FS Credit Income Fund
Unaudited Consolidated Schedule of Investments
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Senior Secured Loans—First Lien(a)(b)(c)—21.7% | ||||||||||||||||
| ACProducts, Inc., S+425, 0.5% Floor, 5/17/28 | (d) | Building Materials | $ | 4,041 | $ | 3,742 | $ | 3,488 | ||||||||
| AI Silk Holdco 2 Limited, E+1025, 1.0% Floor, 5/19/29 | (d)(e) | Software | € | 1,610 | 1,688 | 1,717 | ||||||||||
| American Greetings Corp., S+600, 1.0% Floor, 4/6/28 | (d) | Consumer Products | $ | 1,062 | 1,032 | 1,065 | ||||||||||
| AP Core Holdings II, LLC, S+550, 0.8% Floor, 9/1/27 | (d) | Media Entertainment | 5,248 | 5,132 | 5,091 | |||||||||||
| Arsenal AIC Parent LLC, S+450, 1.0% Floor, 7/26/30 | (d) | Mining | 825 | 817 | 825 | |||||||||||
| Avalara, Inc., S+725, 0.8% Floor, 10/19/28 | (d)(e) | Software | 4,653 | 4,548 | 4,574 | |||||||||||
| Avalara, Inc., S+725, 0.8% Floor, 10/19/28 | (d)(e)(f) | Software | 465 | 455 | 457 | |||||||||||
| AVSC Holding Corp., S+450, 1.0% Floor, 10/15/26 | (d) | Services | 1,155 | 1,143 | 1,154 | |||||||||||
| Bausch & Lomb, Inc., S+325, 0.5% Floor, 5/10/27 | (d) | Healthcare-Services | 4,584 | 4,361 | 4,490 | |||||||||||
| Bausch Health Companies, Inc., S+525, 0.5% Floor, 2/1/27 | (d) | Pharmaceuticals | 4,481 | 3,616 | 3,671 | |||||||||||
| Casper BidCo SAS, E+550, 7/31/26 | (d) | Consumer, Cyclical | € | 1,505 | 1,591 | 1,663 | ||||||||||
| Charlotte Buyer, Inc., S+525, 0.5% Floor, 2/11/28 | (d) | Healthcare-Services | $ | 1,791 | 1,684 | 1,761 | ||||||||||
| Cinemark USA, Inc., S+375, 0.5% Floor, 5/24/30 | (d) | Leisure Time | 1,092 | 1,076 | 1,091 | |||||||||||
| Coupa Holdings, LLC, S+750, 0.8% Floor, 2/27/30 | (d)(e) | Technology | 1,339 | 1,307 | 1,306 | |||||||||||
| Coupa Holdings, LLC, S+750, 0.8% Floor, 2/27/30 | (d)(e)(f) | Technology | 120 | 118 | 117 | |||||||||||
| Coupa Holdings, LLC, S+750, 0.8% Floor, 2/27/29 | (d)(e)(f) | Technology | 92 | 89 | 89 | |||||||||||
| Covetrus, Inc., S+500, 0.5% Floor, 10/13/29 | (d) | Pharmaceuticals | 1,405 | 1,329 | 1,361 | |||||||||||
| Crown Finance US, Inc., S+850, 1.0% Floor, 7/31/28 | (d) | Consumer, Cyclical | 2,318 | 2,319 | 2,326 | |||||||||||
| DirecTV Financing LLC, S+500, 0.8% Floor, 8/2/27 | (d) | Media Entertainment | 809 | 783 | 805 | |||||||||||
| Disco Parent, Inc., S+750, 1.0% Floor, 3/30/29 | (d)(e) | Finance | 5,540 | 5,407 | 5,407 | |||||||||||
| Disco Parent, Inc., S+750, 1.0% Floor, 3/30/29 | (d)(e)(f) | Finance | 554 | 541 | 541 | |||||||||||
| Discovery Purchaser Corp., S+438, 0.5% Floor, 10/4/29 | (d) | Finance | 1,924 | 1,785 | 1,882 | |||||||||||
| East Valley Tourist Development Authority, S+750, 1.0% Floor, 11/23/26 | (d)(e) | Media Entertainment | 5,569 | 5,496 | 5,396 | |||||||||||
| Endo Luxembourg Finance Co. I S.à r.l., P+600, 3/27/28 | (d) | Pharmaceuticals | 1,853 | 1,591 | 1,384 | |||||||||||
| Endure Digital, Inc., L+350, 2/10/26 | (d)(e) | Internet | 983 | 865 | 909 | |||||||||||
| Endure Digital, Inc., L+350, 2/10/26 | (d)(e)(f) | Internet | 77 | 77 | 71 | |||||||||||
| Endure Digital, Inc., L+350, 0.8% Floor, 2/10/28 | (d) | Internet | 1,356 | 1,213 | 1,290 | |||||||||||
| Garrett Motion Inc., S+450, 0.5% Floor, 4/30/28 | (d) | Automotive | 1,550 | 1,497 | 1,548 | |||||||||||
| Gordian Medical, Inc., S+625, 0.8% Floor, 1/31/27 | (d) | Healthcare-Services | 785 | 774 | 562 | |||||||||||
| GoTo Group, Inc., S+475, 8/31/27 | (d) | Telecommunications | 261 | 257 | 167 | |||||||||||
| Hanger, Inc., S+625, 1.0% Floor, 10/3/28 | (d)(e) | Healthcare-Services | 183 | 181 | 181 | |||||||||||
| Hanger, Inc., S+625, 1.0% Floor, 10/3/28 | (d)(e) | Healthcare-Services | 2,874 | 2,810 | 2,840 | |||||||||||
| Hexion Holdings Corp., S+450, 0.5% Floor, 3/15/29 | (d) | Chemicals | 3,159 | 3,047 | 2,987 | |||||||||||
| Houghton Mifflin Harcourt Publishing Co., S+525, 0.5% Floor, 4/9/29 | (d) | Media Entertainment | 4,338 | 4,227 | 3,846 | |||||||||||
| Houghton Mifflin Harcourt Publishing Co., S+800, 1.0% Floor, 4/7/28 | (d)(e) | Media Entertainment | 400 | 385 | 386 | |||||||||||
| Jack Ohio Finance LLC, S+475, 0.8% Floor, 10/4/28 | (d) | Lodging | 1,285 | 1,281 | 1,247 | |||||||||||
| Knitwell Borrower LLC, S+800, 1.0% Floor, 7/28/27 | (d) | Retail | 7,090 | 6,877 | 6,877 | |||||||||||
| LBM Acquisition, LLC, S+375, 0.8% Floor, 12/17/27 | (d) | Retail | 2,864 | 2,598 | 2,784 | |||||||||||
| LHS Borrower, LLC, S+475, 0.5% Floor, 2/16/29 | (d) | Diversified Financial Services | 1,981 | 1,737 | 1,768 | |||||||||||
| Life Time Fitness Inc, S+475, 0.5% Floor, 1/15/26 | (d) | Leisure Time | 755 | 752 | 759 | |||||||||||
| Lightstone Holdco, LLC, S+575, 1.0% Floor, 1/29/27 | (d) | Electric | 4,713 | 4,131 | 4,273 | |||||||||||
| Medline Borrower, LP, S+325, 0.5% Floor, 10/23/28 | (d) | Healthcare-Services | 1,107 | 1,077 | 1,097 | |||||||||||
| Mercury Financial Credit Card Master Trust, S+713, 9/30/23 | (d) | Diversified Financial Services | 415 | 415 | 402 | |||||||||||
| Mercury Financial Credit Card Master Trust, S+713, 9/30/23 | (d)(f) | Diversified Financial Services | 4,867 | 4,867 | 4,721 | |||||||||||
| NCL Corp. Ltd., S+200, 1/2/24 | (d) | Leisure Time | 520 | 487 | 512 | |||||||||||
| NCL Corp. Ltd., S+200, 1/2/24 | (d)(f) | Leisure Time | 1,869 | 1,869 | 1,841 | |||||||||||
| Neptune Bidco US Inc, S+500, 0.5% Floor, 4/11/29 | (d) | Commercial Services | 1,925 | 1,726 | 1,713 | |||||||||||
| Neptune Bidco US Inc, S+475, 0.5% Floor, 4/11/29 | (d) | Technology | 1,790 | 1,549 | 1,571 | |||||||||||
| Ontario Gaming GTA LP, S+425, 0.5% Floor, 8/1/30 | (d) | Gaming | 805 | 797 | 806 | |||||||||||
| PMHC II, Inc., S+425, 4/23/29 | (d) | Chemicals | 4,029 | 3,760 | 3,740 | |||||||||||
| Profrac Services, LLC, S+725, 1.0% Floor, 3/4/25 | (d) | Oil & Gas | 5,941 | 5,848 | 5,967 | |||||||||||
See notes to unaudited consolidated schedule of investments.
1
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| PT Intermediate Holdings III, LLC, S+650, 0.8% Floor, 11/1/28 | (d) | Restaurants | $ | 748 | $ | 735 | $ | 740 | ||||||||
| PT Intermediate Holdings III, LLC, S+650, 0.8% Floor, 11/1/28 | (d)(f) | Restaurants | 330 | 330 | 327 | |||||||||||
| Quorum Health Corp., S+825, 1.0% Floor, 4/29/25 | (d) | Healthcare-Services | 991 | 983 | 671 | |||||||||||
| Riverbed Technology, Inc., S+450, 1.0% Floor, 7/1/28 | (d) | Technology | 212 | 536 | 128 | |||||||||||
| Royal Caribbean Cruises Ltd., S+130, 4/5/24 | (d) | Leisure Time | 1,218 | 960 | 1,206 | |||||||||||
| Royal Caribbean Cruises Ltd., S+130, 4/5/24 | (d)(f) | Leisure Time | 6,378 | 6,378 | 6,314 | |||||||||||
| SCUR-Alpha 1503 GmbH, S+550, 0.5% Floor, 3/28/30 | (d) | Services | 3,292 | 2,970 | 3,089 | |||||||||||
| Signal Parent, Inc, S+350, 0.8% Floor, 4/3/28 | (d) | Services | 792 | 592 | 648 | |||||||||||
| Speed Midco 3 S.à.r.l., E+640, 4/26/29 | (d)(e) | Services | € | 3,920 | 4,145 | 4,280 | ||||||||||
| Spirit RR Holdings, Inc., S+650, 0.8% Floor, 9/13/28 | (d)(e) | Computers | $ | 2,069 | 2,020 | 2,022 | ||||||||||
| Spirit RR Holdings, Inc., S+650, 0.8% Floor, 9/13/28 | (d)(e)(f) | Computers | 141 | 141 | 137 | |||||||||||
| Springs Windows Fashions, LLC, S+400, 0.8% Floor, 10/6/28 | (d) | Housewares | 1,582 | 1,428 | 1,323 | |||||||||||
| SVF II Finco Cayman L.P., 12/22/23 | (d)(e) | Diversified Financial Services | 3,646 | 3,648 | 3,540 | |||||||||||
| Talen Energy Supply, LLC, S+450, 0.5% Floor, 5/17/30 | (d) | Electric | 396 | 385 | 396 | |||||||||||
| Talen Energy Supply, LLC, S+450, 0.5% Floor, 5/17/30 | (d) | Electric | 489 | 475 | 489 | |||||||||||
| Thryv, Inc., S+850, 1.0% Floor, 3/1/26 | (d) | Advertising | 2,229 | 2,206 | 2,225 | |||||||||||
| Tibco Software, Inc., S+450, 0.5% Floor, 3/30/29 | (d) | Software | 1,527 | 1,430 | 1,465 | |||||||||||
| Torrid LLC, S+550, 0.8% Floor, 6/14/28 | (d) | Retail | 2,133 | 2,118 | 1,807 | |||||||||||
| US Radiology Specialists, Inc., S+525, 0.5% Floor, 12/15/27 | (d) | Healthcare-Services | 2,726 | 2,623 | 2,617 | |||||||||||
| W.R. Grace Holdings LLC, L+375, 0.5% Floor, 9/22/28 | (d) | Chemicals | 1,449 | 1,435 | 1,449 | |||||||||||
| Worldwide Express Operations, LLC, S+400, 0.8% Floor, 7/26/28 | (d) | Transportation | 588 | 552 | 566 | |||||||||||
| Total Senior Secured Loans—First Lien | 142,844 | 141,965 | ||||||||||||||
| Unfunded Loan Commitments | (14,865 | ) | (14,865 | ) | ||||||||||||
| Net Senior Secured Loans—First Lien | 127,979 | 127,100 | ||||||||||||||
| Senior Secured Loans—Second Lien—4.0% | ||||||||||||||||
| Charlotte Buyer, Inc., S+825, 0.5% Floor, 8/11/28 | (d) | Healthcare-Services | 6,400 | 6,004 | 6,272 | |||||||||||
| Hexion Holdings Corp., S+744, 0.5% Floor, 3/15/30 | (d) | Chemicals | 15,665 | 13,267 | 12,793 | |||||||||||
| Magenta Buyer LLC, S+825, 0.8% Floor, 7/27/29 | (d) | Computers | 1,110 | 1,099 | 706 | |||||||||||
| Neptune Bidco US, Inc., S+975, 0.8% Floor, 10/11/29 | (d)(e) | Media Entertainment | 1,073 | 1,043 | 1,028 | |||||||||||
| Omni Intermediate Holdings, LLC, S+915, 1.0% Floor, 12/30/27 | (d)(e) | Transportation | 1,711 | 1,667 | 1,622 | |||||||||||
| Quorum Health Corp., S+825, 1.0% Floor, 4/29/25 | (d)(e) | Healthcare-Services | 135 | 135 | 135 | |||||||||||
| Verscend Holding Corp., S+700, 0.5% Floor, 4/2/29 | (d) | Commercial Services | 1,030 | 1,014 | 1,033 | |||||||||||
| Total Senior Secured Loans—Second Lien | 24,229 | 23,589 | ||||||||||||||
| Senior Secured Bonds—15.3% | ||||||||||||||||
| Academy Ltd., 6.0%, 11/15/27 | (g)(h) | Retail | 1,988 | 1,835 | 1,923 | |||||||||||
| Advantage Sales & Marketing, Inc., 6.5%, 11/15/28 | (g)(i) | Advertising | 2,091 | 1,780 | 1,821 | |||||||||||
| Altice France SA, 5.1%, 1/15/29 | (g)(i) | Telecommunications | 573 | 461 | 400 | |||||||||||
| Altice France SA, 5.1%, 7/15/29 | (g)(i) | Telecommunications | 366 | 291 | 257 | |||||||||||
| Altice France SA, 5.5%, 1/15/28 | (g)(i) | Telecommunications | 451 | 378 | 331 | |||||||||||
| Altice France SA, 5.5%, 10/15/29 | (g)(i) | Telecommunications | 2,176 | 1,649 | 1,547 | |||||||||||
| Bausch Health Cos., Inc., 4.9%, 6/1/28 | (g)(i) | Pharmaceuticals | 696 | 415 | 423 | |||||||||||
| Bausch Health Cos., Inc., 5.8%, 8/15/27 | (g)(i) | Pharmaceuticals | 472 | 357 | 304 | |||||||||||
| Bausch Health Cos., Inc., 6.1%, 2/1/27 | (g)(i) | Pharmaceuticals | 2,983 | 2,239 | 1,962 | |||||||||||
| Bausch Health Cos., Inc., 11.0%, 9/30/28 | (g)(i) | Pharmaceuticals | 500 | 400 | 370 | |||||||||||
| Bausch Health Cos., Inc., 14.0%, 10/15/30 | (g)(i) | Pharmaceuticals | 125 | 209 | 80 | |||||||||||
| Bishopsgate Asset Finance Ltd., 4.8%, 8/14/44 | (i) | Diversified Financial Services | £ | 197 | 172 | 176 | ||||||||||
| Calderys Financing LLC, 11.3%, 6/1/28 | (g)(i) | Miscellaneous Manufacturing | $ | 1,493 | 1,493 | 1,537 | ||||||||||
| Carnival Corp., 10.5%, 2/1/26 | (g)(i) | Leisure Time | 1,408 | 1,468 | 1,485 | |||||||||||
See notes to unaudited consolidated schedule of investments.
2
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital, 3.9%, 4/1/61 | (i) | Media Entertainment | $ | 485 | $ | 283 | $ | 295 | ||||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital, 4.4%, 12/1/61 | (i) | Media Entertainment | 381 | 244 | 257 | |||||||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital, 5.4%, 5/1/47 | (i) | Media Entertainment | 705 | 549 | 577 | |||||||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital, 5.5%, 4/1/63 | (i) | Media Entertainment | 812 | 618 | 655 | |||||||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital, 5.8%, 4/1/48 | (i) | Media Entertainment | 132 | 110 | 113 | |||||||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital, 6.5%, 10/23/45 | (i) | Media Entertainment | 1,747 | 1,642 | 1,632 | |||||||||||
| CHS/Community Health Systems, Inc., 4.8%, 2/15/31 | (g)(i) | Healthcare-Services | 1,075 | 864 | 816 | |||||||||||
| CHS/Community Health Systems, Inc., 5.3%, 5/15/30 | (g)(i) | Healthcare-Services | 1,357 | 1,073 | 1,086 | |||||||||||
| Cloud Software Group, Inc., 9.0%, 9/30/29 | (g)(h)(i)(j) | Software | 5,155 | 4,382 | 4,624 | |||||||||||
| Consolidated Communications, Inc., 5.0%, 10/1/28 | (g)(i) | Telecommunications | 227 | 167 | 168 | |||||||||||
| Consolidated Communications, Inc., 6.5%, 10/1/28 | (g)(i) | Telecommunications | 736 | 569 | 575 | |||||||||||
| Coronado Finance Pty. Ltd., 10.8%, 5/15/26 | (g)(i) | Coal | 482 | 483 | 503 | |||||||||||
| Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.5%, 10/20/25 | (g)(i) | Airlines | 1,479 | 1,458 | 1,450 | |||||||||||
| Digicel International Finance Ltd./Digicel international Holdings Ltd., 8.8%, 5/25/24 | (g) | Telecommunications | 2,531 | 2,531 | 2,301 | |||||||||||
| Directv Financing LLC / Directv Financing Co-Obligor, Inc., 5.9%, 8/15/27 | (g)(h) | Media Entertainment | 5,384 | 4,827 | 4,865 | |||||||||||
| DISH DBS Corp., 5.3%, 12/1/26 | (g)(h)(i) | Media Entertainment | 4,473 | 3,772 | 3,672 | |||||||||||
| Eagle Intermediate Global Holding BV / Eagle U.S. Finance LLC, 7.5%, 5/1/25 | (g) | Textiles | 1,339 | 1,295 | 892 | |||||||||||
| Emerald Debt Merger Sub LLC, 6.6%, 12/15/30 | (g)(i) | Building Materials | 968 | 968 | 963 | |||||||||||
| Endo Luxembourg Finance Co. I S.a.r.l. / Endo US, Inc., 6.1%, 4/1/29 | (g)(i)(k) | Pharmaceuticals | 3,440 | 3,352 | 2,507 | |||||||||||
| Frontier Communications Holdings LLC, 5.0%, 5/1/28 | (g)(i) | Telecommunications | 107 | 95 | 91 | |||||||||||
| Frontier Communications Holdings LLC, 6.0%, 1/15/30 | (g)(i) | Telecommunications | 215 | 172 | 156 | |||||||||||
| Frontier Communications Holdings LLC, 6.8%, 5/1/29 | (g)(i) | Telecommunications | 520 | 431 | 402 | |||||||||||
| Frontier Communications Holdings LLC, 8.6%, 3/15/31 | (g)(i) | Telecommunications | 1,551 | 1,501 | 1,486 | |||||||||||
| Frontier Southwest, Inc., 8.5%, 11/15/31 | (i) | Telecommunications | 308 | 314 | 322 | |||||||||||
| GrafTech Global Enterprises, Inc., 9.9%, 12/15/28 | (g)(i) | Machinery-Diversified | 2,123 | 2,070 | 2,159 | |||||||||||
| IMA Industria Macchine Automatiche SpA, 3.8%, 1/15/28 | (i)(l) | Hand/Machine Tools | € | 1,180 | 949 | 1,189 | ||||||||||
| Jerrold Finco Plc, 4.9%, 1/15/26 | (i)(l) | Diversified Financial Services | £ | 831 | 939 | 938 | ||||||||||
| Jerrold Finco Plc, 5.3%, 1/15/27 | (i)(l) | Diversified Financial Services | 1,890 | 2,307 | 2,034 | |||||||||||
| Latam Airlines Group SA, 13.4%, 10/15/27 | (g)(i) | Airlines | $ | 1,142 | 1,212 | 1,246 | ||||||||||
| Latam Airlines Group SA, 13.4%, 10/15/29 | (g)(i) | Airlines | 1,194 | 1,280 | 1,308 | |||||||||||
| LCPR Senior Secured Financing DAC, 5.1%, 7/15/29 | (g)(i) | Media Entertainment | 535 | 441 | 443 | |||||||||||
| LCPR Senior Secured Financing DAC, 6.8%, 10/15/27 | (g)(i) | Media Entertainment | 544 | 506 | 509 | |||||||||||
| Legacy LifePoint Health LLC, 4.4%, 2/15/27 | (g)(i)(j) | Healthcare-Services | 2,157 | 1,847 | 1,863 | |||||||||||
| Lottomatica SpA, 7.1%, 6/1/28 | (g)(i) | Media Entertainment | € | 1,080 | 1,171 | 1,222 | ||||||||||
| Macy’s Retail Holdings LLC, 6.7%, 7/15/34 | (g)(i) | Retail | $ | 1,868 | 1,548 | 1,557 | ||||||||||
| Neptune Bidco U.S., Inc., 9.3%, 4/15/29 | (g)(i) | Commercial Services | 1,973 | 1,791 | 1,817 | |||||||||||
| NFP Corp., 4.9%, 8/15/28 | (g)(i) | Diversified Financial Services | 1,009 | 899 | 909 | |||||||||||
| Olympus Water U.S. Holding Corp., 9.8%, 11/15/28 | (g)(i) | Chemicals | 3,834 | 3,816 | 3,714 | |||||||||||
| Ontario Gaming GTA LP, 8.0%, 8/1/30 | (g)(j) | Media Entertainment | 646 | 646 | 653 | |||||||||||
| Par Pharmaceutical, Inc., 7.5%, 4/1/27 | (g)(i)(k) | Pharmaceuticals | 1,377 | 1,436 | 1,013 | |||||||||||
| PEU Fin PLC, 7.3%, 7/1/28 | (g)(i) | Retail | € | 1,073 | 1,183 | 1,184 | ||||||||||
| QVC, Inc., 4.4%, 9/1/28 | (i) | Retail | $ | 808 | 599 | 460 | ||||||||||
| QVC, Inc., 5.5%, 8/15/34 | (i) | Retail | 622 | 386 | 306 | |||||||||||
| Seadrill Finance Ltd., 8.4%, 8/1/30 | (g)(i) | Oil & Gas | 1,859 | 1,859 | 1,899 | |||||||||||
| Seadrill Finance Ltd., Series JUL, 8.4%, 8/1/30 | (g) | Oil & Gas | 284 | 286 | 290 | |||||||||||
| Shelf Drilling Holdings Ltd., 8.9%, 11/15/24 | (g)(i) | Oil & Gas | 4,537 | 4,492 | 4,556 | |||||||||||
See notes to unaudited consolidated schedule of investments.
