N-CSRS 1 fp0045039_ncsrs.htm

 

UNITED STATES 

SECURITIES AND EXCHANGE COMMISSION 

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED 

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number: 811-22393

 

Blackstone / GSO Senior Floating Rate Term 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: June 30, 2019

 

 

 

Item 1.Report to Stockholders.

 

 

 

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on each Fund’s website and you will be notified by mail each time a report is posted and provided with a website link to access the report.

 

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Shareholders who invest directly with a Fund may elect to receive shareholder reports and other communications from the Fund electronically by calling 1-800-522-6645 to make such arrangements. For shareholders who invest through a financial intermediary, please contact that financial intermediary directly for information on how to receive shareholder reports and other communications electronically.

 

You may elect to receive all future reports in paper free of charge. If you invest directly with a Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-522-6645 to make such arrangements. For shareholders who invest through a financial intermediary, please contact that financial intermediary directly to inform them that you wish to continue receiving paper copies of your shareholder reports. If your common shares are held through a financial intermediary, your election to receive reports in paper will apply to all funds held with that financial intermediary.

 

 

 

Table of Contents

 

 

Manager Commentary 2
Fund Summary 4
Portfolio of Investments 10
Statements of Assets and Liabilities 48
Statements of Operations 49
Statements of Changes in Net Assets 50
Statements of Cash Flows 51
Financial Highlights 52
Notes to Financial Statements 58
Summary of Dividend Reinvestment Plan 71
Additional Information 72
Privacy Procedures 74
Approval of Investment Advisory Agreement 81
Trustees & Officers 85

 

 

 

Blackstone / GSO Funds Manager Commentary

 

June 30, 2019 (Unaudited)

 

To Our Shareholders:

 

Central banks completed the transition from tightening to easing in the second quarter of 2019. The prospects of coordinated easing across major economies likely propelled risk assets to new highs in the first half of 2019, turning the relationship between markets and the Federal Reserve (the “Fed”) on its head – risk assets are supposed to rally after the Fed cuts, not before. Historically, equity returns have been flat in the six months prior to a Fed cut, but year-to-date through June, the stock market was up over 20%. Markets have a poor history of predicting the magnitude and timing of Fed actions, and we believe current conditions do not warrant as aggressive a rate path as markets are currently pricing in. Notably, the U.S. doesn’t have a growth problem, and inflation may not be as weak as investors believe. Meanwhile, investors have jumped headfirst into longer duration bonds in hopes of lower rates for longer periods. They appear to be ignoring the issues bubbling under the surface that we believe make risk assets unlikely to make much progress and credit spreads likely to widen from here. Policy may disappoint, corporate profits are slowing, and trade tensions may intensify. The mismatch between investor expectations and reality may be a source of volatility for the remainder of 2019. The end of the economic cycle is not expected soon, and pullbacks may create buying opportunities in the market.

 

Following a volatile end to 2018, the U.S. corporate credit markets rallied in the first half of 2019. The snapback in the second quarter of 2019 slowed for loans as rate cut expectations seemed to work against the otherwise bullish sentiment in the credit markets. Loans returned 1.68% in the second quarter of 2019, bringing year-to-date performance to 5.74% as of June 30, 2019. This represents the best first half-year performance in ten years, as lower levels of new issue loan supply offset the headwind of continued outflows from mutual funds and exchange-traded funds (“ETFs”). The Bloomberg Barclays U.S. Corporate High Yield Index returned 9.9% year-to-date as of June 30, 2019 as the light tone from the Fed and the European Central Bank, coupled with de-escalation of the U.S./China trade conflict, probably propelled relatively strong performance over the quarter. May represented the only negative returning month for high yield bonds in 2019, with a return of -1.2%, largely due to the broader risk-off sentiment as retail investors exited the asset class driving $6 billion of outflows. This sentiment quickly reversed in June following accommodative statements by Fed Chairman Powell, which seemed to drive high yield fund inflows totaling $3.7 billion and a monthly return of 2.3%, the second highest returning month in 2019.

Total Returns through June 30, 2019

US Loans (S&P/LSTA Leveraged Loan Index) 5.74%
US High Yield Bonds (Bloomberg Barclays U.S. High Yield Index) 9.94%
3-month Treasury Bills (Bloomberg Barclays U.S. Treasury Bellwethers: 3 Month) 1.25%
10-Year Treasuries (Bloomberg Barclays U.S. Treasury Bellwethers: 10 Year) 7.44%
US Aggregate Bonds (Bloomberg Barclays U.S. Aggregate Index) 6.11%
US Investment Grade Bonds (Bloomberg Barclays U.S. Corporate Investment Grade Index) 9.85%
Emerging Markets (Bloomberg Barclays EM USD Aggregate Index) 9.39%
US Large Cap Equities (S&P 500® Index) 18.54%

 

Sources: Bloomberg, Barclays, S&P/LCD

 

Past Performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



 

Higher quality loans outperformed the lower quality segment of the market during the first half of 2019, with BB and B rated loans returning 6.0% and 5.2%, respectively, compared to CCC rated loans, which returned just 2.8%. In contrast, high yield bond returns during the first half of 2019 were relatively consistent across credit quality. BB rated high yield bonds returned 10.3%, B rated bonds returned 9.8%, and CCC rated bonds returned 10.0% year-to-date as of June 30, 2019.

 

Loan new issue supply has remained subdued year-to-date as bond-for-loan refinancings increased while loan repricings decreased. Total gross loan issuance in the first half of 2019 totaled $158 billion, a 69% decrease compared to the first half of 2018, which recorded gross issuance of over $500 billion (of which 67% was repricing and refinancing). Loan issuance net of refinancing and repricing activity has also slowed year-to-date with net loan issuance totaling just $103 billion for the first half, a 38% decrease year-over-year. In comparison, gross high yield bond issuance continued at an accelerated pace in the second quarter of 2019, totaling $71 billion and bringing year-to-date issuance to $141 billion as of June 30. Net high yield bond issuance, excluding refinancing, was also up year-over-year, totaling $47 billion, representing a 3% increase compared to the first half of 2018. Strong high yield bond issuance is expected to continue into the third quarter of 2019 with $20 billion of gross issuance in the current pipeline.

 

Loan mutual funds and ETFs have experienced a record 33 straight weeks of net outflows through June 30, 2019 as demand for loans from retail investors continues to be heavily predicated on expected movements in interest rates. From mid-July 2018 to October 2018, the asset class was flooded with almost $45 billion of net inflows into loan retail funds as interest rate increases were anticipated. However, as rate expectations shifted lower in October 2018, over 80% of the $45 billion has since exited the asset class. We expect outflows to continue at a moderate pace given the current rate outlook. Although high yield retail funds experienced a net monthly outflow during May 2019, year-to-date net flows remain positive at $12.2 billion as of June 30, 2019. This has helped to fuel the recent high yield issuance surge as retail investors adjust their rate expectations and shift into fixed rate, longer duration assets.

 

 

2 www.blackstone-gso.com

 

 

 

Blackstone / GSO Funds Manager Commentary

 

June 30, 2019 (Unaudited)

 

U.S. Collateralized Loan Obligation (“CLO”) issuance lagged slightly year-over-year with $65 billion issued through June 30, 2019 compared to $67 billion over the same period last year. JP Morgan estimates that U.S. CLO issuance will total $115-$125 billion by year-end, which would represent a decline of approximately 8-12% year-over-year.

