UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-22802
FS Global Credit Opportunities Fund
(Exact name of registrant as specified in charter)
201 Rouse Boulevard Philadelphia, Pennsylvania |
19112 | |
(Address of principal executive offices) | (Zip code) |
Michael C. Forman
FS Global Credit Opportunities Fund
201 Rouse Boulevard
Philadelphia, Pennsylvania 19112
(Name and address of agent for service)
Registrant’s telephone number, including area code: (215) 495-1150
Date of fiscal year end: December 31
Date of reporting period: March 31, 2017
Item 1. | Schedule of Investments. |
The unaudited consolidated schedule of investments of FS Global Credit Opportunities Fund (the “Fund”), a Delaware statutory trust that is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a non-diversified, closed-end management investment company, as of March 31, 2017 is set forth below:
1
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments
As of March 31, 2017
(in thousands, except share and per share amounts)
Portfolio Company(a) |
Footnotes | Industry | Rate(b) | Floor |
Maturity | Principal Amount(c) |
Amortized Cost |
Fair Value(d) |
||||||||||||||||
Senior Secured Loans—First Lien—35.1% |
||||||||||||||||||||||||
American Bath Group, LLC |
Capital Goods | L+525 | 1.0% | 9/30/23 | $ | 18,556 | $ | 18,533 | $ | 18,767 | ||||||||||||||
Aspect Software, Inc. |
(t) | Software & Services | L+1000 | 1.0% | 5/25/18 | 2,008 | 2,008 | 2,003 | ||||||||||||||||
Aspect Software, Inc. |
(g)(t) | Software & Services | L+1000 | 1.0% | 5/25/18 | 1,643 | 1,643 | 1,639 | ||||||||||||||||
Aspect Software, Inc. |
(g)(t) | Software & Services | L+1200 | 1.0% | 5/25/18 | 1,296 | 1,296 | 1,296 | ||||||||||||||||
Aspect Software, Inc. |
(t) | Software & Services | L+1000 | 1.0% | 5/25/20 | 7,048 | 7,048 | 7,075 | ||||||||||||||||
Avant Credit III Trust |
(n) | Diversified Financials | L+1000 | 1.0% | 5/15/18 | 138 | 138 | 138 | ||||||||||||||||
Avant Credit III Trust |
(n) | Diversified Financials | L+1000 | 1.0% | 6/15/18 | 68 | 68 | 69 | ||||||||||||||||
Avant Credit III Trust |
(n) | Diversified Financials | L+1000 | 1.0% | 7/15/18 | 118 | 118 | 118 | ||||||||||||||||
Avant Credit III Trust |
(n) | Diversified Financials | L+1000 | 1.0% | 8/15/18 | 130 | 130 | 130 | ||||||||||||||||
Avant Credit III Trust |
(n) | Diversified Financials | L+1000 | 1.0% | 9/15/18 | 208 | 208 | 208 | ||||||||||||||||
Avant Credit III Trust |
(n) | Diversified Financials | L+1000 | 1.0% | 10/15/18 | 210 | 210 | 210 | ||||||||||||||||
Avant Credit III Trust |
(n) | Diversified Financials | L+1000 | 1.0% | 11/15/18 | 218 | 218 | 219 | ||||||||||||||||
Avant Credit III Trust |
(n) | Diversified Financials | L+1000 | 1.0% | 12/15/18 | 238 | 238 | 239 | ||||||||||||||||
Avant Credit III Trust |
(n) | Diversified Financials | L+1000 | 1.0% | 1/15/19 | 268 | 268 | 269 | ||||||||||||||||
Avant Credit III Trust |
(n) | Diversified Financials | L+1000 | 1.0% | 2/15/19 | 276 | 276 | 277 | ||||||||||||||||
Avaya Inc. |
(e)(f) | Technology Hardware & Equipment | L+525 | 1.0% | 5/29/20 | 27,682 | 21,477 | 22,171 | ||||||||||||||||
Bioplan USA, Inc. |
(e) | Materials | L+475 | 1.0% | 9/23/21 | 15,938 | 14,156 | 15,752 | ||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
(i) | Consumer Services | L+850 | 2.0% | 10/31/17 | 832 | 816 | 860 | ||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
(i) | Consumer Services | L+575 | 3/1/22 | 2,091 | 2,091 | 2,116 | |||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
(i) | Consumer Services | L+675 | 3/1/22 | 449 | 449 | 497 | |||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
(f)(i) | Consumer Services | L+875 | 1.0% | 3/1/22 | 1,811 | 1,800 | 1,997 | ||||||||||||||||
Casablanca US Holdings Inc. |
(e)(f) | Consumer Services | L+475 | 1.0% | 2/21/24 | 10,000 | 9,750 | 9,994 | ||||||||||||||||
CEVA Group Plc |
Transportation | L+500 | 3/19/19 | 5,400 | 5,400 | 4,968 | ||||||||||||||||||
CEVA Group Plc |
(g) | Transportation | L+500 | 3/19/19 | 24,600 | 23,064 | 22,632 | |||||||||||||||||
CITGO Holding, Inc. |
(e) | Energy | L+850 | 1.0% | 5/12/18 | 19,442 | 19,454 | 19,803 | ||||||||||||||||
CLP Issuer, LLC |
(g) | Diversified Financials | L+1000 | 1.0% | 5/2/17 | 13,357 | 13,357 | 13,378 | ||||||||||||||||
CLP Issuer, LLC |
Diversified Financials | L+1000 | 1.0% | 7/22/17 | 292 | 292 | 292 | |||||||||||||||||
CLP Issuer, LLC |
Diversified Financials | L+1000 | 1.0% | 8/19/17 | 371 | 371 | 371 | |||||||||||||||||
CLP Issuer, LLC |
Diversified Financials | L+1000 | 1.0% | 9/23/17 | 340 | 340 | 340 | |||||||||||||||||
CLP Issuer, LLC |
Diversified Financials | L+1000 | 1.0% | 10/21/17 | 726 | 726 | 727 | |||||||||||||||||
CLP Issuer, LLC |
Diversified Financials | L+1000 | 1.0% | 11/18/17 | 369 | 369 | 369 | |||||||||||||||||
CLP Issuer, LLC |
Diversified Financials | L+1000 | 1.0% | 12/30/17 | 1,379 | 1,379 | 1,380 | |||||||||||||||||
CLP Issuer, LLC |
Diversified Financials | L+1000 | 1.0% | 1/27/18 | 1,088 | 1,088 | 1,089 | |||||||||||||||||
CLP Issuer, LLC |
Diversified Financials | L+1000 | 1.0% | 2/24/18 | 858 | 858 | 859 |
See notes to unaudited consolidated schedule of investments.
