NPORT-EX 1 fp0042694_nportex.htm

Blackstone / GSO Strategic Credit Fund Portfolio of Investments
March 31, 2019 (Unaudited)

 

 

   Principal     
   Amount   Value 
FLOATING RATE LOAN INTERESTS(a) - 137.82%          
Aerospace & Defense - 2.63%          
DAE Aviation Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 07/07/2022  $4,622,625   $4,634,205 
Propulsion Acquisition LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 07/13/2021(b)   6,219,207    6,157,015 
Vectra Co., First Lien Initial Term Loan:          
1M US L + 3.25%, 03/08/2025   2,370,149    2,262,011 
1M US L + 7.25%, 03/08/2026   1,666,667    1,625,000 
WP CPP Holdings LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 04/30/2025   3,731,250    3,709,795 
         18,388,026 
           
Air Transport - 0.80%          
Air Medical Group Holdings, Inc., First Lien 2018 New Term Loan, 1M US L + 4.25%, 03/14/2025   5,925,000    5,584,312 
           
Automotive - 1.60%          
Bright Bidco BV, First Lien 2018 Refinancing B Term Loan, 1M US L + 3.50%, 06/28/2024   134,516    104,923 
Midas Intermediate Holdco II LLC, First Lien 2017 Refinancing Term Loan, 3M US L + 2.75%, 08/18/2021   1,193,893    1,166,040 
Panther BF Aggregator 2 L P, First Lien B Term Loan, 3M US L + 3.50%, 03/18/2026(c)   4,800,000    4,751,952 
Superior Industries International, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 05/22/2024(b)   5,350,371    5,216,611 
         11,239,526 
           
Beverage & Tobacco - 0.19%          
Winebow Holdings, Inc., Second Lien Term Loan, 1M US L + 7.50%, 01/02/2022(b)   2,387,283    1,313,006 
           
Brokers, Dealers & Investment Houses - 0.90%          
Deerfield Dakota Holding LLC, First Lien Initial Term Loan, 1M US L + 3.25%, 02/13/2025   2,393,955    2,351,570 
Edelman Financial Center LLC, Second Lien Initial Term Loan, 3M US L + 6.75%, 06/26/2026   1,846,154    1,860,000 
Newport Group Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 09/12/2025(c)   2,097,000    2,079,962 
         6,291,532 
           
Building & Development - 8.58%          
American Bath Group LLC, Second Lien Term Loan:          
3M US L + 4.25%, 09/30/2023(b)   9,942,432    9,867,864 
3M US L + 9.75%, 09/30/2024(b)   600,000    600,000 
CPG International LLC, First Lien New Term Loan, 3M US L + 3.75%, 05/05/2024(b)   791,919    785,980 
Dayton Superior Corp., First Lien Borrowing Term Loan, 3M US L + 8.00%, 6.00% PIK, 11/15/2021   3,788,013    3,191,401 
Fastener Acquisition, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 03/28/2025(b)   3,403,125    3,335,062 
Forterra Finance LLC, First Lien Replacement Term Loan, 1M US L + 3.00%, 10/25/2023   9,409,333    8,693,518 
Hillman Group, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 05/30/2025   8,939,962    8,548,839 
Interior Logic Group Holdings IV LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025   6,512,727    6,410,966 
LBM Borrower LLC, Second Lien Initial Term Loan:          
2M US L + 3.75%, 08/19/2022   4,678,868    4,506,920 
2M US L + 9.25%, 08/20/2023   1,713,476    1,679,206 
Ply Gem Midco, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 04/12/2025   3,742,341    3,597,325 
SIWF Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 06/15/2025   2,382,000    2,358,180 
SRS Distribution, Inc., First Lien Initial Term Loan, 2M US L + 3.25%, 05/23/2025   6,838,364    6,544,895 
         60,120,156 
           
Business Equipment & Services - 22.47%          
Access CIG LLC, First Lien B Term Loan:          
1M US L + 3.75%, 02/27/2025   2,429,045    2,404,754 
3M US L + 7.75%, 02/27/2026   326,087    323,914 
Advantage Sales & Marketing, Inc., First Lien Initial Term Loan:          
1M US L + 3.25%, 07/23/2021   3,107,405    2,652,465 
1M US L + 3.25%, 07/25/2021   2,554,500    2,171,964 
1M US L + 6.50%, 07/25/2022   11,245,389    8,307,531 
Allied Universal Holdco LLC, First Lien Initial Term Loan:          
1M US L + 4.25%, 07/28/2022   3,820,213    3,739,033 
1M US L + 3.75%, 07/28/2022   4,656,000    4,513,992 

 

 

 

   Principal     
   Amount   Value 
Business Equipment & Services (continued)          
AqGen Ascensus, Inc., First Lien Replacement Term Loan:          
1M US L + 3.50%, 12/03/2022  $7,237,929   $7,228,882 
L + 4.00%, 12/12/2022(b)(c)   891,892    890,777 
BMC Acquisition, Inc., First Lien Initial Term Loan, 6M US L + 5.25%, 12/27/2024(b)   2,808,203    2,737,998 
Capri Acquisitions BidCo, Ltd., First Lien Initial Dollar Term Loan, 3M US L + 3.25%, 11/01/2024   5,920,814    5,843,103 
Cast & Crew Payroll LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 02/09/2026   1,093,671    1,099,549 
DG Investment Intermediate Holdings 2, Inc., First Lien Initial Term Loan:          
1M US L + 3.00%, 02/03/2025   1,000,866    971,465 
3M US L + 6.75%, 02/01/2026(b)   1,422,414    1,390,410 
Dun & Bradstreet Corp., First Lien Initial Borrowing Term Loan, 1M US L + 5.00%, 02/06/2026   4,108,108    4,069,595 
Epicor Software Corp., First Lien B Term Loan, 1M US L + 3.25%, 06/01/2022   4,196,384    4,154,735 
Financial & Risk US Holdings, Inc., First Lien Initial Dollar Term Loan, 1M US L + 3.75%, 10/01/2025   3,491,250    3,395,869 
GI Revelation Acquisition LLC, First Lien Initial Term Loan:          
1M US L + 5.00%, 04/16/2025(b)   5,152,017    5,055,417 
1M US L + 9.00%, 04/10/2026   6,000,000    5,767,500 
IG Investments Holdings LLC, First Lien Refinancing Term Loan, 1M US L + 3.50%, 05/23/2025   663,902    660,997 
Inmar, Inc., First Lien Initial Term Loan:          
1M US L + 3.50%, 05/01/2024   1,260,059    1,207,552 
1M US L + 8.00%, 05/01/2025   3,786,982    3,758,580 
KUEHG Corp., Second Lien Tranche B Term Loan:          
3M US L + 3.75%, 02/21/2025   4,666,656    4,621,926 
3M US L + 8.25%, 08/15/2025   6,161,780    6,161,780 
LD Intermediate Holdings, Inc., First Lien Initial Term Loan, 2M US L + 5.875%, 12/09/2022   5,969,811    5,201,198 
LegalZoom.com, Inc., First Lien 2018 Term Loan, 1M US L + 4.50%, 11/21/2024   5,130,000    5,158,856 
Millennium Trust Company LLC, First Lien Term Loan, 3M US L + 5.00%, 01/01/2030(c)   4,615,385    4,560,600 
Mitchell International, Inc., First Lien Initial Term Loan:          
1M US L + 3.25%, 11/29/2024   6,111,768    5,891,195 
1M US L + 7.25%, 12/01/2025   2,303,030    2,248,333 
National Intergovernmental Purchasing Alliance Co., First Lien Initial Term Loan:          
3M US L + 3.75%, 05/19/2025   5,557,290    5,532,977 
3M US L + 7.50%, 05/22/2026(b)   4,200,000    4,095,000 
PricewaterhouseCoopers Public Sector LLP, Second Lien Initial Term Loan, 1M US L + 7.50%, 05/01/2026(b)   1,200,000    1,185,000 
PT Intermediate Holdings III LLC, First Lien B Term Loan:          
3M US L + 4.00%, 12/09/2024   4,773,205    4,701,607 
3M US L + 8.00%, 12/08/2025(b)   4,200,000    4,158,000 
RevSpring, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 10/11/2025(b)   3,591,000    3,555,090 
Sedgwick Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 12/31/2025   3,971,613    3,896,728 
Staples, Inc., First Lien Closing Date Term Loan, 3M US L + 4.00%, 09/12/2024   2,162,259    2,148,734 
SurveyMonkey, Inc., First Lien Term Loan, 1W US L + 3.75%, 10/10/2025(b)   6,788,845    6,670,041 
ThoughtWorks, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 10/11/2024   3,026,534    3,024,643 
TRC Cos., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 06/21/2024   3,795,490    3,759,907 
Trugreen LP, First Lien Initial Refinancing Term Loan, 1M US L + 3.75%, 03/19/2026(c)   597,872    599,740 
Weld North Education LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 02/15/2025(c)   7,998,469    7,945,999 
         157,463,436 
           