 

As of June 30, 2019, both loan and high yield bond default rates had decreased compared to year-end 2018 levels. Per JP Morgan, the par-weighted loan default rate for the last-twelve-month (“LTM”) period ending June 30, 2019 was 1.30%, which was down 42 basis points since the end of 2018 and down 69 basis points year-over-year. The par-weighted LTM high yield bond default rate per JP Morgan was 1.46% at June 30, 2019, down 37 basis points year-to-date and down 52 basis points year-over-year. JP Morgan continues to expect 2019 year-end default rates of just 1.5% and 2020 default rates of 2.0% for loans and high yield bonds, both of which are below the 20-year average. Lower default rate expectations are supported by robust interest coverage, expected continuance of U.S. GDP growth, and limited near-term U.S. loan and high yield bond maturities.

 

We continue to believe that floating rate senior loans offer a compelling risk-reward opportunity, especially given the low correlation of loans with other fixed income investments, as well as such loans’ senior secured nature.

 

At GSO / Blackstone, we value your continued investment and confidence in us and in our family of funds. Additional information about our funds is available on our website at www.blackstone-gso.com.

 

Sincerely,

 

GSO / Blackstone Debt Funds Management LLC

 

 

 

 

Semi-Annual Report | June 30, 2019 3

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Fund Summary

 

June 30, 2019 (Unaudited)

 

Blackstone / GSO Senior Floating Rate Term Fund

 

Fund Overview

 

Blackstone / GSO Senior Floating Rate Term Fund (“BSL” or herein, the “Fund”) is a closed-end term fund that trades on the New York Stock Exchange under the symbol “BSL”. BSL’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. Under normal market conditions, the Fund invests at least 80% of its Managed Assets in senior, secured floating rate loans (“Senior Loans”). BSL may also invest in second-lien loans and high yield bonds and employs financial leverage, which may increase risk to the Fund. The Fund has a limited term, and absent shareholder approval to extend the life of the Fund, the Fund will dissolve on or about May 31, 2022.

 

Portfolio Management Commentary

 

Fund Performance

BSL outperformed its key benchmark, the S&P/LSTA Leveraged Loan Index (“S&P LLI”), on a Net Asset Value (“NAV”) per share basis for the periods of three years, five years, and the life of the Fund since inception and underperformed its benchmark for the six month and one year periods. On a market share per price basis, the Fund outperformed its benchmark for the periods of six months, three years, five years, and since inception and underperformed its benchmark for the one year period. The shares of the Fund traded at an average discount to NAV of 1.3% for the six months ended June 30, 2019, compared to its peer group average discount of 7.9% over the same time.1

 

NAV Performance Factors

The Fund’s underperformance relative to its benchmark in the first half of 2019 was partially attributable to an underweight allocation to larger tranche loans, which rallied in January after underperforming in late 4Q 2018 due to heavy selling by loan mutual funds to meet historic redemptions. During the first half of 2019, loans in the benchmark with tranches of $1.0 billion or greater (approximately 28% of the Fund and 58% of the benchmark) returned +6.3% compared to a return of +4.9% for loans below $1.0 billion (approximately 68% of the Fund and 42% of the benchmark). Credit selection within single-B rated loans, which represented approximately 79% of the Fund during the period, also negatively impacted performance, as single-B loans held by the Fund returned approximately +5.1% compared to approximately +5.7% for single-B loans in the benchmark. By issuer, the largest positive contributors to performance relative to the benchmark were Beacon Health, GFL Environmental, and US LBM, while Sheridan Production Partners, MCS, and Southern Graphics were the most significant detractors.

 

Portfolio Activity and Positioning

Over the first six months of 2019, the Fund focused on taking advantage of new issuance while net reducing its allocation to certain higher beta/stressed loans. On a sector basis, the Fund reduced its allocation to basic materials and energy while increasing exposure to information technology.2 The Fund continues to seek to opportunistically take advantage of strong technicals to pare higher risk names where the portfolio managers believe inadequate levels of compensation are being offered relative to the credit risk.

 

As of June 30, 2019, the Fund held 83.6% of its Managed Assets in Senior Loans, 12.1% in second lien loans, and 2.9% in high yield bonds. BSL’s investments represented the obligations of 267 companies, with an average position size representing 0.32% of Managed Assets of the Fund. Electronics/electric, healthcare, and business equipment & services represented the Fund’s top sector weightings.3

 

 

1Average discount and peer group per Morningstar.

2Industries per Bloomberg classifications.

3Industries per S&P classifications.

 

 

4 www.blackstone-gso.com

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Fund Summary

 

June 30, 2019 (Unaudited)

 

BSL’s Portfolio Composition*

 

 

 

*Numbers may not sum to 100.00% due to rounding. The Fund’s Cash and Other represents net cash and other assets and liabilities, which includes amounts payable for investments purchased but not yet settled and amounts receivable for investments sold but not yet settled. At period end, the amounts payable for investments purchased but not yet settled exceeded the amount of cash on hand. The Fund uses sales proceeds or funds from its leverage program to settle amounts payable for investments purchased, but such amounts are not reflected in the Fund’s net cash.

 

BSL’s Moody’s Rating*

 

 

 

*For more information on Moody's ratings and descriptions refer to www.moodys.com.

 

Portfolio Characteristics

Average All-In Rate 7.02%
Current Dividend Yield^ 7.89%
Effective Duration^^ 0.22 yr
Average Position* 0.32%
Leverage* 33.19%

 

^Using current dividend rate of $0.111/share and market price/share as of 6/30/2019.

^^Loan durations are based on the actual remaining time until LIBOR is reset for each individual loan.

*As a percentage of Managed Assets.

Top 10 Issuers*

Quest Software US Holdings, Inc. 1.6%
EG Group, Ltd. 1.3%
TKC Holdings, Inc. 1.2%
Advantage Sales & Marketing, Inc. 1.2%
LBM Borrower LLC 1.1%
GI Revelation Acquisition LLC 1.1%
Ivanti Software, Inc. 1.1%
KUEHG Corp 1.0%
PT Intermediate Holdings 1.0%
Netsmart Technologies, Inc. 1.0%
Top 10 Issuer 11.5%

 

*As a percentage of Managed Assets.

Portfolio holdings and distributions are subject to change and are not recommendations to buy or sell any security.

 

Top 5 Industries*^

Electronics/Electric 19.5%
Healthcare 16.3%
Business Equipment & Services 15.4%
Building & Development 6.0%
Industrial Equipment 3.3%
Top 5 Industries 60.5%

 

*As a percentage of Managed Assets.

^S&P Industry Classification Schema.

 

BSL Total Return

 

 

6

Month

1

Year

3

Year†

5

Year†

Since

Inception†

NAV* 5.00%** 3.70% 7.83% 4.67% 5.70%
Market Price* 13.83% 2.30% 9.90% 6.18% 5.26%
S&P LLI 5.74% 3.97% 5.24% 3.68% 4.79%

 

†Annualized.

*Assumes distributions are reinvested pursuant to the Fund’s dividend reinvestment plan. Performance data quoted represents past performance and does not guarantee future results.

**Excludes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value and total return for shareholder transactions reported to the market at period ended June 30, 2019 may differ from the net asset value for financial reporting purposes.