3
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Shelf Drilling North Sea Holdings Ltd., 10.3%, 10/31/25 | (g)(i) | Oil & Gas | $ | 2,069 | $ | 2,059 | $ | 2,080 | ||||||||
| SLM Corp., 4.2%, 10/29/25 | (i) | Diversified Financial Services | 1,298 | 1,200 | 1,220 | |||||||||||
| Solocal Group, 10.5%, 3/15/25 (E+7.0%) | (m) | Internet | € | 115 | 126 | 47 | ||||||||||
| Solocal Group, Series 8Y, 10.5%, 3/15/25 (E+7.0%) | (m) | Internet | 357 | 318 | 145 | |||||||||||
| Talen Energy Supply LLC, 8.6%, 6/1/30 | (g)(i) | Electric | $ | 2,131 | 2,131 | 2,214 | ||||||||||
| Tendam Brands SAU, 11.2%, 3/31/28 | (i)(l)(m) | Retail | € | 550 | 615 | 616 | ||||||||||
| Tenet Healthcare Corp., 6.1%, 6/15/30 | (i) | Healthcare-Services | $ | 923 | 923 | 898 | ||||||||||
| Tenet Healthcare Corp., 6.3%, 2/1/27 | (i) | Healthcare-Services | 974 | 928 | 957 | |||||||||||
| TransDigm, Inc., 6.3%, 3/15/26 | (g)(h) | Aerospace/Defense | 1,898 | 1,893 | 1,889 | |||||||||||
| Venture Global Calcasieu Pass LLC, 3.9%, 11/1/33 | (g)(i) | Pipelines | 710 | 580 | 577 | |||||||||||
| Venture Global Calcasieu Pass LLC, 4.1%, 8/15/31 | (g)(i) | Pipelines | 837 | 719 | 711 | |||||||||||
| Vmed O2 U.K. Financing I PLC, 3.3%, 1/31/31 | (i)(l) | Telecommunications | € | 2,364 | 2,650 | 2,197 | ||||||||||
| Vmed O2 U.K. Financing I PLC, 4.5%, 7/15/31 | (i)(l) | Telecommunications | £ | 1,075 | 1,032 | 1,097 | ||||||||||
| WR Grace Holdings LLC, 7.4%, 3/1/31 | (g)(i) | Chemicals | $ | 559 | 559 | 557 | ||||||||||
| Total Senior Secured Bonds | 92,243 | 89,498 | ||||||||||||||
| Unsecured Bonds—42.3% | ||||||||||||||||
| AHP Health Partners, Inc., 5.8%, 7/15/29 | (g)(h)(i) | Healthcare-Services | 4,217 | 3,816 | 3,676 | |||||||||||
| Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 3.5%, 3/15/29 | (g)(i) | Food | 492 | 422 | 429 | |||||||||||
| Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.9%, 2/15/30 | (g)(i) | Food | 330 | 309 | 303 | |||||||||||
| Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.6%, 1/15/27 | (g)(i) | Food | 965 | 915 | 915 | |||||||||||
| Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 5.9%, 2/15/28 | (g)(i) | Food | 596 | 558 | 581 | |||||||||||
| Ally Financial, Inc., 8.0%, 11/1/31 | (i) | Diversified Financial Services | 662 | 674 | 703 | |||||||||||
| Alteryx, Inc., 8.8%, 3/15/28 | (g)(i) | Software | 3,970 | 3,888 | 3,865 | |||||||||||
| Antero Resources Corp., 5.4%, 3/1/30 | (g)(h)(i) | Oil & Gas | 1,462 | 1,421 | 1,364 | |||||||||||
| Antero Resources Corp., 7.6%, 2/1/29 | (g)(i) | Oil & Gas | 270 | 283 | 277 | |||||||||||
| Aretec Escrow Issuer, Inc., 7.5%, 4/1/29 | (g)(i) | Diversified Financial Services | 1,207 | 1,202 | 1,092 | |||||||||||
| Avient Corp., 7.1%, 8/1/30 | (g)(i) | Chemicals | 913 | 913 | 921 | |||||||||||
| Ball Corp., 5.3%, 7/1/25 | (i) | Packaging & Containers | 1,365 | 1,352 | 1,354 | |||||||||||
| Bank of America Corp., Series MTN, 1.8%, 2/4/25 (S+0.7%) | (i)(m) | Banks | 8,164 | 7,966 | 7,998 | |||||||||||
| Bank of Ireland Group Plc, 7.5% 5/19/25 (fixed, converts to FRN on 5/19/25) | (i)(l)(m)(n) | Banks | € | 1,665 | 1,671 | 1,820 | ||||||||||
| Bath & Body Works, Inc., 6.9%, 11/1/35 | (i) | Retail | $ | 1,892 | 1,649 | 1,758 | ||||||||||
| BAWAG Group AG, Series EMTN, 2.4%, 3/26/29 (fixed, converts to FRN on 3/26/24) | (i)(l)(m) | Banks | € | 300 | 304 | 313 | ||||||||||
| BAWAG Group AG, 5.0% 5/14/25 (fixed, converts to FRN on 5/14/25) | (i)(l)(m)(n) | Banks | 1,200 | 1,035 | 1,078 | |||||||||||
| BellRing Brands, Inc., 7.0%, 3/15/30 | (g)(h)(i) | Pharmaceuticals | $ | 2,998 | 2,998 | 3,012 | ||||||||||
| Berkeley Group Plc, 2.5%, 8/11/31 | (i)(l) | Home Builders | £ | 821 | 712 | 713 | ||||||||||
| Blackstone Property Partners Europe Holdings S.à.r.l, Series EMTN, 1.6%, 4/20/30 | (i)(l) | Real Estate | € | 2,369 | 1,904 | 1,946 | ||||||||||
| Blackstone Property Partners Europe Holdings S.à.r.l, 3.6%, 10/29/29 | (i)(l) | Real Estate | 375 | 328 | 351 | |||||||||||
| Bombardier, Inc., 6.0%, 2/15/28 | (g)(i) | Aerospace/Defense | $ | 1,105 | 1,084 | 1,040 | ||||||||||
| Builders FirstSource, Inc., 6.4%, 6/15/32 | (g)(i) | Building Materials | 2,470 | 2,334 | 2,460 | |||||||||||
| C&W Senior Financing DAC, 6.9%, 9/15/27 | (g)(i) | Telecommunications | 784 | 704 | 713 | |||||||||||
| California Resources Corp., 7.1%, 2/1/26 | (g)(h)(i) | Oil & Gas | 2,354 | 2,400 | 2,374 | |||||||||||
| Carnival Holdings Bermuda Ltd., 10.4%, 5/1/28 | (g)(h)(i) | Leisure Time | 1,877 | 1,887 | 2,050 | |||||||||||
| Catalent Pharma Solutions, Inc., 3.1%, 2/15/29 | (g) | Healthcare-Services | 131 | 111 | 109 | |||||||||||
| Catalent Pharma Solutions, Inc., 3.5%, 4/1/30 | (g)(i) | Healthcare-Services | 761 | 641 | 638 | |||||||||||
| CCO Holdings LLC / CCO Holdings Capital Corp., 4.3%, 2/1/31 | (g)(i) | Media Entertainment | 1,142 | 901 | 940 | |||||||||||
See notes to unaudited consolidated schedule of investments.
4
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| CCO Holdings LLC / CCO Holdings Capital Corp., 4.5%, 8/15/30 | (g)(i) | Media Entertainment | $ | 269 | $ | 217 | $ | 228 | ||||||||
| CCO Holdings LLC / CCO Holdings Capital Corp., 5.4%, 6/1/29 | (g)(i) | Media Entertainment | 494 | 507 | 452 | |||||||||||
| Chemours Co., 5.8%, 11/15/28 | (g)(i) | Chemicals | 2,961 | 2,692 | 2,719 | |||||||||||
| Chesapeake Energy Corp., 5.9%, 2/1/29 | (g)(h) | Oil & Gas | 2,014 | 2,077 | 1,928 | |||||||||||
| Cinemark USA, Inc., 5.3%, 7/15/28 | (g)(h) | Entertainment | 1,832 | 1,638 | 1,604 | |||||||||||
| Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class B, ABS, 8.1%, 10/15/30 | (g) | Asset-Backed - Credit Card | 253 | 253 | 249 | |||||||||||
| Corporate Office Properties LP, 2.8%, 4/15/31 | (i) | Real Estate Investment Trusts | 133 | 104 | 102 | |||||||||||
| CSC Holdings LLC, 4.5%, 11/15/31 | (g)(i) | Media Entertainment | 1,343 | 964 | 965 | |||||||||||
| CSC Holdings LLC, 6.5%, 2/1/29 | (g)(h) | Media Entertainment | 2,622 | 2,460 | 2,230 | |||||||||||
| CTP NV, Series EMTN, 1.5%, 9/27/31 | (i)(l) | Real Estate | € | 962 | 626 | 780 | ||||||||||
| DaVita, Inc., 4.6%, 6/1/30 | (g)(h) | Healthcare-Services | $ | 1,920 | 1,579 | 1,640 | ||||||||||
| DT Midstream, Inc., 4.1%, 6/15/29 | (g)(i) | Pipelines | 625 | 586 | 555 | |||||||||||
| DT Midstream, Inc., 4.4%, 6/15/31 | (g)(i) | Pipelines | 1,349 | 1,311 | 1,173 | |||||||||||
| Earthstone Energy Holdings LLC, 8.0%, 4/15/27 | (g)(i) | Oil & Gas | 2,476 | 2,444 | 2,452 | |||||||||||
| Earthstone Energy Holdings LLC, 9.9%, 7/15/31 | (g)(i) | Oil & Gas | 2,753 | 2,725 | 2,845 | |||||||||||
| Elastic NV, 4.1%, 7/15/29 | (g)(i) | Software | 1,032 | 867 | 896 | |||||||||||
| Energy Transfer LP, Series G, 7.1% 5/15/30 (fixed, converts to FRN on 5/15/30) | (i)(m)(n) | Pipelines | 4,300 | 3,645 | 3,787 | |||||||||||
| EnLink Midstream Partners LP, 5.1%, 4/1/45 | (i) | Pipelines | 1,642 | 1,200 | 1,308 | |||||||||||
| EnLink Midstream Partners LP, 5.5%, 6/1/47 | (i) | Pipelines | 1,021 | 803 | 846 | |||||||||||
| EnLink Midstream Partners LP, 5.6%, 4/1/44 | (i) | Pipelines | 636 | 504 | 524 | |||||||||||
| EnLink Midstream Partners LP, Series C, 9.6% 8/31/23 (L+4.1%) | (i)(m)(n) | Pipelines | 1,927 | 1,602 | 1,667 | |||||||||||
| EPR Properties, 3.6%, 11/15/31 | (h) | Real Estate Investment Trusts | 3,780 | 2,832 | 2,955 | |||||||||||
| EPR Properties, 4.5%, 6/1/27 | (i) | Real Estate Investment Trusts | 1,992 | 1,772 | 1,808 | |||||||||||
| Erste Group Bank AG, 4.3% 10/15/27 (fixed, converts to FRN on 10/15/27) | (i)(l)(m)(n) | Banks | € | 1,000 | 802 | 872 | ||||||||||
| First Quantum Minerals Ltd., 8.6%, 6/1/31 | (g)(i) | Mining | $ | 1,075 | 1,075 | 1,102 | ||||||||||
| Ford Motor Co., 3.3%, 2/12/32 | (h) | Auto Manufacturers | 1,972 | 1,519 | 1,561 | |||||||||||
| Ford Motor Co., 4.8%, 1/15/43 | (i) | Auto Manufacturers | 500 | 393 | 392 | |||||||||||
| Ford Motor Co., 6.1%, 8/19/32 | (i) | Auto Manufacturers | 698 | 647 | 676 | |||||||||||
| Ford Motor Credit Co. LLC, 3.6%, 6/17/31 | (i) | Auto Manufacturers | 803 | 653 | 664 | |||||||||||
| Ford Motor Credit Co. LLC, 4.0%, 11/13/30 | (i) | Auto Manufacturers | 558 | 447 | 480 | |||||||||||
| Ford Motor Credit Co. LLC, 4.1%, 8/4/25 | (i) | Auto Manufacturers | 413 | 397 | 394 | |||||||||||
| Ford Motor Credit Co. LLC, 4.3%, 1/9/27 | (i) | Auto Manufacturers | 222 | 230 | 207 | |||||||||||
| Ford Motor Credit Co. LLC, 5.1%, 5/3/29 | (i) | Auto Manufacturers | 976 | 892 | 912 | |||||||||||
| Ford Motor Credit Co. LLC, 5.1%, 6/16/25 | (i) | Auto Manufacturers | 1,258 | 1,224 | 1,226 | |||||||||||
| Ford Motor Credit Co. LLC, 5.6%, 3/18/24 | (i) | Auto Manufacturers | 377 | 376 | 375 | |||||||||||
| Ford Motor Credit Co. LLC, 7.4%, 11/4/27 | (i) | Auto Manufacturers | 975 | 975 | 1,002 | |||||||||||
| Ford Motor Credit Co. LLC, 7.4%, 3/6/30 | (i) | Auto Manufacturers | 1,864 | 1,903 | 1,931 | |||||||||||
| Frontier Florida LLC, Series E, 6.9%, 2/1/28 | (i) | Telecommunications | 1,477 | 1,410 | 1,360 | |||||||||||
| Frontier North, Inc., Series G, 6.7%, 2/15/28 | (i) | Telecommunications | 5,029 | 4,852 | 4,657 | |||||||||||
| Gates Global LLC / Gates Corp., 6.3%, 1/15/26 | (g)(h) | Miscellaneous Manufacturing | 2,162 | 2,143 | 2,137 | |||||||||||
| Go Daddy Operating Co. LLC / GD Finance Co., Inc., 3.5%, 3/1/29 | (g)(i) | Internet | 602 | 522 | 518 | |||||||||||
| Grifols SA, 3.9%, 10/15/28 | (i)(l) | Pharmaceuticals | € | 3,484 | 3,182 | 3,310 | ||||||||||
| HCA, Inc., 5.4%, 2/1/25 | (i) | Healthcare-Services | $ | 2,156 | 2,142 | 2,144 | ||||||||||
| Hess Midstream Operations LP, 4.3%, 2/15/30 | (g)(h) | Pipelines | 1,848 | 1,684 | 1,623 | |||||||||||
| Hess Midstream Operations LP, 5.1%, 6/15/28 | (g)(i) | Pipelines | 575 | 549 | 544 | |||||||||||
| Hilton Grand Vacations Borrower Escrow LLC, 5.0%, 6/1/29 | (g)(i) | Lodging | 1,062 | 901 | 950 | |||||||||||
| Howard Midstream Energy Partners LLC, 8.9%, 7/15/28 | (g)(i) | Pipelines | 973 | 973 | 996 | |||||||||||
See notes to unaudited consolidated schedule of investments.
5
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Intesa Sanpaolo SpA, 4.2%, 6/1/32 (fixed, converts to FRN on 6/1/31) | (g)(i)(m) | Banks | $ | 813 | $ | 648 | $ | 627 | ||||||||
| Intesa Sanpaolo SpA, 5.0%, 6/26/24 | (g)(i) | Banks | 5,010 | 4,880 | 4,896 | |||||||||||
| LBM Acquisition LLC, 6.3%, 1/15/29 | (g)(i) | Retail | 134 | 102 | 116 | |||||||||||
| Life Time, Inc., 8.0%, 4/15/26 | (g)(i)(j) | Leisure Time | 1,614 | 1,608 | 1,615 | |||||||||||
| Lithia Motors, Inc., 3.9%, 6/1/29 | (g)(i) | Retail | 756 | 655 | 652 | |||||||||||
| Lloyds Banking Group Plc, 7.5% 6/27/24 (fixed, converts to FRN on 6/27/24) | (i)(m)(n) | Banks | 2,661 | 2,533 | 2,596 | |||||||||||
| Lloyds Banking Group Plc, 7.5% 9/27/25 (fixed, converts to FRN on 9/27/25) | (i)(m)(n) | Banks | 275 | 263 | 261 | |||||||||||
| Lloyds Banking Group Plc, 8.5% 9/27/27 (fixed, converts to FRN on 9/27/27) | (i)(m)(n) | Banks | £ | 2,464 | 2,723 | 3,061 | ||||||||||
| Lloyds Banking Group Plc, 8.5% 3/27/28 (fixed, converts to FRN on 3/27/28) | (i)(m)(n) | Banks | 203 | 228 | 250 | |||||||||||
| M&T Bank Corp., Series G, 5.0% 8/1/24 (fixed, converts to FRN on 8/1/24) | (i)(m)(n) | Banks | $ | 194 | 155 | 170 | ||||||||||
| Macy’s Retail Holdings LLC, 4.3%, 2/15/43 | (i) | Retail | 264 | 225 | 164 | |||||||||||
| Macy’s Retail Holdings LLC, 4.5%, 12/15/34 | (i) | Retail | 1,920 | 1,290 | 1,402 | |||||||||||
| Macy’s Retail Holdings LLC, 5.1%, 1/15/42 | (i) | Retail | 295 | 279 | 204 | |||||||||||
| Macy’s Retail Holdings LLC, 6.1%, 3/15/32 | (g)(i) | Retail | 780 | 680 | 697 | |||||||||||
| Marriott Ownership Resorts, Inc., 4.8%, 1/15/28 | (i) | Lodging | 880 | 882 | 797 | |||||||||||
| Matador Resources Co., 6.9%, 4/15/28 | (g)(i) | Oil & Gas | 1,361 | 1,348 | 1,354 | |||||||||||
| Methanex Corp., 5.3%, 12/15/29 | (i) | Chemicals | 247 | 234 | 226 | |||||||||||
| Methanex Corp., 5.7%, 12/1/44 | (i) | Chemicals | 956 | 693 | 801 | |||||||||||
| MGM Resorts International, 4.8%, 10/15/28 | (i) | Lodging | 1,440 | 1,349 | 1,331 | |||||||||||
| MGM Resorts International, 5.8%, 6/15/25 | (i) | Lodging | 618 | 616 | 612 | |||||||||||
| MGM Resorts International, 6.8%, 5/1/25 | (i) | Lodging | 956 | 962 | 961 | |||||||||||
| Mineral Resources Ltd., 8.0%, 11/1/27 | (g)(i) | Iron/Steel | 382 | 381 | 384 | |||||||||||
| Mineral Resources Ltd., 8.5%, 5/1/30 | (g)(i) | Iron/Steel | 2,061 | 2,065 | 2,085 | |||||||||||
| MIWD Holdco II LLC / MIWD Finance Corp., 5.5%, 2/1/30 | (g)(i) | Building Materials | 2,210 | 1,839 | 1,870 | |||||||||||
| Moss Creek Resources Holdings, Inc., 7.5%, 1/15/26 | (g)(i) | Oil & Gas | 1,006 | 948 | 941 | |||||||||||
| Moss Creek Resources Holdings, Inc., 10.5%, 5/15/27 | (g)(i) | Oil & Gas | 848 | 832 | 830 | |||||||||||
| MPT Operating Partnership LP / MPT Finance Corp., 1.0%, 10/15/26 | (i) | Real Estate Investment Trusts | € | 1,759 | 1,480 | 1,510 | ||||||||||
| MPT Operating Partnership LP / MPT Finance Corp., 2.5%, 3/24/26 | (i) | Real Estate Investment Trusts | £ | 335 | 340 | 351 | ||||||||||
| MPT Operating Partnership LP / MPT Finance Corp., 3.5%, 3/15/31 | (i) | Real Estate Investment Trusts | $ | 2,012 | 1,355 | 1,454 | ||||||||||
| MPT Operating Partnership LP / MPT Finance Corp., 3.7%, 6/5/28 | (i) | Real Estate Investment Trusts | £ | 997 | 887 | 931 | ||||||||||
| MPT Operating Partnership LP / MPT Finance Corp., 4.6%, 8/1/29 | (i) | Real Estate Investment Trusts | $ | 3,087 | 2,329 | 2,456 | ||||||||||
| Mylan, Inc., 5.2%, 4/15/48 | (i) | Pharmaceuticals | 531 | 364 | 423 | |||||||||||
| Nationstar Mortgage Holdings, Inc., 5.5%, 8/15/28 | (g)(i) | Diversified Financial Services | 679 | 605 | 616 | |||||||||||
| NatWest Group Plc, 5.1% 5/12/27 (fixed, converts to FRN on 5/12/27) | (i)(m)(n) | Banks | £ | 1,750 | 1,666 | 1,911 | ||||||||||
| NatWest Group Plc, 8.0% 8/10/25 (fixed, converts to FRN on 8/10/25) | (i)(m)(n) | Banks | $ | 1,110 | 1,066 | 1,099 | ||||||||||
| Newfold Digital Holdings Group, Inc., 6.0%, 2/15/29 | (g)(i) | Internet | 3,199 | 2,586 | 2,363 | |||||||||||
| NFP Corp., 6.9%, 8/15/28 | (g)(i) | Diversified Financial Services | 574 | 490 | 509 | |||||||||||
| Nokia Oyj, 6.6%, 5/15/39 | (i) | Telecommunications | 847 | 857 | 823 | |||||||||||
| NOVA Chemicals Corp., 4.3%, 5/15/29 | (g)(i) | Chemicals | 2,437 | 2,062 | 2,028 | |||||||||||
| NOVA Chemicals Corp., 5.3%, 6/1/27 | (g)(i) | Chemicals | 776 | 782 | 700 | |||||||||||
| Novelis Sheet Ingot GmbH, 3.4%, 4/15/29 | (i)(l) | Mining | € | 675 | 607 | 656 | ||||||||||
| NRG Energy, Inc., 3.6%, 2/15/31 | (g)(i) | Electric | $ | 1,955 | 1,535 | 1,536 | ||||||||||
| NRG Energy, Inc., 3.9%, 2/15/32 | (g)(i) | Electric | 1,330 | 1,062 | 1,030 | |||||||||||
| NRG Energy, Inc., 5.3%, 6/15/29 | (g)(i) | Electric | 1,183 | 1,057 | 1,069 | |||||||||||
See notes to unaudited consolidated schedule of investments.
