UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number: 811-22686

 

Blackstone / GSO Strategic Credit Fund

(exact name of Registrant as specified in charter)

 

345 Park Avenue, 31st Floor

New York, New York 10154

(Address of principal executive offices) (Zip code)

 

(Name and address of agent for service)

 

Marisa Beeney

345 Park Avenue, 31st Floor

New York, New York 10154

 

Registrant’s telephone number, including area code: (877) 876-1121

 

Date of fiscal year end: December 31

 

Date of reporting period: March 31, 2018

 

 

 

Item 1. Schedule of Investments.

 

Blackstone / GSO Strategic Credit Fund

 

Portfolio of Investments

March 31, 2018 (Unaudited)

 

   Principal     
   Amount   Value 
     
FLOATING RATE LOAN INTERESTS(a) - 131.80%
Aerospace and Defense - 1.92%
Propulsion Acquisition LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 6.00%, 7/13/2021(b)  $3,979,592   $3,939,796 
Standard Aero Aviation Holdings Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 3.75%, 07/07/2022   3,678,320    3,717,126 
Vectra Co, Senior Secured First Lien Term Loan, 1M US L + 3.25%, 03/08/2025   2,388,060    2,387,319 
Vectra Co, Senior Secured Second Lien Term Loan, 1M US L + 7.25%, 03/09/2026   1,666,667    1,683,333 
WP CPP Holdings LLC, Senior Secured First Lien B-3 Term Loan, 3M US L + 3.50%, 12/28/2019   2,841,030    2,842,806 
         14,570,380 
           
Automotive - 3.21%          
American Tire Distributors Inc, Senior Secured First Lien Initial Term Loan, 2M US L + 4.25%, 09/01/2021   1,561,860    1,584,312 
Bright Bidco BV, Senior Secured First Lien Term B Loan, 2M US L + 3.50%, 06/28/2024   2,785,678    2,829,636 
CH Hold Corp, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.25%, 02/03/2025(b)   3,157,895    3,213,158 
FPC Holdings Inc, Senior Secured First Lien Term Loan, 3M US L + 4.50%, 11/21/2022(c)   3,000,000    2,936,250 
FPC Holdings Inc, Senior Secured Second Lien Term Loan, 3M US L + 9.00%, 11/20/2023(c)   1,358,491    1,310,943 
Mitchell International Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 3.25%, 11/29/2024   3,441,739    3,446,901 
Mitchell International Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.25%, 12/01/2025   3,454,545    3,483,045 
Superior Industries International Inc, Senior Secured First Lien Closing Date Term Loan, 1M US L + 4.50%, 05/22/2024   5,406,425    5,467,247 
         24,271,492 
           
Banking, Finance, Insurance and Real Estate - 8.75%          
AmWINS Group Inc, Second Lien Term Loan, 1M US L + 6.75%, 01/25/2025   538,444    544,502 
Applied Systems Inc, Senior Secured Second Lien Initial Term Loan, 3M US L + 7.00%, 09/19/2025(c)   303,030    314,017 
ASP MCS Acquisition Corp, Senior Secured First Lien Initial Term Loan, 1M US L + 4.75%, 05/20/2024(b)   5,339,571    5,419,664 
Asurion LLC, Senior Secured Second Lien Tranche B-2 Loan, 1M US L + 6.00%, 08/04/2025   7,878,788    8,107,273 
BroadStreet Partners Inc, Senior Secured First Lien Term B-1 Loan Facility, 1M US L + 3.75%, 11/08/2023   6,378,247    6,463,971 
Confie Seguros Holding II Co, Senior Secured First Lien Term B Loan, 3M US L + 5.25%, 04/19/2022   1,741,184    1,743,090 
CP VI Bella Topco LLC, Senior Secured First Lien Term Loan, 1M US L + 3.00%, 02/14/2025   1,285,840    1,284,239 
CP VI Bella Topco LLC, Senior Secured Second Lien Term Loan, 1M US L + 6.75%, 02/16/2026   1,178,571    1,178,571 
Cunningham Lindsey US Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.75%, 12/10/2019   8,699,079    8,688,205 
Cypress Merger Sub Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 6.75%, 04/28/2025   2,790,698    2,847,209 
Edelman Financial Center LLC/The, Senior Secured First Lien Initial Term Loan, 2M US L + 4.25%, 11/09/2024   4,639,535    4,712,028 
ExamWorks Group Inc, Senior Secured First Lien Term B-1 Loan, 3M US L + 3.25%, 07/27/2023(c)   651,591    657,211 
EZE Software Group LLC, Senior Secured Second Lien Term Loan, 3M US L + 6.50%, 04/05/2021(c)   2,956,466    2,966,326 
Gem Acquisitions Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.25%, 03/02/2025(c)   1,989,130    1,992,860 
Gemworth Holdings Inc, Senior Secured First Lien Initial Loan, 1M US L + 4.50%, 02/28/2023   1,043,478    1,063,701 
Hyperion Insurance Group Limited, Senior Secured First Lien Initial Dollar Term Loan, 1M US L + 3.50%, 12/20/2024   2,673,077    2,703,149 
Intralinks Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 4.00%, 11/11/2024   1,567,500    1,576,646 
NFP Corp, Senior Secured First Lien Term B Term Loan, 1M US L + 3.00%, 01/08/2024   2,675,213    2,687,198 
One Call Corp, Senior Secured First Lien Term B Loan, 3M US L + 4.00%, 11/27/2020   2,878,277    2,755,950 
Resolute Investment Managers Inc, Senior Secured Second Lien Tranche C Term Loan, 3M US L + 7.50%, 04/30/2023(b)   3,000,000    3,052,500 

 

 

 

   Principal     
   Amount   Value 
     
Banking, Finance, Insurance and Real Estate (continued)
SS&C Technologies Inc, Senior Secured First Lien Term B-3 Loan, 3M US L + 2.50%, 02/28/2025(c)  $3,159,225   $3,178,149 
SS&C Technologies Inc, Senior Secured First Lien Term B4 Loan, 3M US L + 2.50%, 02/28/2025(c)   1,126,999    1,133,750 
Victory Capital Holdings Senior Secured First Lien Initial Term Loan, 3M US L + 2.75%, 02/07/2025(c)   677,149    680,748 
York Risk Services Holding Corp (Onex York Finance LP), Senior Secured First Lien Initial Term Loan, 1M US L + 3.75%, 10/01/2021   488,820    479,899 
         66,230,856 
           
Beverage, Food and Tobacco - 4.82%          
CEC Entertainment Inc, Senior Secured First Lien Term B Loan, 1M US L + 3.25%, 02/15/2021   7,357,923    6,980,829 
CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan, 3M US L + 4.00%, 7/3/2020   5,805,932    5,752,228 
Fago de Chao Inc, Senior Secured First Lien Term B Loan, 3M US L + 4.50%, 03/27/2025(c)   2,393,421    2,406,884 
Give & Go Prepared Foods Corp, Senior Secured First Lien Term Loan, 3M US L + 4.25%, 7/29/2023(b)   6,657,721    6,724,298 
NPC International Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.50%, 04/18/2025   3,424,278    3,509,885 
TKC Holdings Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.25%, 02/01/2023   4,745,346    4,798,137 
TKC Holdings Inc, Senior Secured Second Lien Initial Term Loan, 3M US L + 8.00%, 02/01/2024   4,052,012    4,101,649 
Winebow Holdings Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.50%, 01/02/2022(b)(c)   2,387,283    2,232,110 
         36,506,020 
           
Capital Equipment - 3.84%          
Blount International Inc, Senior Secured First Lien Term Loan B-1 Facility, 1M US L + 4.25%, 04/12/2023   1,187,500    1,204,867 
Direct Chassislink Acquisition Inc, Senior Secured Second Lien Term Loan, 1M US L + 6.00%, 06/15/2023(b)   7,500,000    7,640,625 
Engineered Machinery Holdings Inc, Senior Secured First Lien Term Loan, 3M US L + 3.25%, 07/19/2024(c)   4,455,000    4,461,504 
Helix Acquisition Holdings Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.00%, 09/27/2024   3,061,538    3,091,205 
LTI Holdings Inc, Senior Secured First Lien Second Amendment Incremental Term Loan, 1M US L + 3.50%, 05/16/2024(b)(c)   1,369,565    1,374,701 
LTI Holdings Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 8.75%, 05/16/2025(b)(c)   3,000,000    3,045,000 
Robertshaw US Holding Corp, Senior Secured First Lien Initial Term Loan, 1M US L + 3.50%, 02/14/2025   3,731,707    3,770,181 
Titan Acquisition Limited, Senior Secured First Lien Initial Term Loan, 3M US L + 3.00%, 03/28/2025(c)   4,468,085    4,465,293 
         29,053,376 
           