 

 

Semi-Annual Report | June 30, 2019 5

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Fund Summary

 

June 30, 2019 (Unaudited)

 

Blackstone / GSO Long-Short Credit Income Fund

 

Fund Overview

 

Blackstone / GSO Long Short Credit Income Fund (“BGX” or herein, the “Fund”) is a closed-end fund that trades on the New York Stock Exchange under the symbol “BGX”. BGX’s primary investment objective is to provide current income, with a secondary objective of capital appreciation. BGX will take long positions in investments which we believe offer the potential for attractive returns under various economic and interest rate environments. BGX may also take short positions in investments which we believe will under-perform due to a greater sensitivity to earnings growth of the issuer, default risk or the general level and direction of interest rates. BGX must hold no less than 70% of its Managed Assets in first- and second-lien secured loans (“Secured Loans”) but may also invest in unsecured loans and high yield bonds.

 

Portfolio Management Commentary

 

Fund Performance

BGX outperformed a composite weighting of the S&P LLI and the Barclays U.S. High Yield Index (“Barclays HYI”) (70% loans, 30% high yield bonds) on a NAV per share basis for the periods of three years, five years, and the life of the Fund since inception and underperformed its benchmark for the six month and one year periods. On a market share per price basis, the Fund outperformed its benchmark for the periods of six months, one year, three years, five years, and since inception. The shares of the Fund traded at an average discount to NAV of 4.5% for the six months ended June 30, 2019, compared to its peer group average discount of 9.8% over the same time.1

 

NAV Performance Factors

The Fund’s underperformance relative to its benchmark in the first half of 2019 was partially attributable to an underweight allocation to larger tranche loans, which rallied in January after underperforming in late 4Q 2018 due to heavy selling by loan mutual funds to meet historic redemptions. During the first half of 2019, loans in the benchmark with tranches of $1.0 billion or greater (approximately 24% of the Fund and 41% of the benchmark) returned +6.3% compared to a return of +4.9% for loans below $1.0 billion (approximately 62% of the Fund and 29% of the benchmark). Credit selection within single-B rated loans, which represented approximately 69% of the Fund during the period, also negatively impacted performance, as single-B loans held by the Fund returned approximately +5.1% compared to approximately +5.7% for single-B loans in the benchmark. The Fund’s underweight allocation to high yield, and particularly longer duration high yield, also negatively impacted performance. By issuer, the largest positive contributors to performance relative to the benchmark were York Risk Services, Beacon Health, and Calumet Specialty Products Partners, while Pier 1, Southern Graphics, and MCS were the most significant detractors.

 

Portfolio Activity and Positioning

Over the first six months of 2019, the Fund focused on taking advantage of new issuance while net reducing its allocation to certain higher beta/stressed loans. On a sector basis, the Fund reduced its allocation to basic materials and consumer discretionary while increasing exposure to information technology and industrials.2 The Fund continues to seek to opportunistically take advantage of strong technicals to pare higher risk names where the portfolio managers believe inadequate levels of compensation are being offered relative to the credit risk.

 

As of June 30, 2019, the Fund held 86.5% of its Managed Assets in Secured Loans and 12.1% in high yield bonds. BGX’s investments represented the obligations of 283 companies, with an average position size representing 0.30% of Managed Assets of the Fund. Electronics/electric, healthcare, and business equipment & services represented the Fund’s top sector weightings.3

 

 

1Average discount and peer group per Morningstar.

2Industries per Bloomberg classifications.

3Industries per S&P classifications.

 

 

6 www.blackstone-gso.com

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Fund Summary

 

June 30, 2019 (Unaudited)

 

BGX’s Portfolio Composition*

 

(PIE CHART)

 

*Numbers may not sum to 100.00% due to rounding. The Fund’s Cash and Other represents net cash and other assets and liabilities, which includes amounts payable for investments purchased but not yet settled and amounts receivable for investments sold but not yet settled. At period end, the amounts payable for investments purchased but not yet settled exceeded the amount of cash on hand. The Fund uses sales proceeds or funds from its leverage program to settle amounts payable for investments purchased, but such amounts are not reflected in the Fund’s net cash.

 

BGX’s Moody’s Rating Distribution*

 

(BAR CHART)

 

*For more information on Moody's ratings and descriptions refer to www.moodys.com.

 

Portfolio Characteristics

Average All-In Rate 7.28%
Current Dividend Yield^ 9.33%
Effective Duration^^ 0.48 yr
Average Position* 0.30%
Leverage* 39.14%

 

^Using current dividend rate of $0.122/share and market price/share as of 6/30/2019.

^^Loan durations are based on the actual remaining time until LIBOR is reset for each individual loan.

*As a percentage of Managed Assets.

Top 10 Issuers*

Quest Software US Holdings, Inc. 1.6%
Ivanti Software, Inc. 1.5%
Advantage Sales & Marketing, Inc. 1.2%
Avantor, Inc. 1.1%
Allied Universal Holdco LLC 1.1%
KUEHG Corp 1.1%
York Risk Services Holding Corp. 1.1%
Asurion LLC 1.0%
Carestream Health, Inc. 1.0%
GI Revelation Acquisition LLC 1.0%
Top 10 Issuer 11.7%

 

*As a percentage of Managed Assets.

Portfolio holdings and distributions are subject to change and are not recommendations to buy or sell any security.

 

Top 5 Industries*^

Electronics/Electric 17.6%
Healthcare 16.1%
Business Equipment & Services 14.5%
Building & Development 6.6%
Telecommunications 3.6%
Top 5 Industries 58.4%

 

*As a percentage of Managed Assets.
^S&P Industry Classification Schema.

 

BGX Total Return

 

6

Month

1

Year

3

Year†

5

Year†

Since

Inception†

NAV* 6.22%** 3.88% 8.90% 5.28% 5.99%
Market Price* 18.56% 6.27% 12.68% 6.39% 5.18%
70% S&P LLI / 30% Barclays HYI 6.99% 5.02% 5.93% 4.08% 4.94%

 

†Annualized.
*Assumes distributions are reinvested pursuant to the Fund’s dividend reinvestment plan. Performance data quoted represents past performance and does not guarantee future results.
**Excludes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value and total return for shareholder transactions reported to the market at period ended June 30, 2019 may differ from the net asset value for financial reporting purposes.


 

Semi-Annual Report | June 30, 2019 7

 

 

 

Blackstone / GSO Strategic Credit Fund Fund Summary

 

June 30, 2019 (Unaudited)

 

Blackstone / GSO Strategic Credit Fund

 

Fund Overview

 

Blackstone / GSO Strategic Credit Fund (“BGB” or herein, the “Fund”) is a closed-end term fund that trades on the New York Stock Exchange under the 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. BGB invests primarily in a diversified portfolio of loans and other fixed income instruments of predominantly U.S. corporate issuers, including first- and second-lien loans (“Senior Secured Loans”) and high yield corporate bonds of varying maturities. BGB must hold no less than 80% of its Managed Assets in credit investments comprising corporate fixed income instruments and other investments (including derivatives) with similar economic characteristics. The Fund has a limited term and will dissolve on or about September 15, 2027, absent shareholder approval to extend such term.