Chemical & Plastics - 2.71%          
Composite Resins Holding B.V., First Lien Initial Term Loan, 3M US L + 4.25%, 06/27/2025(b)   7,146,000    7,110,270 
Spectrum Holdings III Corp., First Lien Closing Date Term Loan:          
1M US L + 3.25%, 01/31/2025   890,778    846,239 
1M US L + 7.00%, 01/26/2026   1,833,333    1,766,875 
Starfruit Finco B.V., First Lien Initial Dollar Term Loan, 1M US L + 3.25%, 10/01/2025   5,037,313    4,977,520 
Vantage Specialty Chemicals, Inc., First Lien Closing Date Term Loan:          
3M US L + 4.00%, 10/28/2024   2,402,775    2,360,739 
2M US L + 8.25%, 10/27/2025   1,995,334    1,947,116 
         19,008,759 
           
Conglomerates - 1.37%          
American Residential Services LLC, First Lien Term Loan, 1M US L + 4.00%, 06/30/2021   2,521,053    2,491,115 
Genuine Financial Holdings LLC, First Lien Initial Term Loan, 2M US L + 3.75%, 07/11/2025   3,131,803    3,102,458 
Output Services Group, Inc., First Lien B Term Loan, 1M US L + 4.25%, 03/21/2024(b)   1,530,784    1,419,803 

 

 

 

   Principal     
   Amount   Value 
Conglomerates (continued)          
Sabre GLBL Inc, First Lien 2018 Other Term B Loan, First Lien 2018 Other B Term Loan, 1M US L + 2.00%, 02/22/2024(c)  $498,737   $495,855 
Spring Education Group, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 07/30/2025(c)   2,131,614    2,114,731 
         9,623,962 
           
Containers & Glass Products - 3.51%          
Flex Acquisition Co., Inc., First Lien Incremental B-2018 Term Loan, 3M US L + 3.25%, 06/29/2025   3,553,571    3,452,668 
Goodpack, Ltd., Second Lien Tranche B-1 Term Loan, 3M US L + 7.00%, 09/11/2024   1,691,209    1,564,368 
IBC Capital I, Ltd., First Lien Tranche B-1 Term Loan, 3M US L + 3.75%, 09/11/2023   2,970,000    2,888,340 
Loparex International BV, First Lien B Term Loan, 3M US L + 4.25%, 03/28/2025   5,955,000    5,969,887 
Pregis Holding I Corp., First Lien Term Loan, 3M US L + 3.50%, 05/20/2021(b)   2,428,990    2,398,628 
ProAmpac PG Borrower LLC, First Lien Initial Term Loan:          
1M US L + 3.50%, 11/20/2023   1,717,784    1,662,489 
1M US L + 8.50%, 11/18/2024   1,464,115    1,437,270 
Ranpak Corp., Second Lien Initial Term Loan, 1M US L + 7.25%, 10/03/2022(b)   76,814    76,526 
Strategic Materials Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.75%, 12/27/2025(b)   4,666,667    3,803,333 
Trident TPI Holdings, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.25%, 10/17/2024   1,414,622    1,366,879 
         24,620,388 
           
Diversified Insurance - 0.80%          
Acrisure LLC, First Lien 2018-1 Additional Term Loan, 3M US L + 3.75%, 11/22/2023   1,672,753    1,651,844 
BroadStreet Partners, Inc., First Lien Tranche B-2 Term Loan, 1M US L + 3.25%, 11/08/2023   75,704    75,278 
CP VI Bella Midco LLC, First Lien Initial Term Loan:          
1M US L + 3.00%, 02/14/2025   1,272,949    1,226,805 
1M US L + 6.75%, 02/16/2026   1,178,571    1,159,420 
Genworth Holdings, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 02/28/2023   1,035,652    1,037,599 
York Risk Services Holding Corp., First Lien Term Loan, 1M US L + 3.75%, 10/01/2021   483,755    455,334 
         5,606,280 
           
Drugs - 1.61%          
Albany Molecular Research, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 08/30/2025   1,473,214    1,458,482 
Arbor Pharmaceuticals LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 07/05/2023   4,729,962    4,197,841 
Packaging Coordinators Midco, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 06/30/2023   5,630,891    5,609,775 
         11,266,098 
           
Ecological Services & Equipment - 0.48%          
EnergySolutions LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 05/09/2025   2,534,059    2,246,861 
Tunnel Hill Partners LP, First Lien Initial Term Loan, 1M US L + 3.50%, 02/06/2026   1,115,044    1,110,166 
         3,357,027 
           
