10%, 02/05/2031(b)(e) | 833,000 | 748,124 | ||||||
| Neuberger Berman Loan Advisers CLO 27, Ltd. 3M US L + 5.20%, 01/15/2030(b)(e) | 667,000 | 623,758 | ||||||
| ROMARK CLO LLC 3M US L + 3.35%, 07/25/2031(b) | 250,000 | 247,603 | ||||||
| Romark CLO, Ltd. 3M US L + 2.15%, 10/23/2030(b)(e) | 500,000 | 495,197 | ||||||
| Tiaa Clo III, Ltd. 3M US L + 5.90%, 01/16/2031(b)(e) | 2,500,000 | 2,328,293 | ||||||
| TICP CLO X, Ltd. 3M US L + 1.90%, 04/20/2031(b)(e) | 500,000 | 487,660 | ||||||
| TRESTLES CLO II, Ltd. 3M US L + 1.90%, 07/25/2031(b)(e) | 500,000 | 483,475 | ||||||
| 8,764,282 | ||||||||
| TOTAL COLLATERALIZED LOAN OBLIGATION SECURITIES | ||||||||
| (Cost $9,193,100) | 8,764,282 | |||||||
| CORPORATE BONDS - 18.07% | ||||||||
| Automotive - 0.21% | ||||||||
| Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. 7.875%, 10/01/2022(e) | 450,000 | 411,890 | ||||||
| Building & Development - 2.28% | ||||||||
| Installed Building Products, Inc. 5.750%, 02/01/2028(e) | 254,000 | 272,186 | ||||||
| Northwest Hardwoods, Inc. 7.500%, 08/01/2021(e) | 289,000 | 147,390 | ||||||
| NWH Escrow Corp. 7.500%, 08/01/2021(e) | 1,332,000 | 679,320 | ||||||
| PriSo Acquisition Corp. 9.000%, 05/15/2023(e) | 3,477,000 | 3,459,615 | ||||||
| 4,558,511 | ||||||||
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 29 |
| Blackstone / GSO Long-Short Credit Income Fund | Portfolio of Investments |
December 31, 2019
|
Principal
Amount |
Value | |||||||
| Chemical & Plastics - 0.26% | ||||||||
| Starfruit Finco BV / Starfruit US Holdco LLC 8.000%, 10/01/2026(e) | $ | 487,000 | $ | 517,450 | ||||
| Containers & Glass Products - 1.87% | ||||||||
| ARD Finance SA 6.500%, 06/30/2027(e)(f) | 700,000 | 725,060 | ||||||
| Flex Acquisition Co., Inc. 6.875%, 01/15/2025(e) | 1,916,000 | 1,935,141 | ||||||
| Trident TPI Holdings, Inc. 6.625%, 11/01/2025(e) | 1,200,000 | 1,083,498 | ||||||
| 3,743,699 | ||||||||
| Diversified Insurance - 0.31% | ||||||||
| AmWINS Group, Inc. 7.750%, 07/01/2026(e) | 196,000 | 217,164 | ||||||
| HUB International, Ltd. 7.000%, 05/01/2026(e) | 378,000 | 400,689 | ||||||
| 617,853 | ||||||||
| Drugs - 1.46% | ||||||||
| Avantor, Inc. 9.000%, 10/01/2025(e) | 2,600,000 | 2,910,999 | ||||||
| Ecological Services & Equipment - 1.11% | ||||||||
| GFL Environmental, Inc.: | ||||||||
| 5.375%, 03/01/2023(e) | 864,000 | 892,080 | ||||||
| 7.000%, 06/01/2026(e) | 821,000 | 869,642 | ||||||
| 8.500%, 05/01/2027(e) | 419,000 | 461,675 | ||||||
| 2,223,397 | ||||||||
| Electronics/Electric - 2.21% | ||||||||
| Banff Merger Sub, Inc. 9.750%, 09/01/2026(e) | 857,000 | 869,876 | ||||||
| Global A&T Electronics, Ltd. 8.500%, 01/12/2023 | 1,363,502 | 1,259,853 | ||||||
| Rackspace Hosting, Inc. 8.625%, 11/15/2024(e) | 824,000 | 807,520 | ||||||
| Riverbed Technology, Inc. 8.875%, 03/01/2023(e) | 2,559,000 | 1,484,220 | ||||||
| 4,421,469 | ||||||||
| Food/Drug Retailers - 0.36% | ||||||||
| eG Global Finance PLC 6.750%, 02/07/2025(e) | 704,000 | 716,028 | ||||||
| Healthcare - 1.69% | ||||||||
| Envision Healthcare Corp. 8.750%, 10/15/2026(e) | 1,875,000 | 1,167,839 | ||||||
| Team Health Holdings, Inc. 6.375%, 02/01/2025(e) | 1,500,000 | 1,005,622 | ||||||
| Tenet Healthcare Corp. 7.000%, 08/01/2025 | 1,143,000 | 1,209,677 | ||||||
| 3,383,138 | ||||||||
| Oil & Gas - 1.03% | ||||||||
| Calumet Specialty Products Partners LP / Calumet Finance Corp. 7.750%, 04/15/2023 | 1,600,000 | 1,600,664 | ||||||
| CSI Compressco LP / CSI Compressco Finance, Inc. 7.250%, 08/15/2022 | 500,000 | 461,406 | ||||||
| 2,062,070 | ||||||||
| Property & Casualty Insurance - 2.09% | ||||||||
| AssuredPartners, Inc. 7.000%, 08/15/2025(e) | 1,136,000 | 1,158,368 | ||||||
| GTCR AP Finance, Inc. 8.000%, 05/15/2027(e) | 286,000 | 298,254 | ||||||
| Solera LLC / Solera Finance, Inc. 10.500%, 03/01/2024(e) | 2,550,000 | 2,711,020 | ||||||
| 4,167,642 | ||||||||
| Publishing - 0.25% | ||||||||
| McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance 7.875%, 05/15/2024(e) | 580,000 | 500,491 | ||||||
See Notes to Financial Statements.
| 30 | www.blackstone-gso.com |
| Blackstone / GSO Long-Short Credit Income Fund | Portfolio of Investments |
December 31, 2019
|
Principal
Amount |
Value | |||||||
| Radio & Television - 0.60% | ||||||||
| Entercom Media Corp. 6.500%, 05/01/2027(e) | $ | 101,000 | $ | 108,358 | ||||
| Univision Communications, Inc.: | ||||||||
| 5.125%, 05/15/2023(e) | 630,000 | 630,000 | ||||||
| 5.125%, 02/15/2025(e) | 464,000 | 459,940 | ||||||
| 1,198,298 | ||||||||
| Telecommunications - 2.00% | ||||||||
| Connect Finco SARL / Connect US Finco LLC 6.750%, 10/01/2026(e) | 1,390,000 | 1,482,087 | ||||||
| Digicel, Ltd. 6.000%, 04/15/2021(e) | 750,000 | 587,183 | ||||||
| Frontier Communications Corp. 10.500%, 09/15/2022 | 1,250,000 | 612,890 | ||||||
| Sprint Communications, Inc. 6.000%, 11/15/2022 | 1,050,000 | 1,103,057 | ||||||
| Vertiv Group Corp. 9.250%, 10/15/2024(e) | 204,000 | 219,725 | ||||||
| 4,004,942 | ||||||||
| Utilities - 0.34% | ||||||||
| Calpine Corp. 5.750%, 01/15/2025 | 667,000 | 686,176 | ||||||
| TOTAL CORPORATE BONDS | ||||||||
| (Cost $38,890,069) | 36,124,053 | |||||||
| Shares | ||||||||
| COMMON STOCK - 0.27% | ||||||||
| Building & Development - 0.19% | ||||||||
| Dayton Superior LLC(b)(g) | 4,295 | 386,507 | ||||||
| Oil & Gas - 0.08% | ||||||||
| SandRidge Energy, Inc.(g) | 37,842 | 160,450 | ||||||
| TOTAL COMMON STOCK | ||||||||
| (Cost $2,080,637) | 546,957 | |||||||
| Total Investments - 164.04% | ||||||||
| (Cost $345,236,806) | 328,049,242 | |||||||
| Other Assets in Excess of Liabilities - 0.02% | 60,661 | |||||||
| Mandatory Redeemable Preferred Shares - (10.06)% | ||||||||
| (liquidation preference plus distributions payable on term preferred shares) | (20,127,527 | ) | ||||||
| Leverage Facility - (54.00)% | (108,000,000 | ) | ||||||
| Net Assets - 100.00% | $ | 199,982,376 | ||||||
Amounts above are shown as a percentage of net assets as of December 31, 2019.
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
Libor Rates:
1M US L - 1 Month LIBOR as of December 31, 2019 was 1.76%
1W US L - 1 Week LIBOR as of December 31, 2019 was 1.63%
2M US L - 2 Month LIBOR as of December 31, 2019 was 1.83%
3M US L - 3 Month LIBOR as of December 31, 2019 was 1.91%
6M US L - 6 Month LIBOR as of December 31, 2019 was 1.91%
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 31 |
| Blackstone / GSO Long-Short Credit Income Fund | Portfolio of Investments |
December 31, 2019
| (a) | Floating or variable rate security. The reference rate is described above. The rate in effect as of December 31, 2019 is based on the reference rate plus the displayed spread as of the security's last reset date. |
| (b) | Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs. |
| (c) | A portion of this position was not funded as of December 31, 2019. The Portfolio of Investments records only the funded portion of each position. As of December 31, 2019, the Fund has unfunded delayed draw loans in the amount of $486,414. Fair value of these unfunded delayed draws was $484,290. |
| (d) | Security is in default as of period end and is therefore non-income producing. |
| (e) | Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $37,707,009, which represented approximately 18.86% of net assets as of December 31, 2019. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. |
| (f) | Option to convert to pay-in-kind security. |
| (g) | Non-income producing security. |
See Notes to Financial Statements.
| 32 | www.blackstone-gso.com |
| Blackstone / GSO Strategic Credit Fund | Portfolio of Investments |
December 31, 2019
|
Principal
Amount |
Value | |||||||
| FLOATING RATE LOAN INTERESTS(a) - 136.94% | ||||||||
| Aerospace & Defense - 1.60% | ||||||||
| Nordam Group LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 04/09/2026(b) | $ | 4,764,000 | $ | 4,758,045 | ||||
| Propulsion Acquisition LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 07/13/2021(b) | 6,219,207 | 6,157,015 | ||||||
| 10,915,060 | ||||||||
| Air Transport - 0.84% | ||||||||
| Air Medical Group Holdings, Inc., First Lien 2018 New Term Loan, 1M US L + 4.25%, 03/14/2025 | 5,895,000 | 5,732,887 | ||||||
| Automotive - 1.22% | ||||||||
| Bright Bidco B.V., First Lien 2018 Refinancing B Term Loan, 3M US L + 3.50%, 06/30/2024 | 4,988,627 | 2,968,233 | ||||||
| Midas Intermediate Holdco II LLC, First Lien 2017 Refinancing Term Loan, 3M US L + 2.75%, 08/18/2021 | 1,184,733 | 1,168,934 | ||||||
| Superior Industries International, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 05/22/2024(b) | 4,298,960 | 4,180,739 | ||||||
| 8,317,906 | ||||||||
| Beverage & Tobacco - 0.24% | ||||||||
| Winebow Holdings, Inc., Second Lien Term Loan, 1M US L + 7.50%, 01/02/2022 | 2,387,283 | 1,615,391 | ||||||
| Brokers, Dealers & Investment Houses - 1.54% | ||||||||
| Advisor Group Holdings, Inc., First Lien Initial B Term Loan, 1M US L + 5.00%, 07/31/2026 | 3,388,889 | 3,369,843 | ||||||
| Advisor Group Holdings, Inc., First Lien Initial A Term Loan, 1M US L + 4.00%, 01/31/2025 | 2,412,402 | 2,337,026 | ||||||
| Deerfield Dakota Holding LLC, First Lien Initial Term Loan, 1M US L + 3.25%, 02/13/2025 | 887,182 | 886,308 | ||||||
| Edelman Financial Center LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 07/20/2026 | 1,846,154 | 1,848,462 | ||||||
| Newport Group Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 09/12/2025(b) | 2,078,216 | 2,083,412 | ||||||
| 10,525,051 | ||||||||
| Building & Development - 8.30% | ||||||||
| American Bath Group LLC, Second Lien Term Loan, 1M US L + 9.75%, 09/30/2024(b) | 600,000 | 600,000 | ||||||
| American Bath Group LLC, First Lien 2018 Replacement Term Loan, 1M US L + 4.25%, 09/30/2023(b) | 9,867,111 | 9,928,780 | ||||||
| CPG International LLC, First Lien New Term Loan, 3M US L + 3.75%, 05/05/2024 | 785,858 | 788,153 | ||||||
| Dayton Superior Corp., First Lien Term Loan, 3M US L + 7.00%, 12/04/2024 | 894,692 | 887,981 | ||||||
| Forterra Finance LLC, First Lien Replacement Term Loan, 1M US L + 3.00%, 10/25/2023 | 3,725,315 | 3,653,920 | ||||||
| Hillman Group, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025 | 8,872,406 | 8,750,410 | ||||||
| Interior Logic Group Holdings IV LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b) | 6,463,636 | 6,172,772 | ||||||
| LBM Borrower LLC, Second Lien Initial Term Loan, 1M US L + 9.25%, 08/20/2023 | 3,813,476 | 3,759,859 | ||||||
| LBM Borrower LLC, First Lien Tranche C Term Loan, 1M US L + 3.75%, 08/20/2022 | 4,642,504 | 4,678,785 | ||||||
| MI Windows and Doors LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 11/06/2026 | 2,440,000 | 2,443,050 | ||||||
| Ply Gem Midco, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 04/12/2025 | 3,714,061 | 3,717,515 | ||||||
| Road Infrastructure Investment Holdings, Inc., First Lien Term Loan, 1M US L + 3.50%, 06/13/2023 | 1,025,256 | 956,564 | ||||||
| SIWF Holdings, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 06/15/2025 | 2,364,000 | 2,362,026 | ||||||
| SRS Distribution, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 05/23/2025 | 7,899,229 | 7,852,821 | ||||||
| 56,552,636 | ||||||||
| Business Equipment & Services - 23.91% | ||||||||
| Access CIG LLC, First Lien B Term Loan, 1M US L + 3.75%, 02/27/2025 | 2,877,514 | 2,879,916 | ||||||
| Access CIG LLC, Second Lien Initial Term Loan, 1M US L + 7.75%, 02/27/2026 | 326,087 | 325,272 | ||||||
| Advantage Sales & Marketing, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 07/23/2021 | 3,083,001 | 2,993,979 | ||||||
| Advantage Sales & Marketing, Inc., Second Lien Term Loan, 1M US L + 6.50%, 07/25/2022 | 11,245,389 | 10,055,289 | ||||||
| Advantage Sales & Marketing, Inc., First Lien B-2 Term Loan, 1M US L + 3.25%, 07/23/2021 | 2,535,000 | 2,459,470 | ||||||
| ALKU LLC, First Lien B Term Loan, 3M US L + 5.50%, 07/29/2026 | 6,100,000 | 6,028,843 | ||||||
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 33 |
| Blackstone / GSO Strategic Credit Fund | Portfolio of Investments |
December 31, 2019
|
Principal
Amount |
Value | |||||||
| Business Equipment & Services (continued) | ||||||||
| Allied Universal Holdco LLC, First Lien Delayed Draw Term Loan, 1M US L + 4.25%, 07/10/2026 | $ | 403,003 | $ | 405,941 | ||||
| Allied Universal Holdco LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 07/10/2026 | 4,070,330 | 4,100,003 | ||||||
| APFS Staffing Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/15/2026 | 5,427,273 | 5,427,273 | ||||||
| AqGen Ascensus, Inc., First Lien Replacement Term Loan, 3M US L + 4.00%, 12/05/2022 | 8,066,002 | 8,103,832 | ||||||
| BMC Acquisition, Inc., First Lien Initial Term Loan, 3M US L + 5.25%, 12/28/2024(b) | 2,786,875 | 2,779,908 | ||||||
| Cambium Learning Group, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 12/18/2025 | 1,330,909 | 1,290,982 | ||||||
| Capri Acquisitions BidCo, Ltd., First Lien Initial Dollar Term Loan, 3M US L + 3.00%, 11/01/2024 | 5,875,969 | 5,831,165 | ||||||
| Cast & Crew Payroll LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 02/09/2026 | 1,085,468 | 1,092,253 | ||||||
| DG Investment Intermediate Holdings 2, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 02/03/2025 | 993,283 | 990,800 | ||||||
| DG Investment Intermediate Holdings 2, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 02/02/2026(b) | 1,422,414 | 1,379,741 | ||||||
| Dun & Bradstreet Corp., First Lien Initial Borrowing Term Loan, 1M US L + 5.00%, 02/06/2026 | 4,108,108 | 4,149,189 | ||||||
| Explorer Holdings, Inc., First Lien Term Loan, 3M US L + 4.50%, 11/20/2026 | 1,830,000 | 1,847,156 | ||||||
| Garda World Security Corp., First Lien Initial Term Loan, 3M US L + 4.75%, 10/30/2026 | 3,128,205 | 3,153,637 | ||||||
| GI Revelation Acquisition LLC, First Lien Initial Term Loan, 1M US L + 5.00%, 04/16/2025 | 5,113,085 | 4,838,282 | ||||||
| GI Revelation Acquisition LLC, Second Lien Initial Term Loan, 1M US L + 9.00%, 04/16/2026 | 6,000,000 | 5,415,000 | ||||||
| IG Investments Holdings LLC, First Lien Refinancing Term Loan, 1M US L + 4.00%, 05/23/2025 | 755,972 | 761,925 | ||||||
| Inmar, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 05/01/2024 | 1,250,440 | 1,197,296 | ||||||
| Inmar, Inc., Second Lien Initial Term Loan, 3M US L + 8.00%, 05/01/2025 | 3,786,982 | 3,551,489 | ||||||
| KUEHG Corp, Second Lien Tranche B Term Loan, 3M US L + 8.25%, 08/22/2025 | 6,161,780 | 6,174,319 | ||||||
| KUEHG Corp, First Lien B-3 Term Loan, 3M US L + 3.75%, 02/21/2025 | 4,631,391 | 4,653,576 | ||||||
| LD Intermediate Holdings, Inc., First Lien Initial Term Loan, 3M US L + 5.88%, 12/09/2022 | 5,731,018 | 5,745,346 | ||||||
| LegalZoom.com, Inc., First Lien 2018 Term Loan, 1M US L + 4.50%, 11/21/2024 | 5,091,429 | 5,139,161 | ||||||
| Minotaur Acquisition, Inc., First Lien B Term Loan, 1M US L + 5.00%, 03/27/2026 | 3,700,339 | 3,654,085 | ||||||
| Mitchell International, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 11/29/2024 | 6,065,467 | 6,028,528 | ||||||
| Mitchell International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 12/01/2025 | 2,303,030 | 2,216,667 | ||||||
| National Intergovernmental Purchasing Alliance Co., Second Lien Initial Term Loan, 3M US L + 7.50%, 05/22/2026(b) | 4,200,000 | 4,137,000 | ||||||
| National Intergovernmental Purchasing Alliance Co., First Lien Initial Term Loan, 3M US L + 3.75%, 05/23/2025 | 5,515,370 | 5,531,448 | ||||||
| Polyconcept North America Holdings, Inc., First Lien Closing Date Term Loan, 3M US L + 3.75%, 08/16/2023 | 1,678,427 | 1,678,427 | ||||||
| PriceWaterhouseCoopers, Second Lien Initial Term Loan, 1M US L + 8.00%, 05/01/2026(b) | 1,200,000 | 1,182,000 | ||||||
| PriceWaterhouseCoopers, First Lien Initial Term Loan, 1M US L + 4.50%, 05/01/2025 | 4,867,645 | 4,840,265 | ||||||
| Project Boost Purchaser LLC, First Lien B Term Loan, 1M US L + 3.50%, 06/01/2026 | 484,323 | 487,275 | ||||||
| Revspring, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/11/2025 | 3,564,000 | 3,568,455 | ||||||
| Sedgwick Claims Management Services, Inc., First Lien 2019 Term Loan, 1M US L + 4.00%, 09/03/2026 | 3,166,696 | 3,199,693 | ||||||
| Sedgwick Claims Management Services, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 12/31/2025 | 3,941,751 | 3,949,142 | ||||||
| Surveymonkey, Inc., First Lien Term Loan, 1W US L + 3.75%, 10/10/2025(b) | 6,737,673 | 6,762,940 | ||||||
| ThoughtWorks, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 10/11/2024 | 4,165,549 | 4,175,962 | ||||||
| TRC Companies, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 06/21/2024 | 786,901 | 759,360 | ||||||
| Weld North Education LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 02/15/2025(b) | 7,937,874 | 7,967,641 | ||||||
| 162,909,931 | ||||||||
| Chemical & Plastics - 3.77% | ||||||||
| Ascend Performance Materials Operations LLC, First Lien Initial Term Loan, 1M US L + 5.25%, 08/27/2026 | 3,491,250 | 3,526,162 | ||||||
| Composite Resins Holding B.V., First Lien Initial Term Loan, 3M US L + 4.25%, 08/01/2025 | 7,092,000 | 7,127,460 | ||||||
| DCG Acquisition Corp., First Lien B Term Loan, 1W US L + 4.50%, 09/30/2026(b) | 3,546,183 | 3,568,347 | ||||||
| Nouryon Finance B.V., First Lien Initial Dollar Term Loan, 1M US L + 3.25%, 10/01/2025 | 882,173 | 884,012 | ||||||
See Notes to Financial Statements.
| 34 | www.blackstone-gso.com |
| Blackstone / GSO Strategic Credit Fund | Portfolio of Investments |
December 31, 2019
|
Principal
Amount
|
Value | |||||||
| Chemical & Plastics (continued) | ||||||||
| Peroxychem LLC, First Lien Initial Term Loan, 6M US L + 5.00%, 10/01/2024(b) | $ | 3,972,093 | $ | 3,967,128 | ||||
| Spectrum Holdings III Corp., First Lien Closing Date Term Loan, 1M US L + 3.25%, 01/31/2025 | 1,225,062 | 1,140,330 | ||||||
| Spectrum Holdings III Corp., Second Lien Closing Date Term Loan, 1M US L + 7.00%, 01/31/2026 | 1,833,333 | 1,485,000 | ||||||
| Vantage Specialty Chemicals, Inc., First Lien Closing Date Term Loan, 1M US L + 3.50%, 10/28/2024 | 2,378,505 | 2,225,888 | ||||||
| Vantage Specialty Chemicals, Inc., Second Lien Initial Term Loan, 3M US L + 8.25%, 10/27/2025(b) | 1,995,334 | 1,740,929 | ||||||
| 25,665,256 | ||||||||
| Conglomerates - 0.99% | ||||||||
| Genuine Financial Holdings LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 07/11/2025 | 2,679,783 | 2,667,229 | ||||||
| Output Services Group, Inc., First Lien B Term Loan, 1M US L + 4.50%, 03/27/2024 | 1,733,234 | 1,468,915 | ||||||
| Spring Education Group, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 07/30/2025 | 2,116,451 | 2,131,002 | ||||||
| VT Topco, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 08/01/2025 | 470,347 | 469,907 | ||||||
| 6,737,053 | ||||||||
| Containers & Glass Products - 2.41% | ||||||||
| Charter NEX US, Inc., First Lien Third Amendment Incremental Term Loan, 1M US L + 3.50%, 05/16/2024 | 644,489 | 649,725 | ||||||
| Flex Acquisition Co., Inc., First Lien Incremental B-2018 Term Loan, 3M US L + 3.25%, 06/29/2025 | 3,494,708 | 3,477,235 | ||||||
| IBC Capital I, Ltd., First Lien Tranche B-1 Term Loan, 3M US L + 3.75%, 09/11/2023 | 2,947,500 | 2,954,869 | ||||||
| IBC Capital, Ltd., Second Lien Tranche B-1 Term Loan, 3M US L + 7.00%, 09/11/2024(b) | 1,691,209 | 1,670,069 | ||||||
| ProAmpac PG Borrower LLC, First Lien Initial Term Loan, 3M US L + 3.50%, 11/20/2023 | 1,704,605 | 1,683,834 | ||||||
| ProAmpac PG Borrower LLC, Second Lien Initial Term Loan, 3M US L + 8.50%, 11/18/2024(b) | 1,464,115 | 1,409,210 | ||||||
| Strategic Materials Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.75%, 10/31/2025(b) | 4,666,667 | 3,220,000 | ||||||
| Trident TPI Holdings, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.00%, 10/17/2024 | 1,403,878 | 1,367,504 | ||||||
| 16,432,446 | ||||||||
| Diversified Insurance - 0.75% | ||||||||
| Acrisure LLC, First Lien 2018-1 Additional Term Loan, 3M US L + 3.75%, 11/22/2023 | 1,660,112 | 1,664,952 | ||||||
| AmWINS Group, Inc., First Lien Term Loan, 1W US L + 6.75%, 01/25/2024 | 631,529 | 637,766 | ||||||
| CP VI Bella Midco LLC, First Lien Initial Term Loan, 1M US L + 2.75%, 12/27/2024 | 1,263,281 | 1,239,993 | ||||||
| CP VI Bella Midco LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 12/29/2025 | 1,178,571 | 1,167,528 | ||||||
| NFP Corp., First Lien B Term Loan, 1M US L + 3.00%, 01/08/2024 | 428,371 | 427,338 | ||||||
| 5,137,577 | ||||||||
| Drugs - 2.43% | ||||||||
| Albany Molecular Research, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 08/30/2024 | 1,819,283 | 1,814,744 | ||||||
| Albany Molecular Research, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 08/30/2025 | 1,473,214 | 1,473,214 | ||||||
| Arbor Pharmaceuticals LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 07/05/2023 | 4,538,206 | 4,007,236 | ||||||
| Cambrex Corp., First Lien Initial Dollar Term Loan, 3M US L + 5.00%, 12/04/2026 | 3,660,000 | 3,657,713 | ||||||
| Packaging Coordinators Midco, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 06/30/2023 | 5,587,465 | 5,575,843 | ||||||
| 16,528,750 | ||||||||
| Ecological Services & Equipment - 0.94% | ||||||||
| Eagle 4, Ltd., Second Lien Initial Term Loan, 3M US L + 7.75%, 07/12/2027 | 1,885,455 | 1,885,455 | ||||||
| Emerald 2, Ltd., First Lien Initial B-1 Term Loan, 3M US L + 3.75%, 07/10/2026 | 1,001,155 | 1,005,785 | ||||||
| EnergySolutions LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 05/09/2025 | 2,514,910 | 2,383,669 | ||||||
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 35 |
| Blackstone / GSO Strategic Credit Fund | Portfolio of Investments |
December 31, 2019
|
Principal Amount
|
Value | |||||||
| Ecological Services & Equipment (continued) | ||||||||
| Tunnel Hill Partners LP, First Lien Initial Term Loan, 1M US L + 3.50%, 02/06/2026 | $ | 1,106,681 | $ | 1,103,915 | ||||
| 6,378,824 | ||||||||
| Electronics/Electric - 27.80% | ||||||||
| Boxer Parent Co., Inc., First Lien Initial Dollar Term Loan, 1M US L + 4.25%, 10/02/2025 | 8,910,000 | 8,830,033 | ||||||
| Brave Parent Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 04/18/2025 | 2,369,925 | 2,327,965 | ||||||
| CommerceHub, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 05/21/2025 | 3,693,750 | 3,642,961 | ||||||
| ConvergeOne Holdings, Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 01/04/2026 | 5,955,000 | 5,712,542 | ||||||
| CPI International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 07/28/2025(b) | 1,045,752 | 1,006,536 | ||||||
| Curvature, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 10/30/2023 | 11,510,854 | 9,041,776 | ||||||
| DCert Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/16/2026 | 3,347,561 | 3,364,299 | ||||||
| DiscoverOrg LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 02/02/2026 | 4,962,500 | 4,987,313 | ||||||
| ECi Macola/MAX Holding LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 09/27/2024 | 2,537,212 | 2,541,969 | ||||||
| Electronics for Imaging, Inc., First Lien Initial Term Loan, 3M US L + 5.00%, 07/23/2026 | 3,050,000 | 2,849,859 | ||||||
| Ellie Mae, Inc., First Lien Term Loan, 3M US L + 4.00%, 04/17/2026 | 11,401,425 | 11,494,119 | ||||||
| Excelitas Technologies Corp., First Lien Initial USD Term Loan, 3M US L + 3.50%, 12/02/2024 | 202,816 | 202,690 | ||||||
| Flexera Software LLC, Second Lien Initial Term Loan, 1M US L + 7.25%, 02/26/2026 | 2,299,194 | 2,304,942 | ||||||
| Gigamon, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 12/27/2024 | 10,100,966 | 10,012,583 | ||||||
| Help/Systems Holdings, Inc., First Lien Term Loan, 1M US L + 4.75%, 11/19/2026 | 3,374,468 | 3,360,413 | ||||||
| Hyland Software, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 07/07/2025 | 2,033,772 | 2,065,550 | ||||||
| Idera, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2024 | 2,580,143 | 2,593,057 | ||||||
| Imperva, Inc., Second Lien Term Loan, 3M US L + 7.75%, 01/11/2027 | 2,674,923 | 2,350,588 | ||||||
| Imperva, Inc., First Lien Term Loan, 3M US L + 4.00%, 01/12/2026 | 3,256,364 | 3,078,892 | ||||||
| Ivanti Software, Inc., Second Lien Term Loan, 1M US L + 9.00%, 01/20/2025 | 6,000,000 | 5,917,500 | ||||||
| Ivanti Software, Inc., First Lien Term Loan, 1M US L + 4.25%, 01/20/2024 | 5,898,578 | 5,912,706 | ||||||
| LI Group Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 12/20/2026(b) | 2,440,000 | 2,446,100 | ||||||
| MACOM Technology Solutions Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.25%, 05/17/2024 | 4,465,649 | 4,281,441 | ||||||
| McAfee LLC, First Lien B USD Term Loan, 1M US L + 3.75%, 09/30/2024 | 7,611,763 | 7,654,579 | ||||||
| Merrill Communications LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 10/05/2026 | 1,830,000 | 1,848,300 | ||||||
| MH Sub I LLC, First Lien Amendment No. 2 Initial Term Loan, 1M US L + 3.75%, 09/13/2024 | 2,804,272 | 2,814,984 | ||||||
| MLN US HoldCo LLC, First Lien B Term Loan, 1M US L + 4.50%, 11/30/2025 | 4,078,521 | 3,871,189 | ||||||
| MYOB US Borrower LLC, First Lien Initial U.S. Term Loan, 1M US L + 4.00%, 05/06/2026(b) | 2,653,333 | 2,679,867 | ||||||
| Navex Topco, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 09/04/2026 | 3,000,000 | 2,974,995 | ||||||
| Navico, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/31/2023 | 187,105 | 153,426 | ||||||
| Park Place Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 03/29/2025 | 4,807,168 | 4,791,160 | ||||||
| Perforce Software, Inc., First Lien B Term Loan, 1M US L + 4.50%, 07/01/2026 | 1,456,180 | 1,458,918 | ||||||
| Project Alpha Intermediate Holding, Inc., First Lien Term Loan, 3M US L + 3.50%, 04/26/2024 | 2,075,354 | 2,083,147 | ||||||
| Project Alpha Intermediate Holding, Inc., First Lien 2019 Incremental Term Loan, 3M US L + 4.25%, 04/26/2024 | 3,618,182 | 3,655,865 | ||||||
| Project Angel Parent LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b) | 3,537,313 | 3,484,254 | ||||||
| Project Leopard Holdings, Inc., First Lien 2018 Repricing Term Loan, 1M US L + 4.50%, 07/07/2023 | 2,715,417 | 2,739,190 | ||||||
| Project Leopard Holdings, Inc., First Lien 2019 Incremental Term Loan, 1M US L + 4.25%, 07/07/2023 | 1,029,600 | 1,037,322 | ||||||
| Project Silverback Holdings Corp., First Lien New Term Loan, 3M US L + 3.50%, 08/21/2024 | 1,982,535 | 1,701,669 | ||||||
| Quest Software US Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 8.25%, 05/18/2026 | 8,885,470 | 8,721,089 | ||||||
| Quest Software US Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 05/16/2025 | 3,274,789 | 3,254,338 | ||||||
| Rocket Software, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 11/28/2025 | 5,128,969 | 5,003,976 | ||||||
| S2P Acquisition Borrower, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 08/14/2026 | 3,380,417 | 3,400,141 | ||||||
| SonicWall US Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 05/16/2025 | 3,590,728 | 3,511,426 | ||||||
| SonicWall US Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 05/18/2026 | 4,800,000 | 4,255,992 | ||||||
| Triton Solar US Acquisition Co., First Lien Initial Term Loan, 1M US L + 6.00%, 10/29/2024 | 682,489 | 578,979 | ||||||
| Veritas US, Inc., First Lien New Dollar B Term Loan, 1M US L + 4.50%, 01/27/2023 | 4,290,441 | 4,142,721 | ||||||
See Notes to Financial Statements.