 

Portfolio Management Commentary

 

Fund Performance

BGB outperformed a composite weighting of the S&P LLI and the Barclays HYI (75% loans, 25% high yield bonds) on a NAV per share basis for the periods of three years, five years, and the life of the Fund since inception and underperformed its benchmark for the six month and one year periods. On a market share per price basis, the Fund outperformed its benchmark for the periods of six months, three years, and five years and underperformed its benchmark for the periods of one year and since inception. The shares of the Fund traded at an average discount to NAV of 8.1% for the six months ended June 30, 2019, compared to its peer group average discount of 9.4% over the same time.1

 

NAV Performance Factors

The Fund’s underperformance relative to its benchmark in the first half of 2019 was partially attributable to an underweight allocation to larger tranche loans, which rallied in January after underperforming in late 4Q 2018 due to heavy selling by loan mutual funds to meet historic redemptions. During the first half of 2019, loans in the benchmark with tranches of $1.0 billion or greater (approximately 24% of the Fund and 44% of the benchmark) returned +6.3% compared to a return of +4.9% for loans below $1.0 billion (approximately 62% of the Fund and 31% of the benchmark). Credit selection within single-B rated loans, which represented approximately 69% of the Fund during the period, also negatively impacted performance, as single-B loans held by the Fund returned approximately +5.1% compared to approximately +5.7% for single-B loans in the benchmark. The Fund’s underweight allocation to high yield, and particularly longer duration high yield, also negatively impacted performance. By issuer, the largest positive contributors to performance relative to the benchmark were York Risk Services, Calumet Specialty Products Partners, and Beacon Health, while Mood Media, Southern Graphics, and PrimeSource were the most significant detractors.

 

Portfolio Activity and Positioning

Over the first six months of 2019, the Fund focused on taking advantage of new issuance while net reducing its allocation to certain higher beta/stressed loans. On a sector basis, the Fund reduced its allocation to basic materials and consumer discretionary while increasing exposure to information technology.2 The Fund continues to seek to opportunistically take advantage of strong technicals to pare higher risk names where the portfolio managers believe inadequate levels of compensation are being offered relative to the credit risk.

 

As of June 30, 2019, the Fund held 86.3% of its Managed Assets in Senior Secured Loans and 13.0% in high yield bonds. BGB’s investments represented the obligations of 291 companies, with an average position size representing 0.29% of Managed Assets of the Fund. Electronics/electric, business equipment & services, and healthcare represented the Fund’s top sector weightings.3

 

 

1Average discount and peer group per Morningstar.
2Industries per Bloomberg classifications.
3Industries per S&P classifications.

 

 

8 www.blackstone-gso.com

 

 

 

Blackstone / GSO Strategic Credit Fund Fund Summary

 

June 30, 2019 (Unaudited)

 

BGB’s Portfolio Composition*

 

(PIE CHART)

 

*Numbers may not sum to 100.00% due to rounding. The Fund’s Cash and Other represents net cash and other assets and liabilities, which includes amounts payable for investments purchased but not yet settled and amounts receivable for investments sold but not yet settled. At period end, the amounts payable for investments purchased but not yet settled exceeded the amount of cash on hand. The Fund uses sales proceeds or funds from its leverage program to settle amounts payable for investments purchased, but such amounts are not reflected in the Fund’s net cash.

 

BGB’s Moody’s Rating Distribution*

 

(BAR CHART)

 

*For more information on Moody's ratings and descriptions refer to www.moodys.com.

 

Portfolio Characteristics

Average All-In Rate 7.36%
Current Dividend Yield^ 9.33%
Effective Duration^^ 0.49 yr
Average Position* 0.29%
Leverage* 37.23%

 

^Using current dividend rate of $0.114/share and market price/share as of 6/30/2019.

^^Loan durations are based on the actual remaining time until LIBOR is reset for each individual loan.

*As a percentage of Managed Assets.

Top 10 Issuers*

Quest Software US Holdings, Inc. 1.6%
Advantage Sales & Marketing, Inc. 1.3%
Allied Universal Holdco LLC 1.2%
Priso Acquisition Corp 1.1%
Ivanti Software, Inc. 1.1%
GI Revelation Acquisition LLC 1.0%
KUEHG Corp 1.0%
York Risk Services Holding Corp. 1.0%
Carestream Health, Inc. 0.9%
American Bath Group LLC 0.9%
Top 10 Issuer 11.1%

 

*As a percentage of Managed Assets.

Portfolio holdings and distributions are subject to change and are not recommendations to buy or sell any security.

 

Top 5 Industries*^

Electronics/Electric 19.0%
Business Equipment & Services 15.1%
Healthcare 14.8%
Building & Development 7.4%
Oil & Gas 4.1%
Top 5 Industries 60.4%

 

*As a percentage of Managed Assets.
^S&P Industry Classification Schema.

 

BGB Total Return

 

6

Month

1

Year

3

Year†

5

Year†

Since

Inception†

NAV* 5.75%** 2.79% 8.10% 4.64% 5.41%
Market Price* 13.10% 2.90% 10.06% 4.98% 3.76%
75% S&P LLI / 25% Barclays HYI 6.79% 4.85% 5.81% 4.01% 4.62%

 

†Annualized.
*Assumes distributions are reinvested pursuant to the Fund’s dividend reinvestment plan. Performance data quoted represents past performance and does not guarantee future results.
**Excludes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value and total return for shareholder transactions reported to the market at period ended June 30, 2019 may differ from the net asset value for financial reporting purposes.


 

Semi-Annual Report | June 30, 2019 9

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		     Value  
       
FLOATING RATE LOAN INTERESTS(a) - 143.28%          
Aerospace & Defense - 2.87%          
Nordam Group LLC, First Lien Initial Term Loan, 3M US L + 5.50%, 04/09/2026(b)  $1,755,600   $1,757,794 
Propulsion Acquisition LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 07/13/2021(b)   2,132,624    2,111,298 
Vectra Co., First Lien Initial Term Loan:          
1M US L + 3.25%, 03/10/2025   1,182,090    1,140,350 
1M US L + 7.25%, 03/08/2026(b)   1,000,000    967,500 
WP CPP Holdings LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 04/30/2025   1,368,125    1,368,125 
         7,345,067 
           
Air Transport - 0.73%          
Air Medical Group Holdings, Inc., First Lien 2018 New Term Loan, 1M US L + 4.25%, 03/14/2025   1,970,000    1,857,218 
           
Automotive - 1.36%          
Bright Bidco B.V., First Lien 2018 Refinancing B Term Loan, 3M US L + 3.50%, 06/30/2024   79,886    57,019 
Midas Intermediate Holdco II LLC, First Lien 2017 Refinancing Term Loan, 3M US L + 2.75%, 08/18/2021   436,641    424,634 
Panther BF Aggregator 2 L P, First Lien Initial Dollar Term Loan, 1M US L + 3.50%, 04/30/2026   1,760,000    1,749,554 
Superior Industries International, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 05/22/2024(b)   1,313,970    1,254,841 
         3,486,048 
           
Brokers, Dealers & Investment Houses - 0.90%          
Deerfield Dakota Holding LLC, First Lien Initial Term Loan, 1M US L + 3.25%, 02/13/2025   875,567    850,863 
Edelman Financial Center LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 06/26/2026   676,923    682,000 
Newport Group Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 09/12/2025   766,700    760,470 
         2,293,333 
           