6
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| NRG Energy, Inc., 10.3% 3/15/28 (fixed, converts to FRN on 3/15/28) | (g)(i)(m)(n) | Electric | $ | 5,317 | $ | 5,147 | $ | 5,158 | ||||||||
| Occidental Petroleum Corp., 6.5%, 9/15/36 | (i) | Oil & Gas | 140 | 155 | 147 | |||||||||||
| Occidental Petroleum Corp., 6.6%, 3/15/46 | (i) | Oil & Gas | 790 | 812 | 838 | |||||||||||
| Occidental Petroleum Corp., 8.0%, 6/15/39 | (i) | Oil & Gas | 632 | 756 | 721 | |||||||||||
| OneMain Finance Corp., 4.0%, 9/15/30 | (i) | Diversified Financial Services | 99 | 99 | 78 | |||||||||||
| OneMain Finance Corp., 5.4%, 11/15/29 | (i) | Diversified Financial Services | 745 | 619 | 646 | |||||||||||
| OneMain Finance Corp., 6.6%, 1/15/28 | (i) | Diversified Financial Services | 667 | 640 | 633 | |||||||||||
| Penn Entertainment, Inc., 4.1%, 7/1/29 | (g)(i) | Entertainment | 1,701 | 1,405 | 1,407 | |||||||||||
| Petroleos Mexicanos, 6.6%, 6/15/35 | (i)(j) | Oil & Gas | 2,187 | 1,546 | 1,560 | |||||||||||
| PetSmart, Inc. / PetSmart Finance Corp., 7.8%, 2/15/29 | (g)(h)(i) | Retail | 3,195 | 3,194 | 3,119 | |||||||||||
| Plains All American Pipeline LP, Series B, 9.4% 8/31/23 (L+4.1%) | (i)(m)(n) | Pipelines | 204 | 186 | 185 | |||||||||||
| Playtika Holding Corp., 4.3%, 3/15/29 | (g)(i) | Software | 470 | 446 | 415 | |||||||||||
| Post Holdings, Inc., 5.5%, 12/15/29 | (g)(i) | Food | 1,399 | 1,385 | 1,300 | |||||||||||
| Precision Drilling Corp., 6.9%, 1/15/29 | (g)(i) | Oil & Gas | 1,726 | 1,582 | 1,629 | |||||||||||
| Premier Entertainment Sub LLC / Premier Entertainment Finance Corp., 5.6%, 9/1/29 | (g)(i) | Entertainment | 302 | 222 | 229 | |||||||||||
| Premier Entertainment Sub LLC / Premier Entertainment Finance Corp., 5.9%, 9/1/31 | (g)(i) | Entertainment | 1,027 | 737 | 759 | |||||||||||
| Range Resources Corp., 4.8%, 2/15/30 | (g)(i) | Oil & Gas | 1,149 | 1,155 | 1,057 | |||||||||||
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc., 3.9%, 3/1/31 | (g)(i) | Diversified Financial Services | 739 | 576 | 608 | |||||||||||
| Royal Caribbean Cruises Ltd., 9.3%, 1/15/29 | (g)(h) | Leisure Time | 1,885 | 1,910 | 2,009 | |||||||||||
| Samsonite Finco S.à.r.l, 3.5%, 5/15/26 | (i)(l) | Apparel | € | 1,083 | 995 | 1,145 | ||||||||||
| SeaWorld Parks & Entertainment, Inc., 5.3%, 8/15/29 | (g)(i) | Entertainment | $ | 1,675 | 1,439 | 1,509 | ||||||||||
| Sensata Technologies BV, 5.9%, 9/1/30 | (g)(i) | Electronics | 220 | 220 | 212 | |||||||||||
| Service Properties Trust, 5.5%, 12/15/27 | (i) | Real Estate Investment Trusts | 1,461 | 1,314 | 1,284 | |||||||||||
| Signal Parent, Inc., 6.1%, 4/1/29 | (g)(i) | Commercial Services | 1,136 | 1,126 | 693 | |||||||||||
| Sirius XM Radio, Inc., 3.9%, 9/1/31 | (g)(i) | Media Entertainment | 539 | 412 | 422 | |||||||||||
| Sirius XM Radio, Inc., 5.5%, 7/1/29 | (g)(i) | Media Entertainment | 1,068 | 1,108 | 977 | |||||||||||
| SLM Corp., 3.1%, 11/2/26 | (i) | Diversified Financial Services | 201 | 173 | 177 | |||||||||||
| Spectrum Brands, Inc., 3.9%, 3/15/31 | (g)(i) | Household Products/Wares | 733 | 620 | 605 | |||||||||||
| Spectrum Brands, Inc., 5.0%, 10/1/29 | (g)(i) | Household Products/Wares | 281 | 257 | 253 | |||||||||||
| Spectrum Brands, Inc., 5.5%, 7/15/30 | (g)(i) | Household Products/Wares | 1,446 | 1,472 | 1,322 | |||||||||||
| Sprint LLC, 7.1%, 6/15/24 | (i) | Telecommunications | 1,113 | 1,127 | 1,124 | |||||||||||
| Sprint LLC, 7.9%, 9/15/23 | (i) | Telecommunications | 1,652 | 1,656 | 1,655 | |||||||||||
| Standard Industries, Inc., 2.3%, 11/21/26 | (i)(l) | Building Materials | € | 535 | 572 | 527 | ||||||||||
| Station Casinos LLC, 4.6%, 12/1/31 | (g)(h) | Lodging | $ | 1,899 | 1,546 | 1,606 | ||||||||||
| Sterling Entertainment Enterprises LLC, 10.3%, 1/15/25 | (e) | Media Entertainment | 813 | 801 | 810 | |||||||||||
| TEGNA, Inc., 4.6%, 3/15/28 | (i) | Media Entertainment | 373 | 329 | 335 | |||||||||||
| TEGNA, Inc., 5.0%, 9/15/29 | (i) | Media Entertainment | 1,225 | 1,074 | 1,093 | |||||||||||
| Terex Corp., 5.0%, 5/15/29 | (g)(i) | Machinery-Construction & Mining | 1,073 | 992 | 999 | |||||||||||
| Teva Pharmaceutical Finance Netherlands II BV, 4.4%, 5/9/30 | (i) | Pharmaceuticals | € | 5,455 | 4,702 | 5,155 | ||||||||||
| Teva Pharmaceutical Finance Netherlands II BV, 7.9%, 9/15/31 | (i) | Pharmaceuticals | 7,444 | 8,249 | 8,539 | |||||||||||
| Thor Industries, Inc., 4.0%, 10/15/29 | (g)(i) | Home Builders | $ | 1,163 | 964 | 1,000 | ||||||||||
| TI Automotive Finance Plc, 3.8%, 4/15/29 | (i)(l) | Auto Parts & Equipment | € | 1,355 | 1,070 | 1,242 | ||||||||||
| Tidewater, Inc., 10.4%, 7/3/28 | (g)(i) | Oil & Gas | $ | 2,200 | 2,178 | 2,233 | ||||||||||
| TransDigm, Inc., 5.5%, 11/15/27 | (i) | Aerospace/Defense | 946 | 910 | 898 | |||||||||||
See notes to unaudited consolidated schedule of investments.
7
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| TUI Cruises GmbH, 6.5%, 5/15/26 | (i)(l) | Leisure Time | € | 2,377 | $ | 2,618 | $ | 2,469 | ||||||||
| UniCredit SpA, 8.0% 6/3/24 (fixed, converts to FRN on 6/03/24) | (i)(l)(m)(n) | Banks | $ | 2,603 | 2,545 | 2,577 | ||||||||||
| Valvoline, Inc., 3.6%, 6/15/31 | (g)(i) | Chemicals | 651 | 532 | 537 | |||||||||||
| Viatris, Inc., 4.0%, 6/22/50 | (i) | Pharmaceuticals | 1,818 | 1,124 | 1,230 | |||||||||||
| Vibrantz Technologies, Inc., 9.0%, 2/15/30 | (g)(i) | Chemicals | 1,982 | 1,954 | 1,620 | |||||||||||
| VICI Properties LP/VICI Note Co., Inc., 4.6%, 6/15/25 | (g)(i) | Real Estate Investment Trusts | 907 | 882 | 882 | |||||||||||
| Victoria’s Secret & Co., 4.6%, 7/15/29 | (g)(h) | Retail | 5,175 | 4,347 | 3,889 | |||||||||||
| Viking Cruises Ltd., 7.0%, 2/15/29 | (g)(i) | Leisure Time | 5,063 | 4,519 | 4,776 | |||||||||||
| Vistra Corp., 7.0% 12/15/26 (fixed, converts to FRN on 12/15/26) | (g)(i)(m)(n) | Electric | 1,812 | 1,650 | 1,614 | |||||||||||
| Vistra Corp., 8.0% 10/15/26 (fixed, converts to FRN on 10/15/26) | (g)(i)(m)(n) | Electric | 4,534 | 4,489 | 4,343 | |||||||||||
| Wells Fargo & Co., Series BB, 3.9% 3/15/26 (fixed, converts to FRN on 3/15/26) | (i)(m)(n) | Banks | 2,014 | 1,756 | 1,812 | |||||||||||
| Western Midstream Operating LP, 4.1%, 2/1/30 | (i) | Pipelines | 670 | 663 | 610 | |||||||||||
| Western Midstream Operating LP, 5.3%, 2/1/50 | (i) | Pipelines | 123 | 106 | 104 | |||||||||||
| Western Midstream Operating LP, 5.5%, 4/1/44 | (i) | Pipelines | 392 | 335 | 343 | |||||||||||
| Western Midstream Operating LP, 5.5%, 8/15/48 | (i) | Pipelines | 735 | 624 | 631 | |||||||||||
| Wp/ap Telecom Holdings III BV, 5.5%, 1/15/30 | (i)(l) | Telecommunications | € | 820 | 740 | 772 | ||||||||||
| WR Grace Holdings LLC, 5.6%, 8/15/29 | (g)(i) | Chemicals | $ | 1,573 | 1,315 | 1,329 | ||||||||||
| ZoomInfo Technologies LLC / ZoomInfo Finance Corp., 3.9%, 2/1/29 | (g)(i) | Software | 1,124 | 952 | 966 | |||||||||||
| Total Unsecured Bonds | 246,258 | 247,724 | ||||||||||||||
| Collateralized Loan Obligation (CLO) / Structured Credit—27.9% | ||||||||||||||||
| 37 Capital CLO I Ltd., Series 2021-1A, Class D, ABS, L+3.5%, 9.1%, 10/15/34 | (g)(m) | USD CLO | 655 | 619 | 608 | |||||||||||
| 610 Funding CLO 1 Ltd., Series 2015-1A, Class CR, ABS, L+3.9%, 9.3%, 9/21/29 | (g)(m) | USD CLO | 425 | 422 | 420 | |||||||||||
| Accunia European CLO II DAC, Series 2X, Class D, ABS, E+3.0%, 6.7%, 10/15/30 | (l)(m) | EUR CLO | € | 670 | 660 | 718 | ||||||||||
| Accunia European CLO III DAC, Series 3X, Class D, ABS, E+3.1%, 6.8%, 1/20/31 | (l)(m) | EUR CLO | 240 | 274 | 255 | |||||||||||
| Alba 2007-1 PLC, Series 2007-1, Class C, CMO, SONIA+0.4%, 5.3%, 3/17/39 | (l)(m) | GBP CLO | £ | 534 | 579 | 630 | ||||||||||
| Allegro CLO IV Ltd., Series 2016-1X, Class DR, ABS, S+4.1%, 9.4%, 1/15/30 | (l)(m) | USD CLO | $ | 470 | 461 | 461 | ||||||||||
| Allegro CLO V Ltd., Series 2017-1A, Class BR, ABS, S+1.7%, 7.0%, 10/16/30 | (g)(m) | USD CLO | 250 | 242 | 243 | |||||||||||
| Alme Loan Funding III DAC, Series 3X, Class DRRE, ABS, E+2.8%, 6.4%, 4/15/32 | (l)(m) | EUR CLO | € | 450 | 440 | 471 | ||||||||||
| Alme Loan Funding V DAC, Series 5A, Class DR, ABS, E+3.1%, 6.7%, 7/15/31 | (g)(m) | EUR CLO | 256 | 256 | 274 | |||||||||||
| Alme Loan Funding V DAC, Series 5X, Class ER, ABS, E+5.4%, 9.1%, 7/15/31 | (l)(m) | EUR CLO | 220 | 214 | 229 | |||||||||||
| Ammc CLO 20 Ltd., Series 2017-20A, Class E, ABS, S+6.1%, 11.4%, 4/17/29 | (g)(m) | USD CLO | $ | 75 | 75 | 75 | ||||||||||
| Ammc CLO XIII Ltd., Series 2013-13A, Class B1LR, ABS, S+3.9%, 9.2%, 7/24/29 | (g)(m) | USD CLO | 540 | 514 | 531 | |||||||||||
| Anchorage Capital CLO 20 Ltd., Series 2021-20A, Class D, ABS, S+3.9%, 9.2%, 1/20/35 | (g)(m) | USD CLO | 455 | 423 | 435 | |||||||||||
| Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class C, ABS, S+2.1%, 7.5%, 1/28/31 | (g)(m) | USD CLO | 855 | 819 | 842 | |||||||||||
| Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class D, ABS, S+2.9%, 8.2%, 1/28/31 | (g)(m) | USD CLO | 250 | 241 | 233 | |||||||||||
| Anchorage Capital CLO 5-R Ltd., Series 2014-5RA, Class E, ABS, S+5.7%, 11.0%, 1/15/30 | (g)(m) | USD CLO | 255 | 250 | 250 | |||||||||||
| Anchorage Capital CLO 8 Ltd., Series 2016-8A, Class DR2, ABS, S+3.9%, 9.2%, 10/27/34 | (g)(m) | USD CLO | 250 | 228 | 239 | |||||||||||
See notes to unaudited consolidated schedule of investments.
8
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Anchorage Capital Europe CLO 2 DAC, Series 2X, Class CR, ABS, E+2.4%, 6.1%, 4/15/34 | (l)(m) | EUR CLO | € | 410 | $ | 375 | $ | 438 | ||||||||
| Anchorage Capital Europe CLO 3 DAC, Series 3X, Class D, ABS, E+3.8%, 7.5%, 7/15/32 | (l)(m) | EUR CLO | 745 | 794 | 776 | |||||||||||
| Anchorage Credit Funding 10 Ltd., Series 2020-10A, Class EV, ABS, 7.1%, 4/25/38 | (g) | USD CLO | $ | 250 | 235 | 206 | ||||||||||
| Anchorage Credit Funding 12 Ltd., Series 2020-12A, Class D, ABS, 5.9%, 10/25/38 | (g) | USD CLO | 295 | 295 | 258 | |||||||||||
| Anchorage Credit Funding 2 Ltd., Series 2015-2A, Class ERV, ABS, 7.0%, 4/25/38 | (g) | USD CLO | 250 | 233 | 204 | |||||||||||
| Anchorage Credit Funding 3 Ltd., Series 2016-3A, Class DR, ABS, 5.8%, 1/28/39 | (g) | USD CLO | 250 | 250 | 219 | |||||||||||
| Anchorage Credit Funding 3 Ltd., Series 2016-3A, Class ER, ABS, 7.2%, 1/28/39 | (g) | USD CLO | 410 | 387 | 334 | |||||||||||
| Anchorage Credit Funding 6 Ltd., Series 2018-6A, Class E, ABS, 6.9%, 7/25/36 | (g) | USD CLO | 570 | 547 | 468 | |||||||||||
| Aqueduct European CLO DAC, Series 2019-4X, Class CR, ABS, E+2.0%, 5.7%, 7/15/32 | (l)(m) | EUR CLO | € | 525 | 524 | 549 | ||||||||||
| Arbour CLO VII DAC, Series 7A, Class B2E, ABS, E+1.8%, 5.3%, 3/15/33 | (g)(m) | EUR CLO | 250 | 238 | 268 | |||||||||||
| Ares European CLO IX DAC, Series 9X, Class D, ABS, E+2.4%, 6.1%, 10/14/30 | (l)(m) | EUR CLO | 520 | 554 | 542 | |||||||||||
| Ares European CLO IX DAC, Series 9X, Class E, ABS, E+4.4%, 8.1%, 10/14/30 | (l)(m) | EUR CLO | 290 | 321 | 285 | |||||||||||
| Ares European CLO VI DAC, Series 2013-6X, Class ER, ABS, E+5.3%, 9.0%, 4/15/30 | (l)(m) | EUR CLO | 340 | 384 | 342 | |||||||||||
| Ares XL CLO Ltd., Series 2016-40A, Class BRR, ABS, S+2.1%, 7.4%, 1/15/29 | (g)(m) | USD CLO | $ | 350 | 335 | 344 | ||||||||||
| Ares XLIX CLO Ltd., Series 2018-49A, Class D, ABS, S+3.3%, 8.6%, 7/22/30 | (g)(m) | USD CLO | 250 | 245 | 234 | |||||||||||
| Ares XXXVII CLO Ltd., Series 2015-4A, Class CR, ABS, S+2.9%, 8.2%, 10/15/30 | (g)(m) | USD CLO | 250 | 247 | 238 | |||||||||||
| Ares XXXVII CLO Ltd., Series 2015-4A, Class BR, ABS, S+2.1%, 7.4%, 10/15/30 | (g)(m) | USD CLO | 250 | 246 | 245 | |||||||||||
| Ares XXXVR CLO Ltd., Series 2015-35RA, Class D, ABS, S+3.3%, 8.6%, 7/15/30 | (g)(m) | USD CLO | 250 | 250 | 237 | |||||||||||
| Armada Euro CLO III DAC, Series 3A, Class DR, ABS, E+3.3%, 7.0%, 7/15/31 | (g)(m) | EUR CLO | € | 880 | 857 | 935 | ||||||||||
| Atlas Senior Loan Fund III Ltd., Series 2013-1A, Class DR, ABS, L+2.6%, 7.9%, 11/17/27 | (g)(m) | USD CLO | $ | 500 | 484 | 500 | ||||||||||
| Atlas Senior Loan Fund IX Ltd., Series 2018-9A, Class D, ABS, S+2.8%, 8.1%, 4/20/28 | (g)(m) | USD CLO | 250 | 239 | 248 | |||||||||||
| Atrium IX, Series 9A, Class CR2, ABS, L+2.0%, 7.5%, 5/28/30 | (g)(m) | USD CLO | 1,560 | 1,465 | 1,536 | |||||||||||
| Atrium XIII, Series 13A, Class C, ABS, S+2.1%, 7.4%, 11/21/30 | (g)(m) | USD CLO | 430 | 416 | 419 | |||||||||||
| Atrium XIV LLC, Series 14A, Class D, ABS, S+3.2%, 8.5%, 8/23/30 | (g)(m) | USD CLO | 250 | 238 | 244 | |||||||||||
| Aurium CLO IV DAC, Series 4X, Class D, ABS, E+2.3%, 6.0%, 1/16/31 | (l)(m) | EUR CLO | € | 305 | 305 | 307 | ||||||||||
| Avoca Capital CLO X Ltd., Series 10X, Class DRR, ABS, E+3.1%, 6.8%, 4/15/35 | (l)(m) | EUR CLO | 1,130 | 1,126 | 1,154 | |||||||||||
| Avoca CLO XI DAC, Series 11X, Class DR, ABS, E+3.1%, 6.7%, 7/15/30 | (l)(m) | EUR CLO | 490 | 496 | 528 | |||||||||||
| Avoca CLO XI DAC, Series 11X, Class ER, ABS, E+5.0%, 8.7%, 7/15/30 | (l)(m) | EUR CLO | 210 | 226 | 212 | |||||||||||
| Avoca CLO XIII DAC, Series 13X, Class ERR, ABS, E+6.2%, 9.9%, 4/15/34 | (l)(m) | EUR CLO | 240 | 230 | 245 | |||||||||||
| Avoca CLO XIX DAC, Series 19X, Class D, ABS, E+3.2%, 6.9%, 10/15/31 | (l)(m) | EUR CLO | 400 | 411 | 418 | |||||||||||
| Avoca CLO XV DAC, Series 15X, Class ER, ABS, E+4.1%, 7.8%, 4/15/31 | (l)(m) | EUR CLO | 360 | 388 | 346 | |||||||||||
See notes to unaudited consolidated schedule of investments.