| 36 | www.blackstone-gso.com |
| Blackstone / GSO Strategic Credit Fund | Portfolio of Investments |
December 31, 2019
|
Principal
Amount |
Value | |||||||
| Electronics/Electric (continued) | ||||||||
| Vero Parent, Inc., First Lien 2018 Refinancing Term Loan, 3M US L + 6.25%, 08/16/2024 | $ | 1,669,014 | $ | 1,606,426 | ||||
| Vero Parent, Inc., First Lien 2019 Incremental Term Loan, 3M US L + 6.00%, 08/16/2024 | 4,270,000 | 4,077,850 | ||||||
| Web.com Group, Inc., Second Lien Initial Term Loan, 1M US L + 7.75%, 10/09/2026 | 2,195,428 | 2,119,280 | ||||||
| Web.com Group, Inc., First Lien B Term Loan, 1M US L + 3.75%, 10/10/2025 | 5,452,055 | 5,455,571 | ||||||
| 189,402,488 | ||||||||
| Financial Intermediaries - 2.08% | ||||||||
| ASP MCS Acquisition Corp., First Lien Initial Term Loan, 1M US L + 4.75%, 05/20/2024 | 6,722,695 | 3,200,003 | ||||||
| ION Trading Technologies S.A.R.L., First Lien 2018 Initial Dollar Term Loan, 3M US L + 4.00%, 11/21/2024 | 5,452,167 | 5,234,080 | ||||||
| NorthStar Financial Services Group LLC, First Lien Initial Term Loan, 1M US L + 3.50%, 05/25/2025 | 4,590,387 | 4,550,221 | ||||||
| NorthStar Financial Services Group LLC, Second Lien Initial Term Loan, 1M US L + 7.50%, 05/25/2026(b) | 1,182,937 | 1,171,107 | ||||||
| 14,155,411 | ||||||||
| Food Products - 3.17% | ||||||||
| Alphabet Holding Co., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/26/2024 | 5,394,624 | 5,227,957 | ||||||
| Give & Go Prepared Foods Corp., First Lien 2017 Term Loan, 3M US L + 4.25%, 07/29/2023 | 3,195,693 | 3,055,881 | ||||||
| Snacking Investments Bidco Pty Limited, First Lien Term Loan, 3M US L + 4.00%, 10/16/2026 | 5,382,353 | 5,399,200 | ||||||
| TKC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 02/01/2023 | 4,548,674 | 4,241,638 | ||||||
| TKC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 8.00%, 02/01/2024 | 4,051,201 | 3,686,593 | ||||||
| 21,611,269 | ||||||||
| Food Service - 3.37% | ||||||||
| CEC Entertainment, Inc., First Lien B Term Loan, 1M US L + 6.50%, 08/30/2026 | 4,859,149 | 4,681,279 | ||||||
| Flynn Restaurant Group LP, First Lien B Initial Term Loan, 1M US L + 3.50%, 06/27/2025 | 5,012,535 | 4,827,697 | ||||||
| Fogo de Chao, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.25%, 04/07/2025(b) | 2,295,811 | 2,310,160 | ||||||
| K-Mac Holdings Corp., Second Lien Initial Term Loan, 1M US L + 6.75%, 03/16/2026 | 1,715,116 | 1,671,381 | ||||||
| NPC International, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 04/18/2025 | 3,424,278 | 411,821 | ||||||
| Quidditch Acquisition, Inc., First Lien B Term Loan, 1M US L + 7.00%, 03/21/2025(b) | 2,950,229 | 2,979,732 | ||||||
| Tacala Investment Corp., First Lien Initial Term Loan, 1M US L + 3.25%, 01/31/2025 | 2,129,581 | 2,141,368 | ||||||
| Tacala Investment Corp., Second Lien Initial Term Loan, 1M US L + 7.75%, 01/30/2026 | 3,949,483 | 3,939,609 | ||||||
| 22,963,047 | ||||||||
| Food/Drug Retailers - 0.91% | ||||||||
| EG Group, Ltd., First Lien Facility B Term Loan, 3M US L + 4.00%, 02/07/2025 | 682,292 | 680,944 | ||||||
| EG Group, Ltd., First Lien Additional Facility Term Loan, 3M US L + 4.00%, 02/07/2025 | 5,566,606 | 5,555,612 | ||||||
| 6,236,556 | ||||||||
| Health Insurance - 1.49% | ||||||||
| Achilles Acquisition LLC, First Lien Closing Date Term Loan, 1M US L + 4.00%, 10/13/2025 | 2,286,720 | 2,313,875 | ||||||
| FHC Health Systems, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 12/23/2021 | 7,343,301 | 7,352,480 | ||||||
| MPH Acquisition Holdings LLC, First Lien Initial Term Loan, 3M US L + 2.75%, 06/07/2023 | 482,206 | 476,608 | ||||||
| 10,142,963 | ||||||||
| Healthcare - 20.52% | ||||||||
| Alvogen Pharma US, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.75%, 04/01/2022 | 6,160,272 | 5,294,014 | ||||||
| American Renal Holdings, Inc., First Lien B Term Loan, 1M US L + 3.25%, 06/14/2024 | 1,216,880 | 1,159,407 | ||||||
| Auris Luxembourg III S.a r.l., First Lien Facility B2 Term Loan, 1M US L + 3.75%, 02/27/2026 | 2,061,348 | 2,075,097 | ||||||
| BioClinica Holding I LP, First Lien Initial Term Loan, 1M US L + 4.25%, 10/20/2023 | 2,432,956 | 2,372,899 | ||||||
| BioClinica Holding I LP, Second Lien Initial Term Loan, 1M US L + 8.25%, 10/21/2024 | 3,157,898 | 2,952,634 | ||||||
| Carestream Health, Inc., Second Lien Extended Term Loan, 1M US L + 9.50%, 06/07/2021 | 10,447,039 | 9,898,569 | ||||||
| Carestream Health, Inc., First Lien Extended Term Loan, 1M US L + 5.50%, 02/28/2021 | 418,061 | 412,923 | ||||||
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 37 |
| Blackstone / GSO Strategic Credit Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal
Amount |
Value | |||||||
| Healthcare (continued) | ||||||||
| Certara Holdco, Inc., First Lien Replacement Term Loan, 3M US L + 3.50%, 08/15/2024(b) | $ | 924,966 | $ | 923,809 | ||||
| Covenant Surgical Partners, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 07/01/2026 | 3,802,969 | 3,793,461 | ||||||
| CPI Holdco LLC, First Lien B Term Loan, 3M US L + 4.25%, 11/04/2026(b) | 3,660,000 | 3,676,013 | ||||||
| CT Technologies Intermediate Holdings, Inc., First Lien New Facility Term Loan, 1M US L + 4.25%, 12/01/2021 | 2,895,262 | 2,738,918 | ||||||
| Envision Healthcare Corp., First Lien Initial Term Loan, 1M US L + 3.75%, 10/10/2025 | 6,208,258 | 5,326,158 | ||||||
| Femur Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 03/05/2026(b) | 2,016,208 | 1,970,843 | ||||||
| Greenway Health LLC, First Lien Term Loan, 3M US L + 3.75%, 02/16/2024 | 3,025,862 | 2,708,147 | ||||||
| Heartland Dental LLC, First Lien Incremental 2 Facility Term Loan, 1M US L + 4.50%, 04/30/2025 | 1,422,539 | 1,411,870 | ||||||
| Heartland Dental LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 04/30/2025 | 4,972,051 | 4,961,684 | ||||||
| Immucor, Inc., First Lien B-3 Term Loan, 3M US L + 5.00%, 06/15/2021 | 1,381,347 | 1,378,757 | ||||||
| Lanai Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 4.75%, 08/29/2022 | 3,792,259 | 3,596,958 | ||||||
| Lifescan Global Corp., First Lien Initial Term Loan, 3M US L + 6.00%, 10/01/2024 | 7,622,409 | 7,298,456 | ||||||
| Maravai Intermediate Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 08/02/2025 | 2,723,589 | 2,716,780 | ||||||
| Navicure, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/22/2026 | 3,094,203 | 3,115,476 | ||||||
| Netsmart Technologies, Inc., First Lien D-1 Term Loan, 1M US L + 3.75%, 04/19/2023 | 9,867,800 | 9,849,298 | ||||||
| NMSC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/19/2023 | 687,698 | 685,119 | ||||||
| nThrive, Inc., First Lien Additional B-2 Term Loan, 1M US L + 4.50%, 10/20/2022 | 6,312,940 | 5,291,033 | ||||||
| Onex TSG Holdings II Corp., First Lien Initial Term Loan, 1M US L + 4.00%, 07/29/2022 | 4,966,836 | 4,639,025 | ||||||
| Ortho-Clinical Diagnostics, Inc., First Lien Second Amendment New Term Loan, 1M US L + 3.25%, 06/30/2025 | 1,373,955 | 1,361,074 | ||||||
| Parexel International Corp., First Lien Initial Term Loan, 1M US L + 2.75%, 09/27/2024 | 4,400,715 | 4,329,203 | ||||||
| PetVet Care Centers LLC, First Lien 2018 Term Loan, 1M US L + 3.25%, 02/14/2025 | 1,781,955 | 1,768,590 | ||||||
| PetVet Care Centers LLC, First Lien Initial Term Loan, 1M US L + 2.75%, 02/14/2025 | 2,036,485 | 2,015,174 | ||||||
| Phoenix Guarantor, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/05/2026 | 8,555,732 | 8,614,639 | ||||||
| Project Ruby Ultimate Parent Corp., First Lien New Term Loan, 1M US L + 3.50%, 02/09/2024 | 2,581,363 | 2,566,301 | ||||||
| Regionalcare Hospital Partners Holdings, Inc., First Lien B Term Loan, 1M US L + 4.50%, 11/16/2025 | 4,868,803 | 4,914,448 | ||||||
| Sunshine Luxembourg VII SARL, First Lien Facility B1 Term Loan, 3M US L + 4.25%, 10/01/2026 | 1,506,173 | 1,522,440 | ||||||
| Surgery Center Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 09/02/2024 | 378,977 | 378,109 | ||||||
| Team Health Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.75%, 02/06/2024 | 987,310 | 804,040 | ||||||
| U.S. Anesthesia Partners, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 06/23/2024 | 2,003,465 | 2,000,961 | ||||||
| Verscend Holding Corp., First Lien B Term Loan, 1M US L + 4.50%, 08/27/2025 | 3,703,125 | 3,737,064 | ||||||
| Vyaire Medical, Inc., First Lien Term Loan, 3M US L + 4.75%, 04/16/2025 | 8,865,000 | 7,712,550 | ||||||
| YI LLC, First Lien Initial Term Loan, 3M US L + 4.00%, 11/07/2024 | 3,975,411 | 3,723,628 | ||||||
| Zest Acquisition Corp., Second Lien Initial Term Loan, 1M US L + 7.50%, 03/13/2026(b) | 4,357,143 | 4,106,607 | ||||||
| 139,802,176 | ||||||||
| Home Furnishings - 1.51% | ||||||||
| AI Aqua Merger Sub, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.25%, 12/13/2023 | 671,137 | 653,798 | ||||||
| AI Aqua Merger Sub, Inc., First Lien 2017 Incremental Term Loan, 1M US L + 3.25%, 12/13/2023 | 181,226 | 176,469 | ||||||
| AI Aqua Merger Sub, Inc., First Lien Fifth Amendment Incremental Term Loan, 3M US L + 4.25%, 12/13/2023 | 4,500,000 | 4,432,500 | ||||||
| Hayward Industries, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/05/2024 | 350,607 | 348,854 | ||||||
| Prime Security Services Borrower LLC, First Lien 2019 Refinancing B-1 Term Loan, 1M US L + 3.25%, 09/23/2026 | 3,221,925 | 3,235,827 | ||||||
| Serta Simmons Bedding LLC, Second Lien Initial Term Loan, 1M US L + 8.00%, 11/08/2024 | 4,786,804 | 1,475,939 | ||||||
| 10,323,387 | ||||||||
| Industrial Equipment - 4.22% | ||||||||
| Apex Tool Group LLC, First Lien Third Amendment Term Loan, 1M US L + 5.50%, 08/01/2024 | 5,118,717 | 5,061,925 | ||||||
| See Notes to Financial Statements. |
| 38 | www.blackstone-gso.com |
| Blackstone / GSO Strategic Credit Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal
Amount |
Value | |||||||
| Industrial Equipment (continued) | ||||||||
| Engineered Machinery Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.00%, 07/19/2024 | $ | 4,370,800 | $ | 4,335,287 | ||||
| Justrite Safety Group, First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2026(b) | 2,740,951 | 2,638,165 | ||||||
| Justrite Safety Group, First Lien Delayed Draw Term Loan, 3M US L + 4.50%, 06/28/2026(b)(c) | 148,150 | 142,595 | ||||||
| LTI Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/06/2025 | 2,430,383 | 2,197,759 | ||||||
| LTI Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 09/06/2026 | 1,276,596 | 976,596 | ||||||
| Robertshaw US Holding Corp., First Lien Initial Term Loan, 1M US L + 3.25%, 02/28/2025(b) | 3,764,652 | 3,444,657 | ||||||
| Tailwind Smith Cooper Intermediate Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 05/28/2026 | 2,743,125 | 2,633,400 | ||||||
| Titan Acquisition, Ltd., First Lien Initial Term Loan, 1M US L + 3.00%, 03/28/2025 | 7,399,377 | 7,294,972 | ||||||
| 28,725,356 | ||||||||
| Insurance - 1.39% | ||||||||
| APCO Holdings LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 06/09/2025(b) | 4,261,520 | 4,240,213 | ||||||
| Cypress Intermediate Holdings III, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 04/28/2025 | 2,790,698 | 2,808,837 | ||||||
| Outcomes Group Holdings, Inc., Second Lien Term Loan, 3M US L + 7.50%, 10/26/2026(b) | 1,153,846 | 1,148,077 | ||||||
| Outcomes Group Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 10/24/2025 | 1,296,000 | 1,277,635 | ||||||
| 9,474,762 | ||||||||
| Leisure Goods/Activities/Movies - 1.44% | ||||||||
| Thunder Finco Pty, Ltd., First Lien Term Loan, 3M US L + 4.75%, 11/20/2026(b) | 3,050,000 | 3,050,000 | ||||||
| Travelport Finance S.à r.l., First Lien Initial Term Loan, 3M US L + 5.00%, 05/29/2026 | 7,182,000 | 6,736,716 | ||||||
| 9,786,716 | ||||||||
| Lodging & Casinos - 0.96% | ||||||||
| Aimbridge Acquisition Co., Inc., First Lien Initial (2019) Term Loan, 1M US L + 3.75%, 02/02/2026(b) | 2,028,250 | 2,048,533 | ||||||
| Casablanca US Holdings, Inc., First Lien Amendment No. 2 Initial Term Loan, 3M US L + 4.00%, 03/29/2024 | 4,716,000 | 4,488,052 | ||||||
| 6,536,585 | ||||||||
| Nonferrous Metals/Minerals - 1.22% | ||||||||
| Aleris International, Inc., First Lien Initial Term Loan, 1M US L + 4.75%, 02/27/2023 | 4,755,172 | 4,767,060 | ||||||
| American Rock Salt Co. LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 03/21/2025(b) | 2,869,777 | 2,891,301 | ||||||
| Murray Energy Corp., First Lien Superpriority B-2 Term Loan, 3M US L + 7.25%, 10/17/2022(d) | 2,903,567 | 635,562 | ||||||
| 8,293,923 | ||||||||
| Oil & Gas - 2.90% | ||||||||
| Ascent Resources - Marcellus LLC, First Lien Initial Term Loan, 1M US L + 6.50%, 03/30/2023 | 1,234,568 | 1,154,321 | ||||||
| BCP Raptor II LLC, First Lien Initial Term Loan, 2M US L + 4.75%, 11/03/2025 | 1,106,772 | 1,025,607 | ||||||
| Equitrans Midstream Corp., First Lien Holdco B Facility Term Loan, 1M US L + 4.50%, 01/31/2024 | 2,006,757 | 2,002,161 | ||||||
| Lower Cadence Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/22/2026 | 4,249,328 | 4,214,823 | ||||||
| Lucid Energy Group II Borrower LLC, First Lien Initial Term Loan, 1M US L + 3.00%, 02/17/2025 | 4,420,685 | 4,111,237 | ||||||
| Petroleum GEO-Services ASA, First Lien Extended Term Loan, 3M US L + 2.50%, 03/19/2021 | 3,364,519 | 3,203,022 | ||||||
| Sheridan Investment Partners I LLC, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019(d) | 3,043,366 | 1,871,670 | ||||||
| Sheridan Production Partners I LLC, First Lien Deferred Principal Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d) | 15,933 | 9,799 | ||||||
| Sheridan Production Partners I LLC, First Lien M Deferred Principal TL Term Loan, 3M US L + | ||||||||
| 0.00%, 10/01/2019(b)(d) | 9,732 | 5,985 | ||||||
| Sheridan Production Partners I LLC, First Lien Deferred Principal TL Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d) | 120,242 | 73,949 | ||||||
| See Notes to Financial Statements. |
| Annual Report | December 31, 2019 | 39 |
| Blackstone / GSO Strategic Credit Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal
Amount |
Value | |||||||
| Oil & Gas (continued) | ||||||||
| Sheridan Production Partners I-A LP, First Lien Tranche B-2 Term Loan, 1M US L + 3.50%, 10/01/2019(d) | $ | 403,271 | $ | 248,012 | ||||
| Sheridan Production Partners I-M LP, First Lien Tranche B-2 Term Loan, 1M US L + 3.50%, 10/01/2019(d) | 246,320 | 151,487 | ||||||
| Utex Industries, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 05/20/2022 | 3,181,818 | 1,657,377 | ||||||
| 19,729,450 | ||||||||
| Property & Casualty Insurance - 1.60% | ||||||||
| Applied Systems, Inc., Second Lien Initial Term Loan, 3M US L + 7.00%, 09/19/2025 | 303,030 | 309,723 | ||||||
| Asurion LLC, Second Lien Replacement B-2 Term Loan, 1M US L + 6.50%, 08/04/2025 | 9,089,314 | 9,222,245 | ||||||
| Confie Seguros Holding II Co., First Lien B Term Loan, 3M US L + 4.75%, 04/19/2022 | 1,387,293 | 1,350,883 | ||||||
| 10,882,851 | ||||||||
| Publishing - 2.45% | ||||||||
| Ancestry.com Operations, Inc., First Lien Extended Term Loan, 1M US L + 4.25%, 08/27/2026 | 3,127,499 | 3,083,526 | ||||||
| Champ Acquisition Corp., First Lien Initial Term Loan, 3M US L + 5.50%, 12/19/2025 | 4,399,254 | 4,401,102 | ||||||
| Recorded Books, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 08/29/2025(b) | 2,598,684 | 2,614,926 | ||||||
| Shutterfly, Inc., First Lien B Term Loan, 3M US L + 6.00%, 09/25/2026 | 4,880,000 | 4,609,550 | ||||||
| Southern Graphics, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 12/31/2023 | 4,500,000 | 1,242,000 | ||||||
| Southern Graphics, Inc., First Lien Refinancing Term Loan, 1M US L + 3.25%, 12/31/2022 | 1,213,353 | 759,322 | ||||||
| 16,710,426 | ||||||||
| Radio & Television - 1.01% | ||||||||
| iHeartCommunications, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/01/2026 | 322,739 | 325,899 | ||||||
| Terrier Media Buyer, Inc., First Lien B Term Loan, 3M US L + 4.25%, 12/12/2026 | 6,027,668 | 6,095,509 | ||||||
| William Morris Endeavor Entertainment LLC, First Lien B-1 Term Loan, 1M US L + 2.75%, 05/18/2025 | 494,762 | 493,320 | ||||||
| 6,914,728 | ||||||||
| Retailers (except food & drug) - 1.21% | ||||||||
| Ascena Retail Group, Inc., First Lien Tranche B Term Loan, 1M US L + 4.50%, 08/21/2022 | 2,746,719 | 1,881,503 | ||||||
| FBB Holdings III, Inc., First Lien Initial Term Loan, 3M US L + 9.00%, 02/07/2024(b) | 554,161 | 263,227 | ||||||
| FBB Holdings III, Inc., Second Lien Initial Term Loan, 3M US L + 7.00%, 01/31/2025(b)(e) | 194,899 | 18,515 | ||||||
| Petco Animal Supplies, Inc., First Lien Term Loan, 3M US L + 3.25%, 01/26/2023 | 1,549,269 | 1,323,657 | ||||||
| Pier 1 Imports , Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 04/30/2021 | 1,968,750 | 511,875 | ||||||
| Spencer Spirit IH LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 06/19/2026 | 4,259,325 | 4,226,060 | ||||||
| Sports Authority, Inc., First Lien B Term Loan, 3M US L + 6.00%, 11/16/2019(b)(d) | 2,065,632 | 4,131 | ||||||
| 8,228,968 | ||||||||
| Steel - 0.90% | ||||||||
| Can Am Construction, Inc., First Lien Closing Date Term Loan, 1M US L + 5.00%, 07/01/2024(b) | 4,977,155 | 4,977,155 | ||||||
| Phoenix Services International LLC, First Lien B Term Loan, 1M US L + 3.75%, 03/01/2025 | 1,193,036 | 1,128,409 | ||||||
| 6,105,564 | ||||||||
| Surface Transport - 1.19% | ||||||||
| Drive Chassis Holdco LLC, Second Lien B Term Loan, 3M US L + 8.25%, 04/10/2026(b) | 6,000,000 | 5,535,000 | ||||||
| SMB Shipping Logistics LLC, First Lien Term Loan, 3M US L + 4.00%, 02/05/2024 | 2,552,698 | 2,552,711 | ||||||
| 8,087,711 | ||||||||
| Telecommunications - 3.86% | ||||||||
| Alorica, Inc., First Lien New B Term Loan, 1M US L + 4.25%, 06/30/2022 | 2,697,303 | 2,338,561 | ||||||
| Avaya, Inc., First Lien Tranche B Term Loan, 1M US L + 4.25%, 12/15/2024 | 6,694,497 | 6,589,058 | ||||||
| Aventiv Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 11/01/2024 | 455,485 | 341,307 | ||||||
| Cyxtera DC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 05/01/2025 | 902,256 | 560,400 | ||||||
| See Notes to Financial Statements. |
| 40 | www.blackstone-gso.com |
| Blackstone / GSO Strategic Credit Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal
Amount |
Value | |||||||
| Telecommunications (continued) | ||||||||
| Ensono LP, First Lien Term Loan, 1M US L + 5.25%, 06/27/2025 | $ | 3,352,051 | $ | 3,361,822 | ||||
| Masergy Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 12/16/2024 | 1,766,917 | 1,731,579 | ||||||
| Masergy Holdings, Inc., First Lien 2017 Replacement Term Loan, 3M US L + 3.25%, 12/15/2023 | 1,810,253 | 1,788,376 | ||||||
| Peak 10 Holding Corp., First Lien Initial Term Loan, 3M US L + 3.50%, 08/01/2024 | 3,554,545 | 2,973,751 | ||||||
| Peak 10 Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.25%, 08/01/2025 | 3,857,143 | 2,442,864 | ||||||
| Vertiv Group Corp., First Lien B Term Loan, 1M US L + 4.00%, 11/30/2023 | 4,201,217 | 4,201,217 | ||||||
| 26,328,935 | ||||||||
| Utilities - 2.80% | ||||||||
| Brookfield WEC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/01/2025 | 5,464,539 | 5,510,633 | ||||||
| Granite Acquisition, Inc., Second Lien B Term Loan, 3M US L + 7.25%, 12/19/2022 | 5,742,624 | 5,761,747 | ||||||
| Green Energy Partners/Stonewall LLC, First Lien B-1 Conversion Advances Term Loan, 3M US L + 5.50%, 11/13/2021 | 1,564,978 | 1,457,941 | ||||||
| Moxie Patriot LLC, First Lien Construction B-1 Advances Term Loan, 3M US L + 5.75%, 12/19/2020 | 425,793 | 379,488 | ||||||
| Panda Liberty LLC, First Lien Construction B-1 Advance Term Loan, 3M US L + 6.50%, 08/21/2020 | 6,674,384 | 5,962,427 | ||||||
| 19,072,236 | ||||||||
| TOTAL FLOATING RATE LOAN INTERESTS | ||||||||
| (Cost $971,449,990) | 932,964,276 | |||||||
| CORPORATE BONDS - 19.86% | ||||||||
| Automotive - 0.20% | ||||||||
| Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. 7.875%, 10/01/2022(f) | 1,500,000 | 1,372,968 | ||||||
| Building & Development - 3.59% | ||||||||
| Great Lakes Dredge & Dock Corp. 8.000%, 05/15/2022 | 4,874,000 | 5,167,961 | ||||||
| Hillman Group, Inc. 6.375%, 07/15/2022(f) | 1,300,000 | 1,212,655 | ||||||
| Installed Building Products, Inc. 5.750%, 02/01/2028(f) | 900,000 | 964,438 | ||||||
| Northwest Hardwoods, Inc. 7.500%, 08/01/2021(f) | 3,211,000 | 1,637,610 | ||||||
| NWH Escrow Corp. 7.500%, 08/01/2021(f) | 4,918,000 | 2,508,180 | ||||||
| PriSo Acquisition Corp. 9.000%, 05/15/2023(f) | 13,060,000 | 12,994,700 | ||||||
| 24,485,544 | ||||||||
| Chemical & Plastics - 0.55% | ||||||||
| Pinnacle Operating Corp. 9.000%, 11/15/2020(f) | 2,000,000 | 2,000,000 | ||||||
| Starfruit Finco BV / Starfruit US Holdco LLC 8.000%, 10/01/2026(f) | 1,621,000 | 1,722,353 | ||||||
| 3,722,353 | ||||||||
| Containers & Glass Products - 1.18% | ||||||||
| ARD Finance SA 6.500%, 06/30/2027(e)(f) | 2,400,000 | 2,485,920 | ||||||
| Flex Acquisition Co., Inc. 6.875%, 01/15/2025(f) | 1,192,000 | 1,203,908 | ||||||
| Trident TPI Holdings, Inc. 6.625%, 11/01/2025(f) | 4,800,000 | 4,333,992 | ||||||
| 8,023,820 | ||||||||
| Diversified Insurance - 1.06% | ||||||||
| AmWINS Group, Inc. 7.750%, 07/01/2026(f) | 663,000 | 734,589 | ||||||
| HUB International, Ltd. 7.000%, 05/01/2026(f) | 1,281,000 | 1,357,892 | ||||||
| NFP Corp. 6.875%, 07/15/2025(f) | 5,084,000 | 5,109,369 | ||||||
| 7,201,850 | ||||||||
| See Notes to Financial Statements. |
| Annual Report | December 31, 2019 | 41 |
| Blackstone / GSO Strategic Credit Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal
Amount |
Value | |||||||
| Drugs - 0.93% | ||||||||
| Avantor, Inc. 9.000%, 10/01/2025(f) | $ | 5,667,000 | $ | 6,344,858 | ||||
| Ecological Services & Equipment - 1.10% | ||||||||
| GFL Environmental, Inc.: | ||||||||
| 5.375%, 03/01/2023(f) | 2,884,000 | 2,977,730 | ||||||
| 7.000%, 06/01/2026(f) | 2,829,000 | 2,996,611 | ||||||
| 8.500%, 05/01/2027(f) | 1,398,000 | 1,540,386 | ||||||
| 7,514,727 | ||||||||
| Electronics/Electric - 2.21% | ||||||||
| Banff Merger Sub, Inc. 9.750%, 09/01/2026(f) | 2,816,000 | 2,858,310 | ||||||
| Global A&T Electronics, Ltd. 8.500%, 01/12/2023 | 5,455,007 | 5,040,336 | ||||||
| Rackspace Hosting, Inc. 8.625%, 11/15/2024(f) | 2,724,000 | 2,669,520 | ||||||
| Riverbed Technology, Inc. 8.875%, 03/01/2023(f) | 7,723,000 | 4,479,340 | ||||||
| 15,047,506 | ||||||||
| Equipment Leasing - 0.16% | ||||||||
| Fly Leasing, Ltd. 6.375%, 10/15/2021 | 1,100,000 | 1,122,687 | ||||||
| Food/Drug Retailers - 0.31% | ||||||||
| eG Global Finance PLC 6.750%, 02/07/2025(f) | 2,113,000 | 2,149,101 | ||||||