Building & Development - 8.71%          
American Bath Group LLC, Second Lien Term Loan:          
3M US L + 4.25%, 09/30/2023   3,199,873    3,181,874 
3M US L + 9.75%, 09/30/2024(b)   250,000    250,000 
CPG International LLC, First Lien New Term Loan, 6M US L + 3.75%, 05/06/2024   289,630    285,285 
Dayton Superior Corp., First Lien Borrowing Term Loan, 3M US L + 8.00%, 11/03/2021   1,357,907    1,127,063 
Forterra Finance LLC, First Lien Replacement Term Loan, 1M US L + 3.00%, 10/25/2023   3,029,958    2,804,817 
Hillman Group, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025   3,269,729    3,153,245 
Interior Logic Group Holdings IV LLC, First Lien Initial Term Loan, 3M US L + 4.00%, 05/30/2025   2,382,000    2,355,203 
LBM Borrower LLC, First Lien Tranche C Term Loan, 1M US L + 3.75%, 08/20/2022   4,131,931    4,132,364 
Ply Gem Midco, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 04/12/2025   1,368,735    1,333,949 
SIWF Holdings, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 06/15/2025(b)   871,200    865,755 
SRS Distribution, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 05/23/2025   2,886,000    2,774,168 
         22,263,723 
           
Business Equipment & Services - 22.46%          
Access CIG LLC, First Lien B Term Loan:          
3M US L + 3.75%, 02/27/2025   888,402    885,351 
1M US L + 7.75%, 02/27/2026   119,565    119,117 
Advantage Sales & Marketing, Inc., First Lien Initial Term Loan:          
3M US L + 3.25%, 07/23/2021   955,500    874,402 
3M US L + 3.25%, 07/23/2021   1,033,088    948,117 
3M US L + 6.50%, 07/25/2022   3,248,461    2,586,603 

 

 

10 www.blackstone-gso.com

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

       
   Principal
Amount		     Value  
       
Business Equipment & Services (continued)          
Allied Universal Holdco LLC, First Lien Incremental Term Loan:          
1M US L + 4.25%, 07/28/2022  $1,397,234   $1,397,458 
3M US L + 4.25%, 06/26/2026(b)   1,401,261    1,397,758 
3M US L + 4.25%, 06/26/2026(b)   138,739    138,392 
APFS Staffing Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/15/2026   2,000,000    1,981,250 
AqGen Ascensus, Inc., First Lien Replacement Term Loan, 6M US L + 4.00%, 12/05/2022   1,755,671    1,761,166 
BMC Acquisition, Inc., First Lien Initial Term Loan, 3M US L + 5.25%, 12/28/2024   861,875    861,875 
Capri Acquisitions BidCo, Ltd., First Lien Initial Dollar Term Loan, 3M US L + 3.25%, 11/01/2024   2,165,486    2,128,673 
Cast & Crew Payroll LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 02/09/2026   400,010    402,410 
DG Investment Intermediate Holdings 2, Inc., First Lien Initial Term Loan:          
1M US L + 3.00%, 02/03/2025(b)   335,259    324,782 
1M US L + 6.75%, 02/02/2026(b)   465,517    453,880 
Dun & Bradstreet Corp., First Lien Initial Borrowing Term Loan, 1M US L + 5.00%, 02/06/2026   1,506,306    1,508,664 
Epicor Software Corp., First Lien B Term Loan, 1M US L + 3.25%, 06/01/2022   997,802    992,813 
GI Revelation Acquisition LLC, First Lien Initial Term Loan:          
1M US L + 5.00%, 04/16/2025   2,020,382    2,005,229 
1M US L + 9.00%, 04/16/2026   2,200,000    2,117,500 
Informatica LLC, First Lien Dollar B-1 Term Loan, 1M US L + 3.25%, 08/05/2022   203,306    203,730 
Inmar, Inc., First Lien Initial Term Loan:          
3M US L + 4.00%, 05/01/2024   392,766    372,539 
3M US L + 8.00%, 05/01/2025   1,183,432    1,112,426 
KUEHG Corp., Second Lien Tranche B Term Loan:          
3M US L + 3.75%, 02/21/2025   1,633,302    1,629,799 
3M US L + 8.25%, 08/15/2025   2,250,000    2,247,187 
LD Intermediate Holdings, Inc., First Lien Initial Term Loan, 3M US L + 5.875%, 12/09/2022   1,963,405    1,953,597 
LegalZoom.com, Inc., First Lien 2018 Term Loan, 1M US L + 4.50%, 11/21/2024   1,876,286    1,889,194 
Minotaur Acquisition, Inc., First Lien B Term Loan, 1M US L + 5.00%, 02/27/2026   1,688,077    1,664,157 
Mitchell International, Inc., First Lien Initial Term Loan:          
1M US L + 3.25%, 11/29/2024   2,076,935    1,987,555 
1M US L + 7.25%, 12/01/2025   690,909    671,045 
National Intergovernmental Purchasing Alliance Co., First Lien Initial Term Loan:          
3M US L + 3.75%, 05/19/2025   2,032,549    2,007,153 
3M US L + 7.50%, 05/22/2026(b)   1,540,000    1,509,200 
PricewaterhouseCoopers Public Sector LLP, Second Lien Initial Term Loan, 1M US L + 7.50%, 05/01/2026(b)   440,000    437,800 
Project Boost Purchaser LLC, First Lien B Term Loan, 3M US L + 3.50%, 06/01/2026   636,364    634,505 
PT Intermediate Holdings III LLC, First Lien B Term Loan, 3M US L + 4.00%, 12/04/2024   3,903,563    3,783,216 
RevSpring, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 10/11/2025   1,313,400    1,312,172 
Sedgwick Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 12/31/2025   1,452,608    1,434,836 
SurveyMonkey, Inc., First Lien Term Loan, 1W US L + 3.75%, 10/10/2025(b)   2,571,782    2,573,325 
ThoughtWorks, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 10/11/2024   1,937,641    1,940,073 
TRC Cos., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 06/21/2024   1,925,232    1,921,622 
Trugreen LP, First Lien Initial Refinancing Term Loan, 1M US L + 3.75%, 03/19/2026   85,938    86,260 
Weld North Education LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 02/07/2025(b)   3,160,000    3,160,000 
         57,416,831 
           
Cable & Satellite Television - 0.29%          
Radiate Holdco LLC, First Lien Amendment No. 2 Incremental Term Loan, 3M US L + 3.50%, 02/01/2024   735,000    728,455 
           
Chemical & Plastics - 3.36%          
Composite Resins Holding B.V., First Lien Initial Term Loan, 3M US L + 4.25%, 06/27/2025   2,613,600    2,593,998 

 

 
Semi-Annual Report | June 30, 2019 11

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		     Value  
       
Chemical & Plastics (continued)          
Emerald Performance Materials LLC, First Lien Initial Term Loan, 1M US L + 3.50%, 08/02/2021  $1,935,543   $1,931,111 
Spectrum Holdings III Corp., First Lien Closing Date Term Loan:          
1M US L + 3.25%, 01/31/2025   290,791    275,524 
1M US L + 7.00%, 01/31/2026(b)   600,000    552,000 
Starfruit Finco B.V., First Lien Initial Dollar Term Loan, 1M US L + 3.25%, 10/01/2025   1,843,149    1,818,958 
Vantage Specialty Chemicals, Inc., First Lien Closing Date Term Loan:          
1M US L + 3.50%, 10/20/2024   726,473    718,300 
3M US L + 8.25%, 10/27/2025(b)   725,111    692,481 
         8,582,372 
           