9
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Avoca CLO XVIII DAC, Series 18X, Class E, ABS, E+4.6%, 8.3%, 4/15/31 | (l)(m) | EUR CLO | € | 195 | $ | 216 | $ | 196 | ||||||||
| Avoca CLO XXII DAC, Series 22A, Class D, ABS, E+2.9%, 6.6%, 4/15/35 | (g)(m) | EUR CLO | 360 | 320 | 371 | |||||||||||
| Avoca CLO XXIII DAC, Series 23X, Class B1, ABS, E+1.5%, 5.2%, 4/15/34 | (l)(m) | EUR CLO | 455 | 437 | 480 | |||||||||||
| Avoca CLO XXIV DAC, Series 24X, Class DR, ABS, E+3.0%, 6.7%, 7/15/34 | (l)(m) | EUR CLO | 165 | 163 | 167 | |||||||||||
| Avoca CLO XXVI DAC, Series 26X, Class B1, ABS, E+1.8%, 5.4%, 4/15/35 | (l)(m) | Other ABS | 355 | 380 | 376 | |||||||||||
| Bain Capital Euro CLO DAC, Series 2018-2X, Class D, ABS, E+3.2%, 6.9%, 1/20/32 | (l)(m) | EUR CLO | 370 | 359 | 374 | |||||||||||
| Bain Capital Euro CLO DAC, Series 2021-2X, Class D, ABS, E+3.4%, 7.1%, 7/17/34 | (l)(m) | EUR CLO | 355 | 373 | 348 | |||||||||||
| Barings Euro CLO DAC, Series 2018-1X, Class D, ABS, E+2.3%, 6.0%, 4/15/31 | (l)(m) | EUR CLO | 190 | 196 | 195 | |||||||||||
| Barings Euro CLO DAC, Series 2019-1X, Class CR, ABS, E+3.0%, 6.6%, 10/15/34 | (l)(m) | EUR CLO | 245 | 251 | 257 | |||||||||||
| Barings Euro CLO DAC, Series 2018-2X, Class D, ABS, E+3.2%, 6.9%, 10/15/31 | (l)(m) | EUR CLO | 920 | 1,080 | 956 | |||||||||||
| Barings Euro CLO DAC, Series 2018-3A, Class DE, ABS, E+3.7%, 7.4%, 7/27/31 | (g)(m) | EUR CLO | 480 | 525 | 483 | |||||||||||
| Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class CR, ABS, S+4.0%, 9.3%, 7/15/29 | (g)(m) | USD CLO | $ | 250 | 244 | 251 | ||||||||||
| Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class B, ABS, S+2.3%, 7.6%, 10/15/30 | (g)(m) | USD CLO | 400 | 385 | 388 | |||||||||||
| Betony CLO 2 Ltd., Series 2018-1A, Class C, ABS, S+3.2%, 8.5%, 4/30/31 | (g)(m) | USD CLO | 250 | 233 | 235 | |||||||||||
| Bilbao CLO I DAC, Series 1X, Class B, ABS, E+1.7%, 5.4%, 7/20/31 | (l)(m) | EUR CLO | € | 515 | 526 | 546 | ||||||||||
| Bilbao CLO I DAC, Series 1X, Class C, ABS, E+2.6%, 6.3%, 7/20/31 | (l)(m) | EUR CLO | 550 | 566 | 569 | |||||||||||
| Bilbao CLO II DAC, Series 2X, Class A2AR, ABS, E+1.6%, 5.0%, 8/20/35 | (l)(m) | EUR CLO | 465 | 422 | 491 | |||||||||||
| Birch Grove CLO 2 Ltd., Series 2021-2A, Class D2, ABS, S+5.2%, 10.5%, 10/19/34 | (g)(m) | USD CLO | $ | 605 | 599 | 568 | ||||||||||
| Birch Grove CLO 3 Ltd., Series 2021-3A, Class D2, ABS, S+5.4%, 10.7%, 1/19/35 | (g)(m) | USD CLO | 885 | 876 | 848 | |||||||||||
| Black Diamond CLO DAC, Series 2017-2X, Class CNE, ABS, E+2.0%, 5.7%, 1/20/32 | (l)(m) | EUR CLO | € | 590 | 609 | 623 | ||||||||||
| Black Diamond CLO Ltd., Series 2017-1A, Class C, ABS, S+4.2%, 9.6%, 4/24/29 | (g)(m) | USD CLO | $ | 590 | 581 | 587 | ||||||||||
| BlackRock European CLO 1 DAC, Series 1X, Class DR, ABS, E+2.3%, 5.8%, 3/15/31 | (l)(m) | EUR CLO | € | 300 | 298 | 307 | ||||||||||
| BlackRock European CLO IV DAC, Series 4X, Class D, ABS, E+2.7%, 6.3%, 7/15/30 | (l)(m) | EUR CLO | 900 | 936 | 918 | |||||||||||
| BlackRock European CLO X DAC, Series 10X, Class B1R, ABS, E+1.8%, 5.4%, 10/15/34 | (l)(m) | EUR CLO | 260 | 267 | 274 | |||||||||||
| BlueMountain Fuji EUR CLO V DAC, Series 5X, Class C, ABS, E+2.5%, 6.1%, 1/15/33 | (l)(m) | EUR CLO | 865 | 866 | 913 | |||||||||||
| BlueMountain Fuji EUR CLO V DAC, Series 5X, Class D, ABS, E+3.9%, 7.5%, 1/15/33 | (l)(m) | EUR CLO | 160 | 163 | 170 | |||||||||||
| BlueMountain Fuji U.S. CLO III Ltd., Series 2017-3A, Class D, ABS, S+2.7%, 8.0%, 1/15/30 | (g)(m) | USD CLO | $ | 250 | 239 | 233 | ||||||||||
| BNPP IP CLO Ltd., Series 2014-2A, Class DR, ABS, L+3.5%, 9.1%, 10/30/25 | (g)(m) | USD CLO | 36 | 34 | 36 | |||||||||||
| Bosphorus CLO V DAC, Series 5A, Class DE, ABS, E+4.8%, 8.3%, 12/12/32 | (g)(m) | EUR CLO | € | 320 | 354 | 343 | ||||||||||
| Bridgepoint CLO 2 DAC, Series 2X, Class C, ABS, E+2.0%, 5.7%, 4/15/35 | (l)(m) | EUR CLO | 300 | 293 | 312 | |||||||||||
| Bridgepoint CLO 2 DAC, Series 2X, Class D, ABS, E+3.0%, 6.7%, 4/15/35 | (l)(m) | EUR CLO | 310 | 308 | 320 | |||||||||||
See notes to unaudited consolidated schedule of investments.
10
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Bridgepoint CLO 3 DAC, Series 3X, Class D, ABS, E+3.4%, 7.1%, 1/15/36 | (l)(m) | EUR CLO | € | 290 | $ | 292 | $ | 301 | ||||||||
| Buttermilk Park CLO Ltd., Series 2018-1A, Class C, ABS, S+2.4%, 7.7%, 10/15/31 | (g)(m) | USD CLO | $ | 250 | 240 | 245 | ||||||||||
| BX Trust, Series 2019-OC11, Class E, 3.9%, 12/9/41 | (g)(m) | Commercial MBS | 1,010 | 835 | 816 | |||||||||||
| BX Trust, Series 2021-ARIA, Class D, S+2.0%, 7.2%, 10/15/36 | (g)(m) | Commercial MBS | 765 | 729 | 733 | |||||||||||
| BX Trust, Series 2021-ARIA, Class E, S+2.4%, 7.6%, 10/15/36 | (g)(m) | Commercial MBS | 345 | 322 | 325 | |||||||||||
| BX Trust, Series 2021-ARIA, Class F, S+2.7%, 7.9%, 10/15/36 | (g)(m) | Commercial MBS | 630 | 582 | 584 | |||||||||||
| BX Trust, Series 2018-BILT, Class E, S+2.7%, 7.9%, 5/15/30 | (g)(m) | Commercial MBS | 175 | 169 | 171 | |||||||||||
| Cairn CLO IX DAC, Series 2018-9X, Class C, ABS, E+1.5%, 5.2%, 4/25/32 | (l)(m) | EUR CLO | € | 415 | 395 | 432 | ||||||||||
| Cairn CLO VII DAC, Series 2016-7X, Class E, ABS, E+6.4%, 9.6%, 1/31/30 | (l)(m) | EUR CLO | 440 | 486 | 461 | |||||||||||
| Cairn CLO XI DAC, Series 2019-11X, Class D, ABS, E+4.2%, 7.8%, 7/15/32 | (l)(m) | EUR CLO | 625 | 682 | 642 | |||||||||||
| Cairn CLO XIV DAC, Series 2021-14A, Class B1, ABS, E+1.7%, 5.4%, 10/29/34 | (g)(m) | EUR CLO | 250 | 241 | 265 | |||||||||||
| Cairn CLO XIV DAC, Series 2021-14X, Class C, ABS, E+2.1%, 5.8%, 10/29/34 | (l)(m) | EUR CLO | 320 | 333 | 329 | |||||||||||
| Cairn CLO XV DAC, Series 2022-15X, Class B1, ABS, E+1.8%, 5.4%, 4/15/36 | (l)(m) | EUR CLO | 410 | 359 | 432 | |||||||||||
| Canyon Capital CLO Ltd., Series 2014-1A, Class BR, ABS, S+2.1%, 7.4%, 1/30/31 | (g)(m) | USD CLO | $ | 665 | 632 | 636 | ||||||||||
| Canyon Capital CLO Ltd., Series 2016-2A, Class CR, ABS, S+2.5%, 7.8%, 10/15/31 | (g)(m) | USD CLO | 285 | 281 | 282 | |||||||||||
| Capital Four CLO I DAC, Series 1X, Class C, ABS, E+2.6%, 6.2%, 1/15/33 | (l)(m) | Other ABS | € | 440 | 475 | 470 | ||||||||||
| Capital Four CLO II DAC, Series 2X, Class C, ABS, E+2.7%, 6.4%, 1/15/34 | (l)(m) | EUR CLO | 290 | 264 | 310 | |||||||||||
| Capital Four CLO III DAC, Series 3X, Class B1, ABS, E+1.8%, 5.4%, 10/15/34 | (l)(m) | EUR CLO | 545 | 492 | 575 | |||||||||||
| Carbone CLO Ltd., Series 2017-1A, Class B, ABS, S+2.1%, 7.4%, 1/20/31 | (g)(m) | USD CLO | $ | 545 | 513 | 530 | ||||||||||
| Carlyle Euro CLO DAC, Series 2017-3X, Class C, ABS, E+2.5%, 6.2%, 1/15/31 | (l)(m) | EUR CLO | € | 160 | 158 | 158 | ||||||||||
| Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class CR, ABS, L+3.4%, 8.7%, 8/14/30 | (g)(m) | USD CLO | $ | 435 | 418 | 416 | ||||||||||
| Carlyle Global Market Strategies Euro CLO DAC, Series 2016-2X, Class BRR, ABS, E+2.4%, 6.1%, 4/15/34 | (l)(m) | EUR CLO | € | 525 | 565 | 536 | ||||||||||
| Carlyle Global Market Strategies Euro CLO DAC, Series 2015-3X, Class C1RE, ABS, E+2.6%, 6.2%, 7/15/30 | (l)(m) | EUR CLO | 275 | 323 | 281 | |||||||||||
| Carlyle Global Market Strategies Euro CLO DAC, Series 2020-1X, Class D, ABS, E+5.4%, 9.1%, 4/15/33 | (l)(m) | EUR CLO | 250 | 291 | 231 | |||||||||||
| Carlyle U.S. CLO Ltd., Series 2017-5A, Class B, ABS, S+2.1%, 7.4%, 1/20/30 | (g)(m) | USD CLO | $ | 440 | 410 | 425 | ||||||||||
| Carlyle U.S. CLO Ltd., Series 2017-4A, Class C, ABS, S+3.1%, 8.4%, 1/15/30 | (g)(m) | Other ABS | 250 | 234 | 232 | |||||||||||
| Carmax Auto Owner Trust, Series 2022-4, Class D, ABS, 8.1%, 4/16/29 | Asset-Backed - Automobile | 660 | 656 | 681 | ||||||||||||
| CarVal CLO VC Ltd., Series 2021-2A, Class C, ABS, S+2.5%, 7.8%, 10/15/34 | (g)(m) | USD CLO | 355 | 334 | 346 | |||||||||||
| Catalyst Healthcare Manchester Financing PLC, Series AMBC, 2.4%, 9/30/40 | (i) | Healthcare-Services | £ | 237 | 612 | 586 | ||||||||||
| Catamaran CLO Ltd., Series 2014-1A, Class CR, ABS, S+3.7%, 9.0%, 4/22/30 | (g)(m) | USD CLO | $ | 250 | 244 | 234 | ||||||||||
| CBAM Ltd., Series 2017-1A, Class C, ABS, S+2.7%, 8.0%, 7/20/30 | (g)(m) | USD CLO | 535 | 523 | 527 | |||||||||||
| Cedar Funding VII CLO Ltd., Series 2018-7A, Class C, ABS, S+2.0%, 7.3%, 1/20/31 | (g)(m) | USD CLO | 395 | 387 | 384 | |||||||||||
See notes to unaudited consolidated schedule of investments.
11
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Cedar Funding VII CLO Ltd., Series 2018-7A, Class D, ABS, S+2.8%, 8.1%, 1/20/31 | (g)(m) | USD CLO | $ | 250 | $ | 237 | $ | 238 | ||||||||
| CIFC European Funding CLO III DAC, Series 3X, Class D, ABS, E+3.6%, 7.3%, 1/15/34 | (l)(m) | EUR CLO | € | 355 | 354 | 377 | ||||||||||
| CIFC European Funding CLO IV DAC, Series 4X, Class D, ABS, E+3.1%, 6.8%, 8/18/35 | (l)(m) | EUR CLO | 280 | 246 | 289 | |||||||||||
| CIFC European Funding CLO V DAC, Series 5X, Class D, ABS, E+3.2%, 6.8%, 11/23/34 | (l)(m) | EUR CLO | 520 | 471 | 536 | |||||||||||
| CIFC Funding Ltd., Series 2017-2X, Class CR, ABS, S+2.1%, 7.4%, 4/20/30 | (l)(m) | USD CLO | $ | 250 | 232 | 243 | ||||||||||
| CIFC Funding Ltd., Series 2015-4A, Class BR2, ABS, S+2.2%, 7.5%, 4/20/34 | (g)(m) | USD CLO | 270 | 263 | 263 | |||||||||||
| CIFC Funding Ltd., Series 2013-4A, Class DRR, ABS, S+3.1%, 8.4%, 4/27/31 | (g)(m) | USD CLO | 605 | 568 | 573 | |||||||||||
| CIFC Funding Ltd., Series 2018-2A, Class C, ABS, L+2.9%, 8.4%, 4/20/31 | (g)(m) | USD CLO | 325 | 303 | 318 | |||||||||||
| Clover CLO LLC, Series 2021-2A, Class C, ABS, L+2.0%, 7.6%, 7/20/34 | (g)(m) | USD CLO | 625 | 610 | 607 | |||||||||||
| Clover Credit Partners CLO III Ltd., Series 2017-1A, Class D, ABS, S+4.0%, 9.3%, 10/15/29 | (g)(m) | USD CLO | 1,710 | 1,691 | 1,685 | |||||||||||
| Contego CLO V DAC, Series 5X, Class D, ABS, E+2.7%, 6.3%, 1/15/31 | (l)(m) | EUR CLO | € | 275 | 276 | 287 | ||||||||||
| CVC Cordatus Loan Fund III DAC, Series 3X, Class DRR, ABS, E+2.6%, 5.9%, 8/15/32 | (l)(m) | EUR CLO | 850 | 837 | 870 | |||||||||||
| CVC Cordatus Loan Fund VII DAC, Series 7X, Class DRR, ABS, E+2.9%, 6.4%, 9/15/31 | (l)(m) | EUR CLO | 285 | 261 | 293 | |||||||||||
| CVC Cordatus Loan Fund X DAC, Series 10X, Class C, ABS, E+1.6%, 5.3%, 1/27/31 | (l)(m) | EUR CLO | 200 | 205 | 210 | |||||||||||
| CVC Cordatus Loan Fund X DAC, Series 10X, Class D, ABS, E+2.5%, 6.2%, 1/27/31 | (l)(m) | EUR CLO | 190 | 207 | 197 | |||||||||||
| CVC Cordatus Loan Fund XVI DAC, Series 16X, Class D, ABS, E+4.2%, 7.7%, 6/17/32 | (l)(m) | EUR CLO | 165 | 166 | 179 | |||||||||||
| CVC Cordatus Loan Fund XVIII DAC, Series 18X, Class CR, ABS, E+2.2%, 5.9%, 7/29/34 | (l)(m) | EUR CLO | 310 | 318 | 324 | |||||||||||
| CVC Cordatus Loan Fund XXII DAC, Series 22X, Class D, ABS, E+3.2%, 6.7%, 12/15/34 | (l)(m) | EUR CLO | 475 | 453 | 484 | |||||||||||
| Dartry Park CLO DAC, Series 1X, Class BRR, ABS, E+2.3%, 6.0%, 1/28/34 | (l)(m) | EUR CLO | 355 | 337 | 377 | |||||||||||
| Diamond CLO Ltd., Series 2019-1A, Class E, ABS, S+8.3%, 13.7%, 4/25/29 | (g)(m) | USD CLO | $ | 805 | 805 | 808 | ||||||||||
| Dryden 41 Senior Loan Fund, Series 2015-41A, Class CR, ABS, S+2.0%, 7.3%, 4/15/31 | (g)(m) | USD CLO | 250 | 241 | 243 | |||||||||||
| Dryden 59 Euro CLO DAC, Series 2017-59X, Class D1, ABS, E+2.4%, 5.7%, 5/15/32 | (l)(m) | EUR CLO | € | 365 | 391 | 365 | ||||||||||
| Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, ABS, S+2.1%, 7.4%, 4/15/29 | (g)(m) | USD CLO | $ | 350 | 337 | 342 | ||||||||||
| Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class B1LR, ABS, L+3.2%, 8.5%, 8/15/30 | (g)(m) | Other ABS | 435 | 420 | 421 | |||||||||||
| Eaton Vance CLO Ltd., Series 2014-1RA, Class C, ABS, S+2.4%, 7.7%, 7/15/30 | (g)(m) | USD CLO | 325 | 318 | 319 | |||||||||||
| Eaton Vance CLO Ltd., Series 2014-1RA, Class D, ABS, S+3.3%, 8.6%, 7/15/30 | (g)(m) | USD CLO | 250 | 237 | 237 | |||||||||||
| Elevation CLO Ltd., Series 2018-3A, Class CR, ABS, L+2.5%, 8.1%, 1/25/35 | (g)(m) | USD CLO | 500 | 489 | 478 | |||||||||||
| Elevation CLO Ltd., Series 2021-14A, Class D2, ABS, S+5.3%, 10.6%, 10/20/34 | (g)(m) | USD CLO | 630 | 622 | 571 | |||||||||||
| Ellington CLO I Ltd., Series 2017-1A, Class DR, ABS, S+3.6%, 8.9%, 10/15/29 | (g)(m) | USD CLO | 410 | 399 | 382 | |||||||||||
| Ellington CLO II Ltd., Series 2017-2A, Class D, ABS, L+3.7%, 9.0%, 2/15/29 | (g)(m) | USD CLO | 500 | 487 | 470 | |||||||||||
| Ellington CLO IV Ltd., Series 2019-4A, Class D1, ABS, S+5.8%, 11.1%, 4/15/29 | (g)(m) | USD CLO | 585 | 580 | 570 | |||||||||||
| Erna Srl, Series 1, Class A, E+2.3%, 5.5%, 7/25/31 | (l)(m) | Commercial MBS | € | 177 | 205 | 189 | ||||||||||
See notes to unaudited consolidated schedule of investments.