2
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2017
(in thousands, except share and per share amounts)
Portfolio Company(a) |
Footnotes | Industry |
Rate(b) |
Floor |
Maturity | Principal Amount(c) |
Amortized Cost |
Fair Value(d) |
||||||||||||||
CLP Issuer, LLC |
Diversified Financials | L+1000 | 1.0% | 3/31/18 | $ | 1,220 | $ | 1,220 | $ | 1,221 | ||||||||||||
Commercial Barge Line Company |
(f) | Transportation | L+875 | 1.0% | 11/12/20 | 61,738 | 58,583 | 57,262 | ||||||||||||||
Concordia Healthcare Corp. |
(e) | Pharmaceuticals, Biotechnology & Life Sciences | L+500 | 1.0% | 10/21/21 | £ | 29,513 | 43,248 | 25,580 | |||||||||||||
Dayton Superior Corp. |
Materials | L+800 | 1.0% | 11/15/21 | $ | 6,983 | 6,788 | 6,982 | ||||||||||||||
Diamond Resorts International, Inc. |
(e) | Consumer Services | L+600 | 1.0% | 9/2/23 | 19,900 | 19,441 | 20,130 | ||||||||||||||
Fairway Group Acquisition Co. |
Food & Staples Retailing | 10.0% PIK (10.0% Max PIK) |
1/3/20 | 3,989 | 3,989 | 3,330 | ||||||||||||||||
Fairway Group Acquisition Co. |
Food & Staples Retailing | L+800 | 1.0% | 1/3/20 | 6,029 | 6,029 | 6,059 | |||||||||||||||
Forterra Finance, LLC |
(e) | Materials | L+350 | 1.0% | 10/25/23 | 5,121 | 5,097 | 5,167 | ||||||||||||||
Getty Images, Inc. |
(e) | Media | L+350 | 1.3% | 10/18/19 | 20,836 | 15,674 | 18,357 | ||||||||||||||
iHeartCommunications, Inc. |
(e) | Media | L+675 | 1/30/19 | 11,864 | 9,488 | 10,223 | |||||||||||||||
iHeartCommunications, Inc. |
Media | L+750 | 7/30/19 | 9,229 | 9,118 | 7,918 | ||||||||||||||||
J. Crew Group, Inc. |
(f) | Retailing | L+300 | 1.0% | 3/5/21 | 16,770 | 10,114 | 10,272 | ||||||||||||||
LD Intermediate Holdings, Inc. |
(e) | Software & Services | L+588 | 1.0% | 12/9/22 | 29,813 | 26,941 | 28,583 | ||||||||||||||
Meldrew Participations B.V. |
(h) | Food, Beverage & Tobacco | L+400, 350 PIK (350 Max PIK) |
1.0% | 10/31/19 | £ | 97 | 146 | 95 | |||||||||||||
Milacron LLC. |
(e) | Capital Goods | L+300 | 9/28/23 | $ | 2,466 | 2,457 | 2,483 | ||||||||||||||
MORSCO, Inc. |
Capital Goods | L+700 | 1.0% | 10/31/23 | 19,875 | 19,124 | 20,136 | |||||||||||||||
Navico, Inc. |
(e)(f) | Technology Hardware & Equipment | L+575 | 1.0% | 3/14/23 | 5,000 | 4,875 | 4,912 | ||||||||||||||
Neiman Marcus Group LTD LLC |
(e) | Retailing | L+325 | 1.0% | 10/25/20 | 5,771 | 5,369 | 4,656 | ||||||||||||||
New Arclin U.S. Holding Corp. |
(e) | Materials | L+425 | 1.0% | 2/14/24 | 6,283 | 6,252 | 6,344 | ||||||||||||||
Novitex Acquisition, LLC |
Software & Services | L+675 | 1.3% | 7/7/20 | 30,491 | 29,436 | 30,472 | |||||||||||||||
Origami Owl, LLC |
(i)(q) | Consumer Durables & Apparel | L+650, 50 PIK (50 Max PIK) |
3.0% | 12/5/19 | 22,446 | 21,167 | 5,499 | ||||||||||||||
Origami Owl, LLC |
(i)(q) | Consumer Durables & Apparel | L+650, 50 PIK (50 Max PIK) |
3.0% | 12/5/19 | 2,256 | 2,129 | 553 | ||||||||||||||
Origami Owl, LLC |
(g)(i)(q) | Consumer Durables & Apparel | L+650, 50 PIK (50 Max PIK) |
3.0% | 12/5/19 | 464 | 464 | 114 | ||||||||||||||
Precyse Acquisition Corp. |
Health Care Equipment & Services | L+550 | 1.0% | 10/19/22 | 3,600 | 3,554 | 3,625 | |||||||||||||||
Prestige Brands, Inc. |
Pharmaceuticals, Biotechnology & Life Sciences | L+275 | 1.0% | 1/26/24 | 2,534 | 2,528 | 2,562 | |||||||||||||||
Propulsion Acquisition, LLC |
Commercial & Professional Services | L+600 | 1.0% | 7/13/21 | 17,838 | 16,891 | 17,749 | |||||||||||||||
Reddy Ice Corp. |
(e) | Food, Beverage & Tobacco | L+550 | 1.3% | 5/1/19 | 2,414 | 2,267 | 2,378 | ||||||||||||||
Scientific Games International, Inc. |
(e) | Consumer Services | L+400 | 0.8% | 10/1/21 | 15,555 | 15,546 | 15,768 | ||||||||||||||
Seadrill Operating LP |
(f) | Energy | L+300 | 1.0% | 2/21/21 | 21,778 | 16,964 | 14,854 | ||||||||||||||
Summit Midstream Partners Holdings LLC |
(e) | Energy | L+600 | 1.0% | 5/15/22 | 8,333 | 8,250 | 8,500 | ||||||||||||||
SunGard Availability Services Capital, Inc. |
(e) | Software & Services | L+500 | 1.0% | 3/29/19 | 25,292 | 23,850 | 24,564 |
See notes to unaudited consolidated schedule of investments.