Chemicals, Plastics and Rubber - 3.03%          
Albaugh LLC, Senior Secured First Lien 2017 Refinancing Term Loan, 1M US L + 3.50%, 12/06/2024   6,650,000    6,726,907 
DuBois Chemicals Inc, Senior Secured First Lien Term Loan, 3M US L + 3.25%, 03/15/2024(c)   1,617,286    1,621,330 
Emerald Performance Materials LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 3.50%, 08/02/2021   1,745,409    1,763,954 
Pinnacle Operating Corp, Senior Secured First Lien 2017 Extended Term Loan, PIK 1.75%, 11/15/2021   8,047,875    7,595,182 
Spectrum Holdings III Corp, Senior Secured Second Lien Closing Date Loan, 1M US L + 7.00%, 01/26/2026(b)(c)   1,833,333    1,851,667 
Spectrum Holdings III, Senior Secured First Lien Term Loan, 1M US L + 3.25%, 01/31/2025(c)   899,775    903,523 
Vantage Specialty Chemicals Inc, Senior Secured First Lien Closing Date Loan, 3M US L + 4.00%, 10/28/2024   2,280,000    2,303,746 
Vantage Specialty Chemicals Inc, Senior Secured Second Lien Initial Loan, 3M US L + 8.25%, 10/27/2025   195,334    196,310 
         22,962,619 
           
Construction and Building - 8.45%          
American Bath Group LLC, Senior Secured First Lien Replacement Term Loan, 3M US L + 5.25%, 09/30/2023   8,782,861    8,892,646 

 

 

 

   Principal     
   Amount   Value 
     
Construction and Building (continued)
American Bath Group LLC, Senior Secured Second Lien Term Loan, 3M US L + 9.75%, 09/30/2024(b)  $600,000   $602,250 
Dayton Superior Corp, Senior Secured First Lien Term Loan, 3M US L + 8.00%, 11/03/2021   3,710,733    3,469,535 
DiversiTech Holdings Inc, Senior Secured First Lien Tranche B-1 Term Loan, 3M US L + 3.00%, 06/03/2024   2,089,903    2,102,317 
Forterra Finance LLC, Senior Secured First Lien Replacement Loan, 1M US L + 3.00%, 10/25/2023   9,843,171    9,120,338 
Henry Holdings Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 4.00%, 10/05/2023   2,868,483    2,912,414 
Interior Logic Group Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 6.00%, 02/28/2024(b)   3,392,857    3,418,303 
LBM Borrower LLC, Senior Secured First Lien Tranche C Term Loan, 1M US L + 3.75%, 08/19/2022   8,214,320    8,310,838 
LBM Borrower LLC, Senior Secured Second Lien Initial Term Loan, 2M US L + 9.25%, 08/20/2023   1,713,476    1,723,123 
Morsco Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 7.00%, 10/31/2023   3,534,555    3,598,618 
SouthernCarlson Inc, Senior Secured First Lien Term Loan, 3M US L + 4.25%, 03/21/2025(c)   3,437,500    3,450,391 
Specialty Building Products Holdings LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 6.00%, 10/28/2023   5,708,769    5,780,129 
SRS Distribution Inc, Senior Secured First Lien Tranche B-4 Term Loan, 3M US L + 3.25%, 08/25/2022   7,291,144    7,350,385 
SRS Distribution Inc, Senior Secured Second Lien 06/16 Term Loan, 1M US L + 8.75%, 02/24/2023   3,125,114    3,222,774 
         63,954,061 
           
Consumer Goods Durable - 2.78%          
Al Aqua Merger Sub Inc, Senior Secured First Lien Term B1 Loan, 1M US L + 3.25%, 12/13/2023   3,690,809    3,710,426 
Al Aqua Merger Sub Inc, Senior Secured Incremental Term B Loan, 1M US L + 3.25%, 12/13/2023   3,192,000    3,204,976 
Apex Tool Group LLC, Senior Secured First Lien Term Loan, 1M US L + 3.75%, 02/01/2022   6,414,577    6,415,154 
Hayward Acquisition Corp, Senior Secured First Lien Term Loan, 1M US L + 3.50%, 08/05/2024   303,075    304,666 
Hillman Group Inc (The), Senior Secured First Lien Initial Term Loan, 3M US L + 3.50%, 06/30/2021   1,469,466    1,487,224 
Power Products LLC, Senior Secured First Lien Tranche B-1 Term Loan, 3M US L + 4.00%, 12/20/2022   2,037,299    2,060,219 
Serta Simmons Bedding LLC, Senior Secured Second Lien Initial Term Loan, 1M US L + 8.00%, 11/8/2024   4,786,804    3,853,377 
         21,036,042 
           
Consumer Goods Non Durable - 0.90%          
Acosta Inc, Senior Secured First Lien Tranche B-1 Loan, 1M US L + 3.25%, 09/26/2021(c)   1,333,333    1,121,793 
Carlisle Foodservice Products Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.00%, 03/14/2025(c)   386,526    386,285 
Clover Merger Sub Inc, Senior Secured First Lien Term Loan, 1M US L + 3.50%, 09/26/2024   5,491,203    5,131,529 
Revlon Consumer Products Corp, Senior Secured First Lien Initial Term B Loan, 1M US L + 3.50%, 09/07/2023   258,151    204,155 
         6,843,762 
           
Containers, Packaging and Glass - 3.96%          
Berlin Packaging LLC, Senior Secured Second Lien Initial Term Loan, 1M US L + 6.75%, 10/03/2022   428,571    433,393 
Caraustar Industries Inc, Senior Secured First Lien Refinancing Term Loan, 3M US L + 5.50%, 03/14/2022   3,875,165    3,900,412 
IBC Capital Limited, Senior Secured Second Lien Term Loan, 3M US L + 7.00%, 09/09/2022   6,749,516    6,766,389 
Loparex Holding BV, Senior Secured First Lien Term Loan, 3M US L + 4.25%, 03/28/2025(c)   8,400,000    8,484,000 
Pregis Holding I Corp, Senior Secured First Lien Initial Term Loan, 3M US L + 3.50%, 5/20/2021   2,460,815    2,469,526 
ProAmpac PG Borrower LLC, Senior Secured First Lien Initial Loan, 1M US L + 3.50%, 11/20/2023   1,495,358    1,509,937 
ProAmpac PG Borrower LLC, Senior Secured Second Lien Initial Term Loan, 1M US L + 8.50%, 11/18/2024   1,464,115    1,494,774 
Ranpak Corp, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.25%, 10/03/2022(b)   76,814    77,390 

 

 

 

   Principal     
   Amount   Value 
     
Containers, Packaging and Glass (continued)
Strategic Materials Holding Corp, Senior Secured Second Lien Initial term Loan, 3M US L + 7.75%, 12/27/2025  $4,666,667   $4,699,730 
Trident TPI Holdings Inc, Senior Secured First Lien Incremental Term Loan, 3M US L + 3.25%, 10/17/2024(c)   144,361    145,083 
         29,980,634 
           
Energy, Oil and Gas - 4.49%          
Ascent Resources - Marcellus LLC, Senior Secured First Lien Term Loan, PRIME + 3.25%, 08/04/2020(b)(c)(d)   6,996,764    4,058,123 
Chief Exploration & Development LLC, Senior Secured Second Lien Term Loan, 2M US L + 6.50%, 05/16/2021   6,502,941    6,467,728 
Delek US Holdings Inc, Senior Secured First Lien Term Loan, 3M US L + 2.50%, 03/14/2025(c)   1,142,487    1,147,491 
Lucid Energy Group II Borrower LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 3.00%, 02/17/2025   2,105,263    2,098,032 
Oryx Southern Delaware Holdings LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 3.25%, 02/28/2025   7,411,765    7,430,294 
Sheridan Investment Partners I LLC, Senior Secured First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   3,084,161    2,618,977 
Sheridan Production Partners I LLC, Senior Secured First Lien Deferred Principal Term Loan,:          
3M US L + 0.00%, 10/01/2019(b)   9,732    7,546 
3M US L + 0.00%, 10/01/2019(b)   120,242    93,236 
Sheridan Production Partners I LLC, Senior Secured First Lien Term Loan, 3M US L + 0.00%, 10/01/2019(b)   15,933    12,354 
Sheridan Production Partners I-A LP, Senior Secured First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   408,677    347,036 
Sheridan Production Partners I-M LP, Senior Secured First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   249,622    211,971 
Talos Production LLC, Senior Secured First Lien Bridge Loan, 3M US L + 11.00%, 04/04/2022(b)   2,000,000    1,930,000 
Traverse Midstream Partners LLC, Senior Secured First Lien Advance Term Loan, 3M US L + 4.00%, 09/27/2024   4,460,784    4,492,144 
Utex Industries Inc, Senior Secured Second Lien New Term Loan, 1M US L + 7.25%, 05/20/2022   3,181,818    3,090,341 
         34,005,273 
           
Environmental Industries - 0.89%          
EnergySolutions LLC, Senior Secured First Lien Advance Term Loan, 1M US L + 4.75%, 05/29/2020(b)   5,178,365    5,268,986 
Filtration Group Corp, Senior Secured First Lien Term Loan, 3M US L + 3.00%, 03/28/2025(b)(c)   750,000    753,750 
Gopher Resource LLC, Senior Secured First Lien Term Loan, 3M US L + 3.25%, 03/06/2025   678,392    685,600 
         6,708,336 
           