12
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Erna Srl, Series 1, Class B, E+3.6%, 6.9%, 7/25/31 | (l)(m) | Commercial MBS | € | 489 | $ | 535 | $ | 518 | ||||||||
| Euro-Galaxy III CLO DAC, Series 2013-3X, Class DRRR, ABS, E+3.3%, 6.9%, 4/24/34 | (l)(m) | EUR CLO | 230 | 243 | 241 | |||||||||||
| Euro-Galaxy V CLO DAC, Series 2016-5A, Class CRR, ABS, E+2.4%, 5.7%, 2/15/34 | (g)(m) | EUR CLO | 345 | 311 | 367 | |||||||||||
| Euro-Galaxy VII CLO DAC, Series 2019-7X, Class CR, ABS, E+2.4%, 6.1%, 7/25/35 | (l)(m) | EUR CLO | 895 | 883 | 948 | |||||||||||
| Euro-Galaxy VII CLO DAC, Series 2019-7X, Class DR, ABS, E+3.5%, 7.2%, 7/25/35 | (l)(m) | EUR CLO | 370 | 374 | 389 | |||||||||||
| Fair Oaks Loan Funding I DAC, Series 1X, Class DR, ABS, E+3.4%, 7.1%, 4/15/34 | (l)(m) | EUR CLO | 385 | 379 | 405 | |||||||||||
| Fair Oaks Loan Funding II DAC, Series 2X, Class DR, ABS, E+3.1%, 6.7%, 4/15/34 | (l)(m) | EUR CLO | 370 | 382 | 380 | |||||||||||
| Fair Oaks Loan Funding III DAC, Series 3X, Class DR, ABS, E+3.0%, 6.7%, 10/15/34 | (l)(m) | EUR CLO | 945 | 934 | 959 | |||||||||||
| Federal Home Loan Mortgage Corp. STACR REMIC Trust, Series 2021-DNA7, Class M2, CMO, S+1.8%, 6.9%, 11/25/41 | (e)(g)(m) | USD CLO | $ | 985 | 941 | 969 | ||||||||||
| Federal Home Loan Mortgage Corp. STACR REMIC Trust, Series 2021-HQA2, Class M2, CMO, S+2.1%, 7.1%, 12/25/33 | (e)(g)(m) | USD CLO | 645 | 616 | 638 | |||||||||||
| Federal Home Loan Mortgage Corp. STACR REMIC Trust, Series 2021-DNA3, Class M2, CMO, S+2.1%, 7.2%, 10/25/33 | (e)(g)(m) | USD CLO | 1,285 | 1,242 | 1,279 | |||||||||||
| Federal Home Loan Mortgage Corp. STACR REMIC Trust, Series 2021-HQA1, Class M2, CMO, S+2.3%, 7.3%, 8/25/33 | (e)(g)(m) | USD CLO | 426 | 411 | 425 | |||||||||||
| Federal Home Loan Mortgage Corp. STACR REMIC Trust, Series 2022-DNA2, Class M1B, CMO, S+2.4%, 7.5%, 2/25/42 | (g)(m) | USD CLO | 560 | 525 | 563 | |||||||||||
| Federal Home Loan Mortgage Corp. STACR REMIC Trust, Series 2020-DNA2, Class B1, CMO, S+2.6%, 7.7%, 2/25/50 | (g)(m) | USD CLO | 80 | 77 | 81 | |||||||||||
| Federal Home Loan Mortgage Corp. STACR REMIC Trust, Series 2021-DNA5, Class B1, ABS, S+3.1%, 8.1%, 1/25/34 | (e)(g)(m) | USD CLO | 260 | 253 | 263 | |||||||||||
| Federal Home Loan Mortgage Corp. STACR Trust, Series 2019-HQA3, Class B1, CMO, S+3.1%, 8.2%, 9/25/49 | (e)(g)(m) | USD CLO | 755 | 750 | 785 | |||||||||||
| Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2023-DNA2, Class M1B, ABS, S+3.3%, 8.3%, 4/25/43 | (e)(g)(m) | USD CLO | 270 | 270 | 279 | |||||||||||
| Federal National Mortgage Association Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2, CMO, S+1.7%, 6.7%, 12/25/41 | (g)(m) | USD CLO | 184 | 167 | 181 | |||||||||||
| Federal National Mortgage Association Connecticut Avenue Securities Trust, Series 2021-R02, Class 2M2, ABS, S+2.0%, 7.1%, 11/25/41 | (g)(m) | USD CLO | 275 | 266 | 272 | |||||||||||
| Federal National Mortgage Association Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M2, ABS, S+2.7%, 7.8%, 7/25/43 | (g)(m) | USD CLO | 230 | 230 | 232 | |||||||||||
| Federal National Mortgage Association Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2, CMO, S+3.0%, 8.1%, 1/25/42 | (g)(m) | USD CLO | 1,460 | 1,419 | 1,471 | |||||||||||
| Federal National Mortgage Association Connecticut Avenue Securities Trust, Series 2022-R05, Class 2M2, ABS, S+3.0%, 8.1%, 4/25/42 | (g)(m) | USD CLO | 260 | 256 | 263 | |||||||||||
| Federal National Mortgage Association Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M2, CMO, S+3.1%, 8.2%, 3/25/42 | (g)(m) | USD CLO | 435 | 420 | 444 | |||||||||||
| Federal National Mortgage Association Connecticut Avenue Securities Trust, Series 2023-R05, Class 1M2, ABS, S+3.1%, 8.2%, 6/25/43 | (g)(m) | USD CLO | 330 | 330 | 338 | |||||||||||
See notes to unaudited consolidated schedule of investments.
13
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Federal National Mortgage Association Connecticut Avenue Securities Trust, Series 2023-R04, Class 1M2, ABS, S+3.6%, 8.6%, 5/25/43 | (g)(m) | USD CLO | $ | 570 | $ | 570 | $ | 595 | ||||||||
| Federal National Mortgage Association Connecticut Avenue Securities Trust, Series 2019-R06, Class 2B1, CMO, S+3.9%, 8.9%, 9/25/39 | (g)(m) | USD CLO | 367 | 367 | 378 | |||||||||||
| Federal National Mortgage Association Connecticut Avenue Securities Trust, Series 2023-R06, Class 1B1, ABS, S+3.9%, 9.0%, 7/25/43 | (g)(m) | USD CLO | 105 | 105 | 107 | |||||||||||
| Fidelity Grand Harbour CLO DAC, Series 2021-1X, Class C, ABS, E+2.5%, 6.2%, 10/15/34 | (l)(m) | EUR CLO | € | 375 | 383 | 397 | ||||||||||
| First Eagle Clarendon Fund CLO LLC, Series 2014-1A, Class E, ABS, S+6.3%, 11.7%, 1/25/27 | (g)(m) | USD CLO | $ | 245 | 245 | 245 | ||||||||||
| Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class F, 4.0%, 12/10/36 | (e)(g)(m) | Commercial MBS | 195 | 182 | 182 | |||||||||||
| Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class G, 4.0%, 12/10/36 | (e)(g)(m) | Commercial MBS | 570 | 526 | 530 | |||||||||||
| Galaxy XIX CLO Ltd., Series 2015-19A, Class BRR, ABS, S+2.1%, 7.5%, 7/24/30 | (g)(m) | USD CLO | 520 | 494 | 503 | |||||||||||
| Galaxy XXIV CLO Ltd., Series 2017-24X, Class D, ABS, S+2.7%, 8.0%, 1/15/31 | (l)(m) | USD CLO | 550 | 511 | 527 | |||||||||||
| Galaxy XXVII CLO Ltd., Series 2018-27A, Class D, ABS, L+2.8%, 8.1%, 5/16/31 | (g)(m) | USD CLO | 1,290 | 1,217 | 1,237 | |||||||||||
| Galaxy XXVIII CLO Ltd., Series 2018-28A, Class B, ABS, S+1.9%, 7.2%, 7/15/31 | (g)(m) | USD CLO | 525 | 506 | 517 | |||||||||||
| Galaxy XXVIII CLO Ltd., Series 2018-28A, Class C, ABS, S+2.2%, 7.5%, 7/15/31 | (g)(m) | USD CLO | 250 | 242 | 243 | |||||||||||
| Gallatin CLO IX Ltd., Series 2018-1A, Class D1, ABS, L+3.1%, 8.7%, 1/21/28 | (g)(m) | USD CLO | 250 | 248 | 248 | |||||||||||
| Gallatin CLO IX Ltd., Series 2018-1A, Class E, ABS, L+5.5%, 11.1%, 1/21/28 | (g)(m) | USD CLO | 1,160 | 1,140 | 1,155 | |||||||||||
| GAM FRR2 H Co. | (e)(o)(p) | USD CLO | 1 | 569 | 569 | |||||||||||
| GAM Re-REMIC Trust, Series 2021-FRR2, Class CK44, 0.0%, 9/27/51 | (g)(o)(q) | Commercial MBS | 43 | 36 | 37 | |||||||||||
| GAM Re-REMIC Trust, Series 2021-FRR2, Class DK49, 0.0%, 9/27/51 | (g)(o)(q) | Commercial MBS | 34 | 27 | 27 | |||||||||||
| GAM Re-REMIC Trust, Series 2021-FRR2, Class D730, 0.0%, 9/27/51 | (g)(o)(q) | Commercial MBS | 35 | 29 | 30 | |||||||||||
| GAM Re-REMIC Trust, Series 2021-FRR2, Class CK78, 0.0%, 9/27/51 | (g)(o)(q) | Commercial MBS | 29 | 19 | 17 | |||||||||||
| GAM Re-REMIC Trust, Series 2021-FRR1, Class 1C, 0.0%, 11/29/50 | (g)(o)(q) | Commercial MBS | 41 | 29 | 28 | |||||||||||
| GAM Re-REMIC Trust, Series 2021-FRR1, Class 1D, 0.0%, 11/29/50 | (g)(o)(q) | Commercial MBS | 60 | 41 | 40 | |||||||||||
| GAM Re-REMIC Trust, Series 2021-FRR1, Class 2C, 0.0%, 11/29/50 | (g)(o)(q) | Commercial MBS | 44 | 30 | 28 | |||||||||||
| GAM Re-REMIC Trust, Series 2021-FRR2, Class BK78, 2.4%, 9/27/51 | (g)(m)(o) | Commercial MBS | 46 | 37 | 33 | |||||||||||
| Golub Capital Partners 48 LP, Series 2020-48A, Class D, ABS, S+4.1%, 9.4%, 4/17/33 | (g)(m) | USD CLO | 250 | 234 | 242 | |||||||||||
| Golub Capital Partners CLO 50B-R Ltd., Series 2020-50A, Class CR, ABS, S+2.4%, 7.7%, 4/20/35 | (g)(m) | USD CLO | 310 | 288 | 302 | |||||||||||
| Great Wolf Trust, Series 2019-WOLF, Class E, S+2.8%, 8.1%, 12/15/36 | (g)(m) | Commercial MBS | 915 | 890 | 894 | |||||||||||
| Halcyon Loan Advisors Funding Ltd., Series 2017-2A, Class B, ABS, S+2.4%, 7.7%, 1/17/30 | (g)(m) | USD CLO | 440 | 425 | 432 | |||||||||||
| Halcyon Loan Advisors Funding Ltd., Series 2015-2A, Class D1R, ABS, S+3.4%, 8.7%, 7/25/27 | (g)(m) | USD CLO | 615 | 602 | 580 | |||||||||||
| Halcyon Loan Advisors Funding Ltd., Series 2015-2A, Class D2R, ABS, S+3.4%, 8.7%, 7/25/27 | (g)(m) | USD CLO | 405 | 396 | 382 | |||||||||||
| Halseypoint CLO II Ltd., Series 2020-2A, Class D, ABS, S+3.3%, 8.6%, 7/20/31 | (g)(m) | USD CLO | 680 | 639 | 666 | |||||||||||
See notes to unaudited consolidated schedule of investments.
14
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Harvest CLO XII DAC, Series 12X, Class DR, ABS, E+2.7%, 6.1%, 11/18/30 | (l)(m) | EUR CLO | € | 595 | $ | 598 | $ | 615 | ||||||||
| Harvest CLO XIX DAC, Series 19X, Class D, ABS, E+2.6%, 6.2%, 4/14/31 | (l)(m) | EUR CLO | 660 | 685 | 673 | |||||||||||
| Harvest CLO XV DAC, Series 15X, Class DR, ABS, E+2.8%, 6.1%, 11/22/30 | (l)(m) | EUR CLO | 320 | 318 | 329 | |||||||||||
| Harvest CLO XX DAC, Series 20X, Class DR, ABS, E+3.1%, 6.8%, 10/20/31 | (l)(m) | EUR CLO | 335 | 336 | 350 | |||||||||||
| Harvest CLO XXII DAC, Series 22X, Class CR, ABS, E+2.3%, 6.0%, 1/15/32 | (l)(m) | EUR CLO | 235 | 249 | 243 | |||||||||||
| Harvest CLO XXIII DAC, Series 23A, Class CE, ABS, E+2.1%, 5.8%, 10/20/32 | (g)(m) | EUR CLO | 250 | 249 | 259 | |||||||||||
| Harvest CLO XXVII DAC, Series 27X, Class D, ABS, E+3.4%, 7.1%, 7/15/34 | (l)(m) | EUR CLO | 285 | 273 | 291 | |||||||||||
| Henley CLO I DAC, Series 1X, Class DR, ABS, E+3.0%, 6.7%, 7/25/34 | (l)(m) | EUR CLO | 425 | 408 | 437 | |||||||||||
| Henley CLO III DAC, Series 3X, Class CR, ABS, E+2.3%, 6.0%, 12/25/35 | (l)(m) | EUR CLO | 400 | 413 | 420 | |||||||||||
| Henley CLO VI DAC, Series 6X, Class D, ABS, E+3.2%, 6.9%, 6/10/34 | (l)(m) | EUR CLO | 485 | 489 | 489 | |||||||||||
| Hertz Vehicle Financing III LP, Series 2021-2A, Class D, ABS, 4.3%, 12/27/27 | (g) | USD CLO | $ | 250 | 218 | 219 | ||||||||||
| Highbridge Loan Management Ltd., Series 12A-18, Class B, ABS, S+2.1%, 7.4%, 7/18/31 | (g)(m) | USD CLO | 435 | 426 | 427 | |||||||||||
| HPS Loan Management Ltd., Series 13A-18, Class C, ABS, S+2.4%, 7.7%, 10/15/30 | (g)(m) | USD CLO | 1,015 | 960 | 987 | |||||||||||
| Hull Street CLO Ltd., Series 2014-1A, Class D, ABS, S+3.9%, 9.2%, 10/18/26 | (g)(m) | USD CLO | 74 | 73 | 73 | |||||||||||
| JFIN CLO Ltd., Series 2015-2A, Class ER, ABS, S+6.4%, 11.7%, 10/17/26 | (g)(m) | USD CLO | 330 | 329 | 329 | |||||||||||
| JFIN CLO Ltd., Series 2012-1A, Class DR, ABS, S+6.7%, 12.0%, 7/20/28 | (g)(m) | USD CLO | 700 | 693 | 705 | |||||||||||
| JMP Credit Advisors ClO IV Ltd., Series 2017-1A, Class D, ABS, S+4.4%, 9.7%, 7/17/29 | (g)(m) | USD CLO | 610 | 599 | 607 | |||||||||||
| JP Morgan Mortgage Trust, Series 2019-INV1, Class B4, CMO, 5.0%, 10/25/49 | (g)(m) | USD CLO | 405 | 360 | 368 | |||||||||||
| Jubilee CLO DAC, Series 2021-25A, Class C1, ABS, E+2.3%, 5.9%, 10/15/35 | (g)(m) | EUR CLO | € | 285 | 270 | 293 | ||||||||||
| Jubilee CLO DAC, Series 2016-17X, Class CR, ABS, E+2.4%, 6.1%, 4/15/31 | (l)(m) | EUR CLO | 435 | 440 | 463 | |||||||||||
| Jubilee CLO DAC, Series 2014-12X, Class DR, ABS, E+2.9%, 6.6%, 4/15/30 | (l)(m) | EUR CLO | 155 | 175 | 162 | |||||||||||
| Jubilee CLO DAC, Series 2017-18X, Class D, ABS, E+3.1%, 6.8%, 1/15/30 | (l)(m) | EUR CLO | 200 | 225 | 214 | |||||||||||
| Jubilee CLO DAC, Series 2021-25X, Class D, ABS, E+3.2%, 6.9%, 10/15/35 | (l)(m) | EUR CLO | 305 | 260 | 309 | |||||||||||
| Jubilee CLO DAC, Series 2014-11X, Class DR, ABS, E+3.3%, 7.0%, 4/15/30 | (l)(m) | EUR CLO | 305 | 282 | 321 | |||||||||||
| Jubilee CLO DAC, Series 2018-21X, Class DR, ABS, E+3.3%, 7.0%, 4/15/35 | (l)(m) | EUR CLO | 830 | 813 | 854 | |||||||||||
| Jubilee CLO DAC, Series 2013-10X, Class DRR, ABS, E+3.6%, 7.2%, 7/15/34 | (l)(m) | EUR CLO | 175 | 183 | 180 | |||||||||||
| KKR CLO 32 Ltd., Series 32A, Class C, ABS, S+2.7%, 8.0%, 1/15/32 | (g)(m) | USD CLO | $ | 250 | 247 | 246 | ||||||||||
| KVK CLO Ltd., Series 2013-1A, Class ER, ABS, S+6.2%, 11.5%, 1/14/28 | (g)(m) | USD CLO | 500 | 497 | 501 | |||||||||||
| LCM XX LP, Series 20A, Class DR, ABS, S+3.1%, 8.4%, 10/20/27 | (g)(m) | USD CLO | 250 | 242 | 249 | |||||||||||
| LCM XXI LP, Series 21A, Class ER, ABS, S+6.0%, 11.3%, 4/20/28 | (g)(m) | USD CLO | 570 | 550 | 562 | |||||||||||
| Lehman XS Trust, Series 2007-6, Class 3A2, ABS, 4.3%, 5/25/37 | USD CLO | 50 | 52 | 49 | ||||||||||||
See notes to unaudited consolidated schedule of investments.
15
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Lehman XS Trust, Series 2007-6, Class 3A4, ABS, 4.3%, 5/25/37 | USD CLO | $ | 168 | $ | 172 | $ | 137 | |||||||||
| Lehman XS Trust, Series 2007-6, Class 3A31, ABS, 4.3%, 5/25/37 | USD CLO | 123 | 126 | 111 | ||||||||||||
| Lehman XS Trust, Series 2007-6, Class 3A32, ABS, L+0.5%, 4.3%, 5/25/37 | (m) | USD CLO | 141 | 127 | 127 | |||||||||||
| Lehman XS Trust, Series 2007-14H, Class A22, CMO, S+0.9%, 6.2%, 7/25/47 | (m) | USD CLO | 226 | 227 | 210 | |||||||||||
| Lockwood Grove CLO Ltd., Series 2014-1A, Class CRR, ABS, S+2.3%, 7.6%, 1/25/30 | (g)(m) | USD CLO | 550 | 539 | 536 | |||||||||||
| Long Point Park CLO Ltd., Series 2017-1A, Class C, ABS, S+2.7%, 8.0%, 1/17/30 | (g)(m) | USD CLO | 305 | 288 | 273 | |||||||||||
| Longfellow Place CLO Ltd., Series 2013-1A, Class DRR, ABS, S+4.8%, 10.1%, 4/15/29 | (g)(m) | USD CLO | 520 | 513 | 521 | |||||||||||
| LUX, Series 2023-LION, Class C, S+3.9%, 9.2%, 8/15/28 | (e)(g)(m) | Commercial MBS | 590 | 589 | 589 | |||||||||||
| Madison Park Euro Funding IX DAC, Series 9X, Class DR, ABS, E+3.2%, 6.9%, 7/15/35 | (l)(m) | EUR CLO | € | 315 | 265 | 320 | ||||||||||
| Madison Park Euro Funding VI DAC, Series 6X, Class DR, ABS, E+2.9%, 6.6%, 10/15/30 | (l)(m) | EUR CLO | 280 | 282 | 293 | |||||||||||
| Madison Park Euro Funding X DAC, Series 10X, Class C1, ABS, E+1.7%, 5.4%, 10/25/30 | (l)(m) | EUR CLO | 115 | 106 | 121 | |||||||||||
| Madison Park Euro Funding XIII DAC, Series 13X, Class CR, ABS, E+2.4%, 6.0%, 1/15/32 | (l)(m) | EUR CLO | 355 | 344 | 380 | |||||||||||
| Madison Park Euro Funding XIV DAC, Series 14A, Class C1R, ABS, E+2.4%, 6.1%, 7/15/32 | (g)(m) | EUR CLO | 345 | 319 | 365 | |||||||||||
| Madison Park Funding XI Ltd., Series 2013-11A, Class DR, ABS, S+3.5%, 8.9%, 7/23/29 | (g)(m) | USD CLO | $ | 430 | 422 | 429 | ||||||||||
| Madison Park Funding XVIII Ltd., Series 2015-18A, Class DR, ABS, S+3.2%, 8.5%, 10/21/30 | (g)(m) | USD CLO | 250 | 236 | 240 | |||||||||||
| Madison Park Funding XX Ltd., Series 2016-20A, Class DR, ABS, S+3.3%, 8.6%, 7/27/30 | (g)(m) | USD CLO | 675 | 643 | 646 | |||||||||||
| Madison Park Funding XXII Ltd., Series 2016-22A, Class CR, ABS, S+2.3%, 7.6%, 1/15/33 | (g)(m) | USD CLO | 830 | 776 | 806 | |||||||||||
| Madison Park Funding XXVII Ltd., Series 2018-27A, Class C, ABS, S+2.9%, 8.2%, 4/20/30 | (g)(m) | USD CLO | 250 | 236 | 238 | |||||||||||
| Madison Park Funding XXVIII Ltd., Series 2018-28A, Class D, ABS, S+3.0%, 8.3%, 7/15/30 | (g)(m) | USD CLO | 705 | 667 | 686 | |||||||||||
| Madison Park Funding XXX Ltd., Series 2018-30A, Class C, ABS, S+2.0%, 7.3%, 4/15/29 | (g)(m) | USD CLO | 275 | 264 | 269 | |||||||||||
| Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, ABS, S+2.4%, 7.8%, 1/23/31 | (g)(m) | USD CLO | 495 | 479 | 491 | |||||||||||
| Man GLG Euro CLO I DAC, Series 1X, Class DRR, ABS, E+2.5%, 6.1%, 10/15/30 | (l)(m) | EUR CLO | € | 315 | 351 | 314 | ||||||||||
| Man GLG Euro CLO III DAC, Series 3X, Class D, ABS, E+3.3%, 7.0%, 10/15/30 | (l)(m) | EUR CLO | 635 | 705 | 660 | |||||||||||
| Marathon CLO V Ltd., Series 2013-5A, Class CR, ABS, L+2.8%, 8.1%, 11/21/27 | (g)(m) | USD CLO | $ | 1,210 | 1,181 | 1,167 | ||||||||||
| Marathon CLO VI Ltd., Series 2014-6A, Class CR2, ABS, L+3.5%, 8.8%, 5/13/28 | (g)(m) | USD CLO | 590 | 572 | 579 | |||||||||||
| Marathon CLO X Ltd., Series 2017-10A, Class C, ABS, L+3.7%, 9.0%, 11/15/29 | (g)(m) | USD CLO | 1,030 | 1,003 | 884 | |||||||||||
| Marble Point CLO XXI Ltd., Series 2021-3A, Class D2, ABS, S+5.2%, 10.6%, 10/17/34 | (g)(m) | USD CLO | 470 | 464 | 441 | |||||||||||
| Midocean Credit CLO VIII, Series 2018-8A, Class D, ABS, L+2.9%, 8.3%, 2/20/31 | (g)(m) | USD CLO | 250 | 237 | 224 | |||||||||||
| Milltown Park CLO DAC, Series 1A, Class B, ABS, E+1.8%, 5.5%, 1/15/31 | (g)(m) | EUR CLO | € | 260 | 259 | 276 | ||||||||||
| Mitchells & Butlers Finance PLC, Series C1, 6.5%, 9/15/30 | (i)(l) | Retail | £ | 719 | 1,108 | 812 | ||||||||||
| Mitchells & Butlers Finance PLC, Series C2, SONIA+2.0%, 7.1%, 9/15/34 | (i)(l)(m) | Retail | 972 | 1,149 | 1,020 | |||||||||||
| Mitchells & Butlers Finance PLC, Series D1, SONIA+2.4%, 7.2%, 6/15/36 | (i)(l)(m) | Retail | 481 | 546 | 498 | |||||||||||
See notes to unaudited consolidated schedule of investments.