3
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2017
(in thousands, except share and per share amounts)
Portfolio Company(a) |
Footnotes | Industry |
Rate(b) |
Floor |
Maturity | Principal Amount(c) |
Amortized Cost |
Fair Value(d) |
||||||||||||||||||||
Toys “R” Us-Delaware, Inc. |
(e) | Retailing | L+875 | 1.0% | 4/24/20 | $ | 4,485 | $ | 3,721 | $ | 3,599 | |||||||||||||||||
Travel Leaders Group, LLC |
Consumer Services | L+525 | 1/25/24 | 4,065 | 4,045 | 4,126 | ||||||||||||||||||||||
Varsity Brands Holding Co., Inc. |
(e) | Media | L+400 | 1.0% | 12/11/21 | 9,164 | 9,101 | 9,306 | ||||||||||||||||||||
Victory Capital Operating, LLC |
(e) | Diversified Financials | L+750 | 1.0% | 10/29/21 | 3,411 | 3,399 | 3,452 | ||||||||||||||||||||
Weight Watchers International, Inc. |
Consumer Services | L+325 | 0.8% | 4/2/20 | 18,651 | 16,620 | 17,416 | |||||||||||||||||||||
York Risk Services Holding Corp. |
(e) | Insurance | L+375 | 1.0% | 10/1/21 | 9,974 | 9,885 | 9,753 | ||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
Total Senior Secured Loans—First Lien |
593,407 | 566,252 | ||||||||||||||||||||||||||
Unfunded Loan Commitments |
(39,824 | ) | (39,824 | ) | ||||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
Net Senior Secured Loans—First Lien |
553,583 | 526,428 | ||||||||||||||||||||||||||
Senior Secured Loans—Second Lien—15.7% |
||||||||||||||||||||||||||||
American Bath Group, LLC |
Capital Goods | L+975 | 1.0% | 9/30/24 | 60,000 | 57,422 | 57,900 | |||||||||||||||||||||
AmWins Group, Inc. |
Insurance | L+675 | 1.0% | 1/25/25 | 1,271 | 1,262 | 1,300 | |||||||||||||||||||||
Casablanca US Holdings Inc. |
(e)(f) | Consumer Services | L+900 | 1.0% | 2/21/25 | 32,000 | 30,880 | 31,600 | ||||||||||||||||||||
Colouroz Investment 2 LLC |
(e) | Materials | L+725 | 1.0% | 9/5/22 | 2,020 | 2,009 | 2,025 | ||||||||||||||||||||
Compuware Corp. |
Software & Services | L+825 | 1.0% | 12/15/22 | 18,856 | 16,915 | 19,005 | |||||||||||||||||||||
DTZ U.S. Borrower, LLC |
(e) | Real Estate | L+825 | 1.0% | 11/4/22 | 533 | 536 | 534 | ||||||||||||||||||||
Fairway Group Acquisition Co. |
Food & Staples Retailing | 11.0% PIK (11.0% Max PIK) | 10/3/21 | 3,482 | 3,482 | 2,647 | ||||||||||||||||||||||
Inmar, Inc. |
Software & Services | L+700 | 1.0% | 1/27/22 | 11,783 | 11,717 | 11,164 | |||||||||||||||||||||
IPS Intermediate Holdings Corporation |
(e) | Materials | L+950 | 1.0% | 12/10/24 | 22,500 | 21,285 | 22,500 | ||||||||||||||||||||
Ivanti Software, Inc. |
Software & Services | L+900 | 1.0% | 1/20/25 | 20,000 | 19,705 | 19,883 | |||||||||||||||||||||
Neff Rental LLC |
Capital Goods | L+625 | 1.0% | 6/9/21 | 29,312 | 28,017 | 29,398 | |||||||||||||||||||||
Renaissance Learning, Inc. |
(e) | Software & Services | L+700 | 1.0% | 4/11/22 | 2,473 | 2,455 | 2,472 | ||||||||||||||||||||
Stadium Management Corp. |
Consumer Services | L+825 | 1.0% | 2/27/21 | 987 | 987 | 986 | |||||||||||||||||||||
TNS, Inc. |
(e) | Software & Services | L+800 | 1.0% | 8/14/20 | 8,820 | 8,789 | 8,836 | ||||||||||||||||||||
UFC Holdings, LLC |
Media | L+750 | 1.0% | 8/18/24 | 25,000 | 24,769 | 25,562 | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
Total Senior Secured Loans—Second Lien |
230,230 | 235,812 | ||||||||||||||||||||||||||
Senior Secured Bonds—27.6% |
||||||||||||||||||||||||||||
Atrium Windows and Doors, Inc. |
(o)(p) | Capital Goods | 7.8% | 5/1/19 | 11,658 | 10,311 | 11,099 | |||||||||||||||||||||
Avaya Inc. |
(f)(o)(p) | Technology Hardware & Equipment | 7.0% | 4/1/19 | 45,893 | 36,149 | 36,370 | |||||||||||||||||||||
BlueLine Rental Finance Corp. |
(o)(p) | Capital Goods | 9.3% | 3/15/24 | 48,572 | 48,572 | 49,786 | |||||||||||||||||||||
Caesars Entertainment Resort Properties, LLC |
(p) | Consumer Services | 8.0% | 10/1/20 | 22,000 | 21,717 | 22,959 | |||||||||||||||||||||
CEDC Finance Corporation International, Inc. |
(o)(p) | Food, Beverage & Tobacco | 10.0% | 12/31/22 | 7,528 | 7,528 | 7,234 | |||||||||||||||||||||
CEVA Group Plc |
(o)(p) | Transportation | 7.0% | 3/1/21 | 6,206 | 6,173 | 5,547 |
See notes to unaudited consolidated schedule of investments.