Healthcare and Pharmaceuticals - 18.03%          
Albany Molecular Research Inc, Senior Secured First Lien Term Loan, 1M US L + 3.25%, 08/30/2024   1,426,523    1,432,764 
Albany Molecular Research Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.00%, 08/30/2025   1,473,214    1,486,105 
Alvogen Pharma US Inc, Senior Secured First Lien Term Loan, 1M US L + 5.00%, 04/01/2022   9,310,615    9,349,394 
American Renal Holdings Inc, Senior Secured First Lien New Term Loan B, 1M US L + 3.25%, 06/14/2024   2,840,581    2,846,788 
Arbor Pharmaceuticals LLC, Senior Secured First Lien Initial Term Loan, 2M US L + 5.00%, 07/05/2023   4,921,717    5,001,695 
BioClinica-Clinverse Holdings Corp, Senior Secured First Lien Initial Term Loan, 3M US L + 4.25%, 10/20/2023(c)   3,778,261    3,702,696 
BioClinica-Clinverse Holdings Corp, Senior Secured Second Lien Initial Term Loan, 3M US L + 8.25%, 10/04/2024(b)   3,157,898    3,063,161 
Certara Holdco Inc, Senior Secured First Lien Term Loan, 3M US L + 3.50%, 08/15/2024(c)   943,365    949,261 
Concordia Healthcare Corp, Senior Secured First Lien Dollar Term Loan, 1M US L + 4.25%, 10/21/2021(d)   5,196,963    4,679,111 
Covenant Surgical Partners Inc, Senior Secured First Lien Delayed Draw Loan, 3M US L + 4.75%, 10/04/2024(b)(c)(e)   268,174    270,185 
Covenant Surgical Partners Inc, Senior Secured First Lien Term Loan, 3M US L + 4.75%, 10/04/2024(b)(c)   1,726,442    1,739,391 
CPI Holdco LLC, Senior Secured Closing Date Term Loan, 3M US L + 3.50%, 03/21/2024   1,687,105    1,699,758 
Cryolife Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.00%, 11/15/2024(b)   2,608,846    2,641,457 

 

 

 

    Principal      
    Amount    Value 
           
Healthcare and Pharmaceuticals (continued)          
CT Technologies Intermediate Holdings Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 4.25%, 12/01/2021  $2,948,317   $2,943,408 
CVS Holdings I LP, Senior Secured First Lien Initial Term Loan, 3M US L + 3.00%, 02/06/2025   1,034,483    1,030,609 
Equian LLC, Senior Secured First Lien 2018 Incremental Term B Loan, 3M US L + 3.25%, 05/20/2024   3,389,026    3,412,326 
Greenway Health LLC, Senior Secured First Lien Term Loan, 3M US L + 4.25%, 02/16/2024   3,080,172    3,109,696 
Immucor Inc, Senior Secured First Lien Term B-3 Loan, 3M US L + 5.00%, 06/15/2021   343,558    352,576 
Lanai Holdings III Inc, Senior Secured First Lien Initial Term Loan, 2M US L + 4.75%, 08/29/2022   5,338,764    5,191,948 
Midwest Physician Administrative Services LLC, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.00%, 08/15/2025   2,560,000    2,579,200 
Navicure Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 3.75%, 11/01/2024(c)   5,831,538    5,867,986 
Netsmart Technologies Inc, Senior Secured First Lien Term C-1 Loan, 1M US L + 4.50%, 04/19/2023(b)   5,615,496    5,692,709 
nThrive Inc, Senior Secured First Lien Term B-2 Loan, 1M US L + 4.50%, 10/20/2022   6,427,423    6,454,547 
Onex Carestream Finance LP, Senior Secured First Lien Term Loan, 1M US L + 4.00%, 06/07/2019   535,804    539,613 
Onex Carestream Finance LP, Senior Secured Second Lien Term Loan, 3M US L + 8.50%, 12/07/2019   10,343,603    10,343,603 
Onex Schumacher Finance LP, Senior Secured First Lien Initial Term Loan, 1M US L + 4.00%, 07/29/2022(c)   6,578,471    6,418,120 
Ortho Clinical Diagnostics Holdings Luxembourg SARL, Senior Secured First Lien Initial Term Loan, 1M US L + 3.75%, 06/30/2021(c)   1,639,786    1,655,569 
Packaging Coordinators Midco Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.00%, 06/30/2023   5,133,135    5,165,243 
Pharmerica Corp, Senior Secured First Lien Term Loan, 1M US L + 3.50%, 12/06/2024   3,840,000    3,860,006 
Pharmerica Corp, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.75%, 12/07/2025   868,217    875,814 
Press Ganey Holdings Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 6.50%, 10/21/2024   1,683,302    1,708,552 
Project Ruby Ultimate Parent Corp, Senior Secured First Lien New Closing Date Term Loan, 1M US L + 3.50%, 02/09/2024   2,627,569    2,655,500 
Prospect Medical Holdings Inc, Senior Secured First Lien Term B-1 Loan, 1M US L + 5.50%, 02/22/2024   4,696,964    4,708,706 
Stratose Intermediate Holdings II LLC, Senior Secured First Lien Term Loan, 1M US L + 3.25%, 06/22/2023(b)   2,324,775    2,342,210 
U.S. Renal Care Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.25%, 12/30/2022   7,156,729    7,198,452 
Wink Holdco Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 6.75%, 12/01/2025(b)   1,944,444    1,949,305 
YI LLC (aka Young Innovations), Senior Secured First Lien Delayed Draw Term Loan, 3M US L + 1.00%, 11/07/2024(b)(e)   553,086    555,852 
YI LLC (aka Young Innovations), Senior Secured First Lien Initial Term Loan, 3M US L + 4.00%, 11/06/2024(b)   6,080,000    6,110,400 
Zest Acquisition Corp, Senior Secured First Lien Initial Term Loan, 3M US L + 3.50%, 03/07/2025(b)   465,909    468,239 
Zest Acquisition Corp, Senior Secured Second Lien Initial Term Loan, 3M US L + 7.50%, 03/06/2026   4,357,143    4,411,607 
         136,463,562 
           
High Tech Industries - 22.66%          
Barracuda Networks Inc, Senior Secured First Lien Term B Loan, 3M US L + 3.25%, 02/12/2025   975,610    980,854 
BMC Software Finance Inc, Senior Secured First Lien Initial B-2 US Term Loan, 1M US L + 3.25%, 09/10/2022   5,649,067    5,684,034 
Compuware Corp, Senior Secured First Lien Tranche B-3 Term Loan, 1M US L + 3.25%, 12/15/2021   3,474,079    3,521,847 
CPI International Inc, Senior Secured Second Lien Term Loan, 1M US L + 7.25%, 07/25/2025(b)   1,045,752    1,052,288 
Digicert Holdings Inc, Senior Secured Second Lien Term Loan, 3M US L + 8.00%, 10/31/2025   5,000,000    5,057,025 
ECI Macola / Max Holding LLC, Senior Secured First Lien Term Loan, 3M US L + 4.25%, 09/27/2024   3,620,071    3,657,412 
Epicor Software Corp, Senior Secured First Lien Term B Loan, 1M US L + 3.25%, 06/01/2022   5,393,168    5,422,669 
Excelitas Technologies Corp (fka IDS Acquisition), Senior Secured First Lien Initial USD Term Loan, 6M US L + 3.50%, 12/02/2024(c)   1,530,411    1,546,985 

 

 

 

   Principal     
   Amount   Value 
     
High Tech Industries (continued)
Flexera Software LLC, Senior Secured First Lien Term Loan, 1M US L + 3.25%, 02/26/2025(c)  $1,864,407   $1,878,008 
Flexera Software LLC, Senior Secured Second Lien Term Loan, 1M US L + 7.25%, 02/26/2026(c)   1,774,194    1,791,936 
Gigamon Inc, Senior Secured First Lien Initial Term Loan, 2M US L + 4.50%, 12/27/2024(b)   13,595,066    13,731,017 
Help Systems Holdings Inc, Senior Secured First Lien Term Loan, 3M US L + 3.75%, 03/22/2025(c)   2,165,354    2,170,768 
Help Systems Holdings Inc, Senior Secured Second Lien Term Loan, 3M US L + 7.75%, 03/23/2026(c)   2,068,966    2,081,897 
Hyland Software Inc, Senior Secured First Lien Term Loan, 1M US L + 3.25%, 07/01/2022(c)   267,803    270,434 
Hyland Software Inc, Senior Secured Second Lien Initial Loan, 3M US L + 7.00%, 07/07/2025(c)   1,234,729    1,251,188 
Idera Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2024   5,454,763    5,516,129 
Ivanti Software Inc, Senior Secured First Lien Term Loan, 1M US L + 4.25%, 01/20/2024   5,998,801    5,912,568 
Ivanti Software Inc, Senior Secured Second Lien Term Loan, 1M US L + 9.00%, 01/20/2025   6,000,000    5,775,000 
Marketo Inc, Senior Secured First Lien Term Loan, 3M US L + 3.25%, 02/07/2025   2,909,091    2,906,822 
Mcafee LLC, Senior Secured First Lien Closing Date USD Term Loan, 1M US L + 4.50%, 09/30/2024   11,536,846    11,670,212 
MH Sub I LLC, Senior Secured First Lien Term Loan, 1M US L + 3.75%, 09/13/2024(c)   4,496,203    4,503,824 
P2 Upstream Acquisition Co, Senior Secured First Lien Term Loan, 3M US L + 4.00%, 10/30/2020   4,095,249    4,043,198 
Park Place Technologies LLC, Senior Secured First Lien Term Loan, 3M US L + 4.00%, 03/21/2025(b)(c)   2,876,923    2,884,115 
Ping Identity Corp, Senior Secured First Lien Term Loan 1M US L + 3.75%, 1/23/2025   1,866,667    1,878,333 
Pomeroy Group LLC, Senior Secured First Lien Initial Term Loan, 3M US L + 6.00%, 11/12/2021   2,462,312    2,454,617 
Project Alpha Intermediate Holding Inc, Senior Secured First Lien Term Loan, 3M US L + 3.50%, 04/26/2024   10,151,693    10,035,355 
Project Leopard Holdings Inc, Senior Secured First Lien 2018 Repricing Term Loan, 1M US L + 4.00%, 7/7/2023   2,763,906    2,794,143 
Project Silverback Holdings Corp, Senior Secured First Lien Term B Loan, 3M US L + 3.50%, 08/21/2024   2,018,028    2,023,073 
Quest Software US Holdings Inc, Senior Secured First Lien Refinancing Term Loan, 3M US L + 5.50%, 10/31/2022   12,510,083    12,760,347 
Ramundsen Public Sector LLC, Senior Secured First Lien Term Loan, 1M US L + 4.25%, 02/01/2024(c)   1,305,495    1,315,286 
Rocket Software Inc, Senior Secured First Lien Term Loan, 3M US L + 4.25%, 10/14/2023(c)   6,643,484    6,685,005 
SciQuest Inc, Senior Secured First Lien Term Loan, 1M US L + 4.00%, 12/20/2024(b)(c)   6,923,077    6,957,692 
SCS Holdings I Inc, Senior Secured First Lien New Tranche B Term Loan, 1M US L + 4.25%, 10/30/2022   4,755,918    4,811,395 
SMS Systems Maintenance Services Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 5.00%, 10/30/2023(c)   11,688,399    10,831,289 
Solarwinds Holdings Inc, Senior Secured First Lien Refinancing Term Loan, 3M US L + 3.00%, 02/05/2024(c)   5,062,500    5,090,977 
Sophia LP, Senior Secured First Lien Term B Loan, 3M US L + 3.25%, 09/30/2022   4,630,620    4,649,212 
Sungard Availability Services Capital Inc, Senior Secured Extended Term B Loan, 1M US L + 7.00%, 09/30/2021   1,722,488    1,622,153 
Veritas US Inc, Senior Secured First Lien Term Loan B Facility, 3M US L + 4.50%, 01/27/2023   4,367,647    4,356,357 
         171,575,464 
           