| Healthcare - 1.80% | ||||||||
| Envision Healthcare Corp. 8.750%, 10/15/2026(f) | 6,250,000 | 3,892,797 | ||||||
| Team Health Holdings, Inc. 6.375%, 02/01/2025(f) | 3,500,000 | 2,346,453 | ||||||
| Tenet Healthcare Corp. 7.000%, 08/01/2025 | 5,714,000 | 6,047,326 | ||||||
| 12,286,576 | ||||||||
| Leisure Goods/Activities/Movies - 0.85% | ||||||||
| Mood Media Borrower LLC / Mood Media Co.-Issuer, Inc. 0.000%, 12/31/2023(b)(e)(f) | 6,831,758 | 5,789,915 | ||||||
| Oil & Gas - 1.38% | ||||||||
| Calumet Specialty Products Partners LP / Calumet Finance Corp. 7.750%, 04/15/2023 | 6,600,000 | 6,602,739 | ||||||
| CSI Compressco LP / CSI Compressco Finance, Inc. 7.250%, 08/15/2022 | 800,000 | 738,250 | ||||||
| Talos Production LLC / Talos Production Finance, Inc. 11.000%, 04/03/2022 | 2,000,000 | 2,050,624 | ||||||
| 9,391,613 | ||||||||
| Property & Casualty Insurance - 1.68% | ||||||||
| AssuredPartners, Inc. 7.000%, 08/15/2025(f) | 4,545,000 | 4,634,491 | ||||||
| GTCR AP Finance, Inc. 8.000%, 05/15/2027(f) | 955,000 | 995,920 | ||||||
| Solera LLC / Solera Finance, Inc. 10.500%, 03/01/2024(f) | 5,450,000 | 5,794,140 | ||||||
| 11,424,551 | ||||||||
| Publishing - 0.55% | ||||||||
| McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance 7.875%, 05/15/2024(f) | 4,320,000 | 3,727,793 | ||||||
| Radio & Television - 0.28% | ||||||||
| Entercom Media Corp. 6.500%, 05/01/2027(f) | 336,000 | 360,477 | ||||||
| Univision Communications, Inc. 5.125%, 02/15/2025(f) | 1,536,000 | 1,522,560 | ||||||
| 1,883,037 | ||||||||
| Telecommunications - 2.03% | ||||||||
| Connect Finco SARL / Connect US Finco LLC 6.750%, 10/01/2026(f) | 4,714,000 | 5,026,302 | ||||||
| See Notes to Financial Statements. |
| 42 | www.blackstone-gso.com |
| Blackstone / GSO Strategic Credit Fund | Portfolio of Investments |
| December 31, 2019 |
|
Principal
Amount |
Value | |||||||
| Telecommunications (continued) | ||||||||
| Digicel, Ltd. 6.000%, 04/15/2021(f) | $ | 2,250,000 | $ | 1,761,547 | ||||
| Frontier Communications Corp.: | ||||||||
| 10.500%, 09/15/2022 | 750,000 | 367,734 | ||||||
| 7.125%, 01/15/2023 | 4,000,000 | 1,960,000 | ||||||
| Sprint Communications, Inc. 6.000%, 11/15/2022 | 3,450,000 | 3,624,329 | ||||||
| Vertiv Group Corp. 9.250%, 10/15/2024(f) | 1,022,000 | 1,100,781 | ||||||
| 13,840,693 | ||||||||
| TOTAL CORPORATE BONDS | ||||||||
| (Cost $146,096,299) | 135,329,592 | |||||||
| Shares | ||||||||
| COMMON STOCK - 1.88% | ||||||||
| Building & Development - 0.21% | ||||||||
| Baan Rock Garden PCL(b)(g) | 164,832 | – | ||||||
| Dayton Superior LLC(b)(g) | 15,747 | 1,417,192 | ||||||
| 1,417,192 | ||||||||
| Business Equipment & Services - 0.14% | ||||||||
| Expanse Energy(b)(g) | 169,664 | 933,152 | ||||||
| Leisure Goods/Activities/Movies - 0.12% | ||||||||
| Mood Media Corp.(b)(g) | 3,709,356 | 778,965 | ||||||
| Oil & Gas - 1.41% | ||||||||
| Ascent Resources - Equity(g) | 886,921 | 1,496,680 | ||||||
| Ridgeback Resources Inc.(b)(g) | 1,201,345 | 6,605,524 | ||||||
| SandRidge Energy, Inc.(g) | 135,154 | 573,053 | ||||||
| Templar Energy LLC(b)(g) | 197,643 | – | ||||||
| Titan Energy LLC(g) | 29,318 | 853 | ||||||
| Total Safety Holdings, LLC(g) | 2,951 | 959,075 | ||||||
| 9,635,185 | ||||||||
| TOTAL COMMON STOCK | ||||||||
| (Cost $43,553,468) | 12,764,494 | |||||||
| PREFERRED STOCK - 0.00% | ||||||||
| Oil & Gas - 0.00% | ||||||||
| Templar Energy LLC(b)(g) | 131,013 | – | ||||||
| TOTAL PREFERRED STOCK | ||||||||
| (Cost $1,310,126) | – | |||||||
| WARRANTS - 0.00%(h) | ||||||||
| Oil & Gas - 0.00% | ||||||||
| Ascent Resources Marcellus LLC expires 3/30/2023 at $6.15(b) | 229,630 | 6,889 | ||||||
| TOTAL WARRANTS | ||||||||
| (Cost $25,062) | 6,889 | |||||||
| See Notes to Financial Statements. |
| Annual Report | December 31, 2019 | 43 |
| Blackstone / GSO Strategic Credit Fund | Portfolio of Investments |
| December 31, 2019 |
| Value | ||||
| Total Investments - 158.67% | ||||
| (Cost $1,162,434,945) | $ | 1,081,065,251 | ||
| Other Assets in Excess of Liabilities - 0.31% | 2,033,483 | |||
| Mandatory Redeemable Preferred Shares - (6.65)% | ||||
| (liquidation preference plus distributions payable on term preferred shares) | (45,286,937 | ) | ||
| Leverage Facility - (52.33)% | (356,500,000 | ) | ||
| Net Assets - 100.00% | $ | 681,311,797 | ||
Amounts above are shown as a percentage of net assets as of December 31, 2019.
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
Libor Rates:
1M US L - 1 Month LIBOR as of December 31, 2019 was 1.76%
1W US L - 1 Week LIBOR as of December 31, 2019 was 1.63%
2M US L - 2 Month LIBOR as of December 31, 2019 was 1.83%
3M US L - 3 Month LIBOR as of December 31, 2019 was 1.91%
6M US L - 6 Month LIBOR as of December 31, 2019 was 1.91%
| (a) | Floating or variable rate security. The reference rate is described above. The rate in effect as of December 31, 2019 is based on the reference rate plus the displayed spread as of the security's last reset date. |
| (b) | Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs. |
| (c) | A portion of this position was not funded as of December 31, 2019. The Portfolio of Investments records only the funded portion of each position. As of December 31, 2019, the Fund has unfunded delayed draw loans in the amount of $1,646,890. Fair value of these unfunded delayed draws was $1,639,722. |
| (d) | Security is in default as of period end and is therefore non-income producing. |
| (e) | Option to convert to pay-in-kind security. |
| (f) | Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $102,607,606, which represented approximately 15.06% of net assets as of December 31, 2019. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. |
| (g) | Non-income producing security. |
| (h) | Amount represents less than 0.005% of net assets. |
| See Notes to Financial Statements. |
| 44 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Statements of Assets and Liabilities |
December 31, 2019
| (a) | $1,000 liquidation value per share. -, 20,000, and 45,000 shares issued and outstanding, respectively. |
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 45 |
| Blackstone / GSO Funds | Statements of Operations |
For the Year Ended December 31, 2019
See Notes to Financial Statements.
| 46 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Statements of Changes in Net Assets |
| (a) | Includes impact of distributions to preferred shareholders from net investment income. Distributions on the Fund's mandatory redeemable preferred stock ("MRPS") are treated as an operating expense under GAAP and are included in the calculation of net investment income. See Note 9 - Leverage. The Long-Short Credit Income Fund and the Strategic Credit Fund recorded distributions of $727,970 and $1,637,931, respectively, to holders of MRPS for the fiscal year ended December 31, 2019. For the fiscal year ended December 31, 2018, the Long-Short Credit Income Fund and the Strategic Credit Fund recorded distributions of $722,671 and $1,626,010, respectively, to holders of MRPS. See Note 10 for details on tax characterization of distributions. |
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 47 |
| Blackstone / GSO Funds | Statements of Cash Flows |
For the Year Ended December 31, 2019
|
Senior Floating
Rate
Term Fund |
Long-Short Credit
Income Fund |
Strategic Credit
Fund |
||||||||||
| CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||||||
| Net increase in net assets from operations | $ | 19,043,860 | $ | 20,096,097 | $ | 57,450,286 | ||||||
| Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash provided by (used in) operating activities: | ||||||||||||
| Purchases of investment securities | (156,606,266 | ) | (135,986,492 | ) | (467,682,998 | ) | ||||||
| Proceeds from disposition of investment securities | 163,523,571 | 139,767,629 | 478,303,567 | |||||||||
| Discounts (accreted)/premiums amortized | (889,290 | ) | (658,249 | ) | (2,582,863 | ) | ||||||
| Net realized (gain)/loss on: | ||||||||||||
| Investment securities | 2,062,142 | 592,820 | 4,373,097 | |||||||||
| Net change in unrealized (appreciation)/depreciation on: | ||||||||||||
| Investment securities | (1,158,024 | ) | (2,157,068 | ) | (1,638,151 | ) | ||||||
| Amortization of deferred financing costs | – | 35,887 | 80,745 | |||||||||
| (Increase)/Decrease in assets: | ||||||||||||
| Interest receivable | 143,920 | 306,078 | 471,617 | |||||||||
| Prepaid expenses and other assets | 134,889 | 16,148 | (44,566 | ) | ||||||||
| Increase/(Decrease) in liabilities: | ||||||||||||
| Distributions payable on mandatory redeemable preferred shares | – | 5,969 | 13,432 | |||||||||
| Interest due on loan facility | 300,863 | 196,516 | (195,556 | ) | ||||||||
| Accrued investment advisory fees payable | (13,334 | ) | (8,804 | ) | (50,231 | ) | ||||||
| Accrued fund accounting and administration expense | 24,147 | 28,691 | 58,449 | |||||||||
| Accrued trustees' fees payable | 3,182 | 2,378 | (960 | ) | ||||||||
| Other payables and accrued expenses | (11,244 | ) | (120,114 | ) | (132,347 | ) | ||||||
| Net Cash Provided by (Used in) Operating Activities | 26,558,416 | 22,117,486 | 68,423,521 | |||||||||
| CASH FLOWS FROM FINANCING ACTIVITIES: | ||||||||||||
| Proceeds from leverage facility | 5,500,000 | 7,000,000 | 20,500,000 | |||||||||
| Payments on leverage facility | (6,000,000 | ) | (6,500,000 | ) | (25,500,000 | ) | ||||||
| Distributions paid - common shareholders - net of distributions reinvested | (23,120,082 | ) | (22,374,196 | ) | (69,810,428 | ) | ||||||
| Net Cash Provided by (Used in) Financing Activities | (23,620,082 | ) | (21,874,196 | ) | (74,810,428 | ) | ||||||
| Net Increase/(Decrease) in Cash | 2,938,334 | 243,290 | (6,386,907 | ) | ||||||||
| Cash, beginning balance | $ | 5,596,156 | $ | 6,091,025 | $ | 24,574,561 | ||||||
| Cash, ending balance | $ | 8,534,490 | $ | 6,334,315 | $ | 18,187,654 | ||||||
| Supplemental disclosure of cash flow information: | ||||||||||||
| Cash paid on interest on leverage facility | $ | 4,050,746 | $ | 3,530,772 | $ | 12,511,203 | ||||||
| Reinvestment of distributions | $ | 279,180 | $ | 72,417 | – | |||||||
See Notes to Financial Statements.
| 48 | www.blackstone-gso.com |
| Blackstone / GSO Senior Floating Rate Term Fund | Financial Highlights |
For a Share Outstanding Throughout the Periods Indicated
| (a) | Calculated using average common shares outstanding. |
| (b) | Total investment return is calculated assuming a purchase of common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund's dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any, and are not annualized. |
| (c) | Average managed assets represent net assets applicable to common shares plus principal value of leverage. |
| (d) | Calculated by subtracting the Fund's total liabilities (excluding the principal amount of the Leverage Facility) from the Fund's total assets and dividing by the principal amount of the Leverage Facility and then multiplying by $1,000. |
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 49 |
| Blackstone / GSO Long-Short Credit Income Fund | Financial Highlights |
For a Share Outstanding Throughout the Periods Indicated
| (a) | Calculated using average common shares outstanding. |
| (b) | Distributions on the Company's MRPS are treated as an operating expense under GAAP and are included in the calculation of net investment income. See Note 9 - Leverage. |
| (c) | Total investment return is calculated assuming a purchase of common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund's dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any, and are not annualized. |
| (d) | Average managed assets represent net assets applicable to common shares plus principal value of leverage. |
See Notes to Financial Statements.
| 50 | www.blackstone-gso.com |
| Blackstone / GSO Long-Short Credit Income Fund | Financial Highlights |
For a Share Outstanding Throughout the Periods Indicated
| (e) | Calculated by subtracting the Fund's total liabilities (excluding the liquidation value of the Mandatory Redeemable Preferred Shares and the principal amount of the Leverage Facility) from the Fund's total assets and dividing by the liquidation value of the Mandatory Redeemable Preferred Shares and the principal amount of the Leverage Facility and then multiplying by $1,000. |
| (f) | Calculated by subtracting the Fund's total liabilities (excluding Mandatory Redeemable Preferred Shares at liquidation value, including dividends payable on mandatory redeemable preferred shares, and the principal amount of the Leverage Facility) from the Fund's total assets and dividing by the principal amount of the Leverage Facility and then multiplying by $1,000. |
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 51 |
| Blackstone / GSO Strategic Credit Fund | Financial Highlights |
For a Share Outstanding Throughout the Periods Indicated
| (a) | Calculated using average common shares outstanding. |
| (b) | Distributions on the Company's MRPS are treated as an operating expense under GAAP and are included in the calculation of net investment income. See Note 9 - Leverage. |
| (c) | Total investment return is calculated assuming a purchase of common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund's dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any, and are not annualized. |
| (d) | Average managed assets represent net assets applicable to common shares plus principal value of leverage. |
See Notes to Financial Statements.
| 52 | www.blackstone-gso.com |
| Blackstone / GSO Strategic Credit Fund | Financial Highlights |
For a Share Outstanding Throughout the Periods Indicated
| (e) | Calculated by subtracting the Fund's total liabilities (excluding the liquidation value of the Mandatory Redeemable Preferred Shares and the principal amount of the Leverage Facility) from the Fund's total assets and dividing by the liquidation value of the Mandatory Redeemable Preferred Shares and the principal amount of the Leverage Facility and then multiplying by $1,000. |
| (f) | Calculated by subtracting the Fund's total liabilities (excluding Mandatory Redeemable Preferred Shares at liquidation value, including dividends payable on mandatory redeemable preferred shares, and the principal amount of the Leverage Facility) from the Fund's total assets and dividing by the principal amount of the Leverage Facility and then multiplying by $1,000. |
See Notes to Financial Statements.
| Annual Report | December 31, 2019 | 53 |
| Blackstone / GSO Funds | Notes to Financial Statements |
December 31, 2019
NOTE 1. ORGANIZATION
Blackstone / GSO Senior Floating Rate Term Fund (“BSL”), is a diversified, closed-end management investment company. BSL was organized as a Delaware statutory trust on March 4, 2010. BSL was registered under the Investment Company Act of 1940, as amended (the “1940 Act”), on March 5, 2010. BSL commenced operations on May 26, 2010. Prior to that date, BSL had no operations other than matters relating to its organization and the sale and issuance of 5,236 common shares of beneficial interest in BSL to GSO / Blackstone Debt Funds Management LLC (the “Adviser”) at a price of $19.10 per share. The Adviser serves as BSL’s investment adviser. BSL’s common shares are listed on the New York Stock Exchange (the “Exchange”) and trade under the ticker symbol “BSL.”
Absent shareholder approval to extend the term of BSL, BSL was initially scheduled to dissolve on or about May 31, 2020. On November 17, 2017, BSL’s shareholders approved extending the term of BSL by two years by changing BSL’s scheduled dissolution date from May 31, 2020 to May 31, 2022. Upon dissolution, BSL will distribute substantially all of its net assets to shareholders, after making appropriate provision for any liabilities. Pursuant to BSL’s Amended and Restated Agreement and Declaration of Trust, prior to the date of dissolution a majority of the Board of Trustees, with the approval of a majority of the shareholders entitled to vote (as defined in the 1940 Act), may extend the life of BSL by a period of two years or such shorter time as may be determined. The dissolution date of BSL may be extended an unlimited number of times. On March 31, 2017, BSL announced an extension of BSL’s reinvestment period. The extension will allow BSL to continue to reinvest proceeds generated by maturities, prepayments and sales of investments until one year prior to BSL’s scheduled dissolution date, which is currently May 31, 2022. On November 18, 2019, the Board of Trustees of BSL (the "BSL Board") approved a proposal to amend BSL's charter to allow an extension greater than two years in length (the "Charter Amendment"). The Board also approved a proposal to extend the term of BSL by five years by changing BSL's scheduled dissolution date from May 31, 2022 to May 31, 2027 (the "Term Extension"). The Charter Amendment and the Term Extension were subject to shareholder approval, which was obtained at a special shareholder meeting held on February 19, 2020.
Blackstone / GSO Long-Short Credit Income Fund (“BGX”) is a diversified, closed-end management investment company. BGX was organized as a Delaware statutory trust on October 22, 2010. BGX was registered under the 1940 Act on October 26, 2010. BGX commenced operations on January 27, 2011. Prior to that, BGX had no operations other than matters relating to its organization and the sale and issuance of 5,236 common shares of beneficial interest in BGX to the Adviser at a price of $19.10 per share. The Adviser serves as the investment adviser for BGX. BGX’s common shares are listed on the Exchange and trade under the ticker symbol “BGX.”
Blackstone / GSO Strategic Credit Fund (“BGB” and, collectively with BSL and BGX, the “Funds”) is a diversified, closed-end management investment company. BGB was organized as a Delaware statutory trust on March 28, 2012. BGB was registered under the 1940 Act on April 6, 2012. BGB commenced operations on September 26, 2012. Prior to that, BGB had no operations other than matters relating to its organization and the sale and issuance of 5,236 common shares of beneficial interest in BGB to the Adviser at a price of $19.10 per share. The Adviser serves as the investment adviser for BGB. BGB’s common shares are listed on the Exchange and trade under the ticker symbol “BGB.”
BGB will dissolve on or about September 15, 2027, absent shareholder approval to extend such term. Upon dissolution, BGB will distribute substantially all of its net assets to shareholders, after making appropriate provision for any liabilities of BGB. Pursuant to BGB’s Amended and Restated Agreement and Declaration of Trust, prior to the date of dissolution a majority of the Board of Trustees, with the approval of a majority of the outstanding voting securities entitled to vote (as defined in the 1940 Act), may extend the life of BGB. If approved, the dissolution date of BGB may be extended by a period of two years or such shorter time as may be determined. The dissolution date of BGB may be extended an unlimited number of times.
The Funds were previously classified as non-diversified investment companies for purposes of the 1940 Act. As a result of ongoing operations, the Funds are now classified as diversified companies; BGX and BSL as of April 1, 2014 and BGB as of September 25, 2015. This means that with respect to 75% of each Fund’s total assets, no more than 5% of such Fund’s total assets may be invested in any one issuer, excepting cash and cash items, U.S. government securities, and securities of other investment companies. The Funds may not resume operating in a non-diversified manner without first obtaining shareholder approval in accordance with the 1940 Act.
BSL’s primary investment objective is to seek high current income, with a secondary objective to seek preservation of capital, consistent with its primary goal of high current income. Under normal market conditions, at least 80% of BSL’s Managed Assets (defined below) will be invested in senior secured, floating rate loans (“Senior Loans”).
BGX’s primary investment objective is to provide current income, with a secondary objective of capital appreciation. BGX seeks to achieve its investment objectives by employing a dynamic long-short strategy in a diversified portfolio of loans and fixed-income instruments of predominantly U.S. corporate issuers, including first- and second-lien secured loans (“Secured Loans”) and high-yield corporate debt securities of varying maturities. BGX’s short positions, either directly or through the use of derivatives, may total up to 30% of such Fund’s net assets.
| 54 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Notes to Financial Statements |
December 31, 2019
BGB’s primary investment objective is to seek high current income, with a secondary objective to seek preservation of capital, consistent with its primary goal of high current income. The Fund will seek to achieve its investment objectives by investing primarily in a diversified portfolio of loans and other fixed income instruments of predominantly U.S. corporate issuers, including first- and second-lien secured loans (‘‘Senior Secured Loans’’) and high yield corporate bonds of varying maturities. Under normal market conditions, at least 80% of BGB’s Managed Assets (defined below) will be invested in credit investments comprised of corporate fixed income instruments and other investments (including derivatives) with similar economic characteristics.
Senior Loans, Secured Loans and Senior Secured Loans are referred to collectively as “Loans” throughout the Notes to Financial Statements.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
Basis of Presentation: The Funds' financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars. Each Fund is considered an Investment Company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statement. Actual results could differ from these estimates.
Portfolio Valuation: Each Fund’s net asset value (“NAV”) is determined daily on each day that the Exchange is open for business, as of the close of the regular trading session on the Exchange. Each Fund calculates NAV per share by subtracting liabilities (including accrued expenses or dividends) from the total assets of such Fund (the value of the securities plus cash or other assets, including interest accrued but not yet received) and dividing the result by the total number of outstanding common shares of such Fund.