4
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2017
(in thousands, except share and per share amounts)
Portfolio Company(a) |
Footnotes | Industry |
Rate(b) |
Floor | Maturity | Principal Amount(c) |
Amortized Cost |
Fair Value(d) |
||||||||||||||||
CITGO Holding, Inc. |
(o)(p) | Energy | 10.8% | 2/15/20 | $ | 32,460 | $ | 32,094 | $ | 35,004 | ||||||||||||||
EP Energy LLC |
(o)(p) | Energy | 8.0% | 11/29/24 | 15,330 | 15,488 | 16,116 | |||||||||||||||||
EP Energy LLC |
(o)(p) | Energy | 8.0% | 2/15/25 | 35,503 | 35,511 | 33,151 | |||||||||||||||||
Gogo Intermediate Holdings LLC |
(o)(p) | Software & Services | 12.5% | 7/1/22 | 74,000 | 74,858 | 83,713 | |||||||||||||||||
iHeartCommunications, Inc. |
(n)(p) | Media | 9.0% | 9/15/22 | 10,494 | 7,812 | 7,910 | |||||||||||||||||
iHeartCommunications, Inc. |
(p) | Media | 10.6% | 3/15/23 | 42,777 | 32,740 | 33,366 | |||||||||||||||||
Intelsat Jackson Holdings S.A. |
(o)(p) | Telecommunication Services | 8.0% | 2/15/24 | 23,304 | 23,409 | 24,731 | |||||||||||||||||
KCA Deutag UK Finance plc |
(f)(o)(p) | Energy | 9.9% | 4/1/22 | 8,000 | 7,885 | 8,210 | |||||||||||||||||
Momentive Performance Materials Inc. |
(n) | Materials | 4.7% | 4/24/22 | 11,408 | 9,868 | 10,455 | |||||||||||||||||
NES Rentals Holdings, Inc. |
(n)(o)(p) | Capital Goods | 7.9% | 5/1/18 | 14,900 | 13,410 | 14,966 | |||||||||||||||||
Ridgeback Resources Inc. |
(n) | Energy | 12.0% | 12/29/20 | 794 | 778 | 794 | |||||||||||||||||
Valeant Pharmaceuticals International, Inc. |
(o)(p) | Pharmaceuticals, Biotechnology & Life Sciences | 6.5% | 3/15/22 | 5,201 | 5,201 | 5,357 | |||||||||||||||||
Valeant Pharmaceuticals International, Inc. |
(o)(p) | Pharmaceuticals, Biotechnology & Life Sciences | 7.0% | 3/15/24 | 6,466 | 6,466 | 6,633 | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Senior Secured Bonds |
395,970 | 413,401 | ||||||||||||||||||||||
Subordinated Debt—36.5% |
||||||||||||||||||||||||
Aldermore Group PLC |
(r) | Banks | 8.5% | 10/28/26 | £ | 30,000 | 36,636 | 39,863 | ||||||||||||||||
Apex Tool Group, LLC |
(n)(o)(p) | Capital Goods | 7.0% | 2/1/21 | $ | 16,659 | 13,520 | 15,295 | ||||||||||||||||
Ascent Resources Utica Holdings, LLC |
(f)(o)(p) | Energy | 10.0% | 4/1/22 | 30,000 | 30,000 | 31,031 | |||||||||||||||||
Chesapeake Energy Corp. |
(o)(p) | Energy | 8.0% | 1/15/25 | 16,280 | 16,110 | 16,260 | |||||||||||||||||
Chinos Intermediate Holdings A, Inc. |
(n)(o) | Retailing | 8.5% PIK (8.5% Max PIK) |
5/1/19 | 22,030 | 10,065 | 9,858 | |||||||||||||||||
CIS General Insurance Ltd. |
(n) | Insurance | 12.0% | 5/8/25 | £ | 51,987 | 79,137 | 71,278 | ||||||||||||||||
Diamond Resorts International, Inc. |
(o)(p) | Consumer Services | 10.8% | 9/1/24 | $ | 24,860 | 24,251 | 26,005 | ||||||||||||||||
Eclipse Resources Corp. |
(n) | Energy | 8.9% | 7/15/23 | 4,150 | 4,027 | 4,236 | |||||||||||||||||
Enviva Partners, LP |
(o)(p) | Energy | 8.5% | 11/1/21 | 25,000 | 25,000 | 26,625 | |||||||||||||||||
EP Energy LLC |
(p) | Energy | 9.4% | 5/1/20 | 5,000 | 4,642 | 4,720 | |||||||||||||||||
Frontier Communications Corp. |
(p) | Telecommunication Services | 10.5% | 9/15/22 | 13,000 | 13,468 | 13,179 | |||||||||||||||||
Frontier Communications Corp. |
(p) | Telecommunication Services | 11.0% | 9/15/25 | 46,000 | 46,821 | 44,620 | |||||||||||||||||
iHeartCommunications, Inc. |
(n)(p) | Media | 12.0%, 2.0% PIK (2.0% Max PIK) |
2/1/21 | 42,694 | 18,013 | 14,196 | |||||||||||||||||
iHeartCommunications, Inc. |
(p) | Media | 7.3% | 10/15/27 | 3,767 | 1,658 | 2,114 | |||||||||||||||||
Intelsat Connect Finance S.A. |
(o)(p) | Telecommunication Services | 12.5% | 4/1/22 | 17,403 | 11,439 | 15,597 | |||||||||||||||||
Intelsat Jackson Holdings S.A. |
(n)(p) | Telecommunication Services | 5.5% | 8/1/23 | 41,728 | 29,911 | 34,556 | |||||||||||||||||
Northern Oil and Gas, Inc. |
(n)(p) | Energy | 8.0% | 6/1/20 | 33,443 | 28,255 | 28,330 |
See notes to unaudited consolidated schedule of investments.