Electronics/Electrical - 26.05%          
Boxer Parent Co., Inc., First Lien Initial Dollar Term Loan, 3M US L + 4.25%, 10/02/2025   8,977,500    8,809,576 
Brave Parent Holdings, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 04/18/2025   2,387,970    2,363,099 
CommerceHub, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 05/21/2025(b)   3,721,875    3,670,699 
ConvergeOne Holdings, Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 01/04/2026(b)   6,000,000    5,758,140 
CPI International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 07/25/2025(b)   1,045,752    1,035,294 
Curvature, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 10/30/2023   11,570,036    9,062,231 
Dell International LLC, First Lien Refinancing B Term Loan, 1M US L + 2.00%, 09/07/2023   500,000    494,960 
DigiCert, Inc., Second Lien Initial Term Loan, 1M US L + 8.00%, 10/31/2025   4,000,000    3,922,500 
DiscoverOrg LLC, First Lien Initial Term Loan, 3M US L + 4.50%, 02/02/2026   5,000,000    4,943,750 
Dynatrace LLC, Second Lien Term Loan, 1M US L + 7.00%, 08/21/2026   1,522,251    1,520,827 
ECi Macola/MAX Holding LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 09/27/2024(c)   2,102,147    2,091,636 
ETA Australia Holdings III Pty, Ltd., First Lien Term Loan, 3M US L + 4.00%, 03/08/2026(c)   2,666,667    2,670,000 
Flexera Software LLC, Second Lien Initial Term Loan, 1M US L + 7.25%, 02/26/2026   1,774,194    1,763,105 
Gigamon, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 12/27/2024(b)   10,178,269    10,051,041 
Help/Systems Holdings, Inc., First Lien Term Loan:          
1M US L + 3.75%, 03/28/2025(b)   2,149,114    2,124,937 
1M US L + 7.75%, 03/23/2026   2,068,966    2,063,793 
Hyland Software, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 07/07/2025   1,675,906    1,676,953 
Idera, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2024   2,830,564    2,832,927 

 

 

 

   Principal     
   Amount   Value 
Electronics/Electrical (continued)          
Imperva, Inc., First Lien Term Loan:          
1M US L + 4.00%, 01/12/2026  $3,272,727   $3,251,765 
1M US L + 7.75%, 01/11/2027   2,823,529    2,781,177 
Ivanti Software, Inc., First Lien Term Loan:          
1M US L + 4.25%, 01/20/2024   5,941,531    5,908,139 
1M US L + 9.00%, 01/20/2025   6,000,000    5,823,750 
McAfee LLC, First Lien B USD Term Loan, 1M US L + 3.75%, 09/30/2024   7,303,574    7,308,175 
MH Sub I LLC, First Lien Amendment No. 2 Initial Term Loan, 1M US L + 3.75%, 09/13/2024   2,825,788    2,792,034 
MLN US HoldCo LLC, First Lien B Term Loan, 3M US L + 4.50%, 11/30/2025   4,109,419    4,046,750 
Navex Topco, Inc., First Lien Initial Term Loan:          
1M US L + 3.25%, 09/04/2025   670,787    657,163 
1M US L + 7.00%, 09/04/2026   3,000,000    2,952,495 
P2 Upstream Acquisition Co., First Lien Term Loan, 3M US L + 4.00%, 10/30/2020   4,041,678    4,001,261 
Park Place Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 03/29/2025   3,054,344    3,040,340 
Ping Identity Corp., First Lien Term Loan, 1M US L + 3.75%, 01/23/2025   1,852,667    1,853,825 
Project Alpha Intermediate Holding, Inc., First Lien Term Loan:          
3M US L + 3.50%, 04/26/2024   2,091,318    2,044,264 
3M US L + 4.25%, 04/26/2024(c)   3,636,364    3,640,909 
Project Angel Parent LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b)   3,564,179    3,510,716 
Project Leopard Holdings, Inc., First Lien 2018 Repricing Term Loan:          
1M US L + 4.00%, 07/07/2023   2,736,198    2,707,140 
1M US L + 4.25%, 07/07/2023   1,037,400    1,027,674 
Project Silverback Holdings Corp., First Lien New Term Loan, 1M US L + 3.50%, 08/21/2024   1,997,746    1,804,624 
Quest Software US Holdings, Inc., First Lien Initial Term Loan:          
3M US L + 4.25%, 05/16/2025   9,427,000    9,323,916 
3M US L + 8.25%, 05/17/2026   8,885,470    8,785,508 
Rocket Software, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 11/28/2025   5,167,727    5,161,293 
SciQuest, Inc., First Lien Term Loan, 1M US L + 4.00%, 12/20/2024(b)   6,853,846    6,751,039 
SCS Holdings I, Inc., First Lien New Tranche B Term Loan, 1M US L + 4.25%, 10/30/2022   3,901,630    3,919,519 
SonicWall US Holdings, Inc., First Lien Initial Term Loan:          
3M US L + 3.50%, 05/16/2025   4,054,355    3,961,429 
3M US L + 7.50%, 05/17/2026   4,800,000    4,600,512 
Triton Solar US Acquisition Co., First Lien Initial Term Loan, 1M US L + 6.00%, 10/31/2024   695,698    647,869 
Veritas US, Inc., First Lien New Dollar B Term Loan, 3M US L + 4.50%, 01/27/2023   4,323,529    4,016,148 
Vero Parent, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.50%, 08/16/2024   1,681,690    1,678,016 
Web.com Group, Inc., First Lien B Term Loan:          
3M US L + 3.75%, 10/10/2025   5,452,055    5,387,339 
3M US L + 7.75%, 10/09/2026(b)   2,338,284    2,309,055 
         182,549,312 
           
Equipment Leasing - 1.08%          
Deck Chassis Acquisition, Inc., Second Lien Initial Term Loan, 1M US L + 6.00%, 06/15/2023(b)   7,500,000    7,579,687 
           
Financial Intermediaries - 2.79%          
ASP MCS Acquisition Corp., First Lien Initial Term Loan, 3M US L + 4.75%, 05/20/2024   6,774,408    5,504,207 
ION Trading Technologies S.A.R.L., First Lien 2018 Initial Dollar Term Loan, 3M US L + 4.00%, 11/21/2024   5,468,947    5,326,344 
NorthStar Financial Services Group LLC, First Lien Initial Term Loan:          
1M US L + 3.50%, 05/25/2025   4,590,387    4,527,269 
1M US L + 7.50%, 05/25/2026(b)   1,182,937    1,171,107 
Resolute Investment Managers, Inc., Second Lien Tranche C Term Loan, 3M US L + 7.50%, 04/30/2023(b)   3,000,000    3,007,500 
         19,536,427 
           
Food Products - 2.58%          
Alphabet Holding Co., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/26/2024   5,436,015    5,055,521 
CSM Bakery Solutions, Ltd., First Lien Term Loan, 3M US L + 4.00%, 07/03/2020   4,645,107    4,455,424 
TKC Holdings, Inc., First Lien Initial Term Loan:          
1M US L + 3.75%, 02/01/2023   4,697,413    4,621,080 
1M US L + 8.00%, 02/01/2024   4,052,012    3,964,023 
         18,096,048 
           
Food Service - 4.30%          
CEC Entertainment, Inc., First Lien B Term Loan, 1M US L + 3.25%, 02/12/2021   7,281,278    7,073,761 

 

 

 

   Principal     
   Amount   Value 
Food Service (continued)          
Flynn Restaurant Group LP, First Lien Initial Term Loan, 1M US L + 3.50%, 06/27/2025  $7,634,748   $7,415,288 
Fogo de Chao, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.25%, 04/07/2025   2,329,918    2,319,725 
K-Mac Holdings Corp., Second Lien Initial Term Loan, 1M US L + 6.75%, 03/09/2026   1,744,186    1,732,404 
NPC International, Inc., Second Lien Initial Term Loan, 1M US L + 7.50%, 04/18/2025   3,424,278    2,974,841 
Quidditch Acquisition, Inc., First Lien B Term Loan, 1M US L + 7.00%, 03/14/2025(b)   2,972,750    3,002,478 
Red Lobster Management LLC, First Lien Initial Term Loan, 1M US L + 5.25%, 07/28/2021   2,604,262    2,584,730 
Tacala Investment Corp., Second Lien Initial Term Loan, 1M US L + 7.00%, 01/30/2026   3,034,483    3,029,172 
         30,132,399 
           