Hotels, Gaming and Leisure - 1.32%          
AP Gaming I LLC, Senior Secured First Lien 2018 Refinancing Term B Loan, 1M US L + 4.25%, 02/15/2024   9,888,089    10,033,345 
           
Media Advertising, Printing and Publishing - 1.49%          
Southern Graphics Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 3.50%, 12/31/2022   6,652,754    6,713,726 
Southern Graphics Inc, Senior Secured Second Lien Term Loan, 1M US L + 7.50%, 12/31/2023   4,500,000    4,542,188 
         11,255,914 
           
Media Diversified and Production - 0.13%          
Shutterfly Inc, Senior Secured First Lien Term B-2 Loan, 3M US L + 2.75%, 08/17/2024(c)   978,261    984,375 

 

 

 

   Principal     
   Amount   Value 
     
Metals and Mining - 1.73%
American Rock Salt Company LLC, Senior Secured First Lien Term Loan, 3M US L + 3.75%, 03/21/2025(b)(c)  $3,017,935   $3,038,683 
Canam Steel Corp, Senior Secured First Lien Closing Date Term Loan, 1M US L + 5.50%, 07/01/2024(b)   6,272,796    6,335,524 
Murray Energy Corp, Senior Secured First Lien Term B-2 Non-PIK Loan, 3M US L + 7.25%, 04/16/2020   2,940,810    2,497,233 
Phoenix Services International LLC, Senior Secured First Lien Term Loan, 1M US L + 3.75%, 03/01/2025   1,214,286    1,227,946 
         13,099,386 
           
Retail - 2.55%          
Academy Ltd, Senior Secured First Lien Initial Term Loan, 1M US L + 4.00%, 07/01/2022   1,256,236    1,005,617 
Apro LLC, Senior Secured First Lien Initial Term Loan, 2M US L + 4.00%, 08/08/2024   2,389,831    2,409,248 
Ascena Retail Group Inc, Senior Secured First Lien Tranche B Term Loan, 1M US L + 4.50%, 08/19/2022   3,152,269    2,787,504 
EG America LLC, Senior Secured First Lien Term B Loan, 3M US L + 4.00%, 02/07/2025(c)   4,549,020    4,544,470 
EG Group Limited, Senior Secured First Lien Term B Loan, 3M US L + 4.50%, 02/07/2025(c)   694,444    693,750 
Fairway Group Acquisition Company, Senior Secured First Lien First Out Term Loan, PIK 12.00%, 01/03/2020 (b)   984,078    984,078 
Fairway Group Acquisition Company, Senior Secured First Lien Last Out Term Loan, PIK 10.00%, 01/03/2020 (b)   641,545    325,263 
Fairway Group Holdings Corp, Senior Secured First Lien Subordinated Term Loan, PIK 11.00%, 10/04/2021(b)   564,251    – 
FullBeauty Brands Holdings Corp, Senior Secured First Lien Term Loan, 1M US L + 4.75%, 10/14/2022   2,506,694    1,442,490 
Neiman Marcus Group Ltd LLC, Senior Secured First Lien Other Term Loan, 1M US L + 3.25%, 10/25/2020   2,300,794    1,994,305 
Petco Animal Supplies Inc, Senior Secured First Lien Second Amendment Term Loan, 3M US L + 3.00%, 1/26/2023   1,577,438    1,162,485 
Pier 1 Imports (US) Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.50%, 04/30/2021   2,005,208    1,909,961 
Sports Authority (The), Senior Secured First Lien Term B Loan, 6M US L + 0.00%, 11/16/2017(d)   2,264,662    17,370 
         19,276,541 
           
Services - Business - 21.86%          
Access CIG LLC, Senior Secured First Lien Term B Loan, 1M US L + 3.75%, 02/27/2025   1,721,628    1,743,149 
Advantage Sales & Marketing Inc, Senior Secured First Lien Incremental Term B-2 Loan, 3M US L + 3.25%, 07/25/2021   2,580,500    2,533,496 
Advantage Sales & Marketing Inc, Senior Secured First Lien Initial term Loan, 3M US L + 3.25%, 07/23/2021   4,406,382    4,326,120 
Advantage Sales & Marketing Inc, Senior Secured Second Lien Initial Term Loan, 3M US L + 6.50%, 07/25/2022   11,245,389    10,831,727 
Allied Universal Holdco LLC, Senior Secured First Lien Initial Term Loan, 3M US L + 3.75%, 07/28/2022   4,704,000    4,645,882 
AqGen Ascensus Inc, Senior Secured Delayed Draw First Lien Term Loan, 3M US L + 3.50%, 12/05/2022(b)(e)   1,975,556    1,990,372 
AqGen Ascensus Inc, Senior Secured First Lien Additional Term Loan, 3M US L + 3.50%, 12/05/2022   3,991,846    4,034,259 
BMC Acquisition Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 5.25%, 12/18/2024(b)(c)   2,836,641    2,843,732 
Crossmark Holdings Inc, Senior Secured First Lien Term Loan, Series 0000, 3M US L + 3.50%, 12/20/2019(c)   7,779,806    3,889,903 
Crossmark Holdings Inc, Senior Secured Second Lien Term Loan, 3M US L + 7.50%, 12/21/2020(c)   4,000,000    358,000 
DG Investment Intermediate Holdings 2 Inc, Senior Secured First Lien Term Loan, 3M US L + 3.00%, 02/03/2025   714,783    714,783 
DG Investment Intermediate Holdings 2 Inc, Senior Secured Second Lien Initial Term Loan, 3M US L + 6.75%, 02/01/2026(b)   1,422,414    1,443,750 
Explorer Holdings Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.75%, 05/02/2023   11,939,241    12,051,231 
FHC Health Systems Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 4.00%, 12/23/2021(b)   5,389,760    5,376,286 

 

 

 