5
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2017
(in thousands, except share and per share amounts)
Portfolio Company(a) |
Footnotes | Industry |
Rate(b) | Floor | Maturity | Principal Amount(c) |
Amortized Cost |
Fair Value(d) |
||||||||||||||||
Ocean Rig UDW Inc. |
(i)(m)(n)(o)(q) | Energy | 7.3% | 4/1/19 | $ | 10,000 | $ | 9,675 | $ | 2,894 | ||||||||||||||
PriSo Acquisition Corp. |
(o)(p) | Capital Goods | 9.0% | 5/15/23 | 36,867 | 36,573 | 37,005 | |||||||||||||||||
SunGard Availability Services Capital, Inc. |
(n)(o)(p) | Software & Services | 8.8% | 4/1/22 | 41,976 | 29,211 | 30,188 | |||||||||||||||||
Valeant Pharmaceuticals International, Inc. |
(n)(o)(p) | Pharmaceuticals, Biotechnology & Life Sciences | 5.4% | 3/15/20 | 34,225 | 30,634 | 30,674 | |||||||||||||||||
Valeant Pharmaceuticals International, Inc. |
(o)(p) | Pharmaceuticals, Biotechnology & Life Sciences | 6.4% | 10/15/20 | 5,487 | 5,059 | 4,986 | |||||||||||||||||
Valeant Pharmaceuticals International, Inc. |
(n)(o)(p) | Pharmaceuticals, Biotechnology & Life Sciences | 5.5% | 3/1/23 | 8,917 | 7,295 | 6,900 | |||||||||||||||||
Valeant Pharmaceuticals International, Inc. |
(o)(p) | Pharmaceuticals, Biotechnology & Life Sciences | 5.9% | 5/15/23 | 2,693 | 2,083 | 2,090 | |||||||||||||||||
Valeant Pharmaceuticals International, Inc. |
(o)(p) | Pharmaceuticals, Biotechnology & Life Sciences | 6.1% | 4/15/25 | 16,393 | 12,965 | 12,633 | |||||||||||||||||
Western Digital Corp. |
(p) | Technology Hardware & Equipment | 10.5% | 4/1/24 | 19,290 | 19,530 | 22,738 | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Subordinated Debt |
545,978 | 547,871 | ||||||||||||||||||||||
Collateralized Securities—2.6% |
||||||||||||||||||||||||
Cedar Funding IV CLO Ltd. 2014-4A Class Subord. |
(n)(o) | Diversified Financials | 14.5% | 10/23/26 | 1,000 | 689 | 811 | |||||||||||||||||
Deutsche Bank AG Frankfurt Credit-Linked Note |
(n)(o) | Diversified Financials | 13.4% | 1/28/24 | 29,423 | 29,264 | 30,673 | |||||||||||||||||
Palmer Square CLO 2015-1A, Ltd. Class Subord. |
(n)(o) | Diversified Financials | 17.1% | 5/21/27 | 1,000 | 658 | 819 | |||||||||||||||||
THL Credit Wind River 2013-2A CLO Ltd. Income Note |
(n)(o) | Diversified Financials | 15.4% | 1/18/26 | 6,000 | 3,319 | 4,094 | |||||||||||||||||
VOYA CLO 2014-3A, Ltd. Class Subord. |
(n)(o) | Diversified Financials | 13.0% | 7/25/26 | 5,000 | 2,809 | 3,051 | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Collateralized Securities |
36,739 | 39,448 |
Portfolio Company(a) |
Footnotes | Industry |
Rate(b) | Number of Shares / Contracts |
Cost | Fair Value(d) |
||||||||||||
Equity/Other—10.0% |
||||||||||||||||||
Aspect Software, Inc., Common Equity |
(i)(t) | Software & Services | 832,637 | $ | 39,206 | $ | 40,050 | |||||||||||
Cheniere Energy Partners LP Holdings, LLC, Common Equity |
(n) | Energy | 190,077 | 3,580 | 4,642 | |||||||||||||
Enviva Partners, LP, Common Equity |
(n) | Energy | 656,974 | 11,243 | 18,461 | |||||||||||||
Fairway Group Acquisition Co., Common Equity |
(i) | Food & Staples Retailing | 76,517 | 2,458 | 230 | |||||||||||||
Federal Home Loan Mortgage Corp., Preferred Equity |
(i)(n) | Real Estate | 5.1% | 5,915 | 44 | 59 | ||||||||||||
Federal Home Loan Mortgage Corp., Series F Preferred Equity |
(i)(n) | Real Estate | 5.0% | 18,232 | 303 | 178 | ||||||||||||
Federal Home Loan Mortgage Corp., Series S Preferred Equity |
(i)(n) | Real Estate | 4.0% | 27,893 | 204 | 280 | ||||||||||||
Federal Home Loan Mortgage Corp., Series V Preferred Equity |
(i)(n) | Real Estate | 5.6% | 66,000 | 632 | 343 |
See notes to unaudited consolidated schedule of investments.
6
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2017
(in thousands, except share and per share amounts)
Portfolio Company(a) |
Footnotes | Industry |
Rate(b) |
Number of Shares / Contracts |
Cost | Fair Value(d) |
||||||||||||
Federal Home Loan Mortgage Corp., Series X Preferred Equity |
(i)(n) | Real Estate | 6.0% | 235,388 | $ | 1,018 | $ | 1,238 | ||||||||||
Federal Home Loan Mortgage Corp., Series Z Preferred Equity |
(i)(n) | Real Estate | 7.9% | 3,486,851 | 16,767 | 21,793 | ||||||||||||
Federal National Mortgage Association, Series 2004-1 Preferred Equity |
(i)(n) | Real Estate | 5.4% | 48 | 810 | 1,058 | ||||||||||||
Federal National Mortgage Association, Series F Preferred Equity |
(i)(n) | Real Estate | CMT-16 | 15,106 | 263 | 158 | ||||||||||||
Federal National Mortgage Association, Series H Preferred Equity |
(i)(n) | Real Estate | 5.8% | 25,804 | 392 | 284 | ||||||||||||
Federal National Mortgage Association, Series R Preferred Equity |
(i)(n) | Real Estate | 7.6% | 66,000 | 624 | 393 | ||||||||||||
Federal National Mortgage Association, Series S Preferred Equity |
(i)(n) | Real Estate | 7.8% | 1,552,298 | 6,517 | 10,230 | ||||||||||||
Federal National Mortgage Association, Series T Preferred Equity |
(i)(n) | Real Estate | 8.3% | 146,326 | 862 | 948 | ||||||||||||
iStar Financial Inc., Series G Preferred Equity |
(n) | Real Estate | 7.7% | 7,045 | 160 | 171 | ||||||||||||
iStar Financial Inc., Series I Preferred Equity |
(n) | Real Estate | 7.5% | 151,435 | 3,379 | 3,635 | ||||||||||||
Ridgeback Resources Inc., Common Equity |
(i) | Energy | 1,960,162 | 12,044 | 11,476 | |||||||||||||
Roust Corporation, Common Equity |
(i) | Food, Beverage & Tobacco | 173,417 | 3,058 | 3,208 | |||||||||||||
TE Holdings, LLC, 8.0% PIK, Preferred Equity |
(i) | Energy | 8.0% PIK (8.0% Max PIK) |
216,711 | 2,164 | 2,763 | ||||||||||||
TE Holdings, LLC, Common Equity |
(i)(s) | Energy | 326,925 | 2,779 | 2,636 | |||||||||||||
Warrior Met Coal, LLC, Common Equity, Class A Units |
(i) | Materials | 20,804 | 2,278 | 7,108 | |||||||||||||
Warrior Met Coal, LLC, Common Equity, Class B Units |
(i) | Materials | 47,983 | 3,398 | 16,394 | |||||||||||||
White Star Petroleum Holdings, LLC, Common Equity |
(i)(s) | Energy | 2,969,914 | 2,524 | 2,524 | |||||||||||||
|
|
|
|
|||||||||||||||
Total Equity/Other |
116,707 | 150,260 | ||||||||||||||||
|
|
|
|
|||||||||||||||
TOTAL INVESTMENTS—127.5% |
$ | 1,879,207 | 1,913,220 | |||||||||||||||
|
|
|||||||||||||||||
Liabilities in Excess of Other Assets—(27.5%) |
(j) | (412,644 | ) | |||||||||||||||
|
|
|||||||||||||||||
NET ASSETS—100.0% |
$ | 1,500,576 | ||||||||||||||||
|
|
|||||||||||||||||
Shares Outstanding |
185,614,275 | |||||||||||||||||
Net Asset Value per Common Share at End of Period |
$ | 8.08 |
See notes to unaudited consolidated schedule of investments.