Conglomerates - 0.64%          
American Residential Services LLC, First Lien Term Loan, 1M US L + 4.00%, 06/30/2021   387,654    383,453 
Output Services Group, Inc., First Lien B Term Loan, 1M US L + 4.25%, 03/26/2024(b)   525,076    475,194 
Spring Education Group, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 07/30/2025   779,961    776,389 
         1,635,036 
           
Containers & Glass Products - 2.93%          
Charter NEX US, Inc., First Lien Third Amendment Incremental Term Loan, 1M US L + 3.50%, 05/16/2024   237,500    237,174 
Flex Acquisition Co., Inc., First Lien Incremental B-2018 Term Loan, 3M US L + 3.25%, 06/29/2025   1,288,408    1,226,056 
Goodpack, Ltd., Second Lien Tranche B-1 Term Loan, 3M US L + 7.00%, 09/11/2024(b)   620,110    610,808 
IBC Capital I, Ltd., First Lien Tranche B-1 Term Loan, 3M US L + 3.75%, 09/11/2023   1,086,250    1,085,348 
Loparex International BV, First Lien B Term Loan, 1M US L + 4.25%, 04/11/2025(b)   612,063    612,063 
Pregis Holding I Corp., First Lien Term Loan, 3M US L + 3.50%, 05/20/2021   809,663    810,505 
ProAmpac PG Borrower LLC, First Lien Initial Term Loan:          
3M US L + 3.50%, 11/20/2023   584,750    561,544 
3M US L + 8.50%, 11/18/2024   488,038    466,686 
Strategic Materials Holding Corp., First Lien Initial Term Loan:          
3M US L + 3.75%, 11/01/2024(b)   545,538    493,712 
3M US L + 7.75%, 10/27/2025(b)   1,400,000    1,022,000 
Trident TPI Holdings, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.25%, 10/04/2024   380,175    360,931 
         7,486,827 
           
Diversified Insurance - 2.14%          
Acrisure LLC, First Lien 2017-2 Refinancing Term Loan:          
3M US L + 4.25%, 11/22/2023   1,469,987    1,466,011 
3M US L + 3.75%, 11/22/2023   611,798    608,228 
BroadStreet Partners, Inc., First Lien Tranche B-2 Term Loan, 1M US L + 3.25%, 11/08/2023   27,687    27,657 
CP VI Bella Midco LLC, First Lien Initial Term Loan:          
1M US L + 2.75%, 01/24/2025   415,547    404,639 
1M US L + 6.75%, 12/28/2025   385,714    378,964 
Genworth Holdings, Inc., First Lien Initial Term Loan, 2M US L + 4.50%, 03/07/2023   378,783    382,809 
York Risk Services Holding Corp., First Lien Term Loan, 1M US L + 3.75%, 10/01/2021   2,322,763    2,202,269 
         5,470,577 
           
Drugs - 1.84%          
Albany Molecular Research, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 08/28/2025   392,857    393,594 
Arbor Pharmaceuticals LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 07/05/2023   1,555,346    1,455,548 
Avantor Funding, Inc., First Lien Initial B-2 Dollar Term Loan, 1M US L + 3.75%, 11/21/2024   964,509    969,635 

 

 
12 www.blackstone-gso.com

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		     Value  
       
Drugs (continued)          
Packaging Coordinators Midco, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 06/30/2023  $1,890,363   $1,896,866 
         4,715,643 
           
Ecological Services & Equipment - 0.89%          
Emerald 3 Limited, 3M US L + 7.00%, 05/31/2022(b)   636,109    636,109 
EnergySolutions LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 05/09/2025   926,815    889,742 
ERM Emerald US, Inc., First Lien Term Loan, 3M US L + 3.75%, 06/26/2026(b)   346,392    347,258 
Tunnel Hill Partners LP, First Lien Initial Term Loan, 1M US L + 3.50%, 02/06/2026   407,827    407,572 
         2,280,681 
           
Electronics/Electrical - 28.80%          
AppLovin Corp., First Lien Initial Term Loan, 1M US L + 3.50%, 08/15/2025   405,136    405,138 
Boxer Parent Co., Inc., First Lien Initial Dollar Term Loan, 3M US L + 4.25%, 10/02/2025   3,283,500    3,115,221 
Brave Parent Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 04/18/2025   873,383    867,383 
CommerceHub, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 05/21/2025(b)   1,262,250    1,249,628 
Compuware Corp., First Lien Term Loan, 1M US L + 3.50%, 08/23/2025   354,930    354,930 
ConvergeOne Holdings, Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 01/04/2026   2,194,500    2,093,004 
CPI International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 07/25/2025(b)   313,725    301,177 
Curvature, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 10/30/2023   3,846,812    2,681,766 
DigiCert, Inc., First Lien Term Loan, 1M US L + 4.00%, 09/20/2024   2,540,989    2,535,437 
DiscoverOrg LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 02/02/2026   1,828,750    1,824,178 
Dynatrace LLC, Second Lien Term Loan, 1M US L + 7.00%, 08/24/2026   558,159    563,043 
ECi Macola/MAX Holding LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 09/27/2024   671,577    671,577 
Ellie Mae, Inc., First Lien Term Loan, 3M US L + 4.00%, 04/17/2026   3,520,000    3,514,122 
Flexera Software LLC, First Lien Initial Term Loan:          
1M US L + 3.50%, 01/24/2025   227,012    226,658 
1M US L + 7.25%, 02/26/2026   773,145    772,422 
Gigamon, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 12/27/2024(b)   1,884,203    1,837,098 
Help/Systems Holdings, Inc., First Lien Term Loan, 3M US L + 3.75%, 03/28/2025   1,169,291    1,161,983 
Hyland Software, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 05/31/2025   573,341    577,403 
Idera, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2024   1,897,253    1,898,040 
Imperva, Inc., First Lien Term Loan:          
1M US L + 4.00%, 01/12/2026   1,200,000    1,195,878 
1M US L + 7.75%, 01/11/2027   1,035,294    1,022,353 
Ivanti Software, Inc., First Lien Term Loan:          
1M US L + 4.25%, 01/19/2024   2,072,824    2,070,668 
1M US L + 9.00%, 01/20/2025   2,000,000    1,981,000 
MACOM Technology Solutions Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.25%, 05/17/2024   1,645,802    1,478,136 
McAfee LLC, First Lien B USD Term Loan, 1M US L + 3.75%, 09/30/2024   2,647,471    2,647,881 
MH Sub I LLC, First Lien Amendment No. 2 Initial Term Loan, 1M US L + 3.75%, 08/16/2024   937,975    923,085 
MLN US HoldCo LLC, First Lien B Term Loan, 1M US L + 4.50%, 11/30/2025   1,503,011    1,440,388 
MYOB US Borrower LLC, First Lien Initial U.S. Term Loan, 1M US L + 4.00%, 04/17/2026   977,778    980,227 
Navex Topco, Inc., First Lien Initial Term Loan:          
1M US L + 3.25%, 09/05/2025   245,337    240,982 
1M US L + 7.00%, 09/04/2026   1,100,000    1,091,750 
P2 Upstream Acquisition Co., First Lien Term Loan, 3M US L + 4.00%, 10/30/2020   2,687,309    2,667,719 
Park Place Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 03/29/2025   1,963,929    1,954,110 
Perforce Software, Inc., First Lien B Term Loan, 3M US L + 4.50%, 06/12/2026   423,387    423,387 
Ping Identity Corp., First Lien Term Loan, 1M US L + 3.75%, 01/24/2025   554,400    553,707 
Project Alpha Intermediate Holding, Inc., First Lien Term Loan, 3M US L + 3.50%, 04/26/2024   3,341,274    3,249,389 
Project Angel Parent LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b)   1,303,582    1,290,546 