   Principal     
   Amount   Value 
     
Services - Business (continued)
FR Dixie Acquisition Corp, Senior Secured First Lien Initial Term Loan, 3M US L + 4.75%, 12/18/2020  $5,039,474   $2,781,789 
GlobalLogic, Holdings Inc, Senior Secured First Lien Refinancing Term B Loan, 3M US L + 3.75%, 06/20/2022(b)   7,542,395    7,608,391 
Information Resources Inc, Senior Secured First Lien Initial Bluebird Term Loan, 3M US L + 8.25%, 01/20/2025   5,500,000    5,534,375 
Information Resources Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.25%, 01/18/2024   6,755,583    6,814,694 
Inmar Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 3.50%, 05/01/2024   5,122,581    5,157,798 
Inmar Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 8.00%, 05/01/2025   3,786,982    3,808,284 
LD Intermediate Holdings Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 5.875%, 12/09/2022   6,168,805    5,551,924 
Output Services Group Inc, Senior Secured First Lien Term Loan, 3M US L + 4.50%, 03/21/2024(b)(c)   1,094,985    1,100,460 
PricewaterhouseCoopers LLP, Senior Secured First Lien Term Loan, 3M US L + 3.25%, 03/14/2025(b)(c)   1,312,500    1,319,062 
PricewaterhouseCoopers LLP, Senior Secured Second Lien Term Loan, 3M US L + 7.50%, 03/16/2026(b)(c)   1,200,000    1,206,000 
Prometric Holdings Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.00%, 01/29/2025   535,714    539,901 
PT Intermediate Holdings III LLC, Senior Secured First Lien Term B Loan, 3M US L + 4.00%, 12/9/2024(b)   2,907,000    2,943,338 
PT Intermediate Holdings III LLC, Senior Secured Second Lien Initial Loan, 3M US L + 8.00%, 12/08/2025(b)   4,200,000    4,263,000 
Red Ventures LLC, Senior Secured First Lien Term Loan, 1M US L + 4.00%, 11/08/2024   6,925,200    6,995,179 
Sedgwick Claims Management Services Inc, Senior Secured First Lien Initial Tranche B Term Loan, 3M US L + 2.75%, 02/28/2021(c)   6,814,815    6,820,778 
Sedgwick Claims Management Services Inc, Senior Secured New Second Lien B Facility, 3M US L + 5.75%, 02/28/2022(b)(c)   3,902,439    3,931,707 
Sedgwick Claims Management Services Inc, Senior Secured Second Lien Incremental Term Loan, 3M US L + 5.75%, 02/28/2022   8,481,132    8,538,380 
Sedgwick Claims Management Services Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 5.75%, 02/28/2022   1,267,677    1,276,234 
SurveyMonkey Inc, Senior Secured First Lien Term Loan, 3M US L + 4.50%, 04/13/2024(b)   9,234,256    9,211,171 
Thoughtworks Inc, Senior Secured Initial Term Loan, 1M US L + 4.50%, 10/12/2024   2,000,000    2,016,250 
Travel Click Inc, Senior Secured First Lien Term Loan, 3M US L + 3.50%, 05/06/2021(b)(c)   2,015,625    2,025,703 
Travel Click Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.75%, 11/06/2021   6,659,169    6,673,753 
Travel Leaders Group LLC, Senior Secured First Lien Term B Loan, 3M US L + 4.50%, 01/25/2024   893,250    906,274 
TRC Companies Inc, Senior Secured First Lien Term Loan, 1M US L + 3.50%, 06/21/2024(b)   4,790,444    4,838,348 
TruGreen LP, Senior Secured First Lien Term Loan, 1M US L + 4.00%, 04/13/2023   366,258    370,836 
Weld North Education LLC, Senior Secured First Lien Initial Term Loan, 3M US L + 4.25%, 02/15/2025   6,400,000    6,448,000 
         165,464,319 
           
Services - Consumer - 5.28%          
American Residential Services LLC, Senior Secured First Lien Term Loan, 1M US L + 4.00%, 6/30/2021   3,055,875    3,074,990 
Big Jack Holdings LP, Senior Secured First Lien Term B Loan, 1M US L + 4.00%, 04/05/2024(b)   1,894,709    1,911,288 
K-MAC Holdings Corp, Senior Secured First Lien Initial Term Loan, 3M US L + 3.25%, 03/07/2025(c)   1,850,000    1,861,794 
K-MAC Holdings Corp, Senior Secured Second Lien Initial Term Loan, 3M US L + 6.75%, 03/09/2026(c)   1,744,186    1,771,221 
KUEHG Corp, Senior Secured First Lien Term B-2 Loan, 3M US L + 3.75%, 08/12/2022(d)   4,713,884    4,748,508 
KUEHG Corp, Senior Secured Second Lien Initial Term Loan, 3M US L + 8.25%, 08/15/2025(c)   9,110,000    9,280,812 
Learning Care Group (US) No. 2 Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.25%, 03/13/2025(b)   1,592,697    1,608,623 
Pearl Intermediate Parent LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 2.75%, 02/14/2025(c)   1,339,989    1,327,849 
Pearl Intermediate Parent LLC, Senior Secured Second Lien Initial Term Loan, 1M US L + 6.25%, 02/13/2026   1,176,471    1,179,412 
Quidditch Acquisition Inc, Senior Secured First Lien Term B Loan, 3M US L + 7.00%, 03/14/2025(b)(c)   3,002,778    3,025,299 

 

 

 

   Principal     
   Amount   Value 
     
Services - Consumer (continued)
Red Lobster Management LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 5.25%, 07/28/2021  $2,631,532   $2,646,347 
Renaissance Learning Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.75%, 04/09/2021   2,713,001    2,728,831 
Renaissance Learning Inc, Senior Secured Second Lien Initial Term Loan, 3M US L + 7.00%, 04/11/2022(c)   265,928    267,590 
Tacala Investment Corp, Senior Secured First Lien Term Loan, 1M US L + 3.25%, 01/31/2025   1,436,111    1,445,762 
Tacala Investment Corp, Senior Secured Second Lien Term Loan, 1M US L + 7.00%, 01/30/2026   3,034,483    3,098,981 
         39,977,307 
           
Telecommunications - 4.69%          
Alorica Inc, Senior Secured First Lien Term B Loan, 1M US L + 3.75%, 06/30/2022   2,697,303    2,711,639 
Avaya Inc, Senior Secured First Lien Term Loan, 1M US L + 4.75%, 12/15/2024   7,444,301    7,506,796 
Cologix Holdings Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.00%, 03/20/2025   5,421,805    5,526,879 
Colorado Buyer Inc, Senior Secured Second Lien Initial Term Loan, 3M US L + 7.25%, 05/01/2025   902,256    904,371 
Frontier Communications Corp, Senior Secured First Lien Term B-1 Loan, 1M US L + 3.75%, 06/15/2024   877,579    868,075 
Greeneden US Holdings II LLC, Senior Secured First Lien Tranche B-3 Dollar Term Loan, 3M US L + 3.50%, 12/01/2023   1,530,976    1,541,624 
Masergy Holdings Inc, Senior Secured First Lien 2017 Replacement Term Loan, 3M US L + 3.25%, 12/15/2023   1,843,261    1,849,786 
Masergy Holdings Inc, Senior Secured Second Lien Initial Term Loan, 3M US L + 7.50%, 12/16/2024   1,766,917    1,781,645 
Peak 10 Holding Corp, Senior Secured First Lien Term Loan, 3M US L + 3.50%, 08/01/2024   3,618,182    3,634,862 
Peak 10 Holding Corp, Senior Secured Second Lien Initial Term Loan, 3M US L + 7.25%, 08/01/2025   3,857,143    3,887,036 
Vertiv Group Corp, Senior Secured First Lien Term B Loan, 1M US L + 4.00%, 11/30/2023   5,280,000    5,311,891 
         35,524,604 
           
Transportation - Cargo - 0.27%          
REP WWEX Acquisition Parent LLC, Senior Secured First Lien Term Loan, 3M US L + 4.00%, 02/05/2024   2,044,918    2,052,586 
           
Transportation - Consumer - 0.96%          
Air Medical Group Holdings Inc, Senior Secured First Lien Term B Loan, 1M US L + 4.25%, 03/14/2025   5,975,000    6,033,824 
Lineage Logistics LLC, Senior Secured First Lien Term Loan, 1M US L + 3.00%, 02/16/2025   1,231,088    1,230,829 
         7,264,653 
           
Utilities Electric - 3.36%          
Exgen Texas Power LLC, Senior Secured First Lien Term Loan Non-PIK, 3M US L + 4.75%, 09/20/2021(c)(d)   6,270,864    3,882,700 
Granite Acquisition Inc, Senior Secured Second Lien Term B Loan, 3M US L + 7.25%, 12/19/2022   5,742,624    5,823,394 
Green Energy Partners / Stonewall LLC, Senior Secured First Lien Term B-1 Conversion Advance Loan, 3M US L + 5.50%, 11/13/2021   1,592,995    1,569,100 
Panda Liberty LLC, Senior Secured First Lien Construction B-1 Facility Term Loan, 3M US L + 6.50%, 08/21/2020   6,795,422    6,380,901 
Panda Patriot LLC (fka Moxie Patriot LLC), Senior Secured First Lien Construction B-1 Facility Term Loan, 3M US L + 5.75%, 12/18/2020   447,488    442,595 
Pike Corp, Senior Secured Initial Term Loan, 3M US L + 3.50%, 03/23/2025(c)   3,036,810    3,069,076 
Sandy Creek Energy Associates LP, Senior Secured First Lien Term Loan, 3M US L + 4.00%, 11/09/2020   5,063,672    4,261,080 
         25,428,846 

 

 

 

   Principal     
   Amount   Value 
     
Wholesale - 0.43%
Staples Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.00%, 09/12/2024  $3,299,423   $3,274,265 
           
TOTAL FLOATING RATE LOAN INTERESTS          
(Cost $1,009,808,717)        997,798,018 
           
CORPORATE BONDS - 26.75%          
Aerospace and Defense - 0.39%          
Engility Corp, Senior Unsecured Bond, 8.875%, 09/01/2024   2,800,000    2,921,660 
           