7
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2017
(in thousands, except share and per share amounts)
Investments Sold Short
Portfolio Company(a) |
Footnotes | Industry | Maturity | Number of Shares |
Amortized Cost |
Fair Value(d) |
||||||||||||||||||
Investments Sold Short—(3.9%) |
||||||||||||||||||||||||
VelocityShares Daily Inverse VIX Short-Term ETN |
(i) | Diversified Financials | 12/4/30 | (800,018 | ) | $ | (54,571 | ) | $ | (58,425 | ) | |||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Investments Sold Short |
$ | (54,571 | ) | $ | (58,425 | ) | ||||||||||||||||||
|
|
|
|
Forward Foreign Currency Exchange Contracts
Counterparty |
Contract Settlement Date |
Currency to be Received |
Value | Currency to be Delivered |
Value | Unrealized Appreciation (Depreciation) |
||||||||||
JPMorgan Chase Bank, N.A. |
4/18/17 | USD | 12,597 | CAD | 16,450 | $ | 248 | |||||||||
JPMorgan Chase Bank, N.A. |
4/18/17 | USD | 118,439 | GBP | 95,000 | $ | (686 | ) |
CAD—Canadian Dollar.
GBP—British Pound.
USD—U.S. Dollar.
Credit Default Swaps on Corporate Issues—Buy Protection
Reference Entity |
Counterparty |
Implied Credit Spread at March 31, 2017(k) |
Industry |
Fixed Deal Pay Rate |
Maturity | Notional(l) | Fair Value(d) |
Unamortized Premiums Paid |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Hovnanian Enterprises, Inc. |
JPMorgan Chase Bank, N.A. | 13.2% | Consumer Durables & Apparel | 5.0% | 9/20/19 | $ | (5,000 | ) | $ | 794 | $ | 724 | $ | 70 | ||||||||||||
Hovnanian Enterprises, Inc. |
JPMorgan Chase Bank, N.A. | 13.7% | Consumer Durables & Apparel | 5.0% | 12/20/19 | (2,000 | ) | 361 | 340 | 21 |
See notes to unaudited consolidated schedule of investments.
8
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2017
(in thousands, except share and per share amounts)
(a) | Security may be an obligation of one or more entities affiliated with the named company. |
(b) | Certain variable rate securities in FS Global Credit Opportunities Fund’s (the “Fund”) portfolio bear interest at a rate determined by a publicly disclosed base rate plus a basis point spread. As of March 31, 2017, the three-month London Interbank Offered Rate (“L”) was 1.15% and the two-year Constant Maturity Treasury Rate (“CMT”) was 1.27%. PIK means paid-in-kind. |
(c) | Denominated in U.S. dollars, unless otherwise noted. |
(d) | Fair value is determined by the Fund’s board of trustees. For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the Fund’s most recent audited consolidated financial statements. |
(e) | Security or portion thereof held by Dauphin Funding LLC (“Dauphin Funding”), a wholly-owned subsidiary of the Fund, and is pledged as collateral supporting the amounts outstanding under Dauphin Funding’s revolving credit facility with Deutsche Bank AG, New York Branch. |
(f) | Position or portion thereof unsettled as of March 31, 2017. |
(g) | Security is an unfunded loan commitment. |
(h) | Security or portion thereof held by FS Global Credit Opportunities (Luxembourg) S.à r.l., a wholly-owned subsidiary of the Fund. |
(i) | Security is non-income producing. |
(j) | Includes the effect of credit default swap positions, forward foreign currency exchange contracts and investments sold short. |
(k) | Implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap agreements as of period end serves as an indicator of the current status of thepayment/performance risk and represents the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required in connection with the entrance into the agreement. Wider credit spreads generally represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring, as defined under the terms of the applicable agreement. |
(l) | The maximum potential amount the Fund could receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the applicable agreement. |
(m) | Security or portion thereof on loan as of March 31, 2017. |
(n) | Security or portion thereof pledged as collateral supporting the amounts outstanding under the Fund’s prime brokerage facility with JPMorgan Chase Bank, N.A. |
(o) | Restricted security as to resale. As of March 31, 2017, the Fund held 43.0% of its net assets, with a fair value of $645,406, in restricted securities. |
(p) | Security or portion thereof held by Bucks Funding, a wholly-owned subsidiary of the Fund, and is pledged as collateral supporting the amounts outstanding under Bucks Funding’s prime brokerage facility with BNP Paribas Prime Brokerage, Inc. (“BNPP”). Securities held by Bucks Funding may be rehypothecated from time to time as permitted by Rule 15c-1(a)(1) promulgated under the Securities Exchange Act of 1934, as amended, subject to the terms and conditions governing Bucks Funding’s prime brokerage facility with BNPP. |
(q) | Security was on non-accrual status as of March 31, 2017. |
(r) | Security or portion thereof held by FS Global Credit Opportunities Fund (Cayman), a wholly owned subsidiary of the Fund. |
(s) | Security held within FS Global Investments, Inc., a wholly-owned subsidiary of the Fund. |
(t) | Under the Investment Company Act of 1940, as amended, the Fund generally is deemed to be an “affiliated person” of a portfolio company if it owns 5% or more of the portfolio company’s voting securities and generally is deemed to “control” a portfolio company if it owns more than 25% of the portfolio company’s voting securities or it has the power to exercise control over the management or policies of such portfolio company. As of March 31, 2017, the Fund held investments in one portfolio company of which it is deemed to be an “affiliated person” but is not deemed to “control”. The following table presents certain information with respect to such portfolio company for the three months ended March 31, 2017: |
See notes to unaudited consolidated schedule of investments.