Loans are primarily valued by using a composite loan price from a nationally recognized loan pricing service. The methodology used by the Funds’ nationally recognized loan pricing provider for composite loan prices is to value loans at the mean of the bid and ask prices from one or more brokers or dealers. Collateralized Loan Obligation securities (“CLOs”) are valued at the price provided by a nationally recognized pricing service. The prices provided by the nationally recognized pricing service are typically based on the evaluated mid-price of each of the CLOs. Corporate bonds and convertible bonds, other than short-term investments, are valued at the price provided by a nationally recognized pricing service. The prices provided by the nationally recognized pricing service are typically based on the mean of bid and ask prices for each corporate bond security. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrices, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments. Equity securities for which market quotations are available are generally valued at the last sale price or official closing price on the primary market or exchange on which they trade. Futures contracts are ordinarily valued at the last sales price on the securities or commodities exchange on which they are traded. Written and purchased options are ordinarily valued at the closing price on the securities or commodities exchange on which they are traded. Short-term debt investments, if any, having a remaining maturity of 60 days or less when purchased would be valued at cost adjusted for amortization of premiums and accretion of discounts. Any investments and other assets for which such current market quotations are not readily available are valued at fair value (“Fair Valued Assets”) as determined in good faith by a committee of the Adviser (“Fair Valued Asset Committee”) under procedures established by, and under the general supervision and responsibility of, the Funds’ Boards of Trustees. Such methods may include, but are not limited to, the use of a market comparable and/or income approach methodologies. A Fair Valued Asset Committee meeting may be called at any time by any member of the Fair Valued Asset Committee. The pricing of all Fair Valued Assets and determinations thereof shall be reported by the Fair Valued Asset Committee to the Board at each regularly scheduled quarterly meeting. The Funds have procedures to identify and investigate potentially stale or missing prices for investments which are valued using a nationally recognized pricing service, exchange price or broker-dealer quotations. After performing such procedures, any prices which are deemed to be stale are reviewed by the Fair Valued Asset Committee and an alternative pricing source is determined.
| Annual Report | December 31, 2019 | 55 |
| Blackstone / GSO Funds | Notes to Financial Statements |
December 31, 2019
Various inputs are used to determine the value of the Funds’ investments. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
Level 1— Unadjusted quoted prices in active markets for identical investments at the measurement date.
Level 2— Significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3— Significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
The categorization of a value determined for investments and other financial instruments is based on the pricing transparency of the investment and other financial instrument and does not necessarily correspond to the Funds’ perceived risk of investing in those securities. Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement.
The following tables summarize valuation of the Funds’ investments under the fair value hierarchy levels as of December 31, 2019:
Blackstone / GSO Senior Floating Rate Term Fund
| Investments in Securities at Value* | Level 1 - Quoted Prices | Level 2 - Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
| Floating Rate Loan Interests | ||||||||||||||||
| Aerospace & Defense | $ | – | $ | – | $ | 3,855,914 | $ | 3,855,914 | ||||||||
| Automotive | – | 1,470,406 | 1,254,222 | 2,724,628 | ||||||||||||
| Brokers, Dealers & Investment Houses | – | 3,512,704 | 763,918 | 4,276,622 | ||||||||||||
| Building & Development | – | 14,365,924 | 5,716,919 | 20,082,843 | ||||||||||||
| Business Equipment & Services | – | 50,084,648 | 8,981,419 | 59,066,067 | ||||||||||||
| Chemical & Plastics | – | 9,370,123 | 3,226,839 | 12,596,962 | ||||||||||||
| Containers & Glass Products | – | 3,538,309 | 2,048,094 | 5,586,403 | ||||||||||||
| Electronics/Electric | – | 66,915,276 | 3,404,239 | 70,319,515 | ||||||||||||
| Financial Intermediaries | – | 2,969,476 | 429,406 | 3,398,882 | ||||||||||||
| Food Service | – | 5,969,839 | 3,147,962 | 9,117,801 | ||||||||||||
| Healthcare | – | 50,893,295 | 3,616,485 | 54,509,780 | ||||||||||||
| Industrial Equipment | – | 8,270,164 | 2,220,352 | 10,490,516 | ||||||||||||
| Insurance | – | 468,466 | 1,975,707 | 2,444,173 | ||||||||||||
| Leisure Goods/Activities/Movies | – | 4,419,880 | 1,050,000 | 5,469,880 | ||||||||||||
| Lodging & Casinos | – | 1,645,619 | 705,233 | 2,350,852 | ||||||||||||
| Nonferrous Metals/Minerals | – | 1,959,776 | 974,701 | 2,934,477 | ||||||||||||
| Oil & Gas | – | 8,505,560 | 81,751 | 8,587,311 | ||||||||||||
| Publishing | – | 6,101,445 | 958,806 | 7,060,251 | ||||||||||||
| Retailers (except food & drug) | – | 2,754,468 | 102,096 | 2,856,564 | ||||||||||||
| Steel | – | 338,523 | 1,493,146 | 1,831,669 | ||||||||||||
| Surface Transport | – | 863,445 | 2,029,500 | 2,892,945 | ||||||||||||
| Other | – | 60,590,579 | – | 60,590,579 | ||||||||||||
| Collateralized Loan Obligation Securities | ||||||||||||||||
| Structured Finance Obligations | – | – | 6,043,785 | 6,043,785 | ||||||||||||
| Corporate Bonds | – | 11,350,191 | – | 11,350,191 | ||||||||||||
| Common Stock | ||||||||||||||||
| Building & Development | – | – | 515,342 | 515,342 | ||||||||||||
| Oil & Gas | – | 299,335 | – | 299,335 | ||||||||||||
| Preferred Stocks | ||||||||||||||||
| Oil & Gas | – | – | – | – | ||||||||||||
| Warrants | ||||||||||||||||
| Oil & Gas | – | – | 1,378 | 1,378 | ||||||||||||
| Total | – | 316,657,451 | 54,597,214 | 371,254,665 | ||||||||||||
| 56 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Notes to Financial Statements |
December 31, 2019
Blackstone / GSO Long-Short Credit Income Fund
| Investments in Securities at Value* | Level 1 - Quoted Prices | Level 2 - Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
| Floating Rate Loan Interests | ||||||||||||||||
| Aerospace & Defense | $ | – | $ | – | $ | 3,274,518 | $ | 3,274,518 | ||||||||
| Automotive | – | 1,203,115 | 836,148 | 2,039,263 | ||||||||||||
| Brokers, Dealers & Investment Houses | – | 2,950,576 | 625,024 | 3,575,600 | ||||||||||||
| Building & Development | – | 11,968,870 | 4,679,715 | 16,648,585 | ||||||||||||
| Business Equipment & Services | – | 40,272,153 | 6,861,261 | 47,133,414 | ||||||||||||
| Chemical & Plastics | – | 7,345,945 | 2,737,340 | 10,083,285 | ||||||||||||
| Containers & Glass Products | – | 2,897,180 | 1,497,324 | 4,394,504 | ||||||||||||
| Electronics/Electric | – | 52,008,730 | 2,772,343 | 54,781,073 | ||||||||||||
| Financial Intermediaries | – | 2,826,534 | 351,332 | 3,177,866 | ||||||||||||
| Food Service | – | 4,706,980 | 2,202,408 | 6,909,388 | ||||||||||||
| Healthcare | – | 42,265,931 | 3,044,344 | 45,310,275 | ||||||||||||
| Industrial Equipment | – | 6,632,500 | 1,853,949 | 8,486,449 | ||||||||||||
| Insurance | – | 1,202,535 | 1,616,487 | 2,819,022 | ||||||||||||
| Leisure Goods/Activities/Movies | – | 3,134,317 | 900,000 | 4,034,317 | ||||||||||||
| Lodging & Casinos | – | 1,346,416 | 604,485 | 1,950,901 | ||||||||||||
| Nonferrous Metals/Minerals | – | 1,589,008 | 820,061 | 2,409,069 | ||||||||||||
| Oil & Gas | – | 6,167,975 | 25,377 | 6,193,352 | ||||||||||||
| Publishing | – | 4,194,249 | 784,478 | 4,978,727 | ||||||||||||
| Retailers (except food & drug) | – | 2,190,178 | 76,961 | 2,267,139 | ||||||||||||
| Steel | – | 225,682 | 995,431 | 1,221,113 | ||||||||||||
| Surface Transport | – | 719,875 | 1,660,500 | 2,380,375 | ||||||||||||
| Other | – | 48,545,715 | – | 48,545,715 | ||||||||||||
| Collateralized Loan Obligation Securities | ||||||||||||||||
| Structured Finance Obligations | – | – | 8,764,282 | 8,764,282 | ||||||||||||
| Corporate Bonds | – | 36,124,053 | – | 36,124,053 | ||||||||||||
| Common Stock | ||||||||||||||||
| Building & Development | – | – | 386,507 | 386,507 | ||||||||||||
| Other | 160,450 | – | – | 160,450 | ||||||||||||
| Total | 160,450 | 280,518,517 | 47,370,275 | 328,049,242 | ||||||||||||
Blackstone / GSO Strategic Credit Fund
| Investments in Securities at Value* | Level 1 - Quoted Prices | Level 2 - Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
| Floating Rate Loan Interests | ||||||||||||||||
| Aerospace & Defense | $ | – | $ | – | $ | 10,915,060 | $ | 10,915,060 | ||||||||
| Automotive | – | 4,137,167 | 4,180,739 | 8,317,906 | ||||||||||||
| Brokers, Dealers & Investment Houses | – | 8,441,639 | 2,083,412 | 10,525,051 | ||||||||||||
| Building & Development | – | 39,851,084 | 16,701,552 | 56,552,636 | ||||||||||||
| Business Equipment & Services | – | 138,700,701 | 24,209,230 | 162,909,931 | ||||||||||||
| Chemical & Plastics | – | 16,388,852 | 9,276,404 | 25,665,256 | ||||||||||||
| Containers & Glass Products | – | 10,133,167 | 6,299,279 | 16,432,446 | ||||||||||||
| Electronics/Electric | – | 179,785,731 | 9,616,757 | 189,402,488 | ||||||||||||
| Financial Intermediaries | – | 12,984,304 | 1,171,107 | 14,155,411 | ||||||||||||
| Food Service | – | 17,673,155 | 5,289,892 | 22,963,047 | ||||||||||||
| Healthcare | – | 129,124,904 | 10,677,272 | 139,802,176 | ||||||||||||
| Industrial Equipment | – | 22,499,939 | 6,225,417 | 28,725,356 | ||||||||||||
| Insurance | – | 4,086,472 | 5,388,290 | 9,474,762 | ||||||||||||
| Leisure Goods/Activities/Movies | – | 6,736,716 | 3,050,000 | 9,786,716 | ||||||||||||
| Lodging & Casinos | – | 4,488,052 | 2,048,533 | 6,536,585 | ||||||||||||
| Nonferrous Metals/Minerals | – | 5,402,622 | 2,891,301 | 8,293,923 | ||||||||||||
| Oil & Gas | – | 19,639,717 | 89,733 | 19,729,450 | ||||||||||||
| Publishing | – | 14,095,500 | 2,614,926 | 16,710,426 | ||||||||||||
| Retailers (except food & drug) | – | 7,943,095 | 285,873 | 8,228,968 | ||||||||||||
| Steel | – | 1,128,409 | 4,977,155 | 6,105,564 | ||||||||||||
| Surface Transport | – | 2,552,711 | 5,535,000 | 8,087,711 | ||||||||||||
| Annual Report | December 31, 2019 | 57 |
| Blackstone / GSO Funds | Notes to Financial Statements |
December 31, 2019
Blackstone / GSO Strategic Credit Fund (continued)
| Investments in Securities at Value* | Level 1 - Quoted Prices | Level 2 - Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
| Other | $ | – | $ | 153,643,407 | $ | – | $ | 153,643,407 | ||||||||
| Corporate Bonds | ||||||||||||||||
| Leisure Goods/Activities/Movies | – | – | 5,789,915 | 5,789,915 | ||||||||||||
| Other | – | 129,539,677 | – | 129,539,677 | ||||||||||||
| Common Stock | ||||||||||||||||
| Building & Development | – | – | 1,417,192 | 1,417,192 | ||||||||||||
| Business Equipment & Services | – | – | 933,152 | 933,152 | ||||||||||||
| Leisure Goods/Activities/Movies | – | – | 778,965 | 778,965 | ||||||||||||
| Oil & Gas | 573,906 | 2,455,755 | 6,605,524 | 9,635,185 | ||||||||||||
| Preferred Stocks | ||||||||||||||||
| Oil & Gas | – | – | – | – | ||||||||||||
| Warrants | ||||||||||||||||
| Oil & Gas | – | – | 6,889 | 6,889 | ||||||||||||
| Total | 573,906 | 931,432,776 | 149,058,569 | 1,081,065,251 | ||||||||||||
| * | Refer to each Fund's Portfolio of Investments for a listing of securities by type. |
| 58 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Notes to Financial Statements |
| December 31, 2019 |
The changes of the fair value of investments for which the Funds have used significant unobservable (Level 3) inputs to determine the fair value are as follows:
| Blackstone/GSO Senior Floating Rate Term Fund |
Floating
Rate
Loan Interests |
Collateralized
Loan Obligation Securities |
Common
Stock |
Preferred
Stock |
Warrants | Total | ||||||||||||||||||
| Balance as of December 31, 2018 | $ | 77,368,725 | $ | 5,338,520 | $ | 554,675 | $ | 144,745 | $ | 1,378 | $ | 83,408,043 | ||||||||||||
| Accrued discount/ premium | 136,287 | 1,599 | – | – | – | 137,886 | ||||||||||||||||||
| Realized Gain/(Loss) | (8,173 | ) | (109,497 | ) | – | – | – | (117,670 | ) | |||||||||||||||
| Change in Unrealized Appreciation/(Depreciation) | (1,248,816 | ) | 259,922 | (180,852 | ) | (144,745 | ) | – | (1,314,491 | ) | ||||||||||||||
| Purchases | 14,260,014 | 2,158,998 | 440,854 | – | – | 16,859,866 | ||||||||||||||||||
| Sales Proceeds | (19,663,080 | ) | (1,605,757 | ) | – | – | – | (21,268,837 | ) | |||||||||||||||
| Transfer into Level 3 | 10,239,522 | – | – | – | – | 10,239,522 | ||||||||||||||||||
| Transfer out of Level 3 | (33,047,771 | ) | – | (299,335 | ) | – | – | (33,347,106 | ) | |||||||||||||||
| Balance as of December 31, 2019 | $ | 48,036,709 | $ | 6,043,785 | $ | 515,342 | $ | – | $ | 1,378 | $ | 54,597,214 | ||||||||||||
| Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at December 31, 2019 | $ | (7,114 | ) | $ | 96,382 | $ | 74,488 | $ | – | $ | – | $ | 163,756 | |||||||||||
| Blackstone/GSO Long-Short Credit Income Fund |
Floating
Rate
Loan Interests |
Collateralized Loan Obligation Securities |
Common
Stock |
Total | ||||||||||||
| Balance as of December 31, 2018 | $ | 66,097,334 | $ | 6,630,969 | $ | – | $ | 72,728,303 | ||||||||
| Accrued discount/ premium | 115,536 | 1,533 | – | 117,069 | ||||||||||||
| Realized Gain/(Loss) | 75,930 | (64,344 | ) | – | 11,586 | |||||||||||
| Change in Unrealized Appreciation/(Depreciation) | (1,213,597 | ) | 219,570 | 55,867 | (938,160 | ) | ||||||||||
| Purchases | 11,820,238 | 2,637,210 | 330,640 | 14,788,088 | ||||||||||||
| Sales Proceeds | (17,249,770 | ) | (660,656 | ) | – | (17,910,426 | ) | |||||||||
| Transfer into Level 3 | 7,420,079 | – | – | 7,420,079 | ||||||||||||
| Transfer out of Level 3 | (28,846,264 | ) | – | – | (28,846,264 | ) | ||||||||||
| Balance as of December 31, 2019 | $ | 38,219,486 | $ | 8,764,282 | $ | 386,507 | $ | 47,370,275 | ||||||||
| Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at December 31, 2019 | $ | (6,384 | ) | $ | 121,075 | $ | 55,867 | $ | 170,558 | |||||||
| Blackstone/GSO Strategic Credit Fund |
Floating
Rate
Loan Interests |
Corporate
Bonds |
Common
Stock |
Preferred
Stock |
Warrants | Total | ||||||||||||||||||
| Balance as of December 31, 2018 | $ | 229,511,149 | $ | – | $ | 13,989,703 | $ | 393,038 | $ | 6,889 | $ | 243,900,779 | ||||||||||||
| Accrued discount/ premium | 409,624 | 55,876 | – | – | – | 465,500 | ||||||||||||||||||
| Realized Gain/(Loss) | (91,829 | ) | – | – | – | – | (91,829 | ) | ||||||||||||||||
| Change in Unrealized Appreciation/(Depreciation) | (4,271,728 | ) | (292,501 | ) | (3,970,537 | ) | (393,038 | ) | – | (8,927,804 | ) | |||||||||||||
| Purchases | 41,540,742 | 6,026,540 | 1,212,347 | – | – | 48,779,629 | ||||||||||||||||||
| Sales Proceeds | (59,847,484 | ) | – | – | – | – | (59,847,484 | ) | ||||||||||||||||
| Transfer into Level 3 | 25,485,514 | – | – | – | – | 25,485,514 | ||||||||||||||||||
| Transfer out of Level 3 | (99,209,056 | ) | – | (1,496,680 | ) | – | – | (100,705,736 | ) | |||||||||||||||
| Balance as of December 31, 2019 | $ | 133,526,932 | $ | 5,789,915 | $ | 9,734,833 | $ | – | $ | 6,889 | $ | 149,058,569 | ||||||||||||
| Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at December 31, 2019 | $ | (707,061 | ) | $ | (292,501 | ) | $ | (2,806,083 | ) | $ | – | $ | – | $ | (3,805,645 | ) | ||||||||
| Annual Report | December 31, 2019 | 59 |
| Blackstone / GSO Funds | Notes to Financial Statements |
| December 31, 2019 |
| Blackstone / GSO Senior Floating Rate Term Fund | Fair Value | Valuation Technique(s) | Unobservable Input(s) |
Value/Range
(Weighted Average) |
||||||||
| Floating Rate Loan Interests | $ | 48,036,709 | Third-party vendor pricing service | Broker quotes | N/A | |||||||
| Collateralized Loan Obligation Securities | 6,043,785 | Third-party vendor pricing service | Broker quotes | N/A | ||||||||
| Common Stock | 515,342 | Third-party vendor pricing service | Broker quotes | N/A | ||||||||
| Warrants | 1,378 | Third-party vendor pricing service | Broker quotes | N/A | ||||||||
| Blackstone / GSO Long-Short Credit Income Fund | Fair Value | Valuation Technique(s) | Unobservable Input(s) |
Value/Range
(Weighted Average) |
||||||||
| Floating Rate Loan Interests | $ | 38,219,486 | Third-party vendor pricing service | Broker quotes | N/A | |||||||
| Collateralized Loan Obligation Securities | 8,764,282 | Third-party vendor pricing service | Broker quotes | N/A | ||||||||
| Common Stock | 386,507 | Third-party vendor pricing service | Broker quotes | N/A | ||||||||
| Blackstone / GSO Strategic Credit Fund | Fair Value | Valuation Technique(s) | Unobservable Input(s) |
Value/Range
(Weighted Average) |
||||||||
| Floating Rate Loan Interests | $ | 133,526,932 | Third-party vendor pricing service | Broker quote | N/A | |||||||
| Corporate Bonds | 5,789,915 | Discounted Cash Flow Methodology | Discount Rate | 20.35% | ||||||||
| Common Stock | 2,350,344 | Third-party vendor pricing service | Broker quote | N/A | ||||||||
| 778,965 | Performance Multiple Methodology | EBITDA Multiple(a) | 7.25x | |||||||||
| 6,605,524 | Performance Multiple Methodology | EBITDA Multiple(a) | 4.07x | |||||||||
| Proved & Probable PV-10(a) | 0.46x | |||||||||||
| Daily Production (BOE/D)(a) | $36.3 | |||||||||||
| Proved & Probable Reserves (MMboe)(a) | $8.5 | |||||||||||
| – | Performance Multiple Methodology | EBITDA Multiple(a) | 7.38x | |||||||||
| Warrants | 6,889 | Third-party vendor pricing service | Broker quotes | N/A | ||||||||
| (a) | A change to the unobservable input at the reporting date would result in a significant change to the value of the investment as follows: |
| Unobservable Input | Impact to Value if Input Increases | Impact to Value if Input Decreases |
| EBITDA Multiple | Increase | Decrease |
| Proved & Probable PV-10 | Increase | Decrease |
| Daily Production | Increase | Decrease |
| Proved & Probable Reserves | Increase | Decrease |
Securities Transactions and Investment Income: Securities transactions are recorded on trade date for financial reporting purposes and amounts payable or receivable for trades not settled at the time of period end are reflected as liabilities and assets, respectively. Interest Income is recognized on an accrual basis from the date of settlement. Accretion of discount and amortization of premium, which are included in interest income, are accreted or amortized daily using the accrual basis interest method. Dividend income is recorded on the ex-dividend date. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statement of Operations.
When the Funds sell a floating rate loan interest, they may pay an agency fee. The Funds earn facility and other fees on floating rate loan interests, and facility fees are typically amortized to income over the term of the loan. Consent and amendment fees are also recorded to income as earned. All of these fees are shown on the Statement of Operations under “Facility and other fees.”
Federal Income Taxes: It is the policy of the Funds to continue to qualify as regulated investment companies by complying with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended. For the year ended December 31, 2019, Management has analyzed the tax positions taken by the Funds and has concluded that no income tax provisions are required.
Income and capital gain distributions, if any, are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Funds, including differences in the timing of recognition or income, losses, and/or gains, and differing characterization of distributions made by the Funds as a whole.
| 60 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Notes to Financial Statements |
| December 31, 2019 |
As of, and during, the year ended December 31, 2019, the Funds did not incur a liability arising from any unrecognized tax benefits. The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return for federal purposes and four years after the filing of most state and local returns for state and local purposes. Tax returns for any open years have not required and as such not incorporated any uncertain tax positions that result in a provision for income taxes.
Distributions to Shareholders: The Funds make monthly cash distributions of all or a portion of their net investment income to common shareholders. The Funds will distribute to common shareholders at least annually all or substantially all of their net investment income determined after the payment of dividends and/or interest, if any, owed with respect to any outstanding preferred shares and/or borrowings. The Funds intend to pay any capital gain distributions at least annually, if any. The Funds utilize a "dynamic" distribution strategy that is based on the net investment income earned by the Funds. The Funds declare a set of monthly distributions each quarter in amounts closely tied to the Funds' recent average monthly net investment income. As a result, the monthly distribution amounts for the Funds typically vary when compared quarter over quarter.
NOTE 3. MANAGEMENT FEES, ADMINISTRATION FEES, AND OTHER AGREEMENTS
The Adviser, a wholly-owned subsidiary of GSO Capital Partners LP (collectively with its affiliates, “GSO”), is a registered investment adviser and is responsible for the day-to-day management of, and providing administrative and compliance oversight services to, the Funds. GSO is an affiliate of The Blackstone Group Inc.
For BSL, the Adviser receives a monthly fee at the annual rate of 0.90% of the average daily value of BSL’s total assets (including any assets attributable to any leverage used) minus the sum of BSL’s accrued liabilities (other than Fund liabilities incurred for any leverage) (“BSL Managed Assets”). Effective November 17, 2017, the Adviser agreed to reduce a portion of the previous management fee, which was at an annual rate equal to 1.00% of BSL’s Managed Assets, in connection with the extension of BSL’s term through May 31, 2022. If BSL’s term is extended again by shareholders beyond May 31, 2022, the management fee will return to an annual rate of 1.00% of BSL’s Managed Assets unless waived or otherwise modified. For BGX, the Adviser receives a monthly fee at the annual rate of 1.20% of the average daily value of BGX’s net assets (total assets of BGX minus liabilities, including accrued expenses or dividends). For BGB, the Adviser receives a monthly fee at the annual rate of 1.00% of the average daily value of BGB’s Managed Assets (defined below).
In 2019, the Funds and the Blackstone / GSO Floating Rate Enhanced Income Fund (the “GSO Closed-End Funds”) paid every Trustee who is not a director, officer, employee, or affiliate of GSO or ALPS (the “Unaffiliated Trustee”), a retainer fee of $130,000 per annum. The Chairman of the Audit Committee and the Chairman of the Nominating and Governance Committee also each received a retainer fee of $10,000 per annum and the Lead Independent Trustee also received a retainer fee of $14,000 per annum. Effective January 1, 2020, the GSO Closed-End Funds will pay a retainer fee of $145,000 per annum to each Unaffiliated Trustee. The Chairman of the Audit Committee and the Chairman of the Nominating and Governance Committee will each also receive a retainer fee of $12,000 per annum and the Lead Independent Trustee will receive a retainer fee of $16,000 per annum.
ALPS Fund Services, Inc. (“ALPS”) serves as administrator to the Funds. Under the administration agreement, ALPS is responsible for calculating the net asset value of the common shares and generally managing the administrative affairs of the Funds. For BSL and BGB, ALPS receives a monthly fee based on the average daily value of the Funds’ respective Managed Assets, plus out-of-pocket expenses. For BGX, ALPS receives a monthly fee based on the average daily value of the Fund’s net assets, plus out-of-pocket expenses. ALPS is not considered an affiliate of the Funds, as defined under the 1940 Act.
The Bank of New York Mellon serves as the Funds’ custodian. Computershare Shareowner Services, LLC, serves as the Funds’ transfer agent. The Bank of New York Mellon and Computershare Shareowner Services, LLC, are not considered affiliates of the Funds as defined under the 1940 Act.
NOTE 4. SECURITIES TRANSACTIONS
Investment transactions for the year ended December 31, 2019, excluding temporary short-term investments, were as follows:
| Fund |
Cost
of Investments
Purchased |
Proceeds
from
Investments Sold |
||||||
| Blackstone / GSO Senior Floating Rate Term Fund | $ | 153,019,675 | $ | 164,093,850 | ||||
| Blackstone / GSO Long-Short Credit Income Fund | 132,265,707 | 138,349,560 | ||||||
| Blackstone / GSO Strategic Credit Fund | 446,078,758 | 471,815,256 | ||||||
| Annual Report | December 31, 2019 | 61 |
| Blackstone / GSO Funds | Notes to Financial Statements |
| December 31, 2019 |
NOTE 5. RELATED PARTY TRANSACTIONS
The Adviser is a related party. Fee arrangements with related parties are disclosed in Note 3 and amounts incurred are disclosed in the Statement of Operations.
During the year ended December 31, 2019, none of the Funds engaged in cross trades with an affiliate pursuant to Rule 17a-7 under the 1940 Act.
Blackstone Holdings Finance Co. L.L.C ("FINCO"), an affiliate of the investment adviser, pays expenses on behalf of the Funds from time to time. The Funds reimburse FINCO for such expenses paid on behalf of the Funds. FINCO does not charge any fees for providing such services. The amounts of $77,051, $96,470, and $126,256 for BSL, BGX, and BGB, respectively, as of the year ended December 31, 2019 is recorded as other payables and accrued expenses on the Funds' Statements of Assets and Liabilities.
NOTE 6. CAPITAL
The Funds have authorized an unlimited number of $0.001 par value common shares.
Transactions in shares were as follows:
| Blackstone / GSO Senior Floating Rate Term Fund |
For
the
Year Ended December 31, 2019 |
For
the
Year Ended December 31, 2018 |
||||||
| Common shares outstanding - beginning of period | 15,269,106 | 15,251,298 | ||||||
| Common shares issued as reinvestment of dividends | 17,076 | 17,808 | ||||||
| Common shares outstanding - end of period | 15,286,182 | 15,269,106 | ||||||
| Blackstone / GSO Long-Short Credit Income Fund |
For
the
Year Ended December 31, 2019 |
For
the
Year Ended December 31, 2018 |
||||||
| Common shares outstanding - beginning of period | 12,702,160 | 12,702,160 | ||||||
| Common shares issued as reinvestment of dividends | 4,679 | – | ||||||
| Common shares outstanding - end of period | 12,706,839 | 12,702,160 | ||||||
| Blackstone / GSO Strategic Credit Fund |
For
the
Year Ended December 31, 2019 |
For
the
Year Ended December 31, 2018 |
||||||
| Common shares outstanding - beginning of period | 44,664,382 | 44,664,382 | ||||||
| Common shares issued as reinvestment of dividends | – | – | ||||||
| Common shares outstanding - end of period | 44,664,382 | 44,664,382 | ||||||
NOTE 7. LOANS AND OTHER INVESTMENTS
BSL defines “Senior Loans” as first lien senior secured, floating rate loans that are made to U.S. and, to a limited extent, non-U.S. corporations, partnerships and other business entities (“Borrowers”), which operate in various industries and geographical regions. BGX includes first and second lien secured, floating rate loans in its definition of “Secured Loans.” Under normal market conditions, at least 80% of BSL’s Managed Assets will be invested in Senior Loans and 70% of BGX’s Managed Assets (defined below) will be invested in Secured Loans. BGX defines its managed assets as net assets plus any borrowings for investment purposes, which includes effective leverage obtained through securities lending, swap contract arrangements, and short selling or other derivative transactions (“BGX Managed Assets”). BGB defines its managed assets as net assets plus any borrowings for investment purposes, which includes effective leverage obtained through total return swaps, securities lending arrangements, credit default swaps or other derivative transactions ("BGB Managed Assets"). Under normal market conditions, at least 80% of BGB's Managed Assets will be invested in credit investments comprised of corporate fixed income instruments and other investments (including derivatives) with similar economic characteristics. At December 31, 2019, 82.25% of BSL’s Managed Assets were held in Senior Loans, 86.17% of BGX's Managed Assets were held in Secured Loans, and 98.67% of BGB’s Managed Assets were held in corporate fixed income instruments including Senior Secured Loans.