Banking, Finance, Insurance and Real Estate - 5.41%          
AssuredPartners Inc, Senior Unsecured Bond, 7.000%, 08/15/2025(f)   4,545,000    4,499,550 
Fly Leasing Limited, Senior Unsecured Bond, 6.375%, 10/15/2021   2,100,000    2,186,625 
HUB International Ltd, Senior Unsecured Bond,:          
8.125%, 07/15/2019(f)(g)   7,500,000    7,518,750 
7.875%, 10/01/2021(f)   4,000,000    4,145,000 
NFP Corp, Senior Secured Bond, 6.875%, 07/15/2025(f)   5,084,000    5,071,290 
Onex York Acquisition Co, Senior Unsecured Bond, 8.500%, 10/01/2022(f)   12,200,000    11,468,000 
Solera LLC, Senior Unsecured Bond, 10.500%, 03/01/2024(f)   5,450,000    6,090,375 
         40,979,590 
           
Beverage, Food and Tobacco - 1.55%          
CEC Entertainment Inc, Senior Unsecured Bond, 8.000%, 02/15/2022   1,369,000    1,218,410 
PF Chang's China Bistro Inc, Senior Unsecured Bond, 10.250%, 06/30/2020(f)   13,415,000    10,530,775 
         11,749,185 
           
Capital Equipment - 1.19%          
Diebold Inc, Senior Unsecured Bond, Series WI, 8.500%, 04/15/2024   1,500,000    1,584,375 
Hardwoods Acquisition Inc, Senior Secured Bond, 7.500%, 08/01/2021(f)   3,211,000    2,938,065 
NWH Escrow Corp, Senior Secured Bond, 7.500%, 08/01/2021(f)   4,918,000    4,499,970 
         9,022,410 
           
Chemicals, Plastics and Rubber - 0.23%          
Pinnacle Operating Corp, Senior Secured Bond, 9.000%, 11/15/2020(f)   2,000,000    1,730,000 
           
Construction and Building - 4.20%          
FBM Finance Inc, Senior Secured Bond, 8.250%, 08/15/2021(f)   4,320,000    4,536,000 
Great Lakes Dredge & Dock Corp, Senior Unsecured Bond, Series WI, 8.000%, 05/15/2022   5,874,000    6,035,535 
PriSo Acquisition Corp / Building Pro, Senior Unsecured Bond, 9.000%, 05/15/2023(f)   13,060,000    13,680,350 
Zachry Holdings Inc, Senior Unsecured Bond, 7.500%, 02/01/2020(f)   7,423,000    7,515,788 
         31,767,673 
           
Consumer Goods Durable - 0.17%          
Hillman Group Inc (The), Senior Unsecured Bond, 6.375%, 07/15/2022(f)   1,300,000    1,261,000 
           
Containers, Packaging and Glass - 1.50%          
ARD Securities Finance, Senior Secured Bond, 8.750%, 01/31/2023(f)(g)   1,300,000    1,365,000 
Coveris Holdings SA, Senior Unsecured Bond, 7.875%, 11/01/2019(f)   6,454,000    6,502,405 
Flex Acquisition Co Inc, Senior Unsecured Bond, 6.875%, 01/15/2025(f)   1,192,000    1,182,315 
Trident Merger Sub Inc, Senior Secured Bond, 6.625%, 11/01/2025(f)   2,400,000    2,346,000 
         11,395,720 
           
Energy, Oil and Gas - 1.47%          
Calumet Specialty Prod, Senior Unsecured Bond, 7.750%, 04/15/2023   6,600,000    6,550,500 
Comstock Resources Inc, Senior Unsecured Bond,:          
7.750%, 04/01/2019(g)   1,084,815    1,013,314 
10.00% Cash or 12.25% PIK%, 03/15/2020(g)   2,250,000    2,323,125 
CSI Compressco LP / CSI Compressco Finance Inc, Senior Unsecured Bond, 7.250%, 08/15/2022   800,000    756,000 
Ridgeback Resources Inc, Senior Unsecured Bond, 12.000%, 12/21/2021(b)   486,000    486,000 
         11,128,939 

 

 

 

   Principal     
   Amount   Value 
     
Environmental Industries - 0.18%
GFL Environmental Inc, Senior Unsecured Bond, 9.875%, 02/01/2021(f)  $1,292,000   $1,366,290 
           
Healthcare and Pharmaceuticals - 2.95%          
Avantor Inc, Senior Unsecured Bond, 9.000%, 10/01/2025(f)   5,667,000    5,564,286 
Surgery Center Holdings Inc, Senior Unsecured Bond, 8.875%, 04/15/2021(f)   5,500,000    5,761,250 
Team Health Holdings Inc, Senior Secured Bond, 6.375%, 02/01/2025(f)   3,500,000    3,019,100 
Tenet Healthcare, Senior Unsecured Bond, 7.000%, 08/01/2025(f)   5,714,000    5,642,575 
Valeant Pharmaceuticals International Inc, Senior Secured Bond, 5.500%, 11/01/2025(f)   2,400,000    2,345,400 
         22,332,611 
           
High Tech Industries - 3.90%          
BMC Software Finance Inc, Senior Unsecured Bond, 8.125%, 07/15/2021(f)   9,250,000    9,284,688 
Boxer Parent Co Inc, Senior Unsecured Bond, 9.000%, 10/15/2019(f)(g)   3,012,000    3,015,765 
Global A&T Electronics, Senior Secured Bond, 8.500%, 01/12/2023   5,455,376    5,528,895 
Infor US Inc, Senior Unsecured Bond, 6.500%, 05/15/2022   4,250,000    4,345,625 
Riverbed Technology Inc, Senior Unsecured Bond, 8.875%, 03/01/2023(f)   7,723,000    7,365,811 
         29,540,784 
           
Hotels, Gaming and Leisure - 0.68%          
Mood Media Borrower LLC, Senior Unsecured Second Lien Notes, 6M US L + 14.00%, 06/28/2024(a)(b)   5,125,283    5,125,283 
           
Media Advertising, Printing and Publishing - 0.55%          
McGraw-Hill Global Education, Senior Unsecured Bond, 7.875%, 05/15/2024(f)   4,320,000    4,146,206 
           
Media Broadcasting and Subscription - 1.23%          
Cablevision Systems Corp, Senior Unsecured Bond, 8.000%, 04/15/2020   4,600,000    4,861,625 
Cequel Communications Holdings I, Senior Unsecured Bond,:          
6.375%, 09/15/2020(f)   3,912,000    3,990,240 
5.125%, 12/15/2021(f)   500,000    501,875 
         9,353,740 
           
Services - Business - 0.43%          
Infinity ACQ LLC / FI Corp, Senior Unsecured Bond, 7.250%, 08/01/2022(f)   3,250,000    3,241,875 
           
Telecommunications - 0.72%          
Digicel Limited, Senior Unsecured Bond, 6.000%, 04/15/2021(f)   2,250,000    2,120,625 
Frontier Communications, Senior Unsecured Bond,:          
10.500%, 09/15/2022   750,000    630,997 
7.125%, 01/15/2023   4,000,000    2,718,760 
         5,470,382 
           
TOTAL CORPORATE BONDS          
(Cost $204,313,565)        202,533,348 

 

   Shares     
COMMON STOCK - 2.23%          
Banking, Finance, Insurance and Real Estate - 0.43%          
The Brock Group Inc(b)(h)   164,832   $3,296,640 
           
Electronics - 0.45%          
Mood Media Corp(b)(h)   3,709,356    3,412,608 
           
Energy, Oil and Gas - 1.35%          
Ridgeback Resources Inc(b)(h)   1,201,345    6,900,262 
SandRidge Energy Inc(h)   135,154    1,961,085 
TE Holdings LLC (Templar), Class A(b)(h)   197,643    247,053 
Titan Energy LLC(h)   29,318    32,250 

 

 

 

   Principal     
   Shares     
Energy, Oil and Gas (continued)        
Total Safety Holdings LLC(h)   2,951   $1,069,737 
         10,210,387 
           
TOTAL COMMON STOCK          
(Cost $38,337,840)        16,919,635 
           
PREFERRED STOCK - 0.13%          
Energy, Oil and Gas - 0.13%          
TE Holdings LLC (Templar)(b)(h)   131,013    982,595 
           
TOTAL PREFERRED STOCK          
(Cost $1,310,126)        982,595 
           
WARRANTS - 0.01%          
Energy, Oil and Gas - 0.01%          
Comstock Resources Inc,          
 expires 6/20/2020 at $0.01(h)   8,250    60,472 
           
TOTAL WARRANTS          
(Cost $–)        60,472 
           
Total Investments - 160.92%          
(Cost $1,253,770,248)        1,218,294,068 
           
Liabilities in Excess of Other Assets - (3.45)%        (26,166,135)
           
Mandatory Redeemable Preferred Shares - (6.02)%          
(liquidation preference plus distributions payable on term preferred shares)        (45,568,607)
           
Leverage Facility - (51.45)%        (389,500,000)
           
Net Assets - 100.00%       $757,059,326 
           
Amounts above are shown as a percentage of net assets as of March 31, 2018.          

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

PIK - Payment In Kind

 

Libor Rates:

1M US L - 1 Month LIBOR as of March 31, 2018 was 1.88%

2M US L - 2 Month LIBOR as of March 31, 2018 was 2.00%

3M US L - 3 Month LIBOR as of March 31, 2018 was 2.31%

6M US L - 6 Month LIBOR as of March 31, 2018 was 2.45%

 

(a)Floating or variable rate security. The reference rate is described above. The rate in effect as of March 31, 2018 is based on the reference rate plus the displayed spread as of the security's last reset date.
(b)The level 3 assets were valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
(c)All or a portion of this position has not settled as of March 31, 2018. The interest rate shown represents the stated spread over the London Interbank Offered Rate ("LIBOR" or "L") or the applicable LIBOR floor; the Fund will not accrue interest until the settlement date, at which point the LIBOR will be established.
(d)Security is in default as of period end and is therefore non-income producing.
(e)A portion of this position was not funded as of March 31, 2018. The Portfolio of Investments records only the funded portion of each position. See Note 3 - Senior and Secured Floating Rate Loans.