9
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2017
(in thousands, except share and per share amounts)
Portfolio Company |
Fair Value at December 31, 2016 |
Purchases and Paid-in-kind Interest |
Sales and Redemptions |
Accretion of Discount |
Net Realized Gain (Loss) |
Net Change in Unrealized Appreciation (Depreciation) |
Fair Value at March 31, 2017 |
Interest Income |
Fee Income |
Dividend Income |
||||||||||||||||||||||||||||||
Senior Secured Loans—First Lien |
||||||||||||||||||||||||||||||||||||||||
Aspect Software, Inc.(1) |
$ | 2,276 | $ | 371 | $ | (639 | ) | — | — | $ | (9 | ) | $ | 1,999 | $ | 64 | $ | 54 | — | |||||||||||||||||||||
Aspect Software, Inc. |
$ | 7,173 | — | $ | (45 | ) | — | — | $ | (53 | ) | $ | 7,075 | $ | 200 | $ | 36 | — | ||||||||||||||||||||||
Aspect Software, Inc.(2) |
— | — | — | — | — | — | $ | — | — | $ | 40 | — | ||||||||||||||||||||||||||||
Equity/Other |
||||||||||||||||||||||||||||||||||||||||
Aspect Software, Inc., Common Equity |
$ | 43,452 | $ | 196 | — | — | $ | 591 | $ | (4,189 | ) | $ | 40,050 | — | — | — |
(1) | Security includes a partially unfunded commitment with an amortized cost of $1,643 and a fair value of $1,639. |
(2) | Security is an unfunded commitment with an amortized cost of $1,296 and a fair value of $1,296. |
See notes to unaudited consolidated schedule of investments.
10
FS Global Credit Opportunities Fund
Notes to Unaudited Consolidated Schedule of Investments
(in thousands, except share and per share amounts)
Investment Portfolio
The information contained in this section should be read in conjunction with the Fund’s audited consolidated financial statements contained in its annual report for the fiscal year ended December 31, 2016.
The following table summarizes the composition of the Fund’s investment portfolio at cost and fair value as of March 31, 2017:
March 31, 2017 | ||||||||||||
Amortized Cost(1) |
Fair Value |
Percentage of Portfolio |
||||||||||
Senior Secured Loans—First Lien |
$ | 553,583 | $ | 526,428 | 27 | % | ||||||
Senior Secured Loans—Second Lien |
230,230 | 235,812 | 12 | % | ||||||||
Senior Secured Bonds |
395,970 | 413,401 | 22 | % | ||||||||
Subordinated Debt |
545,978 | 547,871 | 29 | % | ||||||||
Collateralized Securities |
36,739 | 39,448 | 2 | % | ||||||||
Equity/Other |
116,707 | 150,260 | 8 | % | ||||||||
|
|
|
|
|
|
|||||||
Total |
$ | 1,879,207 | $ | 1,913,220 | 100 | % | ||||||
|
|
|
|
|
|
|||||||
Investments Sold Short |
$ | (54,571 | ) | $ | (58,425 | ) | ||||||
|
|
|
|
(1) | Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, on investments. |
As of March 31, 2017, the Fund was not deemed to “control” any of its portfolio companies and except for Aspect Software, Inc., in which the Fund has two senior secured loan investments, two unfunded senior secured loan commitments and an equity/other investment, the Fund was not deemed to be an “affiliated person” of any of its portfolio companies, each as defined in the 1940 Act.
In general, under the 1940 Act, the Fund would be presumed to “control” a portfolio company if it owned more than 25% of its voting securities or had the power to exercise control over the management or policies of such portfolio company, and would be an “affiliated person” of a portfolio company if it owned 5% or more of its voting securities.
The Fund’s investment portfolio may contain loans that are in the form of lines of credit or revolving credit facilities, which require the Fund to provide funding when requested by portfolio companies in accordance with the terms of the underlying loan agreements. As of March 31, 2017, the Fund had five senior secured loan investments with aggregate unfunded commitments of $39,824. The Fund maintains sufficient cash on hand and/or available borrowings to fund such unfunded commitments should the need arise.
11
FS Global Credit Opportunities Fund
Notes to Unaudited Consolidated Schedule of Investments (continued)
(in thousands, except share and per share amounts)
The table below describes investments by industry classification and enumerates the percentage, by fair value, of the total portfolio assets in such industries as of March 31, 2017:
March 31, 2017 | ||||||||
Industry Classification | Fair Value |
Percentage of Portfolio |
||||||
Banks |
$ | 39,863 | 2 | % | ||||
Capital Goods |
256,835 | 13 | % | |||||
Commercial & Professional Services |
17,749 | 1 | % | |||||
Consumer Durables & Apparel |
5,702 | 0 | % | |||||
Consumer Services |
154,454 | 8 | % | |||||
Diversified Financials |
51,446 | 3 | % | |||||
Energy |
293,030 | 15 | % | |||||
Food & Staples Retailing |
12,266 | 1 | % | |||||
Food, Beverage & Tobacco |
12,915 | 1 | % | |||||
Health Care Equipment & Services |
3,625 | 0 | % | |||||
Insurance |
82,331 | 4 | % | |||||
Materials |
92,727 | 5 | % | |||||
Media |
128,952 | 7 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences |
97,415 | 5 | % | |||||
Real Estate |
41,302 | 2 | % | |||||
Retailing |
28,385 | 1 | % | |||||
Software & Services |
308,004 | 16 | % | |||||
Technology Hardware & Equipment |
86,191 | 5 | % | |||||
Telecommunication Services |
132,683 | 7 | % | |||||
Transportation |
67,345 | 4 | % | |||||
|
|
|
|
|||||
Total |
$ | 1,913,220 | 100 | % | ||||
|
|
|
|
The table below describes the geographic concentration of the Fund’s investment portfolio and enumerates the percentage, by fair value, of the total portfolio assets in such geographic locations as of March 31, 2017:
March 31, 2017 | ||||||||
Geographic Location(1) | Fair Value |
Percentage of Portfolio |
||||||
United States |
$ | 1,537,296 | 80 | % | ||||
Europe |
260,027 | 14 | % | |||||
Other |
115,897 | 6 | % | |||||
|
|
|
|
|||||
Total |
$ | 1,913,220 | 100 | % | ||||
|
|
|
|
(1) | Geographic location based on the portfolio company’s headquarters or principal place of business. |
Under existing accounting guidance, fair value is defined as the price that the Fund would receive upon selling an asset or pay to transfer a liability in an orderly transaction to a market participant in the principal or most advantageous market for the investment. This accounting guidance emphasizes that valuation techniques maximize the use of observable market inputs and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would use in pricing an asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the Fund. Unobservable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances. The Fund classifies the inputs used to measure these fair values into the following hierarchy as defined by current accounting guidance:
Level 1: Inputs that are quoted prices (unadjusted) in active markets for identical assets or liabilities.
