N-Q 1 d390788dnq.htm FS GLOBAL CREDIT OPPORTUNITIES FUND FS Global Credit Opportunities Fund

 

 

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.

GBPBritish Pound.

USDU.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