Senior secured loans hold a senior position in the capital structure of a business entity, are secured with specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by unsecured creditors, subordinated debt holders and stockholders of the Borrower.
Loans often require prepayments from Borrowers’ excess cash flows or permit the Borrowers to repay at their election. The degree to which Borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, floating rate loans typically have an expected average life of two to four years. Floating rate loans typically have rates of interest which are re-determined periodically, either daily, monthly, quarterly or semi-annually by reference to a floating base lending rate, primarily the London Interbank Offered Rate (LIBOR), plus a premium or credit spread.
| 62 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Notes to Financial Statements |
| December 31, 2019 |
Instruments in which the Funds invest may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. The Funds and issuers of instruments in which the Funds invest may also obtain financing at floating rates based on LIBOR. The underlying collateral of CLOs in which the Funds invest may pay interest at floating rates based on LIBOR. Derivative instruments utilized by the Funds and/or issuers of instruments in which the Trust may invest may also reference LIBOR. Regulators and law-enforcement agencies from a number of governments, including entities in the United States, Japan, Canada and the United Kingdom, have conducted or are conducting civil and criminal investigations into whether the banks that contribute to the British Bankers’ Association, or the “BBA,” in connection with the calculation of daily LIBOR may have been manipulating or attempting to manipulate LIBOR. Several financial institutions have reached settlements with the CFTC, the U.S. Department of Justice Fraud Section and the United Kingdom Financial Conduct Authority in connection with investigations by such authorities into submissions made by such financial institutions to the bodies that set LIBOR and other interbank offered rates. Additional investigations remain ongoing with respect to other major banks. There can be no assurance that there will not be additional admissions or findings of rate-setting manipulation or that manipulations of LIBOR or other similar interbank offered rates will not be shown to have occurred. ICE Benchmark Administration Limited assumed the role of LIBOR administrator from the BBA on February 1, 2014. Any new administrator of LIBOR may make methodological changes to the way in which LIBOR is calculated or may alter, discontinue or suspend calculation or dissemination of LIBOR. Additional findings of manipulation may decrease the confidence of the market in LIBOR and lead market participants to look for alternative, non-LIBOR based types of financing, such as fixed rate loans or bonds or floating rate loans based on non-LIBOR indices.
On July 27, 2017, the United Kingdom’s Financial Conduct Authority, which regulates LIBOR, announced that it intends to phase out LIBOR by the end of 2021. It is expected that a number of private-sector banks currently reporting information used to set LIBOR will stop doing so after 2021 when their current reporting commitment ends, which could either cause LIBOR to stop publication immediately or cause LIBOR’s regulator to determine that its quality has degraded to the degree that it is no longer representative of its underlying market. The U.S. Federal Reserve, in conjunction with the Alternative Reference Rates Committee, a steering committee comprised of large U.S. financial institutions, is considering replacing U.S. dollar LIBOR with a new index calculated by short-term repurchase agreements, backed by Treasury securities. Abandonment of or modifications to LIBOR could have adverse impacts and represent a significant risk on newly issued financial instruments and existing financial instruments which reference LIBOR. While some instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate setting methodology, not all instruments may have such provisions and there are significant uncertainty regarding the effectiveness of any such alternative methodologies. Abandonment of or modifications to LIBOR could lead to significant short-term and long-term uncertainty and market instability and the extent to which that may impact the Funds may vary depending on various factors, which include, but are not limited to: (i) existing fallback or termination provisions in individual contracts and (ii) whether, how, and when industry participants develop and adopt new successor reference rates and/or fallbacks for both legacy and new instruments. In addition, the transition to a successor rate could potentially cause (i) increased volatility or illiquidity in markets for instruments that currently rely on LIBOR, (ii) a reduction in the value of certain instruments held by the Funds, or (iii) reduced effectiveness of related Fund transactions, such as hedging. It remains uncertain how such changes would be implemented and the effects such changes would have on the Funds, issuers of instruments in which the Funds invest and financial markets generally.
Loans are subject to the risk of payment defaults of scheduled interest or principal. Such non-payment could result in a reduction of income, a reduction in the value of the investment and a potential decrease in the net asset value of any of the Funds. Risk of loss of income is generally higher for subordinated unsecured loans or debt, which are not backed by a security interest in any specific collateral. There can be no assurance that the liquidation of any collateral securing a Loan would satisfy the Borrower’s obligation to the applicable Fund in the event of non-payment of scheduled interest or principal payments, or that such collateral could be readily liquidated.
Second lien loans generally are subject to similar risks as those associated with investments in first lien loans except that such loans are subordinated in payment and/or lower in lien priority to first lien holders. In the event of default on a second lien loan, the first priority lien holder has first claim to the underlying collateral of the loan. Second lien loans are subject to the additional risk that the cash flow of the Borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior obligations of the Borrower. At December 31, 2019, BSL, BGX and BGB had invested $44,976,482, $44,767,554 and $150,757,586, respectively, in second lien secured loans. Second lien secured loans are considered Secured Loans for BGX and Senior Secured Loans for BGB, but are not considered Senior Loans for BSL.
Loans can be rated below investment grade or may also be unrated. As a result, the risks associated with Loans may be similar to the risks of other below investment grade securities, although they are senior and secured in contrast to other below investment grade securities, which are often subordinated or unsecured. The Funds typically invest in Loans rated below investment grade, which are considered speculative because of the credit risk of the Borrowers. Such companies are more likely than investment grade issuers to default on their payments of interest and principal owed to the Funds, and such defaults could reduce net asset value and income distributions. The amount of public information available with respect to below investment grade loans will generally be less extensive than that available for registered or exchange-listed securities. In evaluating the creditworthiness of Borrowers, the Adviser will consider, and may rely in part on, analyses performed by others. The Adviser’s established best execution procedures and guidelines require trades to be placed for execution only with broker-dealer counterparties approved by the Counterparty Committee of the Adviser. The factors considered by the Counterparty Committee when selecting and approving brokers and dealers include, but are not limited to: (i) quality, accuracy, and timeliness of execution, (ii) review of the reputation, financial strength and stability of the financial institution, (iii) willingness and ability of the counterparty to commit capital, (iv) ongoing reliability and (v) access to underwritten offerings and secondary markets. The Counterparty Committee regularly reviews each broker-dealer counterparty based on the foregoing factors.
| Annual Report | December 31, 2019 | 63 |
| Blackstone / GSO Funds | Notes to Financial Statements |
| December 31, 2019 |
The Funds may acquire Loans through assignments or participations. The Funds typically acquire these Loans through assignment, and if a Fund acquires a Loan through participation, it will seek to elevate a participation interest into an assignment as soon as practicably possible. The purchaser of an assignment typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation. A participation typically results in a contractual relationship only with the institution participating out the interest, not with the Borrower. Sellers of participations typically include banks, broker-dealers, other financial institutions and lending institutions. The Adviser has adopted best execution procedures and guidelines which seek to mitigate credit and counterparty risk in the atypical situation when the Funds must acquire a Loan through a participation.
BSL and BGX have invested in Collateralized Loan Obligation securities (“CLOs”). A CLO is a financing company (generally called a Special Purpose Vehicle (“SPV”)), created to reapportion the risk and return characteristics of a pool of assets. While the assets underlying a CLO are typically Secured Loans, the assets may also include (i) unsecured loans, (ii) debt securities that are rated below investment grade, and (iii) equity securities incidental to investments in Secured Loans. When investing in CLOs, each fund will not invest in equity tranches, which are the lowest tranche. However, each fund may invest in lower tranches of CLO debt securities, which typically experience a lower recovery, greater risk of loss or deferral or non-payment of interest than more senior debt tranches of the CLO. In addition, each fund intends to invest in CLOs consisting primarily of individual Secured Loans of Borrowers and not repackaged CLO obligations from other high risk pools. The underlying Secured Loans purchased by CLOs are generally performing at the time of purchase but may become non-performing, distressed or defaulted. CLOs with underlying assets of non-performing, distressed or defaulted loans are not contemplated to comprise a significant portion of each fund’s investments in CLOs. The key feature of the CLO structure is the prioritization of the cash flows from a pool of debt securities among the several classes of the CLO. The SPV is a company founded solely for the purpose of securitizing payment claims arising out of this diversified asset pool. On this basis, marketable securities are issued by the SPV which, due to the diversification of the underlying risk, generally represent a lower level of risk than the original assets. The redemption of the securities issued by the SPV typically takes place on a date earlier than legal maturity from refinancing of the senior debt tranches.
NOTE 8. CREDIT DEFAULT SWAPS
BGX may enter into over-the-counter (“OTC”) and/or centrally cleared credit default swap contracts and may also use credit default swaps to express a negative credit view on a loan or other investment. If BGX purchases protection under a credit default swap and no credit event occurs on the reference obligation, BGX will have made a series of periodic payments and recover nothing of monetary value. However, if a credit event occurs on the reference obligation, BGX (if the buyer of protection) will receive the full notional value of the reference obligation through a cash payment in exchange for the reference obligation or alternatively, a cash payment representing the difference between the expected recovery rate and the full notional value.
The periodic swap payments received or made by BGX are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value, including the accrual of periodic amounts of interest, are recorded as unrealized appreciation (depreciation) and shown on BGX’s Statement of Operations. When the swap is terminated, BGX will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and BGX’s basis in the contract, if any. Generally, the basis of the contracts is the unamortized premium received or paid.
International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) govern OTC (“over the counter”) financial derivative transactions entered into by a Fund and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions. The Adviser selects only those counterparties that it believes are credit-worthy.
| 64 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Notes to Financial Statements |
| December 31, 2019 |
During the year ended December 31, 2019, BGX did not enter into any credit default swaps.
NOTE 9. LEVERAGE
On July 27, 2016 BGX and BGB issued 7-year Mandatory Redeemable Preferred Shares (“MRPS”). BGX issued 20,000 MRPS with a total liquidation value of $20,000,000 and BGB issued 45,000 MRPS with a total liquidation value of $45,000,000, rated “AA” by Fitch Ratings. BGB and BGX used the proceeds of the offerings to make additional investments for their portfolios. The final redemption date of the MRPS is July 27, 2023. BGB and BGX make quarterly dividend payments on the MRPS at an annual dividend rate of 3.61%. Due to the terms of the MRPS, face value approximates fair value at December 31, 2019. This fair value is based on Level 2 inputs under the three-tier fair valuation hierarchy (see Note 2).
In connection with BGB and BGX’s issuance of MRPS, certain costs were incurred by BGB and BGX and have been recorded net against the outstanding liability. These costs are being amortized over the period beginning July 27, 2016 (day of issuance) through July 27, 2023, the final redemption date. The net deferred financing costs as of December 31, 2019 are shown on BGB’s and BGX’s Statements of Assets and Liabilities. The amount of expense amortized during the year ended December 31, 2019 is shown on BGB’s and BGX’s Statements of Operations under amortization of deferred financing costs.
Except for matters which do not require the vote of Holders of MRPS under the 1940 Act and except as otherwise provided in BGB’s and BGX’s Declarations of Trust, Bylaws, or the applicable Securities Purchase Agreements or as otherwise required by applicable law, each holder of MRPS shall be entitled to one vote for each MRPS held on each matter submitted to a vote of shareholders of the Fund, and the holders of outstanding preferred shares and common shares shall vote together as a single class on all matters submitted to shareholders; provided, however, that the holders of outstanding preferred shares shall be entitled, as a class, to the exclusion of the holders of shares of all other classes of beneficial interest of the Fund, to elect two Trustees of the applicable Fund at all times.
Each Fund has entered into a separate Credit Agreement (each, an “Agreement”) with a bank to borrow money pursuant to a two-year revolving line of credit (“Leverage Facility”) for BSL, BGX and BGB. BSL entered into an agreement dated October 8, 2014, as amended on October 7, 2015, October 5, 2016, and October 4, 2017, and as further amended and restated on June 20, 2018 and as further amended and restated on October 4, 2019, to borrow up to a limit of $142 million, with $48 million for tranche A loans ("BSL Tranche A Loans") and $94 million for tranche B loans ("BSL Tranche B Loans"). BGX entered into an agreement dated July 29, 2014, as amended on January 26, 2015, July 28, 2015, July 26, 2016, July 25, 2017, and February 23, 2018 and as further amended and restated on June 20, 2018, and as further amended and restated on July 25, 2019 to borrow up to a limit of $122 million, with $41 million for tranche A loans (“BGX Tranche A Loans”) and $81 million for tranche B loans (“BGX Tranche B Loans”). BGB entered into an agreement dated December 21, 2012, as amended at December 20, 2013, December 19, 2014, December 18, 2015, July 26, 2016, December 16, 2016, December 20, 2017, as amended and restated on June 20, 2018, as amended on December 4, 2018 and as further amended and restated on January 11, 2019 to borrow up to a limit of $415 million, with $145 million for tranche A loans (“BGB Tranche A Loans” and collectively with BGX Tranche A Loans and BSL Tranche A Loans, the “Tranche A Loans”) and $270 million for tranche B loans (“BGB Tranche B Loans” and collectively with BGX Tranche B Loans and BSL Tranche B Loans, the “Tranche B Loans”). Borrowings under each Agreement are secured by the assets of each Fund.
Interest on BSL’s, BGB’s and BGX’s Leverage Facilities is charged at a rate of 0.85% above LIBOR for Tranche A Loans, 1.15% above LIBOR for one (1) month interest period Tranche B Loans and 1.00% above LIBOR for three (3), six (6) and nine (9) months interest period Tranche B Loans, with LIBOR measured for the period commencing on the date of the making of such LIBOR Loan (or the last date upon which any other Loan was converted to, or continued as, such LIBOR Loan) and ending on the numerically corresponding day in the calendar month that is one (1) week or one (1), three (3), six (6) or nine (9) months thereafter, as the Fund may elect, or such other periods as the lender may agree in its sole and absolute discretion.
Under the terms of the applicable Agreement, each Fund must pay a commitment fee on any undrawn amounts. The commitment fee payable in BSL, BGB and BGX, for each of Tranche A and Tranche B Loans is 0.15% on the undrawn amounts when drawn amounts exceed 75% of the borrowing limit and 0.25% on the undrawn amounts at any other time. Interest and fees are payable quarterly. Each Fund may elect to extend the applicable Agreement for a further period with the consent of the lending bank. At December 31, 2019, BSL, BGX, and BGB had borrowings outstanding under its respective Leverage Facility of $123,500,000, $108,000,000, and $356,500,000, at an interest rate of 2.86%, 2.83%, and 2.76%, respectively. Due to the short term nature of each Agreement, face value approximates fair value at December 31, 2019. This fair value is based on Level 2 inputs under the three-tier fair valuation hierarchy (see Note 2). For the year ended December 31, 2019, the average borrowings under BSL’s, BGX’s and BGB’s Leverage Facility and the average interest rates were $125,408,219, and 3.38%, $109,384,932, and 3.35%, and $363,945,205, and 3.31%, respectively.
Under each Agreement and each governing document of the MRPS, each Fund has agreed to certain covenants and additional investment limitations while the leverage is outstanding. Each Fund agreed to maintain asset coverage of three times over borrowings and BGX and BGB have agreed to maintain 225% asset coverage over borrowings plus MRPS. Compliance with the investment restrictions and calculations are performed by the Funds’ custodian, The Bank of New York Mellon.
| Annual Report | December 31, 2019 | 65 |
| Blackstone / GSO Funds | Notes to Financial Statements |
| December 31, 2019 |
The use of borrowings to leverage the common shares of the Funds can create risks. Changes in the value of the Funds’ portfolios, including securities bought with the proceeds of leverage, are borne entirely by the holders of common shares of the Funds. All costs and expenses related to any form of leverage used by the Funds are borne entirely by common shareholders. If there is a net decrease or increase in the value of the Funds’ investment portfolios, the leverage may decrease or increase, as the case may be, the net asset value per common share to a greater extent than if the Funds did not utilize leverage. During periods when BSL and BGB are using leverage, the fees paid to the Adviser for advisory services and to ALPS for administrative services are higher than if BSL and BGB did not use leverage because the fees paid are calculated on the basis of BSL and BGB’s Managed Assets, which include the assets purchased through leverage. As of December 31, 2019, BSL’s, BGX’s, and BGB’s leverage represented 32.99%, 39.02% and 37.08% of each Fund’s Managed Assets, respectively. The leverage amounts in BGX and BGB include 6.10% and 4.16% of Managed Assets attributable to the MRPS, respectively.
NOTE 10. INCOME TAX
Ordinary income, which as determined on a tax basis includes net short-term capital gains, if any, are allocated to common stockholders after the consideration of any payments due on outstanding term preferred shares. To the extent that the amount distributed to common stockholders exceeds the amount of available ordinary income these distributions may be treated as a return of capital on a tax basis. Additionally, to the extent that the amount distributed on any outstanding term preferred shares exceeds the amount of available ordinary income, these distributions may also be treated as a return of capital on a tax basis.
Amounts paid from net long-term capital gains of the Funds, if any, will be designated as such by the Funds and are determined after the consideration of any payments due on outstanding preferred shares.
The Funds may make certain adjustments to the classification of net assets as a result of significant permanent book-to-tax differences, which include differences in the book and tax basis of certain assets and liabilities, and nondeductible federal taxes or losses, among other items. These differences may be charged or credited to paid-in capital and distributable earnings as a result. For the year ended December 31, 2019 permanent differences were as follows:
| Fund |
Increase/(Decrease)
Paid-in capital |
Increase/(Decrease)
Total Distributable Earnings |
||||||
| Blackstone / GSO Senior Floating Rate Term Fund | $ | (94,375 | ) | $ | 94,375 | |||
| Blackstone / GSO Long-Short Credit Income Fund | $ | (16,763 | ) | $ | 16,763 | |||
| Blackstone / GSO Strategic Credit Fund | $ | (76,633 | ) | $ | 76,633 | |||
The tax character of distributions paid by the Funds during the fiscal year ended December 31, 2019 and December 31, 2018 were as follows:
| 2019 |
Blackstone
/ GSO Senior
Floating Rate Term Fund |
Blackstone / GSO Long-Short Credit Income Fund |
Blackstone
/ GSO Strategic
Credit Fund |
|||||||||
| Distributions Paid From: | ||||||||||||
| Ordinary Income | $ | 20,120,070 | $ | 19,313,556 | (a) | $ | 61,354,209 | (a) | ||||
| Total | $ | 20,120,070 | $ | 19,313,556 | $ | 61,354,209 | ||||||
| 2018 |
Blackstone
/ GSO Senior
Floating Rate Term Fund |
Blackstone / GSO Long-Short Credit Income Fund |
Blackstone
/ GSO Strategic
Credit Fund |
|||||||||
| Distributions Paid From: | ||||||||||||
| Ordinary Income | $ | 21,551,497 | $ | 21,211,254 | (a) | $ | 68,890,569 | (a) | ||||
| Total | $ | 21,551,497 | $ | 21,211,254 | $ | 68,890,569 | ||||||
| (a) | Distributions paid include common shares and mandatory redeemable preferred shares. |
| 66 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Notes to Financial Statements |
| December 31, 2019 |
Under the Regulated Investment Company Modernization Act of 2010 (the "RIC Mod Act"), net capital losses recognized by the Fund may get carried forward indefinitely, and retain their character as short-term and/or long-term losses. Any such losses will be deemed to arise on the first day of the next taxable year. Losses for the year ended December 31, 2019, and as such will be deemed to arise on the first day of the year ended December 31, 2020, were as follows:
| Fund | Short Term | Long Term | ||||||
| Blackstone / GSO Senior Floating Rate Term Fund | $ | – | $ | 15,255,488 | ||||
| Blackstone / GSO Long-Short Credit Income Fund | $ | 463,965 | $ | 19,389,546 | ||||
| Blackstone / GSO Strategic Credit Fund | $ | 400,602 | $ | 77,248,655 | ||||
Capital losses arising in the post-October period of the current taxable year may be deferred to the next taxable year to the extent that the fund makes an election to do so. Any post-October losses elected to be deferred in the current year are treated as arising on the first day of the next taxable year. For the year ended December 31, 2019 there were no post-October losses deferred by the Funds. The table below shows any post-October losses elected to be deferred for the year ended December 31, 2018, and as such were treated as arising on the first day of the tax year ended December 31, 2019.
| Fund | Capital Losses | |||
| Blackstone / GSO Senior Floating Rate Term Fund | $ | 117,519 | ||
| Blackstone / GSO Strategic Credit Fund | $ | 4,288,118 | ||
At December 31, 2019, the components of distributable earnings on a tax basis for the Funds were as follows:
|
Blackstone
/ GSO Senior
Floating Rate Term Fund |
Blackstone / GSO Long-Short Credit Income Fund |
Blackstone
/ GSO Strategic
Credit Fund |
||||||||||
| Undistributed ordinary income | $ | 309,944 | $ | 479,090 | $ | 1,477,075 | ||||||
| Accumulated capital losses | (15,255,488 | ) | (19,853,511 | ) | (77,649,257 | ) | ||||||
| Unrealized depreciation | (21,034,315 | ) | (17,376,980 | ) | (81,913,301 | ) | ||||||
| Other Cumulative effect of timing differences | – | (127,527 | ) | (286,937 | ) | |||||||
| Total | $ | (35,979,859 | ) | $ | (36,878,928 | ) | $ | (158,372,420 | ) | |||
At December 31, 2019, the amount of net tax unrealized appreciation/(depreciation) and the tax cost of investment securities, including short-term securities, were as follows:
|
Blackstone
/ GSO Senior
Floating Rate Term Fund |
Blackstone / GSO Long-Short Credit Income Fund |
Blackstone
/ GSO Strategic
Credit Fund |
||||||||||
| Cost of investments for income tax purposes | $ | 392,288,980 | $ | 345,426,222 | $ | 1,162,978,552 | ||||||
| Gross appreciation (excess of value over tax cost) | $ | 3,042,390 | $ | 3,217,554 | $ | 10,937,947 | ||||||
| Gross depreciation (excess of tax cost over value) | (24,076,705 | ) | (20,594,534 | ) | (92,851,248 | ) | ||||||
| Net unrealized depreciation | $ | (21,034,315 | ) | $ | (17,376,980 | ) | $ | (81,913,301 | ) | |||
NOTE 11. RECENT ACCOUNTING PRONOUNCEMENT
In March 2017, the FASB issued ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which provides guidance related to the amortization period for certain purchased callable debt securities purchased at a premium. Specifically, it required the premium to be amortized to the earliest call date. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. The Funds have adopted and applied ASU 2017-08 on a modified retrospective basis through a cumulative-effect adjustment as of the beginning of the period of adoption. As a result of the adoption of ASU 2017-08, as of January 1, 2019, the amortized cost basis of investments was reduced by $36, $83,122 and $201,554 for BSL, BGX and BGB respectively, and unrealized appreciation of investments was increased by corresponding amounts. The adoption of ASU 2017-08 had no impact on beginning net assets, the current period results from operations, or any prior period information presented in the financial statements. Management has evaluated the impact of this ASU and has adopted the changes into these financial statements.
NOTE 12. SUBSEQUENT EVENTS
In preparing these financial statements, the Funds’ management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.
| Annual Report | December 31, 2019 | 67 |
| Blackstone / GSO Funds | Notes to Financial Statements |
| December 31, 2019 |
Shareholder Distributions for BSL: On December 10, 2019, a monthly distribution of $0.101 per share was declared to common shareholders, payable on January 31, 2020 to common shareholders of record on December 31, 2019. On December 10, 2019, a monthly distribution of $0.101 per share was declared to common shareholders, payable February 28, 2020 to common shareholders of record on February 21, 2020. On December 18, 2019, a special distribution of $0.021 per share was declared to common shareholders, payable on January 31, 2020 to common shareholders of record on December 31, 2019.
Shareholder Distributions for BGX: On December 10, 2019, a monthly distribution of $0.115 per share was declared to common shareholders, payable on January 31, 2020 to common shareholders of record on December 31, 2019. On December 10, 2019, a monthly distribution of $0.115 per share was declared to common shareholders, payable February 28, 2020 to common shareholders of record on February 21, 2020. On December 18, 2019, a special distribution of $0.048 per share was declared to common shareholders, payable on January 31, 2020 to common shareholders of record on December 31, 2019.
Shareholder Distributions for BGB: On December 10, 2019, a monthly distribution of $0.105 per share was declared to common shareholders, payable on January 31, 2020 to common shareholders of record on December 31, 2019. On December 10, 2019, a monthly distribution of $0.105 per share was declared to common shareholders, payable February 28, 2020 to common shareholders of record on February 21, 2020. On December 18, 2019, a special distribution of $0.015 per share was declared to common shareholders, payable on January 31, 2020 to common shareholders of record on December 31, 2019.
Proposals for BSL's Charter Amendment and Term Extension: On November 18, 2019, the Board of Trustees of BSL (the "BSL Board") approved a proposal to amend BSL's charter to allow an extension greater than two years in length (the "Charter Amendment"). The Board also approved a proposal to extend the term of BSL by five years by changing BSL's scheduled dissolution date from May 31, 2022 to May 31, 2027 (the "Term Extension"). The Charter Amendment and the Term Extension were subject to shareholder approval, which was obtained at a special shareholder meeting held on February 19, 2020. In connection with the Term Extension, the Fund would implement a program to repurchase up to 15% of outstanding shares of the Fund in the open market under certain circumstances as described in the proxy statement filed on December 27, 2019.
| 68 | www.blackstone-gso.com |
| Blackstone / GSO Funds |
Report
of Independent Registered
Public Accounting Firm |
To the Board of Trustees and Shareholders of Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund and Blackstone / GSO Strategic Credit Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund and Blackstone / GSO Strategic Credit Fund (the "Funds"), including the portfolios of investments, as of December 31, 2019, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, and the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian, brokers and agent banks; when replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
DELOITTE & TOUCHE LLP
Denver, Colorado
February 27, 2020
We have served as the auditor of one or more investment companies advised by Blackstone / GSO since 2010.
| Annual Report | December 31, 2019 | 69 |
| Blackstone / GSO Funds | Summary of Dividend Reinvestment Plan |
| December 31, 2019 (Unaudited) |
Pursuant to the Funds’ Dividend Reinvestment Plan (the “DRIP”), shareholders whose shares are registered in their own name may “opt-in” to the plan and elect to reinvest all or a portion of their distributions in common shares by providing the required enrollment notice to Computershare, the DRIP administrator. Shareholders whose shares are held in the name of a broker or other nominee may have distributions reinvested only if such a service is provided by the broker or the nominee or if the broker or the nominee permits participation in the DRIP. Shareholders whose shares are held in the name of a broker or other nominee should contact the broker or nominee for details. A shareholder may terminate participation in the DRIP at any time by notifying the DRIP administrator before the record date of the next distribution through the Internet, by telephone or in writing. All distributions to shareholders who do not participate in the DRIP, or have elected to terminate their participation in the DRIP, will be paid by check mailed directly to the record holder by or under the direction of the DRIP administrator when the Funds’ Board of Trustees declares a distribution.