 

 

 

(f)Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $154,246,619, which represented approximately 20.37% of net assets as of March 31, 2018. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(g)Option to convert to pay-in-kind security.
(h)Non-income producing security.

 

 

 

NOTE 1. ORGANIZATION

 

Blackstone / GSO Strategic Credit Fund (the “Fund” or “BGB”) is a diversified, closed-end management investment company. BGB was organized as a Delaware statutory trust on March 28, 2012. BGB was registered under the Investment Company Act of 1940, as amended (the “1940 Act”), on April 6, 2012. BGB commenced operations on September 26, 2012. Prior to that date, BGB had no operations other than matters relating to its organization and the sale and issuance of 5,236 common shares of beneficial interest in BGB to GSO / Blackstone Debt Funds Management LLC (the “Adviser”) at a price of $19.10 per share. The Adviser serves as BGB’s investment adviser. BGB’s common shares are listed on the New York Stock Exchange (the “Exchange”) and trade under the ticker symbol “BGB.”

 

BGB’s primary investment objective is to seek high current income, with a secondary objective to seek preservation of capital, consistent with its primary goal of high current income. The Fund will seek to achieve its investment objectives by investing primarily in a diversified portfolio of loans and other fixed income instruments of predominantly U.S. corporate issuers, including first and second lien secured loans (‘‘Senior Secured Loans’’ or “Loans”) and high yield corporate bonds of varying maturities. Under normal market conditions, at least 80% of BGB’s assets will be invested in credit investments comprised of corporate fixed income instruments and other investments (including derivatives) with similar economic characteristics.

 

BGB will dissolve on or about September 15, 2027, absent shareholder approval to extend such term. Upon dissolution, BGB will distribute substantially all of its net assets to shareholders, after making appropriate provision for any liabilities of the Fund. Pursuant to BGB’s Agreement and Declaration of Trust, prior to the date of dissolution a majority of the Board of Trustees, with the approval of a majority of the outstanding voting securities entitled to vote (as defined in the 1940 Act), may extend the life of BGB. If approved, the dissolution date of the Fund may be extended by a period of two years or such shorter time as may be determined. However, the dissolution date of the Fund may be extended an unlimited number of times.

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

 

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

 

Portfolio Valuation: BGB’s net asset value (“NAV”) is determined daily on each day that the Exchange is open for business, as of the close of the regular trading session on the Exchange. The Fund calculates NAV per share by subtracting liabilities (including accrued expenses or dividends) from the total assets (the value of the securities plus cash or other assets, including interest accrued but not yet received) and dividing the result by the total number of outstanding common shares of the Fund.

 

Loans are primarily valued by using a composite loan price from a nationally recognized loan pricing service. The methodology used by BGB’s nationally recognized loan pricing provider for composite loan prices is to value loans at the mean of the bid and ask prices from one or more brokers or dealers. Corporate bonds, other than short-term investments, are valued at the price provided by a nationally recognized pricing service. The prices provided by the nationally recognized pricing service are typically based on the mean of bid and ask prices for each corporate bond security. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrices, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments. Short-term debt investments, if any, having a remaining maturity of 60 days or less when purchased would be valued at cost adjusted for amortization of premiums and accretion of discounts. Equity securities for which market quotations are available are generally valued at the last sale price or official closing price on the primary market or exchange on which they trade. Any investments and other assets for which such current market quotations are not readily available are valued at fair value (“Fair Valued Assets”) as determined in good faith by a committee of the Adviser (“Fair Valued Asset Committee”) under procedures established by, and under the general supervision and responsibility of, the Fund’s Board of Trustees. A Fair Valued Asset Committee meeting may be called at any time by any member of the Fair Valued Asset Committee. The pricing of all Fair Valued Assets and determinations thereof shall be reported by the Fair Valued Asset Committee to the Board at each regularly scheduled quarterly meeting.

 

Various inputs are used to determine the value of BGB’s investments. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

 

 

 

Level 1 — Unadjusted quoted prices in active markets for identical investments at the measurement date.

 

Level 2 — Significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).

 

Level 3 — Significant unobservable inputs (including the Fund’s own assumption in determining the fair value of investments).

 

The categorization of a value determined for investments and other financial instruments is based on the pricing transparency of the investment and other financial instrument and does not necessarily correspond to the Fund’s perceived risk of investing in those securities. Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement.

 

The following table summarizes the valuation of BGB’s investments under the fair value hierarchy levels as of March 31, 2018:

 

Blackstone / GSO Strategic Credit Fund
Investments in Securities at Value*  Level 1 - Quoted Prices   Level 2 - Significant Observable Inputs   Level 3 - Significant Unobservable Inputs   Total 
Floating Rate Loan Interests                    
Aerospace and Defense  $–   $10,630,584   $3,939,796   $14,570,380 
Automotive   –    21,058,334    3,213,158    24,271,492 
Banking, Finance, Insurance and Real Estate   –    57,758,692    8,472,164    66,230,856 
Beverage, Food and Tobacco   –    27,549,612    8,956,408    36,506,020 
Capital Equipment   –    16,993,050    12,060,326    29,053,376 
Chemicals, Plastics and Rubber   –    21,110,952    1,851,667    22,962,619 
Construction and Building   –    59,933,508    4,020,553    63,954,061 
Containers, Packaging and Glass   –    29,903,244    77,390    29,980,634 
Energy, Oil and Gas   –    27,904,014    6,101,259    34,005,273 
Environmental Industries   –    685,600    6,022,736    6,708,336 
Healthcare and Pharmaceuticals   –    111,630,653    24,832,909    136,463,562 
High Tech Industries   –    146,950,352    24,625,112    171,575,464 
Metals and Mining   –    3,725,179    9,374,207    13,099,386 
Retail   –    17,967,200    1,309,341    19,276,541 
Services - Business   –    115,362,999    50,101,320    165,464,319 
Services - Consumer   –    33,432,097    6,545,210    39,977,307 
Other   –    123,698,392    –    123,698,392 
Corporate Bonds                    
Energy, Oil and Gas   –    10,642,939    486,000    11,128,939 
Hotels, Gaming and Leisure   –    –    5,125,283    5,125,283 
Other   –    186,279,126    –    186,279,126 
Common Stock                    
Banking, Finance, Insurance and Real Estate   –    –    3,296,640    3,296,640 
Electronics   –    –    3,412,608    3,412,608 
Energy, Oil and Gas   1,993,335    1,069,737    7,147,315    10,210,387 
Preferred Stocks                    
Energy, Oil and Gas   –    –    982,595    982,595 
Warrants   –    60,472    –    60,472 
Total  $1,993,335   $1,024,346,736   $191,953,997   $1,218,294,068 

 

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

 

 

 

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

 

Blackstone/GSO Strategic Credit Fund 

Floating Rate

Loan Interests

   Corporate Bonds   Common Stock   Preferred Stock   Total 
 Balance as of December 31, 2017  $180,109,500   $5,411,000   $15,121,331   $1,211,867   $201,853,698 
 Accrued discount/ premium   50,939    4,418    -    -    55,357 
 Realized Gain/(Loss)   354,728    -    -    -    354,728 
 Change in Unrealized  Appreciation/(Depreciation)   290,506    (4,418)   (1,264,768)   (229,272)   (1,207,952)
 Purchases   34,457,454    200,283    -    -    34,657,737 
 Sales Proceeds   (41,971,087)   -    -    -    (41,971,087)
 Transfer into Level 3   63,619,680    -    -    -    63,619,680 
 Transfer out of Level 3   (65,408,164)   -    -    -    (65,408,164)
 Balance as of March 31, 2018  $171,503,556   $5,611,283   $13,856,563   $982,595   $191,953,997 
Net change in unrealized appreciation/(depreciation) included in the Statements of Operations attributable to Level 3 investments held at March 31, 2018  $(1,437,371)  $(4,417)  $(3,388,096)  $(229,272)  $(5,059,156)

 

Information about Level 3 fair value measurements as of March 31, 2018:

 

Blackstone / GSO Strategic Credit Fund  Fair Value   Valuation Technique(s) Unobservable Input(s)  Value/Range
Assets            
Floating Rate Loan Interests  $170,194,215   Third-party vendor pricing service Broker quotes   N/A
   $1,309,341   Performance Multiple Methodology Revenue Multiple(a)   0.13x
               
Corporate Bonds  $5,125,283   Discounted Cash Flow Discount Rate(a)   13.00%
          EBITDA Multiple(a)   7.75x
   $486,000   Energy Market Multiples EBITDA Multiple(a)   4.90x
          Proved & Probable PV-10(a)   0.55x
          Daily Production(a)   52.2
          Proved & Probable Reserves(a)   9.1
               
Common Stock  $3,296,640   Performance Multiple Methodology EBITDA Multiple(a)   9.94x
   $6,900,262   Energy Market Multiples EBITDA Multiple(a)   4.90x
          Proved & Probable PV-10(a)   0.55x
          Daily Production(a)   52.2
          Proved & Probable Reserves(a)   9.1
   $247,053   Third-party vendor pricing service Broker quotes   N/A
   $3,412,608   Discounted Cash Flow Discount Rate(a)   13.00%
          EBITDA Multiple(a)   7.75x
               
Preferred Stock  $982,595   Third-party vendor pricing service Broker quotes   N/A

 

(a)A change to the unobservable input may result in a significant change to the value of the investment as follows:

 

 

 

 

Unobservable Input

 Impact to Value if Input Increases Impact to Value if Input Decreases
Revenue Multiple Increase Decrease
Discount Rate Decrease Increase
EBITDA Multiple Increase Decrease
Proved & Probable PV-10 Increase Decrease
Daily Production Increase Decrease
Proved & Probable Reserves Increase Decrease

 

The Fund evaluates transfers into or out of Level 1, 2 and 3 as of the end of the reporting period. There were no transfers between Level 1 and 2 during the period. Securities were transferred from Level 2 to Level 3 because of a lack of observable market data due to decrease in market activity and information for these securities. Other securities were moved from Level 3 to Level 2 as observable inputs were available for purposes of valuing those assets.