16
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| MKS CLO Ltd., Series 2017-2A, Class D, ABS, S+2.9%, 8.2%, 1/20/31 | (g)(m) | USD CLO | $ | 535 | $ | 517 | $ | 503 | ||||||||
| MKS CLO Ltd., Series 2017-1A, Class D, ABS, S+4.4%, 9.7%, 7/20/30 | (g)(m) | USD CLO | 665 | 633 | 648 | |||||||||||
| Monroe Capital CLO Ltd., Series 2014-1X, Class E, ABS, S+5.7%, 11.0%, 10/22/26 | (l)(m) | USD CLO | 151 | 149 | 147 | |||||||||||
| Monroe Capital MML CLO Ltd., Series 2017-1A, Class E, ABS, S+7.6%, 13.0%, 4/22/29 | (g)(m) | USD CLO | 525 | 524 | 500 | |||||||||||
| Monroe Capital MML CLO VI Ltd., Series 2018-1A, Class E, ABS, L+6.9%, 12.5%, 4/15/30 | (g)(m) | USD CLO | 290 | 281 | 261 | |||||||||||
| Mountain View CLO LLC, Series 2017-1A, Class D, ABS, L+3.6%, 9.2%, 10/16/29 | (g)(m) | USD CLO | 250 | 247 | 244 | |||||||||||
| Newark BSL CLO 2 Ltd., Series 2017-1A, Class BR, ABS, S+2.0%, 7.4%, 7/25/30 | (g)(m) | USD CLO | 340 | 330 | 329 | |||||||||||
| Newstar Exeter Fund CLO LLC, Series 2015-1RA, Class E, ABS, L+7.2%, 12.8%, 1/20/27 | (g)(m) | USD CLO | 293 | 293 | 292 | |||||||||||
| Oak Hill European Credit Partners IV DAC, Series 2015-4X, Class DR, ABS, E+2.5%, 6.2%, 1/20/32 | (l)(m) | EUR CLO | € | 540 | 528 | 548 | ||||||||||
| Oaktree CLO Ltd., Series 2020-1A, Class BR, ABS, S+1.9%, 7.2%, 7/15/34 | (g)(m) | USD CLO | $ | 295 | 284 | 289 | ||||||||||
| Oaktree CLO Ltd., Series 2019-4A, Class CR, ABS, S+2.5%, 7.8%, 10/20/32 | (g)(m) | USD CLO | 650 | 597 | 642 | |||||||||||
| OCP CLO Ltd., Series 2014-5A, Class BR, ABS, S+2.1%, 7.4%, 4/26/31 | (g)(m) | USD CLO | 385 | 366 | 373 | |||||||||||
| OCP CLO Ltd., Series 2017-13A, Class CR, ABS, S+3.4%, 8.7%, 7/15/30 | (g)(m) | USD CLO | 450 | 418 | 433 | |||||||||||
| OCP CLO Ltd., Series 2016-11A, Class CR, ABS, S+3.9%, 9.3%, 10/26/30 | (g)(m) | USD CLO | 440 | 420 | 438 | |||||||||||
| OCP Euro CLO DAC, Series 2017-2X, Class D, ABS, E+2.8%, 6.4%, 1/15/32 | (l)(m) | EUR CLO | € | 355 | 314 | 371 | ||||||||||
| OCP Euro CLO DAC, Series 2022-5A, Class E, ABS, E+6.5%, 10.2%, 4/20/35 | (g)(m) | EUR CLO | 250 | 277 | 252 | |||||||||||
| Octagon Investment Partners XXI Ltd., Series 2014-1A, Class BR3, ABS, L+1.8%, 7.1%, 2/14/31 | (g)(m) | USD CLO | $ | 250 | 243 | 242 | ||||||||||
| OFSI BSL VIII Ltd., Series 2017-1A, Class BR, ABS, S+1.8%, 7.1%, 8/16/29 | (g)(m) | USD CLO | 855 | 822 | 850 | |||||||||||
| OHA Credit Funding 4 Ltd., Series 2019-4A, Class CR, ABS, L+2.1%, 7.7%, 10/22/36 | (g)(m) | USD CLO | 250 | 246 | 246 | |||||||||||
| OZLM Funding IV Ltd., Series 2013-4A, Class CR, ABS, S+3.6%, 9.0%, 10/22/30 | (g)(m) | USD CLO | 250 | 245 | 241 | |||||||||||
| OZLM VII Ltd., Series 2014-7RA, Class CR, ABS, S+3.3%, 8.6%, 7/17/29 | (g)(m) | USD CLO | 250 | 242 | 252 | |||||||||||
| OZLM XIV Ltd., Series 2015-14A, Class CRR, ABS, S+3.7%, 9.0%, 7/15/34 | (g)(m) | USD CLO | 465 | 421 | 436 | |||||||||||
| OZLM XVI Ltd., Series 2017-16A, Class C, ABS, L+3.6%, 8.9%, 5/16/30 | (g)(m) | USD CLO | 250 | 244 | 239 | |||||||||||
| OZLM XVIII Ltd., Series 2018-18A, Class B, ABS, S+1.8%, 7.1%, 4/15/31 | (g)(m) | USD CLO | 250 | 241 | 246 | |||||||||||
| OZLM XXII Ltd., Series 2018-22A, Class A2, ABS, S+1.8%, 7.1%, 1/17/31 | (g)(m) | USD CLO | 250 | 240 | 242 | |||||||||||
| OZLM XXII Ltd., Series 2018-22A, Class C, ABS, S+2.9%, 8.2%, 1/17/31 | (g)(m) | USD CLO | 472 | 445 | 423 | |||||||||||
| OZLM XXIV Ltd., Series 2019-24A, Class BR, ABS, S+2.6%, 7.9%, 7/20/32 | (g)(m) | USD CLO | 295 | 285 | 284 | |||||||||||
| OZLM XXIV Ltd., Series 2019-24X, Class C1R, ABS, S+3.7%, 9.0%, 7/20/32 | (l)(m) | USD CLO | 430 | 394 | 402 | |||||||||||
| Palmer Square Loan Funding Ltd., Series 2020-4A, Class E, ABS, L+8.6%, 14.0%, 11/25/28 | (g)(m) | USD CLO | 250 | 251 | 236 | |||||||||||
| Parallel Ltd., Series 2017-1A, Class DR, ABS, S+3.4%, 8.7%, 7/20/29 | (g)(m) | USD CLO | 530 | 516 | 465 | |||||||||||
| Parallel Ltd., Series 2015-1A, Class E, ABS, S+5.4%, 10.7%, 7/20/27 | (g)(m) | USD CLO | 755 | 743 | 730 | |||||||||||
See notes to unaudited consolidated schedule of investments.
17
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Park Avenue Institutional Advisers CLO Ltd., Series 2019-2A, Class A2R, ABS, S+2.0%, 7.3%, 10/15/34 | (g)(m) | USD CLO | $ | 565 | $ | 538 | $ | 555 | ||||||||
| Penta CLO 5 DAC, Series 2018-5X, Class CR, ABS, E+2.4%, 6.1%, 4/20/35 | (l)(m) | EUR CLO | € | 100 | 107 | 107 | ||||||||||
| Penta CLO 5 DAC, Series 2018-5X, Class DR, ABS, E+3.7%, 7.4%, 4/20/35 | (l)(m) | EUR CLO | 525 | 521 | 560 | |||||||||||
| Penta CLO 7 DAC, Series 2020-7X, Class B1, ABS, E+1.7%, 5.4%, 1/25/33 | (l)(m) | EUR CLO | 205 | 191 | 218 | |||||||||||
| Penta CLO 7 DAC, Series 2020-7X, Class D, ABS, E+3.1%, 6.8%, 1/25/33 | (l)(m) | EUR CLO | 100 | 100 | 100 | |||||||||||
| Penta CLO 8 DAC, Series 2020-8X, Class CR, ABS, E+2.2%, 5.8%, 1/15/34 | (l)(m) | EUR CLO | 240 | 245 | 253 | |||||||||||
| Penta CLO 9 DAC, Series 2021-9A, Class D, ABS, E+3.1%, 6.8%, 7/25/36 | (g)(m) | EUR CLO | 335 | 281 | 345 | |||||||||||
| Peterborough Progress Health PLC 5.6%, 10/2/42 | (i)(l) | Healthcare-Services | £ | 570 | 983 | 649 | ||||||||||
| Polaris PLC, Series 2021-1, Class D, ABS, SONIA+1.7%, 6.6%, 12/23/58 | (l)(m) | GBP CLO | 100 | 123 | 123 | |||||||||||
| Polaris PLC, Series 2021-1, Class E, ABS, SONIA+2.3%, 7.2%, 12/23/58 | (l)(m) | GBP CLO | 100 | 122 | 122 | |||||||||||
| Preferred Term Securities XXIV Ltd./Preferred Term Securities XXIV, Inc., Class A2, L+0.4%, 5.9%, 3/22/37 | (g)(m) | Diversified Financial Services | $ | 430 | 345 | 308 | ||||||||||
| Preferred Term Securities XXVI Ltd./Preferred Term Securities XXVI, Inc., Series A2, L+0.4%, 5.9%, 9/22/37 | (g)(m) | Diversified Financial Services | 269 | 223 | 207 | |||||||||||
| Providus CLO I DAC, Series 1X, Class C1, ABS, E+1.6%, 4.9%, 5/14/31 | (l)(m) | EUR CLO | € | 225 | 222 | 235 | ||||||||||
| Providus CLO II DAC, Series 2X, Class CR, ABS, E+2.4%, 6.0%, 7/15/31 | (l)(m) | EUR CLO | 540 | 496 | 578 | |||||||||||
| Providus CLO III DAC, Series 3X, Class B1RE, ABS, E+1.7%, 5.3%, 7/18/34 | (l)(m) | EUR CLO | 270 | 245 | 285 | |||||||||||
| Providus CLO IV DAC, Series 4X, Class B1R, ABS, E+1.6%, 5.3%, 4/20/34 | (l)(m) | EUR CLO | 355 | 365 | 376 | |||||||||||
| Providus CLO IV DAC, Series 4X, Class DR, ABS, E+3.3%, 7.0%, 4/20/34 | (l)(m) | EUR CLO | 420 | 413 | 427 | |||||||||||
| Providus CLO V DAC, Series 5X, Class D, ABS, E+3.0%, 6.3%, 2/15/35 | (l)(m) | EUR CLO | 370 | 380 | 380 | |||||||||||
| Providus CLO VI DAC, Series 6X, Class D, ABS, E+3.2%, 6.6%, 5/20/34 | (l)(m) | EUR CLO | 780 | 754 | 780 | |||||||||||
| Regatta VIII Funding Ltd., Series 2017-1A, Class D, ABS, S+3.5%, 8.8%, 10/17/30 | (g)(m) | USD CLO | $ | 425 | 409 | 414 | ||||||||||
| Rockford Tower Europe CLO DAC, Series 2018-1A, Class C, ABS, E+2.5%, 6.0%, 12/20/31 | (g)(m) | EUR CLO | € | 360 | 389 | 386 | ||||||||||
| RR 4 Ltd., Series 2018-4A, Class C, ABS, S+3.2%, 8.5%, 4/15/30 | (g)(m) | USD CLO | $ | 250 | 234 | 234 | ||||||||||
| RRE 5 Loan Management DAC, Series 5X, Class A2R, ABS, E+1.8%, 5.4%, 1/15/37 | (l)(m) | EUR CLO | € | 620 | 547 | 661 | ||||||||||
| RRE 6 Loan Management DAC, Series 6X, Class A2E, ABS, E+1.4%, 5.1%, 4/15/35 | (l)(m) | EUR CLO | 505 | 440 | 523 | |||||||||||
| RRE 7 Loan Management DAC, Series 7A, Class A2, ABS, E+1.6%, 5.3%, 1/15/36 | (g)(m) | Other ABS | 455 | 485 | 478 | |||||||||||
| Santander Bank Auto Credit-Linked Notes, Series 2023-MTG1, Class M2, ABS, S+4.9%, 10.0%, 2/26/52 | (g)(m) | USD CLO | $ | 241 | 255 | 251 | ||||||||||
| Saranac CLO I Ltd., Series 2013-1A, Class CR, ABS, L+2.9%, 8.5%, 7/26/29 | (g)(m) | USD CLO | 575 | 555 | 565 | |||||||||||
| Sculptor CLO XXIX Ltd., Series 29A, Class D2, ABS, S+5.1%, 10.5%, 10/22/34 | (g)(m) | USD CLO | 350 | 308 | 314 | |||||||||||
| Sculptor European CLO I DAC, Series 1X, Class BRR, ABS, E+1.6%, 5.3%, 4/18/34 | (l)(m) | EUR CLO | € | 300 | 273 | 318 | ||||||||||
| Sculptor European CLO I DAC, Series 1A, Class DRR, ABS, E+3.5%, 7.2%, 4/18/34 | (g)(m) | EUR CLO | 475 | 455 | 496 | |||||||||||
| Sculptor European CLO VI DAC, Series 6X, Class CR, ABS, E+2.3%, 6.0%, 10/15/34 | (l)(m) | EUR CLO | 590 | 577 | 620 | |||||||||||
See notes to unaudited consolidated schedule of investments.
18
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Shackleton CLO Ltd., Series 2015-8X, Class DR, ABS, S+3.0%, 8.3%, 10/20/27 | (l)(m) | USD CLO | $ | 460 | $ | 441 | $ | 460 | ||||||||
| Shackleton CLO Ltd., Series 2021-16A, Class D2, ABS, S+5.2%, 10.5%, 10/20/34 | (g)(m) | USD CLO | 1,220 | 1,202 | 1,150 | |||||||||||
| Shackleton CLO Ltd., Series 2015-8A, Class ER, ABS, S+5.6%, 10.9%, 10/20/27 | (g)(m) | USD CLO | 440 | 435 | 422 | |||||||||||
| Smeralda SPV Srl 5.0%, 12/22/33 | (e) | EUR CLO | € | 411 | 492 | 453 | ||||||||||
| Smeralda SPV Srl 5.3%, 12/22/34 | (e) | EUR CLO | 2,280 | 2,558 | 2,599 | |||||||||||
| Sound Point Clo XV Ltd., Series 2017-1A, Class CR, ABS, S+2.3%, 7.7%, 1/23/29 | (g)(m) | USD CLO | $ | 365 | 357 | 365 | ||||||||||
| Sound Point Euro CLO I Funding DAC, Series 1X, Class DR, ABS, E+3.1%, 6.8%, 5/25/34 | (l)(m) | EUR CLO | € | 215 | 207 | 221 | ||||||||||
| Sound Point Euro CLO II Funding DAC, Series 2X, Class DR, ABS, E+3.3%, 6.9%, 1/26/36 | (l)(m) | EUR CLO | 605 | 590 | 631 | |||||||||||
| Sound Point Euro CLO V Funding DAC, Series 5X, Class C1, ABS, E+2.3%, 6.0%, 7/25/35 | (l)(m) | EUR CLO | 210 | 188 | 222 | |||||||||||
| Sound Point Euro CLO VII Funding DAC, Series 7A, Class D, ABS, E+3.2%, 6.9%, 1/25/35 | (g)(m) | EUR CLO | 555 | 544 | 566 | |||||||||||
| Sound Point Euro CLO VII Funding DAC, Series 7X, Class DE, ABS, E+3.2%, 6.9%, 1/25/35 | (l)(m) | EUR CLO | 675 | 656 | 689 | |||||||||||
| St. Paul’s CLO III-R DAC, Series 3RX, Class B1R, ABS, E+1.2%, 4.8%, 1/15/32 | (l)(m) | EUR CLO | 330 | 320 | 350 | |||||||||||
| St. Paul’s CLO III-R DAC, Series 3RX, Class CR, ABS, E+1.6%, 5.3%, 1/15/32 | (l)(m) | EUR CLO | 425 | 439 | 436 | |||||||||||
| St. Paul’s CLO III-R DAC, Series 3RX, Class DR, ABS, E+2.4%, 6.1%, 1/15/32 | (l)(m) | EUR CLO | 1,090 | 1,112 | 1,091 | |||||||||||
| St. Paul’s CLO IV DAC, Series 4X, Class CRRE, ABS, E+2.7%, 6.4%, 4/25/30 | (l)(m) | EUR CLO | 360 | 351 | 365 | |||||||||||
| St. Paul’s CLO IV DAC, Series 4X, Class CRRR, ABS, E+2.7%, 6.4%, 4/25/30 | (l)(m) | EUR CLO | 365 | 375 | 370 | |||||||||||
| St. Paul’s CLO V DAC, Series 5X, Class DR, ABS, E+3.0%, 6.4%, 2/20/30 | (l)(m) | EUR CLO | 375 | 401 | 387 | |||||||||||
| St. Paul’s CLO VI DAC, Series 6A, Class CRR, ABS, E+2.6%, 6.0%, 5/20/34 | (g)(m) | EUR CLO | 305 | 274 | 323 | |||||||||||
| St. Paul’s CLO VI DAC, Series 6A, Class DRRE, ABS, E+3.3%, 6.7%, 5/20/34 | (g)(m) | EUR CLO | 520 | 493 | 530 | |||||||||||
| St. Paul’s CLO VIII DAC, Series 8X, Class D, ABS, E+2.5%, 6.1%, 7/17/30 | (l)(m) | EUR CLO | 330 | 293 | 336 | |||||||||||
| St. Paul’s CLO XI DAC, Series 11X, Class DR, ABS, E+3.1%, 6.7%, 1/17/32 | (l)(m) | EUR CLO | 340 | 334 | 349 | |||||||||||
| St. Paul’s CLO XII DAC, Series 12X, Class D, ABS, E+3.2%, 6.9%, 4/15/33 | (l)(m) | EUR CLO | 865 | 838 | 872 | |||||||||||
| Steele Creek CLO Ltd., Series 2017-1A, Class C, ABS, S+2.2%, 7.5%, 10/15/30 | (g)(m) | USD CLO | $ | 250 | 239 | 240 | ||||||||||
| Steele Creek CLO Ltd., Series 2014-1RA, Class C, ABS, S+2.2%, 7.5%, 4/21/31 | (g)(m) | USD CLO | 250 | 225 | 240 | |||||||||||
| Stratton Hawksmoor PLC, Series 2022-1A, Class E, ABS, SONIA+2.0%, 6.8%, 2/25/53 | (g)(m) | GBP CLO | £ | 250 | 303 | 303 | ||||||||||
| Symphony CLO XIX Ltd., Series 2018-19A, Class D, ABS, S+2.8%, 8.1%, 4/16/31 | (g)(m) | USD CLO | $ | 250 | 248 | 234 | ||||||||||
| TBW Mortgage-Backed Trust, Series 2006-6, Class A4, CMO, 6.4%, 1/25/37 | USD CLO | 50 | 39 | 42 | ||||||||||||
| TCI-Symphony CLO Ltd., Series 2017-1A, Class D, ABS, S+3.7%, 9.0%, 7/15/30 | (g)(m) | USD CLO | 400 | 384 | 386 | |||||||||||
| Terwin Mortgage Trust, Series 2006-6, Class 1A2, ABS, 0.2%, 7/25/37 | (g)(m) | USD CLO | 45 | 16 | 18 | |||||||||||
| THL Credit Wind River CLO Ltd., Series 2017-4A, Class C, ABS, L+1.8%, 7.1%, 11/20/30 | (g)(m) | USD CLO | 305 | 293 | 290 | |||||||||||
| Tikehau CLO II BV, Series 2X, Class DRR, ABS, E+3.4%, 6.9%, 9/7/35 | (l)(m) | EUR CLO | € | 425 | 386 | 439 | ||||||||||
| Tikehau CLO III DAC, Series 3X, Class C, ABS, E+1.9%, 5.3%, 12/1/30 | (l)(m) | EUR CLO | 165 | 177 | 175 | |||||||||||
See notes to unaudited consolidated schedule of investments.