Food/Drug Retailers - 0.88%          
EG Group, Ltd., First Lien Facility B Term Loan:          
3M US L + 4.00%, 02/07/2025   5,609,074    5,491,283 
3M US L + 4.00%, 02/07/2025   687,500    673,063 
         6,164,346 
           
Health Insurance - 1.27%          
Achilles Acquisition LLC, First Lien Closing Date Term Loan, 1M US L + 4.00%, 10/13/2025   2,304,000    2,292,480 
FHC Health Systems, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 12/23/2021   7,401,122    6,167,577 
MPH Acquisition Holdings LLC, First Lien Initial Term Loan, 3M US L + 2.75%, 06/07/2023   482,206    467,856 
         8,927,913 
           
Healthcare - 22.15%          
Alvogen Pharma US, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.75%, 04/01/2022   6,831,094    6,665,986 
Auris Luxembourg III S.a r.l., First Lien Facility B2 Term Loan, 3M US L + 3.75%, 02/27/2026   2,076,923    2,079,519 
BioClinica Holding I LP, First Lien Initial Term Loan:          
3M US L + 4.25%, 10/20/2023   2,451,768    2,209,656 
3M US L + 8.25%, 10/21/2024   3,157,898    2,865,792 
Carestream Health, Inc., First Lien Extended Term Loan:          
1M US L + 5.75%, 02/28/2021   499,964    489,965 
1M US L + 9.50%, 06/07/2021(b)   10,447,039    10,290,333 
Certara Holdco, Inc., First Lien Replacement Term Loan, 3M US L + 3.50%, 08/15/2024(b)   932,063    925,072 
Covenant Surgical Partners, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 10/04/2024(b)   2,223,534    2,201,299 
CT Technologies Intermediate Holdings, Inc., First Lien New Facility Term Loan, 1M US L + 4.25%, 12/01/2021   2,918,000    2,533,189 
Dentalcorp Health Services ULC, First Lien Initial Term Loan:          
3M US L + 2.18%, 06/06/2025(d)   463,514    453,085 
1M US L + 3.75%, 06/06/2025   2,516,197    2,459,583 
Envision Healthcare Corp., First Lien Initial Term Loan, 3M US L + 3.75%, 10/10/2025   6,255,290    5,866,962 
Equian Buyer Corp., First Lien 2018 Incremental Term Loan, 1M US L + 3.25%, 05/20/2024   3,354,880    3,300,363 
Femur Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 03/02/2026(b)   1,824,000    1,829,700 
Greenway Health LLC, First Lien Term Loan, 3M US L + 3.75%, 02/16/2024   3,049,138    2,828,075 
Heartland Dental LLC, First Lien Initial Term Loan:          
1M US L + 3.75%, 04/30/2025(d)   94,179    91,633 
1M US L + 3.75%, 04/30/2025   4,915,712    4,782,840 
Immucor, Inc., First Lien B-3 Term Loan, 1M US L + 5.00%, 06/15/2021   340,096    340,028 
Lanai Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 4.75%, 08/29/2022   6,302,457    6,081,871 
LifeScan Global Corp., First Lien Initial Term Loan, 3M US L + 6.00%, 10/01/2024   8,842,500    8,521,959 
Maravai Intermediate Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 08/02/2025   2,744,274    2,737,414 
Midwest Physician Administrative Services LLC, Second Lien Initial Term Loan, 1M US L + 7.00%, 08/15/2025   2,560,000    2,496,000 
Navicure, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 11/01/2024   6,639,762    6,548,465 
Netsmart Technologies, Inc., First Lien D-1 Term Loan, 1M US L + 3.75%, 04/19/2023(b)   9,237,993    9,191,803 
NMSC Holdings, Inc., First Lien Initial Term Loan, 3M US L + 5.00%, 04/19/2023   689,480    691,204 
nThrive, Inc., First Lien Additional B-2 Term Loan, 1M US L + 4.50%, 10/20/2022   6,362,004    6,123,429 
NVA Holdings, Inc., First Lien B-3 Term Loan, 1M US L + 2.75%, 02/02/2025(c)   598,496    579,982 
Onex TSG Holdings II Corp., First Lien Initial Term Loan, 1M US L + 4.00%, 07/29/2022   4,966,836    4,895,462 
PAREXEL International Corp., First Lien Initial Term Loan, 1M US L + 2.75%, 09/27/2024   2,992,405    2,890,349 
Pearl Intermediate Parent LLC, First Lien Initial Term Loan:          
3M US L + 1.48%, 02/14/2025(d)   356,648    339,261 
1M US L + 2.75%, 02/14/2025   1,583,228    1,506,046 
PetVet Care Centers LLC, First Lien 2018 Term Loan, 1M US L + 3.25%, 02/14/2025(b)(c)   1,795,489    1,746,113 
Phoenix Guarantor, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/05/2026   7,882,166    7,773,786 

 

 

 

   Principal     
   Amount   Value 
Healthcare (continued)          
Press Ganey Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 6.50%, 10/21/2024  $1,123,601   $1,125,943 
Project Ruby Ultimate Parent Corp., First Lien New Term Loan, 1M US L + 3.50%, 02/09/2024   2,601,170    2,571,907 
Prospect Medical Holdings, Inc., First Lien B-1 Term Loan, 1M US L + 5.50%, 02/22/2024   4,661,736    4,261,596 
Regionalcare Hospital Partners Holdings, Inc., First Lien B Term Loan, 1M US L + 4.50%, 11/16/2025   4,893,331    4,849,756 
Surgery Center Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 09/02/2024   381,885    375,760 
Team Health Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.75%, 02/06/2024   994,924    887,970 
U.S. Renal Care, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 12/30/2022   7,083,514    7,081,318 
Verscend Holding Corp., First Lien B Term Loan, 1M US L + 4.50%, 08/27/2025   3,731,250    3,712,594 
Vyaire Medical, Inc., First Lien Term Loan, 3M US L + 4.75%, 04/16/2025   8,932,500    7,882,931 
YI LLC, First Lien Initial Term Loan, 3M US L + 4.00%, 11/06/2024(b)   4,035,932    4,010,707 
Zest Acquisition Corp., Second Lien Initial Term Loan, 3M US L + 7.50%, 03/06/2026(b)   4,357,143    4,084,821 
         155,181,527 
           
Home Furnishings - 0.52%          
AI Aqua Merger Sub, Inc., First Lien Tranche B-1 Term Loan:          
1M US L + 3.25%, 12/13/2023   182,613    175,765 
1M US L + 3.25%, 12/13/2023   676,313    648,415 
Hayward Industries, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/05/2024   359,726    353,544 
Serta Simmons Bedding LLC, Second Lien Initial Term Loan, 1M US L + 8.00%, 11/08/2024   4,786,804    2,447,253 
         3,624,977 
           