When the Funds declare a distribution, shareholders who are participants in the applicable DRIP receive the equivalent of the amount of the distribution in common shares. If you participate in the DRIP, the number of common shares of the Funds that you will receive will be determined as follows:
(1) If the market price of the common shares plus any brokerage commissions on the payable date (or, if the payable date is not a New York Stock Exchange trading day, the immediately preceding trading day) for determining shareholders eligible to receive the relevant distribution (the ‘‘determination date’’) is equal to or exceeds 98% of the net asset value per common share, the Fund will issue new common shares at a price equal to the greater of:
| (a) | 98% of the net asset value per share at the close of trading on the New York Stock Exchange on the determination date or |
| (b) | 95% of the market price per common share on the determination date. |
(2) If 98% of the net asset value per common share exceeds the market price of the common shares plus any brokerage commissions on the determination date, the DRIP administrator will receive the distribution in cash and will buy common shares in the open market, on the New York Stock Exchange or elsewhere, for your account as soon as practicable commencing on the trading day following the determination date and terminating no later than the earlier of (a) 30 days after the distribution payment date, or (b) the record date for the next succeeding distribution to be made to the shareholders; except when necessary to comply with applicable provisions of the federal securities laws. If during this period: (i) the market price plus any brokerage commissions rises so that it equals or exceeds 98% of the net asset value per common share at the close of trading on the New York Stock Exchange on the determination date before the DRIP administrator has completed the open market purchases or (ii) the DRIP administrator is unable to invest the full amount eligible to be reinvested in open market purchases, the DRIP administrator will cease purchasing common shares in the open market and the Fund will issue the remaining common shares at a price per share equal to the greater of (a) 98% of the net asset value per share at the close of trading on the New York Stock Exchange on the determination date or (b) 95% of the then current market price per share.
The DRIP administrator maintains all shareholder accounts in the dividend reinvestment plan and furnishes written confirmations of all transactions in the account, including information needed by shareholders for personal and tax records. Common shares in the account of each DRIP participant are held by the DRIP administrator in non-certificated form in the name of the participant, and each shareholder’s proxy includes shares purchased pursuant to the DRIP.
There is no charge to participants for reinvesting regular distributions and capital gains distributions. The fees of the DRIP administrator for handling the reinvestment of regular distributions and capital gains distributions are included in the fee to be paid by us to our transfer agent. There are no brokerage charges with respect to shares issued directly by us as a result of regular distributions or capital gains distributions payable either in shares or in cash. However, each participant bears a pro rata share of brokerage commissions incurred with respect to the DRIP administrator’s open market purchases in connection with the reinvestment of such distributions. Shareholders that opt-in to the DRIP will add to their investment through dollar cost averaging. Because all dividends and distributions paid to such shareholder will be automatically reinvested in additional common shares, the average cost of such shareholder’s common shares will decrease over time. Dollar cost averaging is a technique for lowering the average cost per share over time if the Fund’s net asset value declines. While dollar cost averaging has definite advantages, it cannot assure profit or protect against loss in declining markets.
The automatic reinvestment of such dividends or distributions does not relieve participants of any income tax that may be payable on such dividends or distributions.
You may obtain additional information by contacting the DRIP administrator at the following address: Computershare, Attn: Sales Dept., P.O. Box 358035, Pittsburgh, PA 15252.
| 70 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Additional Information |
| December 31, 2019 (Unaudited) |
Portfolio Information. The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year as an exhibit on Form N-PORT within 60 days after the end of the Funds’ fiscal quarter. The Funds' portfolio holdings information for the third month of each fiscal quarter on Form N-PORT is available (1) on the Funds’ website located at http://www.blackstone-gso.com or (2) on the SEC’s website at http://www.sec.gov. Holdings and allocations shown on any Form N-PORT are as of the date indicated in the filing and may not be representative of future investments. Holdings and allocations should not be considered research or investment advice and should not be relied upon in making investment decisions.
Proxy Information. The policies and procedures used to determine how to vote proxies relating to securities held by the Funds are available (1) without charge, upon request, by calling 1-877-876-1121, (2) on the Funds’ website located at http://www.blackstone-gso.com, and (3) on the SEC’s website at http://www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available on Form N-PX by August 31 of each year (1) without charge, upon request, by calling 1-877-876-1121, (2) on the Funds’ website located at http://www.blacksone-gso.com, and (3) on the SEC’s website at http://www.sec.gov.
Senior Officer Code of Ethics. The Funds file a copy of their code of ethics that applies to the Funds’ principal executive officer, principal financial officer or controller, or persons performing similar functions, with the SEC as an exhibit to each annual report on Form N-CSR. This will be available on the SEC’s website at http://www.sec.gov.
Tax Information. The portion of distributions paid, or otherwise includable in taxable income, that can be attributed to qualified interest income for the year ended December 31, 2019 are as follows:
| Fund Name | Percentage |
| Blackstone / GSO Senior Floating Rate Term Fund | 92.36% |
| Blackstone / GSO Long Short Credit Income Fund | 92.01% |
| Blackstone / GSO Strategic Credit Fund | 94.15% |
In early 2020, if applicable, shareholders of record will receive information regarding any distributions paid to them by the Funds during the calendar year 2019 via Forms 1099 and 1042-S.
| Annual Report | December 31, 2019 | 71 |
| Blackstone / GSO Funds | Privacy Procedures |
December 31, 2019 (Unaudited)
This privacy policy sets forth the Adviser’s policies with respect to nonpublic personal information of individual investors, shareholders, prospective investors and former investors of investment funds managed by the Adviser. These policies apply to individuals only and are subject to change.
| FACTS | WHAT DO BLACKSTONE REGISTERED FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? |
The types of personal information we collect and share depend on the product or service you have with us. This information can include:
● Social Security number and income
● Assets and investment experience
● Risk tolerance and transaction history
|
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Blackstone Registered Funds (as defined below) choose to share; and whether you can limit this sharing. |
| Reasons we can share your personal information |
Do
Blackstone Registered
Funds share? |
Can you limit this sharing? |
| For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
| For our marketing purposes – to offer our products and services to you | Yes | No |
| For joint marketing with other financial companies | No | We don't share |
| For our affiliates' everyday business purposes – information about your transactions and experiences | No | We don't share |
| For our affiliates' everyday business purposes – information about your creditworthiness | No | We don't share |
| For our affiliates to market to you | No | We don't share |
| For nonaffiliates to market to you | No | We don't share |
| Questions? | Email us at GLB.Privacy@blackstone.com |
| Who We Are | |
| Who is providing this notice? | Blackstone Registered Funds include Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II, Blackstone Real Estate Income Trust, Inc., Blackstone Alternative Investment Funds, on behalf of its series Blackstone Alternative Multi-Strategy Fund, Blackstone Diversified Multi-Strategy Fund, a sub-fund of Blackstone Alternative Investment Funds plc, and the GSO Funds, consisting of Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund, Blackstone / GSO Strategic Credit Fund, Blackstone / GSO Floating Rate Enhanced Income Fund and Blackstone / GSO Secured Lending Fund |
| What We Do | |
| How do Blackstone Registered Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
| 72 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Privacy Procedures |
December 31, 2019 (Unaudited)
California Residents — In accordance with California law, we will not share information we collect about California residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will also limit the sharing of information about you with our affiliates to the extent required by applicable California law.
Vermont Residents — In accordance with Vermont law, we will not share information we collect about Vermont residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will not share creditworthiness information about Vermont residents among Blackstone Registered Funds’ affiliates except with the authorization or consent of the Vermont resident.
| Annual Report | December 31, 2019 | 73 |
| Blackstone / GSO Funds | Privacy Procedures |
December 31, 2019 (Unaudited)
INVESTOR DATA PRIVACY NOTICE
1. Why are you seeing this notice?
| ● | You may need to provide Personal Data to us as part of your investment into a fund or other investment vehicle (collectively, each a Fund) managed or advised by investment advisers that are subsidiaries of The Blackstone Group Inc. or its affiliates (and, where applicable, the general partner of the relevant Fund) (collectively, Blackstone). |
| ● | We want you to understand how and why we use, store and otherwise process your Personal Data when you deal with us or our relevant affiliates (including under applicable data protection laws). If this notice (the “Data Privacy Notice”) has been made available to you, you may have certain rights with respect to your Personal Data under applicable data protection laws (including as described in this Data Privacy Notice). |
| ● | "Personal Data" has the meaning given to it under data protection laws that apply to our processing of your personal information, and includes any information that relates to, describes, identifies or can be used, directly or indirectly, to identify an individual (such as name, address, date of birth, personal identification numbers, sensitive personal information, and economic information). |
| ● | We ask that investors promptly provide the information contained in this Data Privacy Notice to any individuals whose Personal Data they provide to the Fund or its affiliates in connection with ‘know your client’/anti-money laundering requests or otherwise. |
Please read the information below carefully. It explains how and why Personal Data is processed by us.
2. Who is providing this notice?
Blackstone is committed to protecting and respecting your privacy. Blackstone is a global financial services firm with offices, operations and entities globally, including as described at this link: https://www.blackstone.com/privacy#appendixA.
| ● | For transparency, the Blackstone entities on whose behalf this privacy statement is made are: (i) the Fund; and (ii) where applicable, the Blackstone general partner and/or investment adviser of the relevant Fund, in each case, with which you contract, transact or otherwise share Personal Data (together, the Fund Parties). |
| ● | Where we use the terms "we", "us" and "our" in this Data Privacy Notice, we are referring to the Fund and the Fund Parties. |
| ● | Please consult your subscription documents, private placement memorandum or other offering documentation provided to you by or on behalf of the Fund Parties which will further specify the entities and contact details of the Fund Parties relevant to our relationship with you. |
| ● | We welcome investors and their representatives to contact us if they have any queries with respect to the Fund Parties (in particular, which Fund Parties are relevant to their relationship with Blackstone). If you have any queries, our contact details are below. |
When you provide us with your Personal Data, each Fund Party that decides how and why Personal Data is processed acts as a "data controller". In simple terms, this means that the Fund Party makes certain decisions on how to use and protect your Personal Data – but only to the extent that we have informed you about the use or are otherwise permitted by law.
Where your Personal Data is processed by an entity controlled by, or under common control with, the Blackstone entity/ies managing a Fund for its own purposes, this entity will also be a data controller.
3. What Personal Data do we collect about you?
The types of Personal Data that we collect and share depends on the product or service you have with us and the nature of your investment. The Personal Data collected about you will help us to provide you with a better service and facilitate our business relationship.
We may combine Personal Data that you provide to us with Personal Data that we collect from you, or about you from other sources, in some circumstances. This will include Personal Data collected in an online or offline context.
As a result of our relationship with you as an investor, in the past 12 months we may have collected Personal Data concerning you in the following categories:
| ● | Identifiers (e.g., real name, alias, postal address, email address, social security or driver's license number, government ID, signature, telephone number, education, employment, employment history, financial information, including tax-related information/codes and bank account details, information used for monitoring and background checks to comply with laws and regulations, including 'know your client', anti-money laundering, and sanctions checks, and other contact information); |
| 74 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Privacy Procedures |
December 31, 2019 (Unaudited)
| ● | Sensitive/protected characteristic information (e.g., age/date of birth, nationality, citizenship, country of residence, gender, and other information used to comply with laws and regulations); |
| ● | Commercial information (e.g., assets, income, transaction and investment history, accounts at other institutions, information concerning source of funds and any applicable restrictions on your investment such as political exposure or sanctions); |
| ● | Internet or other network activity (e.g., browsing or search history, information regarding interaction with an internet website, application, or advertisement, online identifiers such as cookies); |
| ● | Sensory and surveillance data (e.g., recordings of telephone calls where permitted or required by law, video surveillance recordings, and other records of your interactions with us or our service providers, including electronic communications); |
| ● | Professional or employment-related information (e.g., current or past job history); and |
| ● | Inferences drawn from other personal information (e.g., profiles reflecting preferences and trends, based on information such as assets, investment experience, risk tolerance, investment activity, and transaction history). |
4. Where do we obtain your Personal Data?
We collect, and have collected, Personal Data about you from a number of sources, including from you directly:
| WHAT | HOW |
|
Personal Data that you give us
|
● from the forms and any associated documentation that you complete when subscribing for an investment, shares and/or opening an account with us. This can include information about your name, address, date of birth, passport details or other national identifier, driving licence, your national insurance or social security number and income, employment information and details about your investment or retirement portfolio(s) ● when you provide it to us in correspondence and conversations, including electronic communications such as email and telephone calls ● when you make transactions with respect to the Fund ● when you interact with our online platforms and websites (such as bxaccess.com) ● when you purchase securities from us and/or tell us where to send money ● from cookies, web beacons, and similar interactions when you or your devices access our sites |
|
Personal Data that we obtain from others
|
We obtain Personal data from: ● publicly available and accessible directories and sources ● bankruptcy registers ● tax authorities, including those that are based outside the territory in which you are located or domiciled, including the Cayman Islands, the United Kingdom (UK) and the European Economic Area (EEA), if you are subject to tax in another jurisdiction ● governmental and competent regulatory authorities to whom we have regulatory obligations ● credit agencies ● fraud prevention and detection agencies/organisations ● transaction counterparties |
5. Why do we process your Personal Data?
We may process or disclose your Personal Data for the following reasons:
| WHY | HOW |
| Contract |
It is necessary to perform our contract with you to: ● administer, manage and set up your investor account(s) to allow you to purchase your holding (of shares) in our Funds ● meet the resulting contractual obligations we have to you ● facilitate the continuation or termination of the contractual relationship between you and the Fund ● facilitate the transfer of funds, and administering and facilitating any other transaction, between you and the Fund |
| Annual Report | December 31, 2019 | 75 |
| Blackstone / GSO Funds | Privacy Procedures |
December 31, 2019 (Unaudited)
|
Compliance with law
|
It is necessary for compliance with an applicable legal or regulatory obligation to which we are subject, in order to: ● undertake our client and investor due diligence, and on-boarding checks ● carry out verification, ‘know your client’, terrorist financing, sanctions, and anti-money laundering checks ● verify the identity and addresses of our investors (and, if applicable, their beneficial owners) ● comply with requests from regulatory, governmental, tax and law enforcement authorities ● carry out surveillance and investigations ● carry out audit checks ● maintain statutory registers ● prevent and detect fraud ● comply with sanctions requirements |
|
Legitimate interests
|
For our legitimate interests or those of a third party (such as a transaction counterparty or lender) to: ● manage and administer your holding in any funds in which you are invested, and any related accounts on an ongoing basis ● assess and process any applications or requests made by you ● open, maintain or close accounts in connection with your investment in, or withdrawal from, the Fund scheme ● send updates, information and notices or otherwise correspond with you in connection with your investment in the Fund scheme ● address or investigate any complaints, claims, proceedings or disputes ● provide you with, and inform you about, our investment products and services ● monitor and improve our relationships with investors ● comply with applicable regulatory obligations, including anti-money laundering, sanctions and 'know your client' checks ● assist our transaction counterparties to comply with their regulatory and legal obligations (including anti-money laundering, 'know your client' and sanctions checks) ● manage our risk and operations ● comply with our accounting and tax reporting requirements ● comply with our audit requirements ● assist with internal compliance with our policies and processes ● ensure appropriate group management and governance ● keep our internal records ● prepare reports on incidents / accidents ● protect our business against fraud, breach of confidence, theft of proprietary materials, and other financial or business crimes (to the extent that this is not required of us by law) ● analyse and manage commercial risks ● seek professional advice, including legal advice ● enable any actual or proposed assignee or transferee, participant or sub-participant of the partnership's or Fund vehicles' rights or obligations to evaluate proposed transactions ● facilitate business asset transactions involving the Fund partnership or Fund-related vehicles ● monitor communications to/from us using our systems ● protect the security and integrity of our information technology systems ● manage our financing arrangements with our financiers and financing transaction counterparties, including payment providers, intermediaries, and correspondent/agent banks
We only rely on these interests where we have considered that, on balance, the legitimate interests are not overridden by your interests, fundamental rights or freedoms. |
| 76 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Privacy Procedures |
December 31, 2019 (Unaudited)
Monitoring as described at (3) above
We monitor communications where the law requires us to do so. We will also monitor where we are required to do so to comply with our regulatory rules and practices and, where we are permitted to do so, to protect our business and the security of our systems.
6. Who we share your Personal Data with
Your Personal Data will be shared with:
In exceptional circumstances, we will share your Personal Data with:
| ● | competent regulatory, prosecuting and other governmental agencies or litigation counterparties, in any country or territory; and |
| ● | other organisations and agencies – where we are required to do so by law. |
For California residents, in the preceding 12 months, we may have disclosed Personal Data listed in any of the categories in section 3 above for a business purpose (in particular, as described in this section).
| Annual Report | December 31, 2019 | 77 |
| Blackstone / GSO Funds | Privacy Procedures |
December 31, 2019 (Unaudited)
We have not sold Personal Data in the 12 months preceding the date of this Data Privacy Notice.
7. Do you have to provide us with this Personal Data?
Where we collect Personal Data from you, we will indicate if:
| ● | provision of the Personal Data is necessary for our compliance with a legal obligation; or |
| ● | it is purely voluntary and there are no implications for you if you do not wish to provide us with it. |
Unless otherwise indicated, you should assume that we require the Personal Data for business and/or compliance purposes.
Some of the Personal Data that we request is necessary for us to perform our contract with you and if you do not wish to provide us with this Personal Data, it will affect our ability to provide our services to you and manage your investment.
8. Sending your Personal Data internationally
We will transfer your Personal Data between different countries to our affiliates and group members, members of the Fund's partnership, transaction counterparties, and third party service providers. These countries may not have similarly strict data protection and privacy laws and will include those countries in which our affiliates and service providers operate (and may include, for example, transfers from the UK/EEA or Cayman Islands to a jurisdiction outside of such territory).
Where we transfer Personal Data to other members of our group, our service providers or another third party recipient from one country to another, we will ensure that our arrangements with them are governed by data transfer agreements or appropriate safeguards, designed to ensure that your Personal Data is protected as required under applicable data protection law (including, where appropriate, under an agreement on terms approved for this purpose by the European Commission or by obtaining your consent).
Please contact us if you would like to know more about these agreements or receive a copy of them. Please see below for our contact details.
9. Consent – and your right to withdraw it
We do not generally rely on obtaining your consent to process your Personal Data. If we do, you have the right to withdraw this consent at any time. Please contact us or send us an email at PrivacyQueries@Blackstone.com at any time if you wish to do so.
10. Retention and deletion of your Personal Data
We keep your Personal Data for as long as it is required by us for our legitimate business purposes, to perform our contractual obligations or, where longer, such longer period as is required or permitted by law or regulatory obligations which apply to us.
We will generally:
| ● | retain Personal Data about you throughout the life cycle of any investment you are involved in; and |
| ● | retain some Personal Data after your relationship with us ends. |
As a general principle, we do not retain your Personal Data for longer than we need it.
We will usually delete your Personal Data (at the latest) after you cease to be an investor in any fund and there is no longer any legal/regulatory requirement, or business purpose, for retaining your Personal Data.
11. Your rights
You may, subject to certain limitations, have data protection rights depending on the data protection laws that apply to our processing of your Personal Data, including the right to:
| ● | access your Personal Data, and some related information, including the purpose for processing the Personal Data, the categories of recipients of that Personal Data to the extent that it has been transferred internationally, and, where the Personal Data has not been collected directly from you, the source (the “category information”) |
| 78 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Privacy Procedures |
December 31, 2019 (Unaudited)
| ● | restrict the use of your Personal Data in certain circumstances |
| ● | have incomplete or inaccurate Personal Data corrected |
| ● | ask us to stop processing your Personal Data |
| ● | require us to delete your Personal Data in some limited circumstances |
You also have the right in some circumstances to request us to “port” your Personal Data in a portable, re-usable format to other organisations (where this is possible).
California residents may also request certain information about our disclosure of Personal Data during the prior year, including category information (as defined above).
We review and verify requests to protect your Personal Data, and will action data protection requests fairly and in accordance with applicable data protection laws and principles.
If you wish to exercise any of these rights, please contact us (details below).
12. Concerns or queries
We take your concerns very seriously. We encourage you to bring it to our attention if you have any concerns about our processing of your Personal Data. This Data Privacy Notice was drafted with simplicity and clarity in mind. We are, of course, happy to provide any further information or explanation needed. Our contact details are below.
Please also contact us via any of the below contact methods if you have a disability and require an alternative format of this Data Privacy Notice.
If you want to make a complaint, you can also contact the body regulating data protection in your country, where you live or work, or the location where the data protection issue arose. In particular:
| Country | Supervisory Authority |
| Cayman Islands | Cayman Islands Ombudsman (available at: https://ombudsman.ky) |
| European Union |
A list of the EU data protection authorities and contact details is available by clicking this link: http://ec.europa.eu/newsroom/article29/item-detail.cfm?item_id=612080 |
| United Kingdom | Information Commissioner's Office (available at: https://ico.org.uk/global/contact-us/) |
13. Contact us
Please contact us if you have any questions about this Data Privacy Notice or the Personal Data we hold about you.
Contact us by email or access our web form at PrivacyQueries@Blackstone.com.
Contact us in writing using this address:
| Address |
For EU/UK related queries: 40 Berkeley Square, London, W1J 5AL, United Kingdom All other queries: 345 Park Avenue, New York, NY 10154 |
14. Changes to this Data Privacy Notice
We keep this Data Privacy Notice under regular review. Please check regularly for any updates at our investor portal (www.bxaccess.com).
This Data Privacy Notice was last updated in January 2020.
| Annual Report | December 31, 2019 | 79 |
| Blackstone / GSO Funds | Trustees & Officers |
December 31, 2019 (Unaudited)
The oversight of the business and affairs of the Funds is vested in the Board of Trustees. The Board of Trustees is classified into three classes—Class I, Class II and Class III—as nearly equal in number as reasonably possible, with the Trustees in each class to hold office until their successors are elected and qualified. At each annual meeting of shareholders, the successors to the class of Trustees whose terms expire at that meeting shall be elected to hold office for terms expiring at the later of the annual meeting of shareholders held in the third year following the year of their election or the election and qualification of their successors. The Funds’ executive officers were appointed by the Board of Trustees to hold office until removed or replaced by the Board of Trustees or until their respective successors are duly elected and qualified.
Below is a list of the Trustees and officers of the Funds and their present positions and principal occupations during the past five years. The business address of the Funds, the Trustees, the Funds’ officers, and the Adviser is 345 Park Avenue, 31st Floor, New York, NY 10154, unless specified otherwise below.
| NON-INTERESTED TRUSTEES | |||||
|
Name, Address and Year of Birth(1) |
Position(s) Held with the Funds |
Term of Office and Length of Time Served |
Principal Occupation(s) During Past Five Years |
Number of Portfolios in Fund Complex Overseen by Trustee(2) |
Other Directorships Held by the Trustee During the Past Five Years |
|
Edward H. D'Alelio Birth Year: 1952 |
Lead Independent Trustee and member of Audit and Nominating and Governance Committees |
Trustee Since: BSL: April 2010 BGX: November 2010 BGB: May 2012
Term Expires: BSL: 2020 BGX: 2020 BGB: 2020 |
Mr D'Alelio was formerly a Managing Director and CIO for Fixed Income at Putnam Investments, Boston where he retired in 2002. He currently is an Executive in Residence with the School of Management, Univ. of Mass Boston. |
7 |
Owl Rock Capital Corp. business development companies (3 portfolios overseen in Fund Complex) |
|
Michael F. Holland Birth Year: 1944 |
Trustee and member of Audit and Nominating and Governance Committees |
Trustee Since: BSL: April 2010 BGX: November 2010 BGB: May 2012
Term Expires: BSL: 2022 BGX: 2022 BGB: 2022 |
Mr. Holland is the Chairman of Holland & Company, a private investment firm he founded in 1995. He is also President and Founder of the Holland Balanced Fund. |
7 |
State Street Master Funds; Reaves Utility Income Fund; The China Fund, Inc. (until 2019); The Taiwan Fund (through 2017) |
|
Thomas W. Jasper Birth Year: 1948 |
Trustee, Chairman of Audit Committee and member of Nominating and Governance Committee |
Trustee Since: BSL: April 2010 BGX: November 2010 BGB: May 2012
Term Expires: BSL: 2021 BGX: 2021 BGB: 2021 |
Mr. Jasper is the Managing Partner of Manursing Partners LLC, a consulting firm. |
7 |
Ciner Resources LP (master limited partnership) |
|
Gary S. Schpero Birth Year: 1953 |
Trustee, Chairman of Nominating and Governance Committee and member of Audit Committee |
Trustee Since: BSL: May 2012 BGX: May 2012 BGB: May 2012
Term Expires: BSL: 2021 BGX: 2021 BGB: 2021 |
Mr. Schpero is retired. Prior to January 2000, he was a partner at the law firm of Simpson Thacher & Bartlett LLP where he served as managing partner of the Investment Management and Investment Company Practice Group. |
4 |
AXA Premier VIP Trust; EQ Advisors Trust; 1290 Funds |
| 80 | www.blackstone-gso.com |
| Blackstone / GSO Funds | Trustees & Officers |
December 31, 2019 (Unaudited)
| INTERESTED TRUSTEE(3) | |||||
|
Name, Address and Year of Birth(1) |
Position(s) Held with the Funds |
Term of Office and Length of Time Served |
Principal Occupation(s) During Past Five Years |
Number of Portfolios in Fund Complex Overseen by Trustee(2) |
Other Directorships Held by the Trustee During the Past Five Years |
|
Daniel H. Smith, Jr. Birth Year: 1963 |
Chairman of the Board, President, Chief Executive Officer, Trustee |
Trustee Since: BSL: April 2010 BGX: November 2010 BGB: May 2012
Term Expires: BSL: 2022 BGX: 2022 BGB: 2022 |
Mr. Smith is a Senior Managing Director of GSO and is Head of GSO / Blackstone Debt Funds Management LLC. He joined GSO from the Royal Bank of Canada in July 2005 where he was a Managing Partner and Co-head of RBC Capital Market's Alternative Investments Unit. |
5 | None |
| OFFICERS | |||
|
Name, Address and Year of Birth(1) |
Position(s) Held with the Funds |
Term of Office and Length of Time Served |
Principal Occupation During the Past Five Years |
|
Daniel H. Smith, Jr. Birth Year: 1963 |
Trustee, Chairman of the Board, President, Chief Executive Officer |
Officer Since: BSL: April 2010 BGX: November 2010 BGB: May 2012
Term of Office: Indefinite |
Mr. Smith is a Senior Managing Director of GSO and is Head of GSO / Blackstone Debt Funds Management LLC. Mr. Smith joined GSO from the Royal Bank of Canada in July 2005 where he was a Managing Partner and Co-head of RBC Capital Market's Alternative Investments Unit. |
|
Robert W. Busch Birth Year: 1982 |
Chief Financial Officer and Treasurer |
Officer Since: BSL: March 2019 BGX: March 2019 BGB: March 2019
Term of Office: Indefinite |
Mr. Busch is a Senior Vice President of GSO. Before joining GSO, Mr. Busch worked previously at Fifth Street Asset Management from 2012 to 2018, where he was Senior Vice President of Finance and served as Controller of the firm’s two publicly traded business development companies and publicly traded alternative asset manager. Prior to that, Mr. Busch worked at Deloitte & Touche LLP, a global public accounting firm. |
|
Robert Zable Birth Year: 1972 |
Executive Vice President and Assistant Secretary |
Officer Since: BSL: September 2015 BGX: September 2015 BGB: September 2015
Term of Office: Indefinite |
Mr. Zable is a Senior Managing Director of GSO. Before joining GSO, Mr. Zable was a Vice President at FriedbergMilstein LLC, where he was responsible for credit opportunity investments and junior capital origination and execution. Prior to that, Mr. Zable was a Principal with Abacus Advisors Group, a restructuring and distressed investment firm. Mr. Zable began his career at JP Morgan Securities Inc., where he focused on leveraged finance in New York and London. |
| Annual Report | December 31, 2019 | 81 |
| Blackstone / GSO Funds | Trustees & Officers |
December 31, 2019 (Unaudited)
| OFFICERS (continued) | |||
|
Name, Address and Year of Birth(1) |
Position(s) Held with the Funds |
Term of Office and Length of Time Served |
Principal Occupation During the Past Five Years |
|
Marisa Beeney Birth Year: 1970 |
Chief Compliance Officer, Chief Legal Officer and Secretary |
Officer Since: BSL: April 2010 BGX: November 2010 BGB: May 2012
Term of Office: Indefinite |
Ms. Beeney is a Senior Managing Director of GSO and General Counsel of GSO. Before joining GSO, she was with the finance group of DLA Piper. Ms. Beeney began her career at Latham & Watkins LLP working primarily on project finance and development transactions, as well as other structured credit products. |
|
Jane Lee Birth Year: 1972 |
Public Relations Officer |
Officer Since: BSL: November 2010 BGX: November 2010 BGB: May 2012
Term of Office: Indefinite |
Ms. Lee is a Senior Managing Director of GSO and Head of GSO’s capital formation efforts. Ms. Lee joined GSO from Royal Bank of Canada in July 2005, where she was most recently a partner in the Debt Investments Group and was responsible for origination of new CLO transactions and investor relations. |
| (1) | The address of each Trustee/Nominee and Officer, unless otherwise noted, is GSO Capital Partners LP, 345 Park Avenue, 31st Floor, New York, NY 10154. |
| (2) | The “Fund Complex” consists of the Funds, Blackstone / GSO Floating Rate Enhanced Income Fund, Blackstone / GSO Secured Lending Fund, the “Blackstone Real Estate Funds,” (Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II and Blackstone Real Estate Income Master Fund), the “Blackstone Alternative Alpha Funds” (Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II and Blackstone Alternative Alpha Master Fund) and Blackstone Alternative Multi-Strategy Fund. |
| (3) | “Interested person” of the Fund as defined in Section 2(a)(19) of the 1940 Act. Mr. Smith is an interested person due to his employment with the Adviser. |
| 82 | www.blackstone-gso.com |
Page Intentionally Left Blank
Item 2. Code of Ethics.
| (a) | The registrant, as of the end of the period covered by the report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or any persons performing similar functions on behalf of the registrant. |
| (b) | Not applicable. |
| (c) | During the period covered by this report, no amendments were made to the provisions of the code of ethics adopted in Item 2(a) above. |
| (d) | During the period covered by this report, no implicit or explicit waivers to the provision of the code of ethics adopted in Item 2(a) above were granted. |
| (e) | Not applicable. |
| (f) | The registrant’s Code of Ethics is attached as Exhibit 13.A.1 hereto. |
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that the registrant has at least one audit committee financial expert serving on its audit committee. The Board of Trustees has designated Thomas W. Jasper as the registrant’s “audit committee financial expert.” Mr. Jasper is “independent” as defined in paragraph (a)(2) of Item 3 to Form N-CSR.