 

 
Semi-Annual Report | June 30, 2019 13

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		     Value  
       
Electronics/Electrical (continued)          
Project Leopard Holdings, Inc., First Lien 2018 Repricing Term Loan:          
6M US L + 4.50%, 07/07/2023  $322,578   $322,512 
6M US L + 4.25%, 07/07/2023   379,427    379,664 
Project Silverback Holdings Corp., First Lien New Term Loan, 1M US L + 3.50%, 08/21/2024   747,254    668,792 
Quest Software US Holdings, Inc., First Lien Initial Term Loan:          
3M US L + 4.25%, 05/16/2025   3,262,803    3,218,755 
3M US L + 8.25%, 05/17/2026   2,994,017    2,954,736 
Riverbed Technology, Inc., First Lien First Amendment Term Loan, 1M US L + 3.25%, 04/24/2022   991,180    858,887 
Rocket Software, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 11/28/2025   2,063,471    2,022,202 
SciQuest, Inc., First Lien Term Loan, 1M US L + 4.00%, 12/28/2024(b)   2,050,962    2,035,579 
SCS Holdings I, Inc., First Lien New Tranche B Term Loan, 1M US L + 4.25%, 10/30/2022   1,170,489    1,178,536 
SonicWall US Holdings, Inc., First Lien Initial Term Loan:          
3M US L + 3.50%, 05/16/2025   1,323,250    1,237,239 
3M US L + 7.50%, 05/17/2026   1,760,000    1,625,800 
Triton Solar US Acquisition Co., First Lien Initial Term Loan, 3M US L + 6.00%, 10/29/2024   253,475    238,583 
Veritas US, Inc., First Lien New Dollar B Term Loan, 1M US L + 4.50%, 01/27/2023   1,796,887    1,640,791 
Vero Parent, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.50%, 08/16/2024   615,070    613,917 
Web.com Group, Inc., First Lien B Term Loan:          
1M US L + 3.75%, 10/10/2025   1,999,087    1,974,518 
1M US L + 7.75%, 10/09/2026   804,990    792,915 
         73,624,840 
           
Equipment Leasing - 0.24%          
CSC SW Holdco, Inc., First Lien B-1 Term Loan, 3M US L + 3.25%, 11/14/2022   620,253    609,011 
           
Financial Intermediaries - 2.01%          
ASP MCS Acquisition Corp., First Lien Initial Term Loan, 1M US L + 4.75%, 05/20/2024   2,747,328    1,730,817 
NorthStar Financial Services Group LLC, First Lien Initial Term Loan:          
2M US L + 3.25%, 05/25/2025   1,683,142    1,670,518 
2M US L + 7.50%, 05/25/2026(b)   433,744    429,406 
Victory Capital Holdings, Inc., First Lien B Term Loan, 3M US L + 3.25%, 06/07/2026   1,312,500    1,314,961 
         5,145,702 
           
Food Products - 2.58%          
Alphabet Holding Co., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/26/2024   2,074,368    1,962,871 
TKC Holdings, Inc., First Lien Initial Term Loan:          
1M US L + 3.75%, 01/31/2023   3,610,497    3,541,662 
1M US L + 8.00%, 01/31/2024   1,105,408    1,090,800 
         6,595,333 
           
Food Service - 3.84%          
CEC Entertainment, Inc., First Lien B Term Loan, 1M US L + 3.25%, 02/15/2021   1,630,949    1,621,775 
Flynn Restaurant Group LP, First Lien Initial Term Loan, 1M US L + 3.50%, 06/27/2025   2,792,356    2,712,956 
Fogo de Chao, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.25%, 04/07/2025   1,878,028    1,880,376 
Quidditch Acquisition, Inc., First Lien B Term Loan, 1M US L + 7.00%, 03/21/2025(b)   1,261,806    1,274,423 
Red Lobster Management LLC, First Lien Initial Term Loan, 1M US L + 5.25%, 07/28/2021   1,349,316    1,336,673 
Tacala Investment Corp., Second Lien Initial Term Loan, 1M US L + 7.00%, 01/30/2026   993,103    1,001,793 
         9,827,996 

 

 
14 www.blackstone-gso.com

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		     Value  
       
Food/Drug Retailers - 1.97%          
EG Group, Ltd., First Lien Facility B Term Loan:          
3M US L + 4.00%, 01/31/2025  $205,729   $202,600 
3M US L + 4.00%, 02/07/2025   4,906,197    4,831,573 
         5,034,173 
           
Health Insurance - 1.46%          
Achilles Acquisition LLC, First Lien Closing Date Term Loan, 1M US L + 4.00%, 10/13/2025   842,688    843,741 
FHC Health Systems, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 12/23/2021   2,552,420    2,554,551 
MPH Acquisition Holdings LLC, First Lien Initial Term Loan, 3M US L + 2.75%, 06/07/2023   344,433    330,225 
         3,728,517 
           