Industrial Equipment - 3.91%          
AI Alpine AT BidCo GmbH, First Lien Facility B Term Loan, 3M US L + 3.25%, 10/31/2025(b)   810,219    799,079 
Apex Tool Group LLC, First Lien Second Amendment Term Loan, 1M US L + 3.75%, 02/01/2022   5,217,170    5,084,576 
Engineered Machinery Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.25%, 07/19/2024   4,404,250    4,266,617 
Helix Acquisition Holdings, Inc., First Lien 2018 New Term Loan, 3M US L + 3.50%, 09/30/2024   3,799,269    3,723,284 
LTI Holdings, Inc., First Lien Initial Term Loan:          
1M US L + 3.50%, 09/06/2025   1,973,554    1,903,650 
1M US L + 6.75%, 09/06/2026   1,276,596    1,216,762 
Robertshaw US Holding Corp., First Lien Initial Term Loan, 1M US L + 3.50%, 02/14/2025   3,694,390    3,477,345 
Titan Acquisition, Ltd., First Lien Initial Term Loan, 1M US L + 3.00%, 03/28/2025   7,455,861    6,954,454 
         27,425,767 
           
Insurance - 1.64%          
APCO Holdings LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 06/09/2025(b)   5,638,636    5,638,636 
Cypress Intermediate Holdings III, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 04/28/2025   2,790,698    2,787,209 
HIG Finance 2, Ltd., First Lien Initial Dollar Term Loan, 1M US L + 3.50%, 12/20/2024(c)   646,154    644,471 
Outcomes Group Holdings, Inc., Second Lien Term Loan:          
1M US L + 3.50%, 10/24/2025   1,305,818    1,281,334 
1M US L + 7.50%, 10/26/2026   1,153,846    1,148,077 
         11,499,727 
           
Leisure Goods/Activities/Movies - 1.43%          
Bulldog Purchaser, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 09/05/2025   1,458,929    1,441,611 
Travel Leaders Group LLC, First Lien 2018 Refinancing Term Loan, 1M US L + 4.00%, 01/25/2024   1,582,015    1,587,283 
Travelport Finance S.à r.l., First Lien Initial Term Loan, 3M US L + 5.00%, 03/18/2026(c)   7,200,000    7,011,000 
         10,039,894 
           
Lodging & Casinos - 0.66%          
Casablanca US Holdings, Inc., First Lien Amendment No. 2 Initial Term Loan, 2M US L + 4.00%, 03/29/2024(b)   4,752,000    4,603,500 
           
Nonferrous Metals/Minerals - 1.46%          
Aleris International, Inc., First Lien Initial Term Loan, 1M US L + 4.75%, 02/27/2023   4,791,379    4,799,764 
American Rock Salt Co. LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 03/21/2025   2,987,755    2,987,756 
Murray Energy Corp., First Lien Superpriority B-2 Term Loan, 1M US L + 7.25%, 10/17/2022   2,910,904    2,414,231 
         10,201,751 
           

 

 

 

   Principal     
   Amount   Value 
Oil & Gas - 4.26%          
Ascent Resources – Marcellus LLC, First Lien Initial Term Loan, 1M US L + 6.50%, 03/30/2023  $1,234,568   $1,237,654 
Equitrans Midstream Corp., First Lien Holdco B Facility Term Loan, 1M US L + 4.50%, 01/31/2024   2,021,959    2,031,220 
Keane Group Holdings LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 05/25/2025   3,573,000    3,450,928 
Lucid Energy Group II Borrower LLC, First Lien Initial Term Loan, 1M US L + 3.00%, 02/17/2025   1,727,113    1,639,246 
Oryx Southern Delaware Holdings LLC, First Lien Initial Term Loan, 1M US L + 3.25%, 02/28/2025   7,337,647    7,114,473 
Petroleum GEO-Services ASA, First Lien Extended Term Loan, 3M US L + 2.50%, 03/19/2021   3,391,292    3,268,375 
Sheridan Investment Partners I LLC, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   3,051,525    2,578,538 
Sheridan Production Partners I LLC, First Lien Deferred Principal Term Loan:          
3M US L + 0.00%, 10/01/2019(b)   15,933    13,072 
3M US L + 0.00%, 10/01/2019(b)   120,242    98,646 
3M US L + 0.00%, 10/01/2019(b)   9,732    7,984 
Sheridan Production Partners I-A LP, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   404,352    341,677 
Sheridan Production Partners I-M LP, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   246,981    208,699 
Traverse Midstream Partners LLC, First Lien Advance Term Loan, 3M US L + 4.00%, 09/27/2024   4,868,320    4,872,897 
UTEX Industries, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 05/20/2022   3,181,818    2,964,405 
         29,827,814 
           
Property & Casualty Insurance - 1.60%          
Applied Systems, Inc., Second Lien Initial Term Loan, 3M US L + 7.00%, 09/19/2025   303,030    306,535 
Asurion LLC, Second Lien Replacement B-2 Term Loan, 1M US L + 6.00%, 08/04/2025   9,089,314    9,236,061 
Confie Seguros Holding II Co., First Lien B Term Loan, 1M US L + 5.25%, 04/19/2022   1,687,293    1,678,156 
         11,220,752 
           
Publishing - 1.91%          
Champ Acquisition Corp., First Lien Initial Term Loan, 3M US L + 5.50%, 12/19/2025   4,466,418    4,474,815 
Recorded Books, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 08/29/2025   2,618,421    2,621,694 
Southern Graphics, Inc., Second Lien Initial Term Loan:          
1M US L + 3.25%, 12/31/2022   3,452,075    2,960,154 
1M US L + 7.50%, 12/31/2023(b)   4,500,000    3,352,500 
         13,409,163 
           
Radio & Television - 0.14%          
Gray Television, Inc., First Lien B-2 Term Loan, 1M US L + 2.25%, 02/07/2024   500,000    494,563 
William Morris Endeavor Entertainment LLC, First Lien B-1 Term Loan, 3M US L + 2.75%, 05/19/2025   498,691    474,586 
         969,149 
           
Retailers (except food & drug) - 1.78%          
Academy, Ltd., First Lien Initial Term Loan, 1M US L + 4.00%, 07/01/2022   1,985,063    1,441,652 
Apro LLC, First Lien Initial Term Loan, 2M US L + 4.00%, 08/08/2024   2,359,322    2,356,385 
Ascena Retail Group, Inc., First Lien Tranche B Term Loan, 1M US L + 4.50%, 08/21/2022   2,746,719    2,411,963 
FBB Holdings III, Inc., First Lien Initial Term Loan:          
3M US L + 9.00%, 02/07/2024   558,341    539,673 
6M US L + 4.25%, 01/31/2025   187,463    131,224 
Neiman Marcus Group, Ltd. LLC, First Lien Other Term Loan, 1M US L + 3.25%, 10/25/2020   2,276,828    2,123,381 
Petco Animal Supplies, Inc., First Lien Term Loan, 3M US L + 3.25%, 01/26/2023   1,561,342    1,193,646 
Pier 1 Imports US, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 04/30/2021   1,984,375    1,071,563 
Spencer Gifts LLC, First Lien B-1 Term Loan, 1M US L + 4.25%, 07/16/2021(b)   1,207,706    1,198,648 
Sports Authority, Inc., First Lien B Term Loan, 3M US L + 0.00%, 11/16/2017(b)(e)   2,169,639    4,339 
         12,472,474 
           