Item 4. Principal Accountant Fees and Services.
| (a) | Audit Fees: The aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the fiscal years ended December 31, 2019 and December 31, 2018 were $87,900 and $87,900, respectively. |
| (b) | Audit-Related Fees: The aggregate fees billed for the fiscal years ended December 31, 2019 and December 31, 2018 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 and $0, respectively. |
| (c) | Tax Fees: The aggregate fees billed for the fiscal years ended December 31, 2019 and December 31, 2018 for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $10,931 and $7,750, respectively. |
| (d) | All Other Fees: The aggregate fees billed for the fiscal years ended December 31, 2019 and December 31, 2018 for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 and $0, respectively. |
| (e)(1) | Audit Committee Pre-Approval Policies and Procedures: All services to be performed by the registrant's principal auditors must be pre-approved by the registrant's audit committee. |
| (e)(2) | There were no non-audit services approved or required to be approved by the registrant’s audit committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
| (f) | Not applicable. |
| (g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the fiscal years ended December 31, 2019 and December 31, 2018 were $10,931 and $7,750, respectively. |
| (h) | Not applicable. |
Item 5. Audit Committee of Listed Registrant.
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act and is comprised of the following members:
Thomas W. Jasper, Chairman
Edward H. D'Alelio
Michael Holland
Gary S. Schpero
Item 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the Report to Stockholders filed under Item 1 of this Form N-CSR. |
| (b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Attached, as Exhibit 99.7, is a copy of the registrant’s policies and procedures.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
(a)(1) As of: March 1, 2020
The lead portfolio manager for the registrant (also referred to as the “Fund”) is Robert Zable, who is primarily responsible for the day-to-day management of the Fund and is a member of the U.S. Syndicated Credit Investment Committee (the “Investment Committee”) of GSO / Blackstone Debt Funds Management LLC (the “Adviser”). Gordon McKemie is also a portfolio manager for the Fund and sits on the Investment Committee. The Investment Committee approves core investments made by the Fund, but is not primarily responsible for the Fund’s day-to-day management.
| Portfolio Managers Name | Title | Length of Service | Business Experience During Past 5 Years |
| Robert Zable | Portfolio Manager | Since September 2015 | Mr. Zable is a Senior Managing Director and Senior Portfolio Manager of the U.S. CLOs and closed-end funds in GSO’s Liquid Credit Strategies (“LCS”) unit. He is also a member of GSO’s LCS Management Committee and sits on LCS’s U.S. Syndicated Credit Investment Committee, Global Structured Credit Investment Committee, LCS Global Asset Allocation Committee, and CLO Origination Committee. Before joining GSO, Mr. Zable was a Vice President at FriedbergMilstein LLC, where he was responsible for credit opportunity investments and junior capital origination and execution. Prior to that, Mr. Zable was a Principal with Abacus Advisors Group, a boutique restructuring and distressed investment firm. Mr. Zable began his career at JP Morgan Securities Inc., where he focused on leveraged finance in New York and London. |
| Gordon McKemie | Portfolio Manager | Since April 2015 | Mr. McKemie is a Principal and Portfolio Manager of the closed-end and exchange-traded funds in LCS. He is also a U.S. credit research analyst involved with the ongoing analysis and evaluation of primary and secondary fixed income investments. He sits on LCS’s U.S. Syndicated Credit Investment Committee. Prior to joining GSO, Mr. McKemie was an Associate in Leveraged Finance at Citigroup and an Assistant Vice President in high yield research at Barclays Capital. He began his career at Lehman Brothers. |
(a)(2) As of December 31, 2019, the Portfolio Managers listed above are also responsible for the day-to-day management of the following:
|
Advisory Fee Based on
Performance |
|||||
| Type of Accounts |
Number of
Accounts |
Total Assets
($mm) |
Number of
Accounts |
Total Assets
($mm) |
Material
Conflicts if Any |
| Robert Zable | See below(1) | ||||
| Registered Investment Companies | 4 | $2,367 | 0 | $0 | |
| Other Pooled Accounts | 34 | $20,321 | 34 | $20,321 | |
| Other Accounts | 1 | $157 | 0 | $0 | |
| Gordon McKemie | See below(1) | ||||
| Registered Investment Companies | 5 | $4,932 | 0 | $0 | |
| Other Pooled Accounts | 0 | $0 | 0 | $0 | |
| Other Accounts | 0 | $0 | 0 | $0 | |
| * | Including the registrant. |
(1) Potential Conflicts of Interest
The purchase of common shares of beneficial interest (“Common Shares”) in the Fund involves a number of significant risks that should be considered before making any investment. The Fund and holders of Common Shares (“Common Shareholders”) will be subject to a number of actual and potential conflicts of interest involving the Firm (defined below). In addition, as a consequence of The Blackstone Group Inc. (collectively with its affiliates as the context requires, “Blackstone” and together with GSO, the “Firm”) holding a controlling interest in GSO and Blackstone’s status as a public company, the officers, directors, members, managers and employees of GSO will take into account certain additional considerations and other factors in connection with the management of the business and affairs of the Fund that would not necessarily be taken into account if Blackstone were not a public company. The following discussion enumerates certain, but not all, potential conflicts of interest that should be carefully evaluated before making an investment in the Fund, but is not intended to be an exclusive list of all such conflicts. The Firm and its personnel may in the future engage in further activities that may result in additional conflicts of interest not addressed below. Any references to the Firm, GSO, Blackstone or the Adviser in this section will be deemed to include their respective affiliates, partners, members, shareholders, officers, directors and employees, except that portfolio companies of managed clients shall only be included to the extent the context shall require and references to GSO affiliates shall only be to affiliates operating as a part of Blackstone’s credit focused business group.
Broad and Wide-Ranging Activities. The Firm engages in a broad spectrum of activities. In the ordinary course of its business activities, the Firm will engage in activities where the interests of certain divisions of the Firm or the interests of its clients will conflict with the interests of the Common Shareholders in the Fund. Other present and future activities of the Firm will give rise to additional conflicts of interest. In the event that a conflict of interest arises, the Adviser will attempt to resolve such conflict in a fair and equitable manner, subject to the limitations of the 1940 Act. Common Shareholders should be aware that conflicts will not necessarily be resolved in favor of the Fund’s interests.
The Firm’s Policies and Procedures. Certain policies and procedures implemented by the Firm to mitigate potential conflicts of interest and address certain regulatory requirements and contractual restrictions will from time to time reduce the synergies across the Firm’s various businesses that the Fund expects to draw on for purposes of pursuing attractive investment opportunities. Because the Firm has many different asset management and advisory businesses, which GSO investment teams and portfolio companies may engage to advise on and to execute debt and equity financings, it is subject to a number of actual and potential conflicts of interest, greater regulatory oversight and more legal and contractual restrictions than that to which it would otherwise be subject if it had just one line of business. In addressing these conflicts and regulatory, legal and contractual requirements across its various businesses, the Firm has implemented certain policies and procedures (e.g., information walls) that reduce the positive synergies that GSO may utilize for purposes of managing the Fund. For example, the Firm will from time to time come into possession of material non-public information with respect to companies, including portfolio companies, in which the Fund may be considering making an investment or companies that are the Firm’s advisory clients. The information, which could be of benefit to the Fund, is likely to be restricted to those other businesses of the Firm and otherwise be unavailable to the Fund, and will also restrict the Fund’s investment opportunities. Additionally, the operations of the Firm’s policies may restrict or otherwise limit the Fund from entering into agreements with, or related to, companies that either are advisory clients of the Firm or in which any Other Clients have invested or have considered making an investment. Furthermore, there will be circumstances in which affiliates of the Firm (including Other Clients) may refrain from taking certain confidential information in order to avoid trading restrictions. Finally, the Firm has and will enter into one or more strategic relationships in certain regions or with respect to certain types of investments that, although possibly intended to provide greater opportunities for the Fund, may require the Fund to share such opportunities or otherwise limit the amount of an opportunity the Fund can otherwise take.
Other Firm Businesses, Activities and Relationships. As part of its regular business, Blackstone provides a broad range of investment banking, advisory and other services. In addition, Blackstone and its affiliates may provide services in the future beyond those currently provided. Common Shareholders will not receive any benefit from any fees received by Blackstone. In the regular course of its capital markets, investment banking, real estate, advisory and other businesses, Blackstone represents potential purchasers, sellers and other involved parties, including corporations, financial buyers, management, shareholders and institutions, with respect to transactions that could give rise to investments that are suitable for the Fund. In such a case, a Blackstone advisory client would typically require Blackstone to act exclusively on its behalf. Such advisory client requests may preclude all Blackstone-affiliated clients, including the Fund, from participating in related transactions that would otherwise be suitable. Blackstone will be under no obligation to decline any such engagements in order to make an investment opportunity available to the Fund. In connection with its capital markets, investment banking, real estate, advisory and other businesses, Blackstone will from time to time determine that there are conflicts of interest or come into possession of information that limits its ability to engage in potential transactions. The Fund’s activities are expected to be constrained as a result of such conflicts of interest and the inability of Blackstone personnel to use such information. For example, employees of Blackstone from time to time are prohibited by law or contract from sharing information with members of the Fund’s investment team. Additionally, there are expected to be circumstances in which one or more of certain individuals associated with Blackstone affiliates (including clients) will be precluded from providing services related to the Fund’s activities because of certain confidential information available to those individuals or to other parts of Blackstone (e.g., trading may be restricted). Where Blackstone affiliates are engaged to find buyers or financing sources for potential sellers of assets, the seller may permit the Fund to act as a participant in such transactions (as a buyer or financing partner), which would raise certain conflicts of interest inherent in such a situation (including as to the negotiation of the purchase price). The Firm has long-term relationships with a significant number of corporations and their senior management. In determining whether to invest in a particular transaction on behalf of the Fund, the Adviser will consider those relationships and may decline to participate in a transaction as a result of one or more of such relationships. The Firm is under no obligation to decline any engagements or investments in order to make an investment opportunity available to the Fund. The Fund may be forced to sell or hold existing investments as a result of investment banking relationships or other relationships that the Firm may have or transactions or investments the Firm may make or have made. Subject to the 1940 Act, the Fund may also co-invest with clients of the Firm in particular investment opportunities, and the relationship with such clients could influence the decisions made by the Adviser with respect to such investments. There can be no assurance that all potentially suitable investment opportunities that come to the attention of the Firm will be made available to the Fund.
The Fund may invest in securities of the same issuers as Other Clients or other investment vehicles, accounts and clients of the Firm and the Adviser. To the extent that the Fund holds interests that are different (or more senior or junior) than those held by such Other Clients, GSO may be presented with decisions involving circumstances where the interests of such Other Clients are in conflict with those of the Fund. Furthermore, it is possible the Fund’s interest may be subordinated or otherwise adversely affected by virtue of such Other Clients’ involvement and actions relating to its investment.
Blackstone, its affiliates and their related parties and personnel will from time to time participate in underwriting or lending syndicates with respect to current or potential portfolio companies, or may otherwise be involved in and/or act as arrangers of financing, including with respect to the public offering and/or private placement of debt or equity securities issued by, or loan proceeds borrowed by, such portfolio companies, or otherwise in arranging financing (including loans) for such portfolio companies or advise on such transactions. Such underwritings or engagements may be on a firm commitment basis or may be on an uncommitted “best efforts” basis or on an uncommitted, or “best efforts”, basis, and the underwriting or financing parties are under no duty to provide any commitment unless specifically set forth in the relevant contract. Blackstone may also provide placement or other similar services to purchasers or sellers of securities, including loans or instruments issued by portfolio companies. There may also be circumstances in which the Fund commits to purchase any portion of such issuance from its portfolio company, some or all of which portion a Blackstone broker-dealer intends to syndicate to third parties and, in connection therewith and as a result thereof, subject to the limitations of the 1940 Act, Blackstone may receive commissions or other compensation, thereby creating a potential conflict of interest. This could include, by way of example, fees and/or commissions for equity syndications to co-investment vehicles. In certain cases, subject to the limitations of the 1940 Act, a Blackstone broker-dealer will from time to time act as the managing underwriter or a member of the underwriting syndicate or broker for the Fund or portfolio companies, or as dealer, broker or advisor to a counterparty to the Fund or a portfolio company and purchase securities from or sell securities to the Fund, Other Clients or portfolio companies or Other Clients or advise on such transactions.
Blackstone will also from time to time, on behalf of the Fund or other parties to a transaction involving the Fund, effect transactions, including transactions in the secondary markets, where it will nonetheless have a potential conflict of interest regarding the Fund and the other parties to those transactions to the extent it receives commissions or other compensation from the Fund and/or such other parties. Subject to applicable law, Blackstone will from time to time receive underwriting fees, discounts, placement commissions, lending arrangement and syndication fees (or, in each case, rebates of any such fees, whether in the form of purchase price discounts or otherwise, even in cases where Blackstone or an Other Client or account is purchasing debt) or other compensation with respect to the foregoing activities, none of which are required to be shared with the Fund or its Common Shareholders. In addition, the advisory fee generally will not be reduced by such amounts. Therefore, Blackstone will have a potential conflict of interest regarding the Fund and the other parties to those transactions to the extent it receives commissions, discounts or such other compensation from such other parties. Subject to applicable law, the Fund may approve any transactions in which a Blackstone broker-dealer acts as an underwriter, as broker for the Fund, or as dealer, broker or advisor, on the other side of a transaction with the Fund. Firm employees, including employees of GSO, are generally permitted to invest in alternative investment funds, private equity funds, real estate funds, hedge funds or other investment vehicles, including potential competitors of the Fund. Common Shareholders will not receive any benefit from any such investments. Additionally, it can be expected that GSO and/or Blackstone will, from time to time, enter into arrangements or strategic relationships with third parties, including other asset managers, financial firms or other businesses or companies, which, among other things, provide for referral, sourcing or sharing of investment opportunities. Blackstone or GSO may pay management fees and performance-based compensation in connection with such arrangements. Blackstone or GSO may also provide for or receive reimbursement of certain expenses incurred or received in connection with these arrangements, including diligence expenses and general overhead, administrative, deal sourcing and related corporate expenses. The amount of these rebates may relate to allocations of co-investment opportunities and increase if certain co-investment allocations are not made. While it is possible that the Fund will, along with GSO and/or Blackstone itself, benefit from the existence of those arrangements and/or relationships, it is also possible that investment opportunities that would otherwise would be presented to or made by the Fund would instead be referred (in whole or in part) to such third party, or, as indicated above, to other third parties. For example, a firm with which GSO and/or Blackstone has entered into a strategic relationship may be afforded with “first-call” rights on a particular category of investment opportunities, although there is not expected to be substantial overlap in the investment strategies and/or objectives between the Fund and any such firm.
On October 1, 2015, Blackstone spun-off its financial and strategic advisory services, restructuring and reorganization advisory services, and its Park Hill fund placement businesses and combined these businesses with PJT Partners (“PJT”), an independent financial advisory firm founded by Paul J. Taubman. While the new combined business operates independently from Blackstone and is not an affiliate thereof, nevertheless conflicts may arise in connection with transactions between or involving the Fund and the entities in which it invests on the one hand and PJT on the other. Specifically, given that PJT is not an affiliate of Blackstone, there may be fewer or no restrictions or limitations placed on transactions or relationships engaged in by PJT’s new advisory business as compared to the limitations or restrictions that might apply to transactions engaged in by an affiliate of Blackstone. It is expected that there will be substantial overlapping ownership between Blackstone and PJT for a considerable period of time going forward. Therefore, conflicts of interest in doing transactions involving PJT will still arise. The pre-existing relationship between Blackstone and its former personnel involved in such financial and strategic advisory services, the overlapping ownership, co-investment and other continuing arrangements, may influence GSO in deciding to select or recommend PJT to perform such services for the Fund (the cost of which will generally be borne directly or indirectly by the Fund). Nonetheless, the Adviser and GSO will be free to cause the Fund to transact with PJT generally without restriction under the applicable governing documents notwithstanding such overlapping interests in, and relationships with, PJT. See also “Service Providers and Counterparties” below.
In addition, other present and future activities of the Firm and its affiliates (including GSO and the Adviser) will from time to time give rise to additional conflicts of interest relating to the Firm and its investment activities. In the event that any such conflict of interest arises, the Adviser will attempt to resolve such conflict in a fair and equitable manner. Common Shareholders should be aware that, subject to applicable law, conflicts will not necessarily be resolved in favor of the Fund’s interests.
Other Affiliate Transactions and Investments in Different Levels of Capital Structure. From time to time, the Fund and the Other Clients may make investments at different levels of an issuer’s capital structure or otherwise in different classes of an issuer’s securities, subject to the limitations of the 1940 Act. In addition, the Fund may invest in securities of the same issuers as Other Clients. Such investments may inherently give rise to conflicts of interest or perceived conflicts of interest between or among the various classes of securities that may be held by such entities. To the extent the Fund holds securities that are different (including with respect to their relative seniority) from those held by an Other Client, the Adviser and its affiliates may be presented with decisions when the interests of the Fund and Other Clients are in conflict. For example, conflicts could arise where the Fund lends funds to a portfolio company while an Other Client invests in equity securities of such portfolio company. In this circumstance, for example, if such portfolio company goes into bankruptcy, becomes insolvent or is otherwise unable to meet its payment obligations or comply with its debt covenants, conflicts of interest could arise between the holders of different types of securities as to what actions the portfolio company should take. In addition, purchases or sales of securities for the account of the Fund (particularly marketable securities) will be bunched or aggregated with orders for Other Clients, including other funds. It is frequently not possible to receive the same price or execution on the entire volume of securities sold, and the various prices may be averaged, which may be disadvantageous to the Fund. In addition, the 1940 Act may limit the Fund’s ability to undertake certain transactions with its affiliates that are registered under the 1940 Act or regulated as business development companies under the 1940 Act. As a result of these restrictions, the Fund may be prohibited from executing “joint” transactions with such affiliates, which could include investments in the same portfolio company (whether at the same or different times). These limitations may limit the scope of investment opportunities that would otherwise be available to the Fund. Further conflicts could arise after the Fund and other affiliates have made their respective initial investments. For example, if additional financing is necessary as a result of financial or other difficulties, it may not be in the best interests of the Fund to provide such additional financing. If the other affiliates were to lose their respective investments as a result of such difficulties, the ability of the Adviser to recommend actions in the best interests of the Fund might be impaired. GSO may in its discretion take steps to reduce the potential for adversity between the Fund and the Other Clients, including causing the Fund and/or such Other Clients to take certain actions that, in the absence of such conflict, it would not take, including selling Fund assets (possibly at disadvantageous times or disadvantageous conditions) or taking other actions in order to comply with the 1940 Act. In addition, there may be circumstances where GSO agrees to implement certain procedures to ameliorate conflicts of interest that may involve a forbearance of rights relating to the Fund or Other Clients, such as where GSO may cause Other Clients to decline to exercise certain control- and/or foreclosure-related rights with respect to a portfolio company. In addition, conflicts may arise in determining the amount of an investment, if any, to be allocated among potential investors and the respective terms thereof. There can be no assurance that any conflict will be resolved in favor of the Fund and a decision by GSO to take any particular action could have the effect of benefiting an Other Client (and, incidentally, may also have the effect of benefiting GSO) and therefore may not have been in the best interests of, and may be adverse to, the Fund. There can be no assurance that the return on the Fund’s investment will be equivalent to or better than the returns obtained by the Other Clients participating in the transaction. The Common Shareholders will not receive any benefit from fees paid to any affiliate of the Adviser from a portfolio company in which an Other Client also has an interest, to the extent permitted by the 1940 Act.
Other Blackstone and GSO Clients; Allocation of Investment Opportunities. Certain inherent conflicts of interest arise from the fact that GSO and Blackstone provide investment management and sub-advisory services to the Fund and Other Clients.
The respective investment programs of the Fund and the Other Clients may or may not be substantially similar. GSO and/or Blackstone may give advice to, and recommend securities for, Other Clients that may differ from advice given to, or securities recommended or bought for, the Fund, even though their investment objectives may be the same as or similar to those of the Fund. While GSO will seek to manage potential conflicts of interest in a fair and equitable manner, the portfolio strategies employed by GSO and Blackstone in managing their respective Other Clients could conflict with the transactions and strategies employed by GSO in managing the Fund and may affect the prices and availability of the securities and instruments in which the Fund invests. Conversely, participation in specific investment opportunities may be appropriate, at times, for both the Fund and Other Clients. In addition, certain exceptions exist that allow specified types of investment opportunities that fall within the Fund’s investment objectives or strategy to be allocated in whole or in part to Blackstone or GSO itself or Other Clients, such as strategic investments made by Blackstone or GSO itself (whether in financial institutions or otherwise) and the exception for Other Clients that have investment objectives or guidelines similar to or overlapping with those of the Fund. In any event, it is the policy of GSO to allocate investment opportunities and sale opportunities on a basis deemed by GSO, in its sole discretion, to be fair and equitable over time.
Allocation Methodology Considerations
GSO will share appropriate investment opportunities (and sale opportunities) with Other Clients and the Fund in accordance with the Investment Advisers Act of 1940, as amended (the “Advisers Act”), and Firm-wide allocation policies, which generally provide for sharing pro rata based on targeted acquisition size (generally based on available capacity) or targeted sale size (or, in some sales cases, the aggregate positions), taking into account capital commitments, available cash and the relative capital of the respective funds and accounts and such other factors as the Adviser determines in good faith to be appropriate.
Notwithstanding the foregoing, GSO may also consider the following factors in making any allocation determinations (which determinations shall be on a basis that GSO believes in good faith to be fair and reasonable), and such factors may result in a different allocation of investment and/or sale opportunities:
(a) the risk-return and target return profile of the proposed investment relative to the Fund’s and the Other Clients’ current risk profiles;
(b) the Fund’s and/or the Other Clients’ investment objectives, policies, guidelines, restrictions and terms, including whether such objectives are considered solely in light of the specific investment under consideration or in the context of the respective portfolios’ overall holdings;
(c) the need to re-size risk in the Fund’s or the Other Clients’ portfolios (including the potential for the proposed investment to create an industry, sector or issuer imbalance in the Fund’s and Other Clients’ portfolios, as applicable) and taking into account any existing non-pro rata investment positions in the portfolio of the Fund and Other Clients;
(d) liquidity considerations of the Fund and the Other Clients, including during a ramp-up of the Fund or such Other Clients or wind-down of Other Clients, proximity to the end of the Other Clients’ specified term or investment period, any redemption/withdrawal/repurchase requests, anticipated future contributions and available cash;
(e) legal, tax, accounting and other consequences;
(f) regulatory or contractual restrictions or consequences;
(g) avoiding a de minimis or odd lot allocation;
(h) availability and degree of leverage and any requirements or other terms of any existing leverage facilities;
(i) the Fund’s or Other Clients’ investment focus on a classification attributable to an investment or issuer of an investment, including, without limitation, investment strategy, geography, industry or business sector;
(j) the nature and extent of involvement in the transaction on the part of the respective teams of investment professionals dedicated to the Fund or such Other Clients;
(k) the management of any actual or potential conflict of interest;
(l) with respect to investments that are made available to GSO by counterparties pursuant to negotiated trading platforms (e.g., ISDA contracts), the absence of such relationships that may not be available for the Fund and all Other Clients; and
(m) any other considerations deemed relevant by GSO in good faith.
GSO shall not have any obligation to present any investment opportunity to the Fund if GSO determines in good faith that such opportunity should not be presented to the Fund for any one or a combination of the reasons specified above, or if GSO is otherwise restricted from presenting such investment opportunity to the Fund. Subject to the Advisers Act and as further set forth herein, certain Other Clients may receive certain priority or other allocation rights with respect to certain investments, subject to various conditions set forth in such Other Clients’ respective governing agreements, provided, however, the Adviser does not anticipate that such priority or other allocation rights will impact the investments available to the Fund in the ordinary course. It should be noted that investment opportunities originated by business units of the Firm other than GSO will be allocated in accordance with such business units’ allocation policies, which will result in such investment opportunities being allocated, in whole or in part, away from GSO. Additionally, investment opportunities originated by GSO will be allocated in accordance with GSO’s allocation policy, which may provide that investment opportunities will be allocated in part to other business units of the Firm on a basis that GSO believes in good faith to be fair and reasonable, based on various factors, including the involvement of the respective teams from GSO and such other units. Furthermore, for the avoidance of doubt, any investment opportunity that is allocated to the Fund may be allocated to co-investors in GSO’s discretion to the extent that an amount of such investment opportunity remains after the Fund has received its target allocation in respect of such investment opportunity. Moreover, with respect to GSO’s ability to allocate investment opportunities, including where such opportunities are within the common objectives and guidelines of the Fund and an Other Client (which allocations are to be made on a basis that GSO believes in good faith to be fair and reasonable), GSO and Blackstone have established general guidelines and policies, which it may update from time to time, for determining how such allocations are to be made, which, among other things, set forth priorities and presumptions regarding what constitutes “debt” investments, ranges of rates of returns for defining “core” investments, presumptions regarding allocation for certain types of investments (e.g., distressed investments) and other matters. The application of those guidelines may result in the Fund not participating (and/or not participating to the same extent) in certain investment opportunities in which it would have otherwise participated had the related allocations been determined without regard to such guidelines and/or based only on the circumstances of those particular investments.