Level 2: Inputs that are quoted prices for similar assets or liabilities in active markets.
12
FS Global Credit Opportunities Fund
Notes to Unaudited Consolidated Schedule of Investments (continued)
(in thousands, except share and per share amounts)
Level 3: Inputs that are unobservable for an asset or liability.
A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement.
As of March 31, 2017, the Fund’s investments were categorized as follows in the fair value hierarchy:
Valuation Inputs |
March 31, 2017 | |||
Level 1—Price quotations in active markets |
$ | 63,871 | ||
Level 2—Significant other observable inputs |
— | |||
Level 3—Significant unobservable inputs |
1,849,349 | |||
|
|
|||
Total |
$ | 1,913,220 | ||
|
|
As of March 31, 2017, the Fund’s investments sold short, forward foreign currency exchange contracts and credit default swaps were categorized as follows in the fair value hierarchy:
March 31, 2017 | ||||||||
Valuation Inputs |
Asset | Liability | ||||||
Level 1—Price quotations in active markets |
$ | — | $ | 58,425 | ||||
Level 2—Significant other observable inputs |
248 | 686 | ||||||
Level 3—Significant unobservable inputs |
1,155 | — | ||||||
|
|
|
|
|||||
Total |
$ | 1,403 | $ | 59,111 | ||||
|
|
|
|
The following is a reconciliation for the three months ended March 31, 2017 of investments for which significant unobservable inputs (Level 3) were used in determining fair value:
Three Months Ended March 31, 2017 | ||||||||||||||||||||||||||||
Senior Secured Loans—First Lien |
Senior Secured Loans—Second Lien |
Senior Secured Bonds |
Subordinated Debt |
Collateralized Securities |
Equity/Other | Total | ||||||||||||||||||||||
Fair value at beginning of period |
$ | 532,643 | $ | 164,708 | $ | 369,187 | $ | 555,429 | $ | 48,256 | $ | 90,399 | $ | 1,760,622 | ||||||||||||||
Accretion of discount (amortization of premium) |
5,289 | 924 | 2,089 | 3,404 | — | — | 11,706 | |||||||||||||||||||||
Net realized gain (loss) |
(1,436 | ) | 360 | (3,989 | ) | 19,236 | 1,038 | 591 | 15,800 | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) |
(1,879 | ) | (409 | ) | 7,543 | 2,673 | 329 | (7,855 | ) | 402 | ||||||||||||||||||
Purchases |
168,686 | 94,147 | 155,290 | 154,439 | — | 3,254 | 575,816 | |||||||||||||||||||||
Paid-in-kind interest |
100 | 94 | — | 428 | — | — | 622 | |||||||||||||||||||||
Sales and redemptions |
(176,975 | ) | (24,012 | ) | (116,719 | ) | (187,738 | ) | (10,175 | ) | — | (515,619 | ) | |||||||||||||||
Net transfers in or out of Level 3 |
— | — | — | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Fair value at end of period |
$ | 526,428 | $ | 235,812 | $ | 413,401 | $ | 547,871 | $ | 39,448 | $ | 86,389 | $ | 1,849,349 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to investments still held at the reporting date |
$ | 2,837 | $ | (271 | ) | $ | 369 | $ | 15,090 | $ | 1,495 | $ | (7,855 | ) | $ | 11,665 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13
FS Global Credit Opportunities Fund
Notes to Unaudited Consolidated Schedule of Investments (continued)
(in thousands, except share and per share amounts)
The following is a reconciliation for the three months ended March 31, 2017 of credit default swaps—buy protection for which significant unobservable inputs (Level 3) were used in determining fair value:
Three Months Ended March 31, 2017 |
||||
Fair value at beginning of period |
$ | 1,247 | ||
Net realized gain (loss) |
(195 | ) | ||
Net change in unrealized appreciation (depreciation) |
11 | |||
Swap premiums paid |
— | |||
Coupon payments paid |
92 | |||
Premiums received on exit |
— | |||
Net transfers in or out of Level 3 |
— | |||
|
|
|||
Fair value at end of period |
$ | 1,155 | ||
|
|
|||
The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to credit default swaps—buy protection still held at the reporting date |
$ | 11 | ||
|
|
14
Item 2. | Controls and Procedures. |
(a) The Fund’s principal executive officer and principal financial officer have evaluated the Fund’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) as of a date within 90 days of the filing of this Form N-Q and have concluded that the Fund’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Fund in this Form N-Q was recorded, processed, summarized and reported timely.
(b) There was no change in the Fund’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Fund’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.
Item 3. | Exhibits. |
The certifications of the Fund’s principal executive officer and principal financial officer required by Rule 30a-2(a) under the 1940 Act are attached hereto.
15
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.
FS Global Credit Opportunities Fund | ||||
By: | /s/ MICHAEL C. FORMAN | |||
Name: | Michael C. Forman | |||
Title: | President and Chief Executive Officer | |||
Date: | May 23, 2017 |
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.
By: | /s/ MICHAEL C. FORMAN | |||
Name: | Michael C. Forman | |||
Title: | President and Chief Executive Officer | |||
(Principal Executive Officer) | ||||
Date: | May 23, 2017 | |||
By: | /s/ WILLIAM GOEBEL | |||
Name: | William Goebel | |||
Title: | Chief Financial Officer | |||
(Principal Financial Officer) | ||||
Date: | May 23, 2017 |