19
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Tikehau CLO III DAC, Series 3X, Class D, ABS, E+2.7%, 6.2%, 12/1/30 | (l)(m) | EUR CLO | € | 220 | $ | 235 | $ | 227 | ||||||||
| Toro European CLO 6 DAC, Series 6X, Class CR, ABS, E+2.5%, 6.1%, 1/12/32 | (l)(m) | EUR CLO | 400 | 428 | 418 | |||||||||||
| Trinitas Euro CLO II DAC, Series 2A, Class DR, ABS, E+4.6%, 8.3%, 4/15/35 | (g)(m) | EUR CLO | 250 | 272 | 276 | |||||||||||
| Tymon Park CLO DAC, Series 1X, Class CRR, ABS, E+3.2%, 6.8%, 7/21/34 | (l)(m) | EUR CLO | 340 | 304 | 352 | |||||||||||
| Unique Pub Finance Co. PLC, Series A4, 5.7%, 6/30/27 | (i)(l) | Real Estate | £ | 945 | 1,417 | 1,217 | ||||||||||
| Unique Pub Finance Co. PLC, Series N, 6.5%, 3/30/32 | (i)(l) | Real Estate | 1,036 | 1,405 | 1,335 | |||||||||||
| Unique Pub Finance Co. PLC, Series M, 7.4%, 3/28/24 | (i)(l) | Real Estate | 96 | 136 | 123 | |||||||||||
| Venture 44 CLO Ltd., Series 2021-44A, Class D2, ABS, S+5.2%, 10.6%, 10/20/34 | (g)(m) | USD CLO | $ | 630 | 624 | 585 | ||||||||||
| Venture XVII CLO Ltd., Series 2014-17A, Class CRR, ABS, S+2.1%, 7.4%, 4/15/27 | (g)(m) | USD CLO | 160 | 156 | 157 | |||||||||||
| Venture XVII CLO Ltd., Series 2014-17A, Class DRR, ABS, S+3.1%, 8.4%, 4/15/27 | (g)(m) | USD CLO | 1,330 | 1,310 | 1,299 | |||||||||||
| Venture XXIV CLO Ltd., Series 2016-24A, Class D2, ABS, S+4.3%, 9.6%, 10/20/28 | (g)(m) | USD CLO | 530 | 523 | 503 | |||||||||||
| Venture XXV CLO Ltd., Series 2016-25A, Class D2, ABS, S+4.5%, 9.8%, 4/20/29 | (g)(m) | USD CLO | 135 | 135 | 135 | |||||||||||
| Vesey Park CLO DAC, Series 1X, Class B, ABS, E+2.3%, 5.6%, 11/16/32 | (l)(m) | EUR CLO | € | 140 | 151 | 147 | ||||||||||
| Vibrant CLO VI Ltd., Series 2017-6A, Class D, ABS, L+3.9%, 9.4%, 6/20/29 | (g)(m) | USD CLO | $ | 250 | 248 | 250 | ||||||||||
| Voya CLO Ltd., Series 2019-1A, Class DR, ABS, S+3.1%, 8.4%, 4/15/31 | (g)(m) | USD CLO | 250 | 233 | 231 | |||||||||||
| Voya Euro CLO I DAC, Series 1X, Class D, ABS, E+2.5%, 6.2%, 10/15/30 | (l)(m) | EUR CLO | € | 475 | 466 | 486 | ||||||||||
| Voya Euro CLO II DAC, Series 2X, Class DR, ABS, E+3.2%, 6.9%, 7/15/35 | (l)(m) | EUR CLO | 610 | 600 | 625 | |||||||||||
| Voya Euro CLO IV DAC, Series 4X, Class DR, ABS, E+3.1%, 6.8%, 10/15/34 | (l)(m) | EUR CLO | 115 | 119 | 117 | |||||||||||
| Webster Park CLO Ltd., Series 2015-1A, Class BR, ABS, S+2.1%, 7.4%, 7/20/30 | (g)(m) | USD CLO | $ | 320 | 297 | 311 | ||||||||||
| Wellfleet CLO Ltd., Series 2017-2A, Class C, ABS, S+3.7%, 9.0%, 10/20/29 | (g)(m) | USD CLO | 395 | 375 | 370 | |||||||||||
| WhiteHorse X Ltd., Series 2015-10A, Class E, ABS, S+5.6%, 10.9%, 4/17/27 | (g)(m) | USD CLO | 1,387 | 1,387 | 1,370 | |||||||||||
| Wind River CLO Ltd., Series 2016-1KRA, Class D2R2, ABS, S+5.4%, 10.7%, 10/15/34 | (g)(m) | USD CLO | 915 | 904 | 823 | |||||||||||
| Z Capital Credit Partners CLO Ltd., Series 2019-1A, Class CR, ABS, S+3.2%, 8.5%, 7/16/31 | (g)(m) | USD CLO | 455 | 440 | 448 | |||||||||||
| Zais CLO 14 Ltd., Series 2020-14A, Class DR, ABS, S+4.8%, 10.1%, 4/15/32 | (g)(m) | USD CLO | 475 | 475 | 465 | |||||||||||
| Zais CLO 5 Ltd., Series 2016-2A, Class C, ABS, S+4.8%, 10.1%, 10/15/28 | (g)(m) | USD CLO | 510 | 502 | 486 | |||||||||||
| Total Collateralized Loan Obligation / Structured Credit | 162,237 | 163,379 | ||||||||||||||
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Convertible Bonds—2.5% | ||||||||||||||||
| Groupon, Inc., 1.1%, 3/15/26 | (i) | Internet | $ | 6,209 | $ | 4,778 | $ | 2,505 | ||||||||
| Liberty Interactive LLC, 4.0%, 11/15/29 | (i) | Media Entertainment | 3,707 | 3,022 | 891 | |||||||||||
| Liberty Interactive LLC, 3.8%, 2/15/30 | (i) | Media Entertainment | 1,162 | 915 | 262 | |||||||||||
| Liberty Latin America Ltd., 2.0%, 7/15/24 | (i) | Media Entertainment | 5,514 | 5,423 | 5,227 | |||||||||||
| RingCentral, Inc., 0.0%, 3/1/25 | (i)(q) | Software | 6,115 | 5,615 | 5,656 | |||||||||||
| Total Convertible Bonds | 19,753 | 14,541 | ||||||||||||||
See notes to unaudited consolidated schedule of investments.
20
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Principal Amount(b) | Amortized Cost | Fair Value(c) | ||||||||||||
| Municipal Bonds—0.5% | ||||||||||||||||
| City of Detroit, COPs, 4.8%, 6/15/49 | (i)(k)(r) | $ | 204 | $ | 154 | $ | 204 | |||||||||
| City of Detroit, COPs, 4.9%, 6/15/25 | (i)(k)(r) | 710 | 535 | 710 | ||||||||||||
| PRHTA Custodial Trust, Series N, 0.0%, 12/6/49 | 595 | 565 | 313 | |||||||||||||
| Puerto Rico Electric Power Authority, Series A, 5.0%, 7/1/29 | (k)(r) | 440 | 300 | 165 | ||||||||||||
| Puerto Rico Electric Power Authority, Series A, 5.0%, 7/1/42 | (k)(r) | 10 | 7 | 4 | ||||||||||||
| Puerto Rico Electric Power Authority, Series A, 5.1%, 7/1/42 | (k)(r) | 15 | 11 | 6 | ||||||||||||
| Puerto Rico Electric Power Authority, Series A, 6.8%, 7/1/36 | (k)(r) | 445 | 330 | 167 | ||||||||||||
| Puerto Rico Electric Power Authority, Series A, 7.0%, 7/1/43 | (k)(r) | 80 | 53 | 30 | ||||||||||||
| Puerto Rico Electric Power Authority, Series A-3, 10.0%, 7/1/19 | (k)(r) | 10 | 8 | 4 | ||||||||||||
| Puerto Rico Electric Power Authority, Series AAA, 5.3%, 7/1/22 | (k)(r) | 55 | 35 | 20 | ||||||||||||
| Puerto Rico Electric Power Authority, Series AAA, 5.3%, 7/1/27 | (k)(r) | 355 | 233 | 133 | ||||||||||||
| Puerto Rico Electric Power Authority, Series AAA, 5.3%, 7/1/31 | (k)(r) | 120 | 78 | 45 | ||||||||||||
| Puerto Rico Electric Power Authority, Series B-3, 10.0%, 7/1/19 | (k)(r) | 10 | 8 | 4 | ||||||||||||
| Puerto Rico Electric Power Authority, Series BBB, 5.4%, 7/1/28 | (k)(r) | 1,690 | 1,269 | 634 | ||||||||||||
| Puerto Rico Electric Power Authority, Series C-1, 5.4%, 1/1/18 | (k)(r) | 30 | 23 | 11 | ||||||||||||
| Puerto Rico Electric Power Authority, Series C-2, 5.4%, 7/1/18 | (k)(r) | 20 | 16 | 7 | ||||||||||||
| Puerto Rico Electric Power Authority, Series C-3, 5.4%, 1/1/20 | (k)(r) | 5 | 4 | 2 | ||||||||||||
| Puerto Rico Electric Power Authority, Series CCC, 5.0%, 7/1/25 | (k)(r) | 5 | 4 | 2 | ||||||||||||
| Puerto Rico Electric Power Authority, Series CCC, 5.0%, 7/1/28 | (k)(r) | 25 | 20 | 9 | ||||||||||||
| Puerto Rico Electric Power Authority, Series DDD, 3.8%, 7/1/22 | (k)(r) | 5 | 3 | 2 | ||||||||||||
| Puerto Rico Electric Power Authority, Series DDD, 5.0%, 7/1/19 | (k)(r) | 10 | 8 | 4 | ||||||||||||
| Puerto Rico Electric Power Authority, Series DDD, 5.0%, 7/1/20 | (k)(r) | 110 | 72 | 41 | ||||||||||||
| Puerto Rico Electric Power Authority, Series DDD, 5.0%, 7/1/21 | (k)(r) | 60 | 39 | 22 | ||||||||||||
| Puerto Rico Electric Power Authority, Series E-1, 10.0%, 1/1/21 | (k)(r) | 69 | 61 | 26 | ||||||||||||
| Puerto Rico Electric Power Authority, Series E-2, 10.0%, 7/1/21 | (k)(r) | 69 | 61 | 26 | ||||||||||||
| Puerto Rico Electric Power Authority, Series E-3, 10.0%, 1/1/22 | (k)(r) | 18 | 16 | 7 | ||||||||||||
| Puerto Rico Electric Power Authority, Series E-4, 10.0%, 7/1/22 | (k)(r) | 18 | 16 | 7 | ||||||||||||
| Puerto Rico Electric Power Authority, Series EEE, 6.0%, 7/1/30 | (k)(r) | 25 | 16 | 9 | ||||||||||||
| Puerto Rico Electric Power Authority, Series EEE, 6.3%, 7/1/40 | (k)(r) | 5 | 3 | 2 | ||||||||||||
| Puerto Rico Electric Power Authority, Series NN, 5.5%, 7/1/20 | (k)(r) | 30 | 21 | 11 | ||||||||||||
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/20 | (k)(r) | 5 | 4 | 2 | ||||||||||||
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/21 | (k)(r) | 5 | 3 | 2 | ||||||||||||
See notes to unaudited consolidated schedule of investments.
21
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Principal Amount(b) | Amortized Cost | Fair Value(c) | ||||||||||||
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/23 | (k)(r) | $ | 25 | $ | 22 | $ | 9 | |||||||||
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/24 | (k)(r) | 20 | 16 | 7 | ||||||||||||
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/25 | (k)(r) | 80 | 68 | 30 | ||||||||||||
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/27 | (k)(r) | 35 | 27 | 13 | ||||||||||||
| Puerto Rico Electric Power Authority, Series UU, 0.0%, 7/1/17 | (k)(m)(r) | 15 | 10 | 5 | ||||||||||||
| Puerto Rico Electric Power Authority, Series UU, 0.0%, 7/1/18 | (k)(m)(r) | 15 | 10 | 6 | ||||||||||||
| Puerto Rico Electric Power Authority, Series UU, 0.0%, 7/1/20 | (k)(m) | 110 | 78 | 41 | ||||||||||||
| Puerto Rico Electric Power Authority, Series UU, 4.2%, 7/1/25 (L+0.7%) | (k)(m)(r) | 25 | 18 | 9 | ||||||||||||
| Puerto Rico Electric Power Authority, Series UU, 4.4%, 7/1/31 (L+0.7%) | (k)(m)(r) | 110 | 80 | 41 | ||||||||||||
| Puerto Rico Electric Power Authority, Series VV, 5.5%, 7/1/20 | (k)(r) | 15 | 12 | 6 | ||||||||||||
| Puerto Rico Electric Power Authority, Series WW, 5.3%, 7/1/33 | (k)(r) | 380 | 304 | 142 | ||||||||||||
| Puerto Rico Electric Power Authority, Series WW, 5.5%, 7/1/21 | (k)(r) | 80 | 67 | 30 | ||||||||||||
| Puerto Rico Electric Power Authority, Series XX, 5.3%, 7/1/35 | (k)(r) | 15 | 10 | 6 | ||||||||||||
| Puerto Rico Electric Power Authority, Series XX, 5.3%, 7/1/40 | (k)(r) | 75 | 47 | 28 | ||||||||||||
| Puerto Rico Electric Power Authority, Series YY, 6.1%, 7/1/40 | (k)(r) | 195 | 122 | 73 | ||||||||||||
| Puerto Rico Electric Power Authority, Series ZZ, 5.0%, 7/1/17 | (k)(r) | 15 | 11 | 6 | ||||||||||||
| Puerto Rico Electric Power Authority, Series ZZ, 5.3%, 7/1/19 | (k)(r) | 10 | 6 | 4 | ||||||||||||
| Puerto Rico Electric Power Authority, Series ZZ, 5.3%, 7/1/24 | (k)(r) | 5 | 4 | 2 | ||||||||||||
| Puerto Rico Electric Power Authority, Series ZZ, 5.3%, 7/1/25 | (k)(r) | 5 | 4 | 2 | ||||||||||||
| Total Municipal Bonds | 4,892 | 3,091 | ||||||||||||||
| Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
| Emerging Markets Debt—0.9% | ||||||||||||||||
| Argentina Government International Bond, 0.1%, 7/9/30 | (i) | Sovereign | € | 1,895 | $ | 1,031 | $ | 636 | ||||||||
| Argentina Government International Bond, 0.8%, 7/9/30 | (i) | Sovereign | $ | 591 | 202 | 205 | ||||||||||
| Argentina Government International Bond, 2.5%, 7/9/46 | (i) | Sovereign | € | 81 | 36 | 25 | ||||||||||
| Argentina Government International Bond, 3.6%, 7/9/35 | (i) | Sovereign | $ | 1,096 | 359 | 343 | ||||||||||
| Argentina Government International Bond, 3.6%, 7/9/46 | (i) | Sovereign | 704 | 339 | 221 | |||||||||||
| Petroleos Mexicanos, 6.7%, 2/16/32 | (i) | Oil & Gas | 1,831 | 1,482 | 1,412 | |||||||||||
| Petroleos Mexicanos, 6.8%, 1/23/30 | (i) | Oil & Gas | 2,155 | 1,806 | 1,729 | |||||||||||
| Provincia de Buenos Aires/Government Bond, 4.5%, 9/1/37 | (i)(l) | Provincial | 583 | 236 | 181 | |||||||||||
| Provincia de Buenos Aires/Government Bond, 5.3%, 9/1/37 | (i)(l) | Provincial | 512 | 242 | 200 | |||||||||||
| Total Emerging Markets Debt | 5,733 | 4,952 | ||||||||||||||
See notes to unaudited consolidated schedule of investments.
22
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Portfolio Company(a) | Footnotes | Industry | Number of Shares | Cost(b) | Fair Value(c) | |||||||||||
| Preferred Equity—0.3% | ||||||||||||||||
| Midwest Veterinary Partners LLC, 12.0% | (e)(s) | Healthcare-Services | 1,765 | $ | 1,730 | $ | 1,580 | |||||||||
| Verscend Intermediate Holding Corp., 12.3% | (e) | Software | 200 | 194 | 199 | |||||||||||
| Total Preferred Equity | 1,924 | 1,779 | ||||||||||||||
| Common Equity—0.5% | ||||||||||||||||
| ATD New Holdings, Inc. | (r) | Distribution/Wholesale | 1,964 | 36 | 85 | |||||||||||
| Endo International PLC, Rights | Pharmaceuticals | 4,370 | — | 46 | ||||||||||||
| Quorum Health Corp. | (e)(r) | Healthcare-Services | 48,950 | 492 | 76 | |||||||||||
| Quorum Litigation Trust, Initial Funding | (e)(r) | Healthcare-Services | 157,000 | — | — | |||||||||||
| Quorum Litigation Trust, Units | (e)(r) | Healthcare-Services | 2,399 | 2 | 2 | |||||||||||
| Seadrill Ltd. | (r) | Oil & Gas | 6,624 | 134 | 324 | |||||||||||
| Solocal Group | (r) | Internet | 492,144 | 1,566 | 66 | |||||||||||
| Superior Energy Equity New 144A | (g)(r) | Oil & Gas | 1,228 | — | 85 | |||||||||||
| Superior Energy Equity New Sec 1145 | (r) | Oil & Gas | 26,438 | 333 | 1,823 | |||||||||||
| UTEX Industries Inc. | (r) | Miscellaneous Manufacturing | 8,041 | 240 | 533 | |||||||||||
| UTEX Industries Inc., Warrants, 12/3/25, Strike $114.76 | (e)(r) | Miscellaneous Manufacturing | 2,245 | 2 | 16 | |||||||||||
| Total Common Equity | 2,805 | 3,056 | ||||||||||||||
| Portfolio Company(a) | Footnotes | Yield | Number of Shares | Cost(b) | Fair Value(c) | |||||||||||
| Short-Term Investments—1.9% | ||||||||||||||||
| Morgan Stanley Institutional Liquidity Funds — Government Portfolio, Institutional Class | (t) | 5.19% | 10,952,000 | 10,952 | 10,952 | |||||||||||
| Total Short-Term Investments | 10,952 | 10,952 | ||||||||||||||
| TOTAL INVESTMENTS—117.8% | $ | 699,005 | 689,661 | |||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS—(17.8)%(u) | (103,877 | ) | ||||||||||||||
| NET ASSETS—100.0% | $ | 585,784 | ||||||||||||||
See notes to unaudited consolidated schedule of investments.
23
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Reverse Repurchase Agreements—(7.9)% | ||||||||
| Security Description | Principal Value(b) | Principal Value Including Accrued Interest | ||||||
| BNP Paribas 4.6%, agreement dated 7/17/23, to be repurchased on 10/17/23 (collateralized by Station Casinos LLC, 4.6% due 12/1/31 (fair value $1,633)) | $ | (1,414 | ) | $ | (1,417 | ) | ||
| BNP Paribas 5.3%, agreement dated 7/17/23, to be repurchased on 10/17/23 (collateralized by DISH DBS Corp., 5.3% due 12/1/26 (fair value $2,397)) | (1,903 | ) | (1,907 | ) | ||||
| BNP Paribas 5.8%, agreement dated 7/17/23, to be repurchased on 10/17/23 (collateralized by AHP Health Partners, Inc., 5.8% due 7/15/29 (fair value $2,092)) | (1,739 | ) | (1,743 | ) | ||||
| BNP Paribas 5.9%, agreement dated 7/17/23, to be repurchased on 10/17/23 (collateralized by Directv Financing LLC / Directv Financing Co-Obligor, Inc., 5.9% due 8/15/27 (fair value $4,865)) | (4,278 | ) | (4,288 | ) | ||||
| BNP Paribas 5.9%, agreement dated 6/30/23, to be repurchased on 10/2/23 (collateralized by Chesapeake Energy Corp., 5.9% due 2/1/29 (fair value $1,928), DaVita, Inc., 4.6% due 6/1/30 (fair value $1,640)), Ford Motor Co., 3.3% due 2/12/32 (fair value $1,561), PetSmart, Inc. / PetSmart Finance Corp., 7.8% due 2/15/29 (fair value $1,646), Victoria’s Secret & Co., 4.6% due 7/15/29 (fair value $3,889)) | (7,836 | ) | (7,877 | ) | ||||
| BNP Paribas 5.9%, agreement dated 6/30/23, to be repurchased on 10/2/23 (collateralized by Ford Motor Co., 3.3% due 2/12/32 (fair value $1,802)) | (1,376 | ) | (1,383 | ) | ||||
| BNP Paribas 6.0%, agreement dated 6/27/23, to be repurchased on 9/27/23 (collateralized by BellRing Brands, Inc., 7.0% due 3/15/30 (fair value $3,952)) | (1,678 | ) | (1,688 | ) | ||||
| BNP Paribas 6.5%, agreement dated 7/17/23, to be repurchased on 10/17/23 (collateralized by CSC Holdings LLC, 6.5% due 2/1/29 (fair value $2,230)) | (1,820 | ) | (1,825 | ) | ||||
| BNP Paribas 7.1%, agreement dated 7/17/23, to be repurchased on 10/17/23 (collateralized by California Resources Corp., 7.1% due 2/1/26 (fair value $1,759)) | (1,688 | ) | (1,693 | ) | ||||
| BNP Paribas 9.0%, agreement dated 7/17/23, to be repurchased on 10/17/23 (collateralized by Cloud Software Group, Inc., 9.0% due 9/30/29 (fair value $731)) | (1,495 | ) | (1,501 | ) | ||||
| BNP Paribas 9.3%, agreement dated 6/30/23, to be repurchased on 10/17/23 (collateralized by Royal Caribbean Cruises Ltd., 9.3% due 1/15/29 (fair value $2,009)) | (1,729 | ) | (1,736 | ) | ||||
| Royal Bank of Canada 5.9%, agreement dated 5/23/23, to be repurchased on 8/23/23 (collateralized by Academy Ltd., 6.0% due 11/15/27 (fair value $1,923)) | (1,563 | ) | (1,581 | ) | ||||
| Royal Bank of Canada 6.1%, agreement dated 6/2/23, to be repurchased on 9/1/23 (collateralized by Antero Resources Corp., 5.4% due 3/1/30 (fair value $1,112), and Carnival Holdings Bermuda Ltd., 10.4% due 5/1/28 (fair value $1,280) | (1,920 | ) | (1,940 | ) | ||||
| Royal Bank of Canada 6.2%, agreement dated 7/18/23, to be repurchased on 10/17/23 (collateralized by Cinemark USA, Inc., 5.3% due 7/15/28 (fair value $1,604), EPR Properties, 3.6% due 11/15/31 (fair value $2,955)), Gates Global LLC / Gates Corp., 6.3% due 1/15/26 (fair value $2,137), Hess Midstream Operations LP, 4.3% due 2/15/30 (fair value $1,623), TransDigm, Inc., 6.3% due 3/15/26 (fair value $1,889)) | (8,307 | ) | (8,271 | ) | ||||
| Total Reverse Repurchase Agreements | $ | (38,746 | ) | $ | (38,850 | ) | ||
| Investments Sold Short—(1.6)% | |||||||||||||||
| Portfolio Company(a) | Industry | Principal Amount(b) | Proceeds | Fair Value(c) | |||||||||||
| Government Bonds Sold Short—(1.6)% | |||||||||||||||
| U.K. Gilt, 1.3%, 7/22/27 | Sovereign | $ | (12 | ) | $ | 2 | $ | (14 | ) | ||||||
| U.S. Treasury Bond, 2.3%, 2/15/52 | Sovereign | (66 | ) | (40 | ) | (46 | ) | ||||||||
| U.S. Treasury Bond, 2.9%, 5/15/52 | Sovereign | (90 | ) | (70 | ) | (73 | ) | ||||||||
| U.S. Treasury Bond, 3.6%, 2/15/53 | Sovereign | (820 | ) | (778 | ) | (763 | ) | ||||||||
| U.S. Treasury Note, 3.5%, 4/30/28 | Sovereign | (5,956 | ) | (6,006 | ) | (5,774 | ) | ||||||||
| U.S. Treasury Note, 3.5%, 2/15/33 | Sovereign | (44 | ) | (44 | ) | (42 | ) | ||||||||
| U.S. Treasury Note, 4.1%, 11/15/32 | Sovereign | (2,822 | ) | (2,888 | ) | (2,853 | ) | ||||||||
| Total Government Bonds Sold Short | (9,824 | ) | (9,565 | ) | |||||||||||
| Total Investments Sold Short | $ | (9,824 | ) | $ | (9,565 | ) | |||||||||
| Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||
| Counterparty | Contract Settlement Date | Currency and Amount to be Received | Currency and Amount to be Delivered | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||
| BNP Parbias SA | 12/20/23 | USD | 497 | EUR | 456 | $ | — | $ | 8 | |||||||||||
| BNP Parbias SA | 12/20/23 | USD | 1,127 | EUR | 1,035 | — | 19 | |||||||||||||
| JPMorgan Chase Bank, N.A. | 12/20/23 | EUR | 9,408 | USD | 10,396 | 22 | — | |||||||||||||
| JPMorgan Chase Bank, N.A. | 12/20/23 | EUR | 300 | USD | 326 | 6 | — | |||||||||||||
See notes to unaudited consolidated schedule of investments.