Steel - 1.44%          
Can Am Construction, Inc., First Lien Closing Date Term Loan, 1M US L + 5.50%, 07/01/2024(b)   6,209,594    6,100,926 
Graftech International, Ltd., First Lien Initial Term Loan, 1M US L + 3.50%, 02/12/2025   2,812,121    2,808,606 

 

 

 

   Principal     
   Amount   Value 
Steel (continued)          
Phoenix Services International LLC, First Lien B Term Loan, 1M US L + 3.75%, 03/01/2025  $1,202,143   $1,196,138 
         10,105,670 
           
Surface Transport - 0.33%          
SMB Shipping Logistics LLC, First Lien Term Loan, 1M US L + 4.00%, 02/05/2024   2,322,739    2,301,440 
           
Telecommunications - 5.12%          
Alorica, Inc., First Lien New B Term Loan, 1M US L + 3.75%, 06/30/2022   2,697,303    2,602,897 
Avaya, Inc., First Lien Tranche B Term Loan, 1M US L + 4.25%, 12/15/2024   7,369,671    7,350,474 
Cologix Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 03/20/2025   5,421,805    5,248,307 
Cyxtera DC Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 7.25%, 05/01/2025   902,256    825,564 
Ensono LP, First Lien Term Loan, 3M US L + 5.25%, 06/27/2025   3,377,574    3,357,866 
Masergy Holdings, Inc., Second Lien Initial Term Loan:          
3M US L + 3.25%, 12/15/2023   1,824,595    1,788,103 
3M US L + 7.50%, 12/16/2024   1,766,917    1,735,996 
Peak 10 Holding Corp., First Lien Initial Term Loan:          
3M US L + 3.50%, 08/01/2024   3,590,909    3,300,279 
3M US L + 7.25%, 08/01/2025   3,857,143    3,413,571 
Securus Technologies Holdings, Inc., First Lien Initial Term Loan:          
3M US L + 4.50%, 11/01/2024(c)   1,854,545    1,827,886 
1M US L + 4.50%, 11/01/2024   458,988    456,790 
Vertiv Group Corp., First Lien B Term Loan, 1M US L + 4.00%, 11/30/2023   4,201,217    3,961,391 
         35,869,124 
           
Utilities - 2.87%          
Brookfield WEC Holdings, Inc., First Lien Initial Term Loan:          
1M US L + 3.75%, 07/31/2025   5,505,937    5,503,267 
1M US L + 6.75%, 08/03/2026   747,664    751,215 
Granite Acquisition, Inc., Second Lien B Term Loan, 3M US L + 7.25%, 12/19/2022   5,742,624    5,756,981 
Green Energy Partners/Stonewall LLC, First Lien B-1 Conversion Advances Term Loan, 3M US L + 5.50%, 11/13/2021   1,576,985    1,567,129 
Moxie Liberty LLC, First Lien Construction B-1 Advance Term Loan, 3M US L + 6.50%, 08/21/2020   6,726,257    6,087,263 
Moxie Patriot LLC, First Lien Construction B-1 Advances Term Loan, 3M US L + 5.75%, 12/19/2020   429,094    410,456 
         20,076,311 
           
TOTAL FLOATING RATE LOAN INTERESTS          
(Cost $996,323,393)        965,697,680 
           
CORPORATE BONDS - 19.10%          
Automotive - 0.36%          
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. 7.875%, 10/01/2022(f)   2,700,000    2,558,250 
           
Building & Development - 3.48%          
Great Lakes Dredge & Dock Corp. 8.000%, 05/15/2022   4,874,000    5,123,792 
Hillman Group, Inc. 6.375%, 07/15/2022(f)   1,300,000    1,166,750 
Northwest Hardwoods, Inc. 7.500%, 08/01/2021(f)   3,211,000    2,006,875 
NWH Escrow Corp. 7.500%, 08/01/2021(f)   4,918,000    3,036,865 
PriSo Acquisition Corp. 9.000%, 05/15/2023(f)   13,060,000    13,043,675 
         24,377,957 
           
Chemical & Plastics - 0.48%          
Pinnacle Operating Corp. 9.000%, 11/15/2020(f)   2,000,000    1,730,000 
Starfruit Finco BV / Starfruit US Holdco LLC 8.000%, 10/01/2026(f)   1,621,000    1,641,263 
         3,371,263 
           
Containers & Glass Products - 1.00%          
ARD Securities Finance SARL 8.750%, 01/31/2023(f)(g)   1,418,875    1,351,478 
Flex Acquisition Co., Inc. 6.875%, 01/15/2025(f)   1,192,000    1,144,320 

 

 

 

   Principal     
   Amount   Value 
Containers & Glass Products (continued)          
Trident Merger Sub, Inc. 6.625%, 11/01/2025(f)  $4,800,000   $4,512,000 
         7,007,798 
           
Diversified Insurance - 2.31%          
HUB International, Ltd. 7.000%, 05/01/2026(f)   1,281,000    1,271,392 
NFP Corp. 6.875%, 07/15/2025(f)   5,084,000    4,880,640 
York Risk Services Holding Corp. 8.500%, 10/01/2022(f)   12,200,000    10,004,000 
         16,156,032 
           
Drugs - 0.88%          
Avantor, Inc. 9.000%, 10/01/2025(f)   5,667,000    6,155,779 
           
Ecological Services & Equipment - 0.42%          
GFL Environmental, Inc. 5.375%, 03/01/2023(f)   2,884,000    2,739,800 
Hulk Finance Corp. 7.000%, 06/01/2026(f)   186,000    176,700 
         2,916,500 
           
Electronics/Electrical - 1.96%          
Banff Merger Sub, Inc. 9.750%, 09/01/2026(f)   2,816,000    2,738,560 
Global A&T Electronics, Ltd. 8.500%, 01/12/2023   5,455,007    5,080,729 
Riverbed Technology, Inc. 8.875%, 03/01/2023(f)   7,723,000    5,908,095 
         13,727,384 
           
Equipment Leasing - 0.16%          
Fly Leasing, Ltd. 6.375%, 10/15/2021   1,100,000    1,116,500 
           
Food Service - 0.18%          
CEC Entertainment, Inc. 8.000%, 02/15/2022   1,369,000    1,273,170 
           
Healthcare - 2.86%          
Envision Healthcare Corp. 8.750%, 10/15/2026(f)   6,250,000    5,585,937 
Surgery Center Holdings, Inc. 8.875%, 04/15/2021(f)   5,500,000    5,762,900 
Team Health Holdings, Inc. 6.375%, 02/01/2025(f)   3,500,000    2,856,875 
Tenet Healthcare Corp. 7.000%, 08/01/2025   5,714,000    5,806,853 
         20,012,565 
           
Industrial Equipment - 0.15%          
Titan Acquisition, Ltd. / Titan Co.-Borrower LLC 7.750%, 04/15/2026(f)   1,250,000    1,081,250 
           
Leisure Goods/Activities/Movies - 0.82%          
Mood Media Borrower LLC / Mood Media Co.-Issuer, Inc. 6M US L + 6.00%, 8.00% PIK, 07/01/2024(a)   6,573,214    5,767,996 
           