When GSO determines not to pursue some or all of an investment opportunity for the Fund that would otherwise be within the Fund’s objectives and strategies, and Blackstone or GSO provides the opportunity or offers the opportunity to Other Clients, Blackstone or GSO, including their personnel (including GSO personnel), may receive compensation from the Other Clients, whether or not in respect of a particular investment, including an allocation of referral fees, and any such compensation could be greater than amounts paid by the Fund to GSO. As a result, GSO (including GSO personnel who receive such compensation) could be incentivized to allocate investment opportunities away from the Fund to or source investment opportunities for Other Clients. In addition, in some cases Blackstone or GSO may earn greater fees when Other Clients participate alongside or instead of the Fund in an Investment.
GSO makes good faith determinations for allocation decisions based on expectations that may prove inaccurate. Information unavailable to GSO, or circumstances not foreseen by GSO at the time of allocation, may cause an investment opportunity to yield a different return than expected. Conversely, an investment that GSO expects to be consistent with the Fund’s return objectives may fail to achieve them.
Orders may be combined for the Fund and all other participating Other Clients, and if any order is not filled at the same price, they may be allocated on an average price basis. Similarly, if an order on behalf of more than one account cannot be fully executed under prevailing market conditions, securities may be allocated among the different accounts on a basis that GSO or its affiliates consider equitable.
Co-Investment Opportunities. As a registered investment company under the 1940 Act, the Fund is subject to certain limitations relating to co-investments and joint transactions with affiliates, which likely will in certain circumstances limit the Fund’s ability to make investments or enter into other transactions alongside the Other Clients. There can be no assurance that such regulatory restrictions will not adversely affect the Fund’s ability to capitalize on attractive investment opportunities. However, subject to the 1940 Act, the Fund may co-invest with Other Clients (including co-investment or other vehicles in which the Firm or its personnel invest and that co-invest with such Other Clients) in investments that are suitable for the Fund and one or more of such Other Clients. Even if the Fund and any such Other Clients and/or co-investment or other vehicles invest in the same securities, conflicts of interest may still arise.
The Fund has received an exemptive order from the SEC that permits it, among other things, to co-invest with certain affiliates of the Adviser and certain funds managed and controlled by the Adviser and its affiliates, subject to certain terms and conditions. Such order may restrict the Fund’s ability to enter into follow-on investments or other transactions. Pursuant to such order, the Fund may co-invest in a negotiated deal with certain affiliates of the Adviser or certain funds managed and controlled by the Adviser and its affiliates, subject to certain terms and conditions. The Fund may also receive an allocation in such a deal alongside affiliates pursuant to other mechanisms to the extent permitted by the 1940 Act.
Debt Financings in connection with Acquisitions and Dispositions. To the extent permitted by the 1940 Act, the Fund may from time to time provide financing (i) as part of a third party purchaser’s bid for, or acquisition of, a portfolio entity or the underlying assets thereof owned by one or more Other Clients and/or (ii) in connection with a proposed acquisition or investment by one or more Other Clients or affiliates of a portfolio company and/or its underlying assets. This generally would include the circumstance where the Fund is making commitments to provide financing at or prior to the time such third-party purchaser commits to purchase such investments or assets from one or more Other Clients. While the terms and conditions of any such arrangements will generally be at arms’ length terms negotiated on a case by case basis, the involvement of the Fund and/or such Other Clients or affiliates may affect the terms of such transactions or arrangements and/or may otherwise influence the Adviser’s decisions with respect to the management of the Fund and/or such Other Clients or the relevant portfolio company, which may give rise to potential or actual conflicts of interest and which could adversely impact the Fund.
The Fund may from time to time dispose of all or a portion of an investment where the Firm or one or more Other Clients is providing financing to repay debt issued to the Fund. Such involvement may give rise to potential or actual conflicts of interest.
Activities of Principals and Employees. Certain of the principals and employees of the Adviser may be subject to a variety of conflicts of interest relating to their responsibilities to the Fund and the management of the Fund’s investment portfolio. Such individuals may serve in an advisory capacity to other managed accounts or investment vehicles. Such positions may create a conflict between the services and advice provided to such entities and the responsibilities owed to the Fund. The other managed accounts and/or investment funds in which such individuals may become involved may have investment objectives that overlap with the Fund. Furthermore, certain principals and employees of the Adviser may have a greater financial interest in the performance of such other funds or accounts than the performance of the Fund. Such involvement may create conflicts of interest in making investments on behalf of the Fund and such other funds and accounts. Such principals and employees will seek to limit any such conflicts in a manner that is in accordance with their fiduciary duties to the Fund.
Multiple Firm Business Lines. The Firm has multiple business lines, including the Blackstone Capital Markets Group, which Blackstone, GSO, the Fund, Other Clients, portfolio entities of the Fund and Other Clients and third parties may engage for debt and equity financings and to provide other investment banking, brokerage, investment advisory or other services. As a result of these activities, the Firm is subject to a number of actual and potential conflicts of interest, greater regulatory oversight and more legal and contractual restrictions than if it had one line of business. For example, the Firm may come into possession of information that limits the Fund’s ability to engage in potential transactions. Similarly, other Firm businesses and their personnel may be prohibited by law or contract from sharing information with GSO that would be relevant to monitoring the Fund’s investments and other activities. Additionally, Blackstone, GSO or Other Clients can be expected to enter into covenants that restrict or otherwise limit the ability of the Fund or its portfolio entities and their affiliates to make investments in, or otherwise engage in, certain businesses or activities. For example, Other Clients could have granted exclusivity to a joint venture partner that limits the Fund and Other Clients from owning assets within a certain distance of any of the joint venture’s assets, or Blackstone, GSO or an Other Client could have entered into a non-compete in connection with a sale or other transaction. These types of restrictions may negatively impact the ability of the Fund to implement its investment program. (See also “Other Blackstone and GSO Clients; Allocation of Investment Opportunities”). Finally, Blackstone and GSO personnel who are members of the investment team or investment committee may be excluded from participating in certain investment decisions due to conflicts involving other Firm businesses or for other reasons, in which case the Fund will not benefit from their experience. The shareholders will not receive a benefit from any fees earned by the Firm or their personnel from these other businesses.
Service Providers and Counterparties. Certain of the Fund’s, the Firm’s and/or portfolio companies’ advisors and other service providers or their affiliates (including accountants, administrators, lenders, bankers, brokers, attorneys, consultants, and investment or commercial banking firms) also provide goods or services to, or have business, personal, financial or other relationships with, the Firm, its affiliates and portfolio companies. Such advisors and service providers (or their affiliates) may be investors in the Fund, sources of investment opportunities, co-investors, commercial counterparties and/or portfolio companies in which the Firm and/or the Fund has an investment. Accordingly, payments by the Fund and/or such entities may indirectly benefit the Fund and/or its affiliates. In addition, the retention of such entities as advisors or service providers may give rise to actual or potential conflicts of interest. Additionally, certain employees and other professionals of the Firm may have family members or relatives employed by such advisors and service providers (or their affiliates) or otherwise actively involved in (or have business, financial or other relationships with) relevant industries. For example, such family members or relatives might be employees, officers, directors or owners of companies or assets that are actual or potential investments of the Fund or other counterparties of the Fund and its portfolio companies and/or assets. Moreover, in certain instances, the Fund or its portfolio companies may issue loans to or acquire securities from, or otherwise transact with, companies that are owned by such family members or relatives or in respect of which such family members or relatives have other involvement. These relationships may influence GSO and/or the Adviser in deciding whether to select or recommend such advisors or service providers to perform services for the Fund or portfolio companies (the cost of which will generally be borne directly or indirectly by the Fund or such portfolio companies, as applicable). Notwithstanding the foregoing, investment transactions relating to the Fund that require the use of a service provider will generally be allocated to service providers on the basis of best execution, the evaluation of which includes, among other considerations, such service provider’s provision of certain investment-related services and research that the Adviser believes to be of benefit to the Fund.
Certain Blackstone-affiliated service providers and their respective personnel will receive a management promote, an incentive fee and other performance-based compensation in respect of investments. Furthermore, Blackstone-affiliated service providers may charge costs and expenses based on allocable overhead associated with personnel working on relevant matters (including salaries, benefits and other similar expenses), provided that these amounts will not exceed market rates as determined by Blackstone or GSO to be appropriate under the circumstances.
Portfolio company service providers described in this section are generally owned by an Other Client. In certain instances a similar company could be owned by Blackstone directly. Blackstone could cause a transfer of ownership of one of these service providers from an Other Client to a Fund. The transfer of a portfolio company service provider between a Fund and an Other Client will generally be consummated for minimal or no consideration, and without obtaining any consent from a limited partner advisory committee. In such instances, GSO may, but is not required to, obtain a third party valuation confirming the same, and if it does, GSO may rely on such valuation.
Advisers and service providers, or their affiliates, often charge different rates (including below-market or no fee) or have different arrangements for different types of services. With respect to service providers, for example, the fee for a given type of work may vary depending on the complexity of the matter as well as the expertise required and demands placed on the service provider. Therefore, to the extent the types of services used by the Fund and/or portfolio companies are different from those used by the Firm and its affiliates (including personnel), GSO or its affiliates (including personnel) may pay different amounts or rates than those paid by the Fund and/or portfolio companies. However, GSO and its affiliates have a longstanding practice of not entering into any arrangements with advisors or service providers that could provide for lower rates or discounts than those available to the Fund, Other Clients and/or portfolio companies for the same services. In addition, the Firm and its affiliates, including without limitation, the Fund, the Other Clients and/or their portfolio companies, may enter into agreements or other arrangements with vendors and other similar counterparties (whether such counterparties are affiliated or unaffiliated with the Firm) from time to time whereby such counterparty may charge lower rates (or no fee) and/or provide discounts or rebates for such counterparty’s products and/or services depending on certain factors, including without limitation, volume of transactions entered into with such counterparty by the Firm, its affiliates, the Fund, the Other Clients and their portfolio companies in the aggregate. Furthermore, advisors and service providers may provide services exclusively to GSO and/or Blackstone, including Other Clients and their portfolio companies, although such advisors and service providers will not be considered employees of Blackstone or GSO.
In addition, certain advisors and service providers (including law firms) may temporarily provide their personnel to GSO and/or Blackstone pursuant to various arrangements including at cost or at no cost. While often the Fund is the beneficiary of these types of arrangements, GSO and/or Blackstone are from time to time the beneficiaries of these arrangements as well, including in circumstances where the advisor or service provider also provides services to the Fund in the ordinary course. Such personnel may provide services in respect of multiple matters, including in respect of matters related to GSO and/or Blackstone, their affiliates and/or portfolio companies and any costs of such personnel may be allocated accordingly.
In addition, investment banks or other financial institutions, as well as Blackstone employees, may also be Fund investors. These institutions and employees are a potential source of information and ideas that could benefit the Fund. Blackstone has procedures in place reasonably designed to prevent the inappropriate use of such information by the Fund.
Blackstone may, from time to time, encourage service providers to funds and investments to use, at market rates and/or on arm’s length terms, Blackstone-affiliated service providers in connection with the business of the Fund, portfolio companies, and unaffiliated entities. This practice provides an indirect benefit to Blackstone in the form of added business for Blackstone-affiliated service providers.
Blackstone-affiliated service providers are generally expected to receive competitive market rate fees (as determined by the Adviser or its affiliates) with respect to certain Investments, include:
| • | COE. The Blackstone Center of Excellence, located in Gurgaon, India (the “COE”) is a captive center of resources administered by Blackstone and ThoughtFocus Technologies LLC (“ThoughtFocus”), an independent firm in which Blackstone holds a minority position and participates as a member of the board. The COE is expected to perform services for certain funds that may have historically been performed by Blackstone personnel, such as funds’ administrative services, data collection and management services, and technology implementation and support services, which may be paid for by the funds that receive such services on a similar basis as a third party providing such services. Blackstone, through its interest in ThoughtFocus, receives an indirect benefit resulting from the funds’ payments for such services. These fees do not offset management fees payable by the shareholders. |
| • | Equity Healthcare. Equity Healthcare LLC (“Equity Healthcare”) is a Blackstone affiliate that negotiates with providers of standard administrative services for health benefit plans and other related services for cost discounts, quality of service monitoring, data services and clinical consulting. Because of the combined purchasing power of its client participants, which include unaffiliated third parties, Equity Healthcare is able to negotiate pricing terms that are believed to be more favorable than those that the portfolio companies could obtain on an individual basis. The fees received by Equity Healthcare in connection with services provided to investments will not offset the management fee payable by shareholders. |
| • | Optiv. Optiv is a portfolio company held by certain Blackstone private equity funds that provides a full slate of information security services and solutions and may provide goods and services for the Blackstone funds and their portfolio companies. |
| • | BTIG. In December 2016, certain funds made a strategic minority investment in BTIG. BTIG is a global financial services firm that provides institutional trading, investment banking, research and related brokerage services and may provide goods and services for the Fund, Other Clients or any of their portfolio companies and the Blackstone Tactical Opportunities Program. |
| • | Refinitiv. In October 2018, a consortium led by Blackstone acquired a 55% equity stake of Refinitiv, formerly the Financial & Risk division of Thomson Reuters, which includes the Evaluated Pricing Service (formerly known as Thomson Reuters Pricing Service). From time to time, Refinitiv is expected to provide valuation and other services to the Fund on an arms-length basis. |
Allocation of Personnel. The Adviser and their respective members, partners, officers and employees will devote as much of their time to the activities of the Fund as they deem necessary to conduct its business affairs in an appropriate manner. By the terms of the Investment Advisory Agreement, the Adviser is not restricted from forming additional investment funds, from entering into other investment advisory relationships or from engaging in other business activities, even though such activities may be in competition with the Fund and/or may involve substantial time and resources of the Adviser. These activities could be viewed as creating a conflict of interest in that the time and effort of the members of the Adviser and GSO, and their officers and employees will not be devoted exclusively to the business of the Fund, but will be allocated between the business of the Fund and the management of the monies of such other advisees of the Adviser and GSO. Time spent on these other initiatives diverts attention from the activities of the Fund, which could negatively impact the Fund and Common Shareholders. Furthermore, GSO and GSO personnel derive financial benefit from these other activities, including fees and performance-based compensation. Firm personnel outside of GSO may share in the fees and performance-based compensation from the Fund; similarly, GSO personnel may share in the fees and performance-based compensation generated by Other Clients. These and other factors create conflicts of interest in the allocation of time by Firm personnel. GSO’s determination of the amount of time necessary to conduct the Fund’s activities will be conclusive, and Common Shareholders rely on GSO’s judgment in this regard.
Portfolio Company Data. The Firm receives or obtains various kinds of data and information from the Fund, Other Clients and their portfolio companies, including data and information relating to business operations, trends, budgets, customers and other metrics, some of which are sometimes referred to as “big data.” The Firm can be expected to be better able to anticipate macroeconomic and other trends, and otherwise develop investment themes, as a result of its access to (and rights regarding) this data and information from the Fund, Other Clients and their portfolio companies. The Firm has entered and will continue to enter into information sharing and use arrangements with the Fund, Other Clients and their portfolio companies, related parties and service providers, which may give the Firm access to (and rights regarding) data that it would not otherwise obtain in the ordinary course. Although the Firm believes that these activities improve the Firm’s investment management activities on behalf of the Fund and Other Clients, information obtained from the Fund and portfolio companies also provides material benefits to Blackstone, GSO or Other Clients without compensation or other benefit accruing to the Fund or Common Shareholders. For example, information from a portfolio company in which the Fund holds an interest can be expected to enable the Firm to better understand a particular industry and execute trading and investment strategies in reliance on that understanding for Blackstone, GSO and Other Clients that do not own an interest in the portfolio company, without compensation or benefit to the Fund or portfolio companies.
Furthermore, except for contractual obligations to third parties to maintain confidentiality of certain information, and regulatory limitations on the use of material nonpublic information, the Firm is generally free to use data and information from the Fund’s activities to assist in the pursuit of the Firm’s various other activities, including to trade for the benefit of the Firm and/or an Other Client in the securities of unaffiliated issuers while using or otherwise being in possession of such information. Any confidentiality obligations in the investment sub-advisory agreement do not limit the Firm’s ability to do so. For example, the Firm’s ability to trade in securities of an issuer relating to a specific industry may, subject to applicable law, be enhanced by information of a portfolio company and/or entity in the same or related industry. Such trading can be expected to provide a material benefit to the Firm without compensation or other benefit to the Fund or Common Shareholders.
The Firm believes that access to this information furthers the interests of the Common Shareholders by providing opportunities for operational improvements across portfolio companies and/or entities and in connection with the Fund’s investment management activities. Subject to appropriate contractual arrangements, the Firm may also utilize such information outside of the Fund’s activities in a manner that provides a material benefit to the Firm and/or its affiliates, but not the Fund. The sharing and use of “big data” and other information presents potential conflicts of interest and investors acknowledge and agree that any benefits received by the Firm or its personnel (including fees (in cash or in kind), costs and expenses) will not be subject to management fee offset provisions or otherwise shared with the Fund or Common Shareholders. As a result, the Adviser may have an incentive to pursue investments that have data and information that can be utilized in a manner that benefits the Firm or Other Clients.
Material, Non-Public Information. GSO may come into possession of material non-public information with respect to an issuer. Should this occur, GSO would be restricted from buying, originating or selling securities, loans of, or derivatives with respect to, the issuer on behalf of the Fund until such time as the information becomes public or is no longer deemed material such that it would preclude the Fund from participating in an investment. Disclosure of such information to the Adviser’s personnel responsible for the affairs of the Fund will be on a need-to-know basis only, and the Fund may not be free to act for the Fund upon any such information. Therefore, the Fund may not have access to material non-public information in the possession of GSO that might be relevant to an investment decision to be made for the Fund. In addition, GSO, in an effort to avoid buying or selling restrictions on behalf of the Fund or Other Clients, may choose to forgo an opportunity to receive (or elect not to receive) information that other market participants or counterparties, including those with the same positions in the issuer as the Fund, are eligible to receive or have received, even if possession of such information would otherwise be advantageous to the Fund.
In addition, affiliates of GSO within Blackstone may come into possession of material non-public information with respect to an issuer. Should this occur, GSO may be restricted from buying, originating or selling securities, loans of, or derivatives with respect to, the issuer on behalf of the Fund if the Firm deemed such restriction appropriate. Disclosure of such information to the Adviser’s personnel responsible for the affairs of the Fund will be on a need-to-know basis only, and the Fund may not be free to act upon any such information. Therefore, the Fund may not have access to material non-public information in the possession of the Firm that might be relevant to an investment decision to be made by the Fund. Accordingly, the Fund may not be able to initiate a transaction that it otherwise might have initiated and may not be able to sell an investment that it otherwise might have sold.
Other Trading and Investing Activities. Certain Other Clients may invest in securities of publicly traded companies that are actual or potential investments of the Fund. The trading activities of those vehicles may differ from or be inconsistent with activities that are undertaken for the account of the Fund in such securities or related securities. In addition, the Fund might not pursue an investment in an issuer as a result of such trading activities by Other Clients.
Possible Future Activities. The Firm and its affiliates may expand the range of services that it provides over time. Except as provided herein, the Firm and its affiliates will not be restricted in the scope of its business or in the performance of any such services (whether now offered or undertaken in the future) even if such activities could give rise to conflicts of interest, and whether or not such conflicts are described herein. The Firm and its affiliates have, and will continue to develop, relationships with a significant number of companies, financial sponsors and their senior managers, including relationships with clients who may hold or may have held investments similar to those intended to be made by the Fund. These clients may themselves represent appropriate investment opportunities for the Fund or may compete with the Fund for investment opportunities.
Regulatory Inquiries. Blackstone is subject to extensive regulation, including periodic examinations, by governmental agencies and self-regulatory organizations in the jurisdictions in which it operates around the world. These authorities have regulatory powers dealing with many aspects of financial services, including the authority to grant, and in specific circumstances to cancel, permissions to carry on particular activities. Many of these regulators, including U.S. and foreign government agencies and self-regulatory organizations, as well as state securities commissions in the United States, are also empowered to conduct investigations and administrative proceedings that can result in fines, suspensions of personnel, changes in policies, procedures or disclosure or other sanctions, including censure, the issuance of cease-and-desist orders, the suspension or expulsion of a broker-dealer or investment adviser from registration or memberships or the commencement of a civil or criminal lawsuit against Blackstone or its personnel. Blackstone is regularly subject to requests for information and informal or formal investigations by the SEC and other regulatory authorities, with which Blackstone routinely cooperates and even historical practices that have been previously examined are being revisited. Even if an investigation or proceeding did not result in a sanction or the sanction imposed against Blackstone or its personnel by a regulator were small in monetary amount, the adverse publicity relating to the investigation, proceeding or imposition of these sanctions could harm Blackstone, GSO, the Adviser and the Fund. While it is difficult to predict what impact, if any, the foregoing may have, there can be no assurance that any of the foregoing, whether applicable to Blackstone or GSO specifically or the underlying funds in which Blackstone or GSO invests generally, would not have a material adverse effect on the Fund and its ability to achieve its investment objective. As a result, there can be no assurance that any of the foregoing will not have an adverse impact on Blackstone, GSO or the Adviser or otherwise impede the Fund’s ability to effectively achieve its investment objective.
Restrictions Arising under the Securities Laws. The Firm’s activities and the activities of Other Clients (including, without limitation, the holding of securities positions or having one of its employees on the board of directors of a portfolio company) could result in securities law restrictions (including under the 1940 Act) on transactions in securities held by the Fund, affect the prices of such securities or the ability of such entities to purchase, retain or dispose of such investments, or otherwise create conflicts of interest, any of which could have an adverse impact on the performance of the Fund and thus the return to the Common Shareholders.
In addition, the 1940 Act limits the Fund’s ability to enter into certain transactions with certain of the Fund’s affiliates. As a result of these restrictions, the Fund may be prohibited from buying or selling any security directly from or to any portfolio company of a fund or account managed by the Firm. However, the Fund may under certain circumstances purchase any such portfolio company’s securities in the secondary market, which could create a conflict for the Adviser between its interests in the Fund and the portfolio company, in that the ability of the Adviser to act in the Fund’s best interest might be restricted by applicable law. The 1940 Act also prohibits certain “joint” transactions with certain of the Fund’s affiliates, which could include investments in the same portfolio company (whether at the same or different times) or buying investments from, or selling them to, Other Clients. These limitations may limit the scope of investment opportunities that would otherwise be available to the Fund.
Additional Potential Conflicts. The officers, directors, members, managers, and employees of the Adviser and GSO may trade in securities for their own accounts, subject to restrictions and reporting requirements as may be required by law or the Firm’s policies, or otherwise determined from time to time by the Adviser or GSO, as applicable. In addition, certain Other Clients may be subject to the 1940 Act or other regulations that, due to the role of the Firm, could restrict the ability of the Fund to buy investments from, to sell investments to or to invest in the same securities as, such Other Clients. Such regulations may have the effect of limiting the investment opportunities available to the Fund.
Transactions with Clients of Blackstone Insurance Solutions. Blackstone Insurance Solutions (“BIS”) is a business unit of Blackstone that is comprised of two affiliated registered investment advisers. BIS provides investment advisory services to insurers (including insurance companies that are owned, directly or indirectly, by Blackstone or Other Clients, in whole or in part). Actual or potential conflicts of interest may arise with respect to the relationship of the Fund and portfolio companies with the funds, vehicles or accounts BIS advises or sub-advises, including accounts where an insurer participates in investments directly and there is no separate vehicle controlled by Blackstone (collectively, “BIS Clients”). BIS Clients may have investment objectives that overlap with those of the Fund or portfolio companies, and such BIS Clients may invest alongside the Fund or such portfolio companies in certain investments, which will reduce the investment opportunities otherwise available to the Fund or such portfolio companies. BIS Clients will also participate in transactions related to the Fund and/or portfolio companies (e.g., as originators, co-originators, counterparties or otherwise). Other transactions in which BIS Clients will participate include, without limitation, investments in debt or other securities issued by portfolio companies or other forms of financing to portfolio companies (including special purpose vehicles established by the Fund or such portfolio companies). When investing alongside the Fund or portfolio companies or in other transactions related to the Fund or portfolio companies (to the extent permitted by the 1940 Act or exemptive relief from the SEC), BIS Clients may or may not invest or divest at the same time or on the same terms as the Fund or the applicable portfolio companies. BIS Clients will also from time to time acquire investments and portfolio companies directly or indirectly from the Fund, including one or more royalty streams, which may be securitized along with other royalty streams. In circumstances where GSO determines in good faith that the conflict of interest is mitigated in whole or in part through various measures that Blackstone, GSO or GSO / Blackstone implements, GSO / Blackstone will not be required to seek approval of the Board or the shareholders. In order to seek to mitigate any potential conflicts of interest with respect to such transactions (or other transactions involving BIS Clients), Blackstone may, in its discretion, involve independent members of the board of a portfolio company or a third party stakeholder in the transaction to negotiate price and terms on behalf of the BIS Clients or otherwise cause the BIS Clients to “follow the vote” thereof, and/or cause an independent client representative or other third party to approve the investment or otherwise represent the interests of one or more of the parties to the transaction. In addition, Blackstone or GSO / Blackstone may limit the percentage interest of the BIS Clients participating in such transaction, or obtain appropriate price quotes or other benchmarks, or, alternatively, a third-party price opinion or other document to support the reasonableness of the price and terms of the transaction. BIS will also from time to time require the applicable BIS Clients participating in a transaction to consent thereto (including in circumstances where GSO / Blackstone does not seek the consent of the Board or the shareholders). There can be no assurance that any such measures or other measures that may be implemented by Blackstone will be effective at mitigating any actual or potential conflicts of interest.
(a)(3) Portfolio Manager Compensation as of September 30, 2019
The Adviser’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary and a discretionary bonus.
Base Compensation. Generally, portfolio managers receive base compensation and employee benefits based on their individual seniority and/or their position with the firm.
Discretionary Compensation. In addition to base compensation, portfolio managers may receive discretionary compensation. Discretionary compensation is based on individual seniority, contributions to the Adviser and performance of the client assets that the portfolio manager has primary responsibility for. The discretionary compensation is not based on a precise formula, benchmark or other metric. These compensation guidelines are structured to closely align the interests of employees with those of the Adviser and its clients.
(a)(4) Dollar Range of Securities Owned as of December 31, 2019.
| Portfolio Managers | Dollar Range of the Registrant’s Securities Owned by the Portfolio Managers |
| Robert Zable | $50,001 - $100,000 |
| Gordon McKemie | $10,001 - $50,000 |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
None
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K, or this Item.
Item 11. Controls and Procedures.
| (a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document. |
| (b) | There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) The Code of Ethics that applies to the registrant’s principal executive officer and principal financial officer is attached hereto as Exhibit 13.A.1.
(a)(2) The certifications required by Rule 30a-2(a) under the 1940 Act, and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.Cert.
(a)(3) Not applicable.
(a)(4) Not applicable.
(b) The certifications by the registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act, and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.906Cert.
(c) The Proxy Voting Policies and Procedures are attached hereto as Exhibit 99.7.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Blackstone / GSO Strategic Credit Fund
| By: | /s/ Daniel H. Smith, Jr. | |
| Daniel H. Smith, Jr. (Principal Executive Officer) | ||
| Chief Executive Officer and President | ||
| Date: | March 6, 2020 | |
| By: | /s/ Robert W. Busch | |
| Robert W. Busch (Principal Financial Officer) | ||
| Treasurer and Chief Financial Officer | ||
| Date: | March 6, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
Blackstone / GSO Strategic Credit Fund
| By: | /s/ Daniel H. Smith, Jr. | |
| Daniel H. Smith, Jr. (Principal Executive Officer) | ||
| Chief Executive Officer and President | ||
| Date: | March 6, 2020 | |
| By: | /s/ Robert W. Busch | |
| Robert W. Busch (Principal Financial Officer) | ||
| Treasurer and Chief Financial Officer | ||
| Date: | March 6, 2020 |
1 Year Blackstone Strategic Cre... Chart |
1 Month Blackstone Strategic Cre... Chart |
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