 

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

 

NOTE 3. SENIOR AND SECURED FLOATING RATE LOANS

 

BGB will seek to achieve its investment objectives by investing primarily in U.S. corporate fixed income instruments, including Loans and high yield corporate bonds of varying maturities. Under normal market conditions, at least 80% of BGB's Managed Assets (as defined below) will be invested in credit investments comprised of corporate fixed income instruments and other investments (including derivatives) with similar economic characteristics. BGB defines "Managed Assets" as total assets (including any assets attributable to any leverage used) minus the sum of BGB's accrued liabilities (other than liabilities related to the principal amount of leverage). At March 31, 2018, 100.82% of BGB’s Managed Assets were held in corporate fixed income instruments, including Senior Secured Loans.

 

Loans hold a senior position in the capital structure of a business entity, are secured with specific collateral and have a claim on the assets and/or stock of the borrower of the Loan (the "Borrower") that is senior to that held by unsecured creditors, subordinated debt holders and stockholders of the Borrower.

 

At March 31, 2018, BGB had unfunded delayed draw term loans of $3,649,610.

 

Loans often require prepayments from Borrowers’ excess cash flows or permit the Borrowers to repay at their election. The degree to which Borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, floating rate loans typically have an expected average life of two to four years. Floating rate loans typically have rates of interest which are re-determined periodically, either daily, monthly, quarterly or semi-annually by reference to a floating base lending rate, primarily the London Interbank Offered Rate (LIBOR), plus a premium or credit spread.

 

Loans are subject to the risk of payment defaults of scheduled interest or principal. Such non-payment could result in a reduction of income, a reduction in the value of the investment and a potential decrease in the net asset value of the Fund. Risk of loss of income is generally higher for subordinated unsecured loans or debt, which are not backed by a security interest in any specific collateral. There can be no assurance that the liquidation of any collateral securing a Loan would satisfy the Borrower’s obligation to the Fund in the event of non-payment of scheduled interest or principal payments, or that such collateral could be readily liquidated.

 

Second lien loans generally are subject to similar risks as those associated with investments in first lien loans except that such loans are subordinated in payment and/or lower in lien priority to first lien holders. In the event of default on a second lien loan, the first priority lien holder has first claim to the underlying collateral of the loan. Second lien loans are subject to the additional risk that the cash flow of the Borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to senior obligations of the Borrower. At March 31, 2018, BGB had invested $215,192,905 in second lien secured loans.

 

 

 

Loans can be rated below investment grade or may also be unrated. As a result, the risks associated with Loans may be similar to the risks of other below investment grade securities, although they are senior and secured in contrast to other below investment grade securities, which are often subordinated or unsecured. BGB typically invests in Loans rated below investment grade, which are considered speculative because of the credit risk of their issuers. Such companies are more likely than investment grade issuers to default on their payments of interest and principal owed to BGB, and such defaults could reduce net asset value and income distributions. The amount of public information available with respect to below investment grade loans will generally be less extensive than that available for registered or exchange-listed securities. In evaluating the creditworthiness of Borrowers, the Adviser will consider, and may rely in part, on analyses performed by others. The Adviser’s established best execution procedures and guidelines require trades to be placed for execution only with broker-dealer counterparties approved by the Counterparty Committee of the Adviser. The factors considered by the Counterparty Committee when selecting and approving brokers and dealers include, but are not limited to: (i) quality, accuracy, and timeliness of execution, (ii) review of the reputation, financial strength and stability of the financial institution, (iii) willingness and ability of the counterparty to commit capital, (iv) ongoing reliability and (v) access to underwritten offerings and secondary markets. The Counterparty Committee regularly reviews each broker-dealer counterparty based on the foregoing factors.

 

BGB may acquire Loans through assignments or participations. BGB typically acquires these Loans through assignment, and if BGB acquires a Loan through participation, it will seek to elevate a participation interest into an assignment as soon as practicably possible. The purchaser of an assignment typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the purchaser’s rights can be more restricted than those of the assigning institution, and BGB may not be able to unilaterally enforce all rights and remedies under the Loan and with regard to any associated collateral. A participation typically results in a contractual relationship only with the institution participating out the interest, not with the Borrower. Sellers of participations typically include banks, broker-dealers, other financial institutions and lending institutions. The Adviser has adopted best execution procedures and guidelines to mitigate credit and counterparty risk in the atypical situation when BGB must acquire a Loan through participation. BGB had no outstanding participations as of March 31, 2018.

 

NOTE 4. LEVERAGE

 

The Fund has entered into a separate Credit Agreement (the "Agreement") with a bank to borrow money pursuant to a two-year revolving line of credit ("Leverage Facility") dated December 21, 2012, as amended at December 20, 2013, December 19, 2014, December 18, 2015, July 26, 2016, December 16, 2016 and December 20, 2017 to borrow up to a limit of $415,000,000. Borrowings under the Agreement are secured by the assets of the Fund. Interest is charged at a rate of 0.975% above LIBOR, with LIBOR measured for the period commencing on the date of the making of such LIBOR Loan (or the last date upon which any other Loan was converted to, or continued as, such LIBOR Loan) and ending on the numerically corresponding day in the calendar month that is one (1) week or one (1), two (2), three (3), six (6) or nine (9) months thereafter, as the Fund may elect, or such other periods as the lender may agree in its sole and absolute discretion. Under the terms of the Agreement, the Fund must pay a commitment fee on any undrawn amounts. The commitment fee payable is 0.15% on the undrawn amounts when drawn amounts exceed 50% of the borrowing limit and 0.25% on the undrawn amounts at any other time. Interest and fees are payable quarterly. The Fund may elect to extend the Agreement for a further period with the consent of the lending bank. At March 31, 2018, BGB had borrowings outstanding under its Leverage Facility of $389,500,000, at an interest rate of 2.71%. Face value approximates fair value at March 31, 2018, this fair value is based on Level 2 inputs under the three-tier fair valuation hierarchy (see Note 2). For the period ended March 31, 2018, the average borrowings under BGB's Leverage Facility and the average interest rate were $384,927,778 and 2.56%, respectively.

 

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

 

Under the Agreement and the governing documents of the MRPS, the Fund has agreed to certain covenants and additional investment limitations while the leverage is outstanding. The Fund agreed to maintain asset coverage of three times over borrowings. Compliance with the investment restrictions and calculations are performed by the Fund's custodian, The Bank of New York Mellon.

 

 

 

The use of leverage by the Fund can create risks. Changes in the value of the Fund's portfolio, including securities bought with the proceeds of leverage, are borne entirely by the holders of common shares of the Fund. All costs and expenses related to any form of leverage used by the Fund are borne entirely by common shareholders. If there is a net decrease or increase in the value of the Fund's investment portfolio, the leverage may decrease or increase, as the case may be, the net asset value per common share to a greater extent than if the Fund did not utilize leverage. During periods when BGB is using leverage, the fees paid to the Adviser for advisory services and to ALPS for administrative services are higher than if the Fund did not use leverage because the fees paid are calculated on the basis of the Fund's Managed Assets, which include the assets purchased through leverage.

 

 

 

Item 2. Controls and Procedures.

 

(a)The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this Report.

 

(b)There was no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the Registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

Separate certifications for the Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached as Exhibit 99.CERT.

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Blackstone / GSO Strategic Credit Fund  
     
By: /s/ Daniel H. Smith, Jr.  
  Daniel H. Smith, Jr. (Principal Executive Officer)  
  Chairman, Chief Executive Officer and President  
     
Date: May 30, 2018  
     
By: /s/ Doris Lee-Silvestri  
  Doris Lee-Silvestri (Principal Financial Officer)  
  Treasurer and Chief Financial Officer  
     
Date: May 30, 2018  

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By: /s/ Daniel H. Smith, Jr.  
  Daniel H. Smith, Jr. (Principal Executive Officer)  
  Chairman, Chief Executive Officer and President  
     
Date: May 30, 2018  
     
By: /s/ Doris Lee-Silvestri  
  Doris Lee-Silvestri (Principal Financial Officer)  
  Treasurer and Chief Financial Officer  
     
Date: May 30, 2018