Oil & Gas - 1.24%          
Calumet Specialty Products Partners LP / Calumet Finance Corp. 7.750%, 04/15/2023   6,600,000    5,857,500 
CSI Compressco LP / CSI Compressco Finance, Inc. 7.250%, 08/15/2022   800,000    704,000 
Talos Production LLC / Talos Production Finance, Inc. 11.000%, 04/03/2022   2,000,000    2,112,500 
         8,674,000 
           
Property & Casualty Insurance - 1.45%          
AssuredPartners, Inc. 7.000%, 08/15/2025(f)   4,545,000    4,226,850 
Solera LLC / Solera Finance, Inc. 10.500%, 03/01/2024(f)   5,450,000    5,934,614 
         10,161,464 
           
Publishing - 0.50%          
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance 7.875%, 05/15/2024(f)   4,320,000    3,515,400 
           
Telecommunications - 0.85%          
Digicel, Ltd. 6.000%, 04/15/2021(f)   2,250,000    1,890,472 
Frontier Communications Corp.:          
10.500%, 09/15/2022   750,000    575,625 
7.125%, 01/15/2023   4,000,000    2,450,000 

 

 

 

   Principal     
   Amount   Value 
Telecommunications (continued)          
Vertiv Group Corp. 9.250%, 10/15/2024(f)  $1,022,000   $1,022,000 
         5,938,097 
           
TOTAL CORPORATE BONDS          
(Cost $144,812,820)        133,811,405 
           
    Shares      
COMMON STOCK - 2.18%          
Building & Development - 0.00%          
Baan Rock Garden PCL(b)   164,832     
           
Business Equipment & Services - 0.13%          
Expanse Energy(b)(h)   169,664    933,152 
           
Leisure goods/activities/movies - 0.44%          
Mood Media Corp.(b)(h)   3,709,356    3,041,672 
           
Oil & Gas - 1.61%          
Ascent Resources - Equity(h)   886,921    2,549,898 
Ridgeback Resources Inc.(b)(h)   1,201,345    6,553,526 
SandRidge Energy, Inc.(h)   135,154    1,083,935 
Templar Energy LLC(b)(h)   197,643    86,469 
Titan Energy LLC(h)   29,318    2,344 
Total Safety Holdings, LLC(h)   2,951    1,003,340 
         11,279,512 
           
TOTAL COMMON STOCK          
(Cost $42,341,551)        15,254,336 
           
PREFERRED STOCK - 0.04%          
Oil & Gas - 0.04%          
Templar Energy LLC(b)(h)   131,013    311,155 
           
TOTAL PREFERRED STOCK          
(Cost $1,310,126)        311,155 
           
WARRANTS - 0.00%(i)          
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 
           
Total Investments - 159.14%          
(Cost $1,184,812,952)        1,115,081,465 
           
Other Assets in Excess of Liabilities - 0.05%        391,216 
           
Mandatory Redeemable Preferred Shares - (6.46)%          
(liquidation preference plus distributions payable on term preferred shares)        (45,267,840)
           
Leverage Facility - (52.73)%        (369,500,000)
           
Net Assets - 100.00%       $700,704,841 

 

Amounts above are shown as a percentage of net assets as of March 31, 2019.

 

 

 

Investment Abbreviations:
LIBOR - London Interbank Offered Rate
PIK - Payment In Kind
 
Libor Rates:
1W US L - 1 Week LIBOR as of March 31, 2019 was 2.42%
1M US L - 1 Month LIBOR as of March 31, 2019 was 2.49%
2M US L - 2 Month LIBOR as of March 31, 2019 was 2.56%
3M US L - 3 Month LIBOR as of March 31, 2019 was 2.60%
6M US L - 6 Month LIBOR as of March 31, 2019 was 2.66%

 

(a)Floating or variable rate security. The reference rate is described above. The rate in effect as of March 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)All or a portion of this position has not settled as of March 31, 2019. The interest rate shown represents the stated spread over the London Interbank Offered Rate ("LIBOR" or "L") or the applicable LIBOR floor; the Fund will not accrue interest until the settlement date, at which point the LIBOR will be established.
(d)A portion of this position was not funded as of March 31, 2019. The Portfolio of Investments records only the funded portion of each position. As of March 31, 2019, the Fund has unfunded delayed draw loans in the amount of $1,441,298. Fair value of these unfunded delayed draw loans was $1,401,640.
(e)Security is in default as of period end and is therefore non-income producing.
(f)Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $97,942,741, which represented approximately 13.98% of net assets as of March 31, 2019. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(g)Option to convert to pay-in-kind security.
(h)Non-income producing security.
(i)Amount represents less than 0.005% of net assets.

 

 

 

NOTE 1. ORGANIZATION

 

Blackstone / GSO Strategic Credit Fund (the “Fund” or “BGB”) 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 Investment Company Act of 1940, as amended (the “1940 Act”), on April 6, 2012. BGB commenced operations on September 26, 2012. Prior to that date, 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 GSO / Blackstone Debt Funds Management LLC (the “Adviser”) at a price of $19.10 per share. The Adviser serves as BGB’s investment adviser. BGB’s common shares are listed on the New York Stock Exchange (the “Exchange”) and trade under the ticker 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. 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’’ or “Loans”) and high yield corporate bonds of varying maturities. 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.

 

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 the Fund. Pursuant to BGB’s 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 the Fund may be extended by a period of two years or such shorter time as may be determined. However, the dissolution date of the Fund may be extended an unlimited number of times.

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The preparation of its financial statements is in accordance with accounting principles generally accepted in the United States of America (“GAAP”), which requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and these differences could be material. BGB is considered an investment company for financial reporting purposes under GAAP.

 

Portfolio Valuation: BGB’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. The Fund calculates NAV per share by subtracting liabilities (including accrued expenses or dividends) from the total assets (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 the Fund.

 

Loans are primarily valued by using a composite loan price from a nationally recognized loan pricing service. The methodology used by BGB’s 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. Corporate 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. 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. 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. 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 Fund’s Board of Trustees. 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.

 

Various inputs are used to determine the value of BGB’s 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 Fund’s own assumption 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 Fund’s 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 table summarizes the valuation of BGB’s investments under the fair value hierarchy levels as of March 31, 2019:

 

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  $   $12,231,011   $6,157,015   $18,388,026 
Automotive       6,022,915    5,216,611    11,239,526 
Beverage & Tobacco           1,313,006    1,313,006 
Building & Development       45,531,250    14,588,906    60,120,156 
Business Equipment & Services       127,725,703    29,737,733    157,463,436 
Chemical & Plastics       11,898,489    7,110,270    19,008,759 
Conglomerates       8,204,159    1,419,803    9,623,962 
Containers & Glass Products       18,341,901    6,278,487    24,620,388 
Electronics/Electrical       147,338,391    35,210,921    182,549,312 
Equipment Leasing           7,579,687    7,579,687 
Financial Intermediaries       15,357,820    4,178,607    19,536,427 
Food Service       27,129,921    3,002,478    30,132,399 
Healthcare       120,901,679    34,279,848    155,181,527 
Industrial Equipment       26,626,688    799,079    27,425,767 
Insurance       5,861,091    5,638,636    11,499,727 
Lodging & Casinos           4,603,500    4,603,500 
Oil & Gas       29,708,112    119,702    29,827,814 
Publishing       10,056,663    3,352,500    13,409,163 
Retailers (except food & drug)       11,269,487    1,202,987    12,472,474 
Steel       4,004,744    6,100,926    10,105,670 
Other       159,596,954        159,596,954 
Corporate Bonds       133,811,405        133,811,405 
Common Stock                    
Business Equipment & Services           933,152    933,152 
Leisure goods/activities/movies           3,041,672    3,041,672 
Oil & Gas   1,086,279    3,553,238    6,639,995    11,279,512 
Preferred Stocks                    
Oil & Gas           311,155    311,155 
Warrants                    
Oil & Gas           6,889    6,889 
Total  $1,086,279   $925,171,621   $188,823,565   $1,115,081,465 

 

*Refer to each Fund's Portfolio of Investments for a listing of securities by type.