24
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Counterparty | Contract
Settlement Date | Currency
and Amount to be Received | Currency and Amount to be Delivered | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||
| JPMorgan Chase Bank, N.A. | 12/20/23 | EUR | 130 | USD | 141 | $ | 3 | $ | — | |||||||||||
| JPMorgan Chase Bank, N.A. | 12/20/23 | USD | 1,137 | EUR | 1,045 | — | 20 | |||||||||||||
| JPMorgan Chase Bank, N.A. | 12/20/23 | USD | 992 | EUR | 912 | — | 18 | |||||||||||||
| JPMorgan Chase Bank, N.A. | 12/20/23 | USD | 1,319 | EUR | 1,183 | 9 | — | |||||||||||||
| JPMorgan Chase Bank, N.A. | 12/20/23 | USD | 72 | GBP | 57 | — | 1 | |||||||||||||
| State Street Bank and Trust Company | 12/20/23 | USD | 3,453 | EUR | 3,078 | 44 | — | |||||||||||||
| State Street Bank and Trust Company | 12/20/23 | USD | 11,271 | EUR | 7,413 | — | 155 | |||||||||||||
| State Street Bank and Trust Company | 12/20/23 | USD | 7,219 | EUR | 6,651 | — | 146 | |||||||||||||
| State Street Bank and Trust Company | 12/20/23 | USD | 891 | EUR | 821 | — | 18 | |||||||||||||
| State Street Bank and Trust Company | 12/20/23 | USD | 2,322 | EUR | 2,139 | — | 47 | |||||||||||||
| State Street Bank and Trust Company | 12/20/23 | USD | 735 | GBP | 577 | — | 6 | |||||||||||||
| State Street Bank and Trust Company | 12/20/23 | USD | 322 | GBP | 252 | — | 1 | |||||||||||||
| State Street Bank and Trust Company | 12/20/23 | USD | 1,697 | GBP | 1,337 | — | 19 | |||||||||||||
| State Street Bank and Trust Company | 12/20/23 | USD | 133 | GBP | 106 | — | 3 | |||||||||||||
| State Street Bank and Trust Company | 12/20/23 | USD | 409 | GBP | 318 | 1 | — | |||||||||||||
| Total Forward Foreign Currency Exchange Contracts | $ | 85 | $ | 461 | ||||||||||||||||
| Interest Rate Swaps (Centrally Cleared) | ||||||||||||||||||||||
| Counterparty | Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Fair Value(c) | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||
| Bank of America, N.A. | 3.29% | SOFR | USD 338 | 11/25/30 | Annually | $ | 8 | $ | 8 | $ | — | |||||||||||
| Goldman Sachs International | 2.93% | SOFR | USD 15 | 9/28/30 | Annually | 1 | 1 | — | ||||||||||||||
| Goldman Sachs International | 2.93% | SOFR | USD 24 | 9/28/30 | Quarterly | 1 | 1 | — | ||||||||||||||
| Goldman Sachs International | 2.94% | SOFR | USD 20 | 9/28/28 | Annually | 1 | 1 | — | ||||||||||||||
| Goldman Sachs International | 2.94% | SOFR | USD 33 | 9/28/28 | Annually | 1 | 1 | — | ||||||||||||||
| Goldman Sachs International | 2.99% | SOFR | USD 18 | 9/20/33 | Quarterly | 1 | 1 | — | ||||||||||||||
| Goldman Sachs International | 2.99% | SOFR | USD 11 | 9/28/33 | Annually | 1 | 1 | — | ||||||||||||||
| Goldman Sachs International | 3.02% | SOFR | USD 224 | 11/2/30 | Quarterly | 9 | 9 | — | ||||||||||||||
| Goldman Sachs International | 3.09% | SOFR | USD 255 | 7/18/33 | Annually | 13 | 13 | — | ||||||||||||||
| Goldman Sachs International | 3.18% | SOFR | USD 25 | 9/15/33 | Annually | 1 | 1 | — | ||||||||||||||
| Goldman Sachs International | 3.18% | SOFR | USD 112 | 9/15/33 | Annually | 5 | 5 | — | ||||||||||||||
| Goldman Sachs International | 3.20% | SOFR | USD 10 | 9/15/30 | Annually | 0 | 0 | — | ||||||||||||||
| Goldman Sachs International | 3.20% | SOFR | USD 71 | 9/15/30 | Annually | 2 | 2 | — | ||||||||||||||
| Goldman Sachs International | 3.27% | SOFR | USD 15 | 9/15/28 | Annually | 0 | 0 | — | ||||||||||||||
| Goldman Sachs International | 3.27% | SOFR | USD 97 | 9/15/28 | Annually | 3 | 3 | — | ||||||||||||||
| Goldman Sachs International | 4.00% | SOFR | USD 67 | 7/27/27 | Annually | 0 | 0 | — | ||||||||||||||
| Goldman Sachs International | 4.13% | SONIA | GBP 4,799 | 2/17/25 | Annually | 123 | 123 | — | ||||||||||||||
| Goldman Sachs International | 2.53% | 12 Month SOFR | USD 88 | 10/18/29 | Monthly | 8 | 8 | — | ||||||||||||||
| Goldman Sachs International | 2.53% | SOFR | USD 26 | 10/18/29 | Monthly | 2 | 2 | — | ||||||||||||||
| Goldman Sachs International | 2.54% | 12 Month SOFR | USD 37 | 10/18/27 | Monthly | 3 | 3 | — |
| |||||||||||||
See notes to unaudited consolidated schedule of investments.
25
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Counterparty | Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Fair Value(c) | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||
| Goldman Sachs International | 2.54% | SOFR | USD 122 | 10/18/27 | Monthly | $ | 9 | $ | 9 | $ | — | |||||||||||
| Goldman Sachs International | 3.16% | SOFR | USD 50 | 11/3/30 | Annually | 2 | 2 | — | ||||||||||||||
| Goldman Sachs International | 3.64% | SOFR | USD 70 | 10/17/25 | Annually | 2 | 2 | — | ||||||||||||||
| Goldman Sachs International | 4.04% | SOFR | USD 489 | 10/28/26 | Annually | 6 | 6 | — | ||||||||||||||
| JPMorgan Chase Bank, N.A. | 0.57% | ESTRON | EUR 3,812 | 4/13/24 | Monthly | 118 | 118 | — | ||||||||||||||
| JPMorgan Chase Bank, N.A. | 1.01% | ESTRON | EUR 1,582 | 4/13/27 | Monthly | 126 | 126 | — | ||||||||||||||
| JPMorgan Chase Bank, N.A. | 3.89% | SONIA | GBP 1,761 | 12/21/27 | Annually | 85 | 85 | — | ||||||||||||||
| Total Interest Rate Swaps (Centrally Cleared) | $ | 531 | $ | 531 | $ | — | ||||||||||||||||
| Cross-Currency Swaps (Over-The-Counter) | ||||||||||||||||||||||||
| Counterparty | Fund Pays | Fund Receives | Notional Amount of Currency Delivered | Notional Amount of Currency Received | Expiration Date | Periodic Payment Frequency | Fair Value(c) | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||
| JPMorgan Chase Bank, N.A. | ESTRON plus a spread of (0.2525%) | SOFR | EUR 9,601 | USD 10,519 | 6/26/26 | Quarterly | $ | 66 | $ | 66 | $ | — | ||||||||||||
| JPMorgan Chase Bank, N.A. | ESTRON plus a spread of (0.215%) | SOFR | EUR 4,000 | USD 4,358 | 4/11/26 | Annually | (7 | ) | — | 7 | ||||||||||||||
| JPMorgan Chase Bank, N.A. | ESTRON plus a spread of (0.2225%) | SOFR | EUR 13,109 | USD 14,272 | 3/27/26 | Annually | (21 | ) | — | 21 | ||||||||||||||
| JPMorgan Chase Bank, N.A. | ESTRON plus a spread of (0.2475%) | SOFR | EUR 4,924 | USD 5,333 | 3/31/26 | Annually | (33 | ) | — | 33 | ||||||||||||||
| JPMorgan Chase Bank, N.A. | SONIO plus a spread of (0.9%) | SOFR | GBP 5,395 | USD 6,709 | 4/21/26 | Annually | (186 | ) | — | 186 | ||||||||||||||
| JPMorgan Chase Bank, N.A. | 3 Month SONIO plus a spread of (0.925%) | SOFR | GBP 2,743 | USD 3,278 | 3/6/26 | Quarterly | (227 | ) | — | 227 | ||||||||||||||
| JPMorgan Chase Bank, N.A. | 3 Month SONIA plus a spread of (0.1830%) | SOFR | GBP 4,590 | USD 5,614 | 12/6/25 | Quarterly | (239 | ) | — | 239 | ||||||||||||||
| JPMorgan Chase Bank, N.A. | ESTRON plus a spread of (0.185%) | SOFR | EUR 14,994 | USD 16,014 | 3/8/26 | Annually | (289 | ) | — | 289 | ||||||||||||||
| JPMorgan Chase Bank, N.A. | 3 Month ESTRON plus a spread of (0.2550%) | SOFR | EUR 11,312 | USD 11,844 | 12/6/25 | Quarterly | (477 | ) | — | 477 | ||||||||||||||
| JPMorgan Chase Bank, N.A. | 3 Month ESTRON plus a spread of (0.1975%) | SOFR | EUR 27,724 | USD 29,191 | 1/9/26 | Quarterly | (1,117 | ) | — | 1,117 | ||||||||||||||
| Total Cross-Currency Swaps (Over-The-Counter) | $ | (2,530 | ) | $ | 66 | $ | 2,596 | |||||||||||||||||
See notes to unaudited consolidated schedule of investments.
26
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| Total Return Debt Swaps (Over-The-Counter)(e) | ||||||||||||||||||||||
| Counterparty | Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Fair Value(c) | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.45% | District of Columbia Housing Finance Agency Multifamily Housing Revenue Bonds (Carver Apartments Project, 5.88%, 10/1/2049), Series 2006 | USD 363 | 6/1/24 | Monthly | $ | (15 | ) | $ | — | $ | 15 | ||||||||||
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.30% | Louisiana Housing Finance Agency Multifamily Housing Revenue Bonds (The Crossings Apartments, 6.15%, 5/1/2048), Series 2006 | USD 368 | 6/1/24 | Monthly | (16 | ) | — | 16 | |||||||||||||
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.30% | San Antonio Housing Finance Corporation Multifamily Housing Revenue Bonds (Artisan at Salado Heights, 5.80%, 5/1/2050), Series 2006 | USD 689 | 6/1/24 | Monthly | (19 | ) | — | 19 | |||||||||||||
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.45% | San Antonio Housing Finance Corporation Multifamily Housing Revenue Bonds (Costa Miranda Apartments Project, 6.10%, 10/1/2050), Series 2006 | USD 594 | 6/1/24 | Monthly | $ | (92 | ) | $ | — | $ | 92 | ||||||||||
| Total Total Return Debt Swaps (Over-The-Counter) | $ | (142 | ) | $ | — | $ | 142 | |||||||||||||||
| (a) | Security may be an obligation of one or more entities affiliated with the named company. |
| (b) | Denominated in U.S. dollars unless otherwise noted. |
| (c) | Fair value is determined by FS Credit Income Fund’s (the “Fund”) investment adviser, FS Credit Income Advisor, LLC (“FS Credit Income Advisor”), which has been designated by the Fund’s Board as its valuation designee. 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 financial statements. |
See notes to unaudited consolidated schedule of investments.
27
FS Credit Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands, except share amounts)
| (d) | Certain variable rate securities in the Fund’s portfolio bear interest at a rate determined by a publicly disclosed base rate plus a basis point spread. As of July 31, 2023, the one-month, three-month and six-month London Interbank Offered Rate (“LIBOR” or “L”) was 5.43%, 5.63% and 5.86%, respectively, the one-month, three-month and six-month Euro Interbank Offered Rate (“EURIBOR” or “E”) was 3.58%, 3.71% and 3.93%, respectively, the three-month GBP London Interbank Offered Rate (“GBP LIBOR” or “L GBP”) was 5.52%, the Swiss Average Rate Overnight (“SARON”) was 1.70%, the SIFMA Municipal Swap Index was 3.98%, the Sterling Overnight Index Average (“SONIA”) was 4.93%, the U.S. Prime rate (“P”) was 8.50%, the one-month, three-month and six-month Secured Overnight Financing Rate (“SOFR” or “S”) was 5.32%, 5.36% and 5.43%, respectively, and the Euro Short-Term Rate Volume Weighted Trimmed Mean Rate (“ESTRON”) was 3.39%. |
| (e) | Security is classified as Level 3 in the Fund’s fair value hierarchy. |
| (f) | Security is an unfunded commitment. The stated rate reflects the spread disclosed at the time of commitment and may not indicate the actual rate received upon funding. |
| (g) | Exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $296,396, which represents approximately 50.6% of net assets as of July 31, 2023. |
| (h) | Security or portion thereof is pledged as collateral supporting the amounts outstanding under the reverse repurchase agreement. |
| (i) | Security or portion thereof is pledged as collateral supporting the amounts outstanding under the prime brokerage facility with BNP Paribas Prime Brokerage International, Ltd. (“BNP”). Securities may be rehypothecated from time to time as permitted under Rule 15c-1(a)(1) promulgated under the Securities Exchange Act of 1934, as amended, subject to terms and conditions governing the prime brokerage facility with BNP. As of July 31, 2023, there were no securities rehypothecated by BNP. |
| (j) | Position or portion thereof unsettled as of July 31, 2023. |
| (k) | Security is in default. |
| (l) | Exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. Total market value of Regulation S securities amounts to $93,854, which represents approximately 16.0% of net assets as of July 31, 2023. |
| (m) | Variable or floating rate security for which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| (n) | The security has a perpetual maturity; the date displayed is the next call date. |
| (o) | Issuer of the security is an affiliate of the Fund’s investment sub-adviser, GoldenTree Sub-Advisor. |
| (p) | Security is reflected in shares. |
| (q) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| (r) | Security is non-income producing. |
| (s) | Security held within FS Credit Income Equity Blocker, LLC, a wholly-owned subsidiary of the Fund. |
| (t) | Rate represents the seven-day yield as of July 31, 2023. Morgan Stanley Institutional Liquidity Fund’s financial statements are available on the SEC’s website at http://www.sec.gov. |
| (u) | Includes the effect of investments sold short, forward foreign currency exchange contracts, swap contracts and reverse repurchase agreements payable. |
| CMO | - Collateralized Mortgage Obligation | |
| COP | - Certificates of Participation | |
| EUR | - Euro | |
| FRN | - Floating Rate Note | |
| GBP | - British Pound | |
| MBS | - Mortgage-Backed Security | |
| PIK | - Payment In Kind | |
| USD | - U.S. Dollar | |
| £ | - British Pound | |
| € | - Euro | |
| $ | - U.S. Dollar | |
See notes to unaudited consolidated schedule of investments.
28
FS Credit Income Fund
Notes to Unaudited Consolidated Schedule of Investments
As of July 31, 2023
(in thousands)
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 October 31, 2022.
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.
As of July 31, 2023, the Fund did not “control” any of its portfolio companies and was not an “affiliated person” of any of its portfolio companies, each as defined in the 1940 Act.
Under existing accounting guidance, fair value is defined as the price that the Fund would receive upon selling an investment 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.
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 July 31, 2023, the Fund’s investments and derivatives were categorized as follows in the fair value hierarchy:
29
FS Credit Income Fund
Notes to Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands)
| Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Senior Secured Loans—First Lien | $ | — | $ | 94,551 | $ | 32,549 | $ | 127,100 | ||||||||
| Senior Secured Loans—Second Lien | — | 20,804 | 2,785 | 23,589 | ||||||||||||
| Senior Secured Bonds | — | 89,498 | — | 89,498 | ||||||||||||
| Unsecured Bonds | — | 246,914 | 810 | 247,724 | ||||||||||||
| Collateralized Loan Obligation (CLO) / Structured Credit | — | 153,819 | 9,560 | 163,379 | ||||||||||||
| Convertible Bonds | — | 14,541 | — | 14,541 | ||||||||||||
| Municipal Bonds | — | 3,091 | — | 3,091 | ||||||||||||
| Emerging Markets Debt | — | 4,952 | — | 4,952 | ||||||||||||
| Preferred Equity | — | — | 1,779 | 1,779 | ||||||||||||
| Common Equity | 1,054 | 1,908 | 94 | 3,056 | ||||||||||||
| Short-Term Investments | — | 10,952 | — | 10,952 | ||||||||||||
| Total Investments | $ | 1,054 | $ | 641,030 | $ | 47,577 | $ | 689,661 | ||||||||
| Forward Foreign Currency Exchange Contracts | — | 85 | — | 85 | ||||||||||||
| Interest Rate Swaps (Centrally Cleared) | — | 531 | — | 531 | ||||||||||||
| Cross-Currency Swaps (Over-The-Counter) | — | 66 | — | 66 | ||||||||||||
| Total Assets | $ | 1,054 | $ | 641,712 | $ | 47,577 | $ | 690,343 | ||||||||
| Liability Description | ||||||||||||||||
| Reverse Repurchase Agreements | $ | — | $ | (38,746 | ) | $ | — | $ | (38,746 | ) | ||||||
| Government Bonds Sold Short | — | (9,565 | ) | — | (9,565 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts | — | (461 | ) | — | (461 | ) | ||||||||||
| Cross-Currency Swaps (Over-The-Counter) | — | (2,596 | ) | — | (2,596 | ) | ||||||||||
| Total Return Debt Swaps (Over-The-Counter) | — | — | (142 | ) | (142 | ) | ||||||||||
| Total Liabilities | $ | — | $ | (51,368 | ) | $ | (142 | ) | $ | (51,510 | ) | |||||
The following is a reconciliation for the nine months ended July 31, 2023 of investments for which significant unobservable inputs (Level 3) were used in determining fair value:
Senior Secured Loans— First Lien | Senior Secured Loans— Second Lien | Unsecured Bonds | Collateralized Loan Obligation (CLO)/ Structured Credit | Preferred Equity | Common Equity | Total | ||||||||||||||||||||||
| Fair value at beginning of period | $ | 26,990 | $ | 2,702 | $ | 815 | $ | 3,205 | $ | 1,896 | $ | 316 | $ | 35,924 | ||||||||||||||
| Accretion of discount (amortization of premium) | 77 | 7 | — | 3 | — | — | 87 | |||||||||||||||||||||
| Realized gain (loss) | 132 | — | — | (26 | ) | — | — | 106 | ||||||||||||||||||||
| Net change in unrealized appreciation (depreciation) | 509 | (59 | ) | (5 | ) | 625 | (36 | ) | (222 | ) | 812 | |||||||||||||||||
| Purchases | 9,623 | 135 | — | 6,026 | — | — | 15,784 | |||||||||||||||||||||
| Sales | (5,699 | ) | — | — | (273 | ) | (85 | ) | — | (6,057 | ) | |||||||||||||||||
| Transfers into Level 3(1) | 917 | — | — | — | 4 | — | 921 | |||||||||||||||||||||
| Transfers out of Level 3(1) | — | — | — | — | — | — | — | |||||||||||||||||||||
| Fair value at end of period | $ | 32,549 | $ | 2,785 | $ | 810 | $ | 9,560 | $ | 1,779 | $ | 94 | $ | 47,577 | ||||||||||||||
| 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 | $ | 505 | $ | (60 | ) | $ | (6 | ) | $ | 625 | $ | 9 | $ | (222 | ) | $ | 851 | |||||||||||
30
FS Credit Income Fund
Notes to Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2023
(in thousands)
| (1) | Transfers into or out of Level 3 were deemed to have occurred as a result of, among other factors, changes in liquidity, the depth and consistency of prices from third-party pricing services and the existence of observable trades in the market. Transfers between levels of the fair value hierarchy are deemed to have occurred at the beginning of the reporting period. For the nine months ended July 31, 2023, transfers into Level 3 were due to decreased price transparency. |
The following is a reconciliation for the nine months ended July 31, 2023 of the interest rate swaps and total return debt swaps for which significant unobservable inputs (Level 3) were used in determining fair value:
| Cross Currency Swaps | Total Return Debt Swaps | |||||||
| Fair value at beginning of period | $ | (33 | ) | $ | (158 | ) | ||
| Accretion of discount (amortization of premium) | — | — | ||||||
| Realized gain (loss) | (226 | ) | (120 | ) | ||||
| Net change in unrealized appreciation (depreciation) | 33 | 16 | ||||||
| Sales and repayments | 226 | 120 | ||||||
| Transfers into Level 3 | — | — | ||||||
| Transfers out of Level 3 | — | — | ||||||
| Fair value at end of period | $ | — | $ | (142 | ) | |||
| 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 | $ | — | $ | 16 | ||||
31