 

 

 

The changes of the fair value of investments for which BGB has used Level 3 inputs to determine the fair value are as follows:

 

Blackstone/GSO Strategic Credit Fund  Floating Rate Loan Interests  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   92,368    -    -    -    92,368 
 Realized Gain/(Loss)   6,711    -    -    -    6,711 
 Change in Unrealized Appreciation/(Depreciation)   (23,931)   (824,986)   (81,883)   -    (930,800)
 Purchases   12,783,392    -    -    -    12,783,392 
 Sales Proceeds   (3,540,460)   -    -    -    (3,540,460)
 Transfer into Level 3   25,420,705    -    -    -    25,420,705 
 Transfer out of Level 3   (86,359,232)   (2,549,898)   -    -    (88,909,130)
 Balance as of March 31, 2019  $177,890,702   $10,614,819   $311,155   $6,889   $188,823,565 
                          
Net change in unrealized appreciation/(depreciation) attributable to Level 3 investments held at March 31, 2019  $(357,407)  $(847,374)  $(81,883)  $-   $(1,286,664)

 

Information about Level 3 fair value measurements as of March 31, 2019:

 

Blackstone / GSO Strategic Credit Fund  Fair Value  Valuation Technique(s)  Unobservable Input(s)  Value/Range (Weighted/Average)
Floating Rate Loan Interests  $177,890,702   Third-party vendor pricing service  Broker quote   N/A 
                 
Common Stock  $1,019,621   Third-party vendor pricing service  Broker quote   N/A 
   $3,041,672   Performance Multiple Methodology  EBITDA Multiple(a)   7.25x
   $6,553,526   Performance Multiple Methodology  EBITDA Multiple(a)   4.78x
           Proved & Probable PV-10(a)   0.58x
           Daily Production(a)   41.8 
           Proved & Probable Reserves(a)   9.3 
Preferred Stock  $311,155   Third-party vendor pricing service  Broker quotes   N/A 
                 
Warrants  $6,889   Third-party vendor pricing service  Broker quotes   N/A 

 

(a)As of March 31, 2019, a change to the unobservable input may 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 were transferred from Level 2 to Level 3 because of a lack of observable market data due to decrease in market activity and information for these securities. Other securities were moved from Level 3 to Level 2 as observable inputs were available for purposes of valuing those assets.

 

 

 

Securities Transactions and Investment Income: Securities transactions are recorded on trade date for financial reporting purposes. Interest income, including accretion of discount and amortization of premium, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost.

 

NOTE 3. SENIOR AND SECURED FLOATING RATE LOANS

 

BGB will seek to achieve its investment objectives by investing primarily in U.S. corporate fixed income instruments, including Loans and high yield corporate bonds of varying maturities. Under normal market conditions, at least 80% of BGB's Managed Assets (as defined below) will be invested in credit investments comprised of corporate fixed income instruments and other investments (including derivatives) with similar economic characteristics. BGB defines "Managed Assets" as total assets (including any assets attributable to any leverage used) minus the sum of BGB's accrued liabilities (other than liabilities related to the principal amount of leverage). At March 31, 2019, 98.6% of BGB’s Managed Assets were held in corporate fixed income instruments, including Senior Secured Loans.

 

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 of the Loan (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.

 

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 the Fund. 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 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 senior obligations of the Borrower. At March 31, 2019, BGB had invested $116,485,937 in second lien secured loans.

 

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. BGB typically invests in Loans rated below investment grade, which are considered speculative because of the credit risk of their issuers. Such companies are more likely than investment grade issuers to default on their payments of interest and principal owed to BGB, 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.

 

 

 

BGB may acquire Loans through assignments or participations. BGB typically acquires these Loans through assignment, and if BGB 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; however, the purchaser’s rights can be more restricted than those of the assigning institution, and BGB may not be able to unilaterally enforce all rights and remedies under the Loan and with regard to any associated collateral. 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 to mitigate credit and counterparty risk in the atypical situation when BGB must acquire a Loan through participation.

 

NOTE 4. LEVERAGE

 

The Fund has entered into a separate Credit Agreement (the "Agreement") with a bank to borrow money pursuant to a two-year revolving line of credit ("Leverage Facility") 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 (“Tranche A Loans”) and $270 million for tranche B loans (“Tranche B Loans”). Borrowings under the Agreement are secured by the assets of the Fund. Interest 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 periods 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 Agreement, the Fund must pay a commitment fee on any undrawn amounts. The commitment fee payable for each of Tranche A and Tranche B 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. The Fund may elect to extend the Agreement for a further period with the consent of the lending bank. At March 31, 2019, BGB had borrowings outstanding under its Leverage Facility of $369,500,000, at an interest rate of 3.51%. Face value approximates fair value at March 31, 2019, this fair value is based on Level 2 inputs under the three-tier fair valuation hierarchy (see Note 2). For the period ended March 31, 2019, the average borrowings under BGB's Leverage Facility and the average interest rate were $367,088,889 and 3.49%, respectively.

 

On July 27, 2016, BGB issued 45,000 Mandatory Redeemable Preferred Shares (“MRPS”) with an aggregate liquidation preference of $45,000,000, rated “AA” by Fitch Ratings. BGB used the proceeds of the offering to make additional investments for BGB’s portfolio. The final redemption date of the MRPS is July 27, 2023. BGB makes quarterly dividend payments on the MRPS at an annual dividend rate of 3.61%.

 

Under the Agreement and the governing documents of the MRPS, the Fund has agreed to certain covenants and additional investment limitations while the leverage is outstanding. The Fund agreed to maintain asset coverage of three times over borrowings. Compliance with the investment restrictions and calculations are performed by the Fund's custodian, The Bank of New York Mellon. As of March 31, 2019, the Fund was in compliance with all required investment limitations and asset coverage requirements related to its leverage.

 

The use of leverage by the Fund can create risks. Changes in the value of the Fund's portfolio, including securities bought with the proceeds of leverage, are borne entirely by the holders of common shares of the Fund. All costs and expenses related to any form of leverage used by the Fund are borne entirely by common shareholders. If there is a net decrease or increase in the value of the Fund's investment portfolio, 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 Fund did not utilize leverage. During periods when BGB is using leverage, the fees paid to the Adviser for advisory services and to ALPS for administrative services are higher than if the Fund did not use leverage because the fees paid are calculated on the basis of the Fund's Managed Assets, which include the assets purchased through leverage. As of March 31, 2019, BGB's leverage represented 37.17% of the Fund’s Managed Assets (with the borrowings under the Leverage Facility representing 33.13% of Managed Assets and the MRPS representing 4.04% of Managed Assets).