Healthcare - 23.52%          
Alvogen Pharma US, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.75%, 04/01/2022   2,439,350    2,250,301 
ATI Holdings Acquisition, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 05/10/2023   585,926    578,602 
BioClinica Holding I LP, First Lien Initial Term Loan:          
3M US L + 4.25%, 10/20/2023   1,835,781    1,743,992 
3M US L + 8.25%, 10/04/2024   1,052,629    933,334 
Carestream Health, Inc., First Lien Extended Term Loan:          
1M US L + 5.75%, 02/28/2021   205,876    199,700 
1M US L + 9.50%, 06/07/2021   2,390,930    2,301,270 
Certara Holdco, Inc., First Lien Replacement Term Loan, 3M US L + 3.50%, 08/15/2024(b)   220,385    219,283 
Covenant Surgical Partners, Inc., First Lien Term Loan:          
3M US L + 4.00%, 06/19/2026   262,500    261,024 
3M US L + 4.00%, 06/19/2026   1,312,500    1,305,117 
CT Technologies Intermediate Holdings, Inc., First Lien New Facility Term Loan, 1M US L + 4.25%, 12/01/2021   2,171,131    1,856,317 
Dentalcorp Health Services ULC, First Lien Initial Term Loan, 1M US L + 3.75%, 06/06/2025   1,151,192    1,139,323 
Endo Luxembourg Finance Company I S.a r.l., First Lien Initial Term Loan, 1M US L + 4.25%, 04/12/2024   771,846    726,824 
Envision Healthcare Corp., First Lien Initial Term Loan, 1M US L + 3.75%, 10/10/2025   2,287,858    2,027,614 
Equian Buyer Corp., First Lien 2018 Incremental Term Loan, 1M US L + 3.25%, 05/20/2024   1,481,329    1,481,885 
Femur Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 03/05/2026   668,800    671,726 
Greenway Health LLC, First Lien Term Loan, 3M US L + 3.75%, 02/16/2024   1,351,724    1,199,655 
Heartland Dental LLC, First Lien Initial Term Loan:          
3M US L + 4.50%, 04/30/2025(b)   492,188    483,574 
1M US L + 3.75%, 04/30/2025   2,970,453    2,821,945 
Lanai Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 4.75%, 08/29/2022   2,234,217    2,144,848 
LifeScan Global Corp., First Lien Initial Term Loan, 3M US L + 6.00%, 10/01/2024   3,184,500    3,049,159 
Maravai Intermediate Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 08/02/2025(b)   1,003,706    1,003,706 
Navicure, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 11/01/2024   2,044,518    2,033,018 
Netsmart Technologies, Inc., First Lien D-1 Term Loan, 1M US L + 3.75%, 04/19/2023   3,694,639    3,664,620 
NMSC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/19/2023(b)   237,362    237,955 
nThrive, Inc., First Lien Additional B-2 Term Loan, 1M US L + 4.50%, 10/20/2022   3,524,427    3,343,800 
NVA Holdings, Inc., First Lien B-3 Term Loan:          
1M US L + 2.75%, 02/02/2025   698,903    698,610 
1M US L + 3.50%, 02/02/2025   660,000    660,775 
Onex TSG Holdings II Corp., First Lien Initial Term Loan, 1M US L + 4.00%, 07/29/2022   1,196,887    1,195,391 
PAREXEL International Corp., First Lien Initial Term Loan, 1M US L + 2.75%, 09/27/2024   1,040,487    999,242 
Pearl Intermediate Parent LLC, First Lien Initial Term Loan:          
1M US L + 2.75%, 01/31/2025(c)   130,615    126,452 
1M US L + 2.75%, 01/31/2025   579,823    561,341 
PetVet Care Centers LLC, First Lien 2018 Term Loan, 1M US L + 3.25%, 02/14/2025   656,692    644,789 
Phoenix Guarantor, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/05/2026   3,152,866    3,143,802 

 

 

Semi-Annual Report | June 30, 2019 15

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
         
Healthcare (continued)          
Press Ganey Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 6.50%, 10/21/2024  $408,582   $410,453 
Project Ruby Ultimate Parent Corp., First Lien New Term Loan, 1M US L + 3.50%, 02/09/2024   801,618    797,943 
Prospect Medical Holdings, Inc., First Lien B-1 Term Loan, 1M US L + 5.50%, 02/16/2024   2,566,500    2,429,616 
Regionalcare Hospital Partners Holdings, Inc., First Lien B Term Loan, 1M US L + 4.50%, 11/16/2025   1,962,665    1,954,421 
Surgery Center Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 09/02/2024   139,669    135,246 
Team Health Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.75%, 02/06/2024   992,386    881,363 
U.S. Anesthesia Partners, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 06/23/2024   274,909    269,869 
Verscend Holding Corp., First Lien B Term Loan, 1M US L + 4.50%, 08/27/2025   1,364,688    1,368,318 
Viant Medical Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 07/02/2025   412,298    411,609 
Vyaire Medical, Inc., First Lien Term Loan, 3M US L + 4.75%, 04/16/2025(b)   3,267,000    2,956,635 
YI LLC, First Lien Initial Term Loan, 3M US L + 4.00%, 11/06/2024(b)   1,398,527    1,396,779 
Zest Acquisition Corp., Second Lien Initial Term Loan, 1M US L + 7.50%, 03/06/2026(b)   1,500,000    1,413,750 
         60,134,996 
           
Home Furnishings - 1.19%          
AI Aqua Merger Sub, Inc., First Lien Tranche B-1 Term Loan:          
1M US L + 3.25%, 12/13/2023   945,600    914,868 
1M US L + 3.25%, 12/13/2023   1,299,921    1,260,923 
Hayward Industries, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/05/2024   111,614    109,521 
Serta Simmons Bedding LLC, Second Lien Initial Term Loan, 1M US L + 8.00%, 11/08/2024   1,645,600    747,102 
         3,032,414 
           
Industrial Equipment - 4.97%          
AI Alpine AT BidCo GmbH, First Lien Facility B Term Loan, 1M US L + 3.25%, 10/31/2025(b)   295,595    291,531 
Apex Tool Group LLC, First Lien Second Amendment Term Loan, 1M US L + 3.75%, 02/01/2022   2,138,705    2,062,075 
Engineered Machinery Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.25%, 07/19/2024(b)   1,479,470    1,442,483 
Helix Acquisition Holdings, Inc., First Lien 2018 New Term Loan, 3M US L + 3.75%, 09/30/2024   1,414,722    1,388,196 
Justrite Safety Group:          
3M US L + 4.50%, 06/26/2026(b)   115,652    115,508 
3M US L + 4.50%, 06/26/2026(b)   948,348    947,162 
LTI Holdings, Inc., First Lien Initial Term Loan:          
1M US L + 3.50%, 09/06/2025   721,818    684,150 
1M US L + 6.75%, 09/07/2026   468,085    436,021 
Robertshaw US Holding Corp., First Lien Initial Term Loan, 1M US L + 3.50%, 02/28/2025(b)   1,387,397    1,283,343 
Tailwind Smith Cooper Intermediate Corp., First Lien Initial Term Loan, 3M US L + 5.00%, 05/28/2026   1,540,000    1,512,088 
Titan Acquisition, Ltd., First Lien Initial Term Loan, 1M US L + 3.00%, 03/28/2025   2,651,713    2,538,644 
         12,701,201 
           
Insurance - 1.07%          
APCO Holdings LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 06/06/2025   1,605,852    1,609,867 
HIG Finance 2, Ltd., First Lien Initial Dollar Term Loan, 1M US L + 3.50%, 12/13/2024   236,323    236,257 
Outcomes Group Holdings, Inc., Second Lien Term Loan:          
3M US L + 3.50%, 10/24/2025   477,600    472,227 
3M US L + 7.50%, 10/26/2026   423,077    420,962 
         2,739,313 
           
Leisure Goods/Activities/Movies - 2.61%          
Recess Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 09/30/2024   1,963,819    1,931,298 
Travel Leaders Group LLC, First Lien 2018 Refinancing Term Loan, 1M US L + 4.00%, 01/25/2024   578,611    580,538 

 

 

16 www.blackstone-gso.com

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
         
Leisure Goods/Activities/Movies (continued)          
Travelport Finance S.à r.l., First Lien Initial Term Loan, 3M US L + 5.00%, 05/29/2026  $2,640,000   $2,490,668 
UFC Holdings LLC, First Lien 2019 Term Loan, 1M US L + 3.25%, 04/29/2026   411,832    411,574 
United PF Holdings LLC, First Lien Term Loan:          
1M US L + 4.50%, 06/10/2026   1,068,273    1,070,944 
1M US L + 8.50%, 06/10/2027(b)   198,649    197,159 
         6,682,181 
           
Lodging & Casinos - 0.66%          
Casablanca US Holdings, Inc., First Lien Amendment No. 2 Initial Term Loan, 3M US L + 4.00%, 03/29/2024(b)   1,738,000    1,694,550 
           
Nonferrous Metals/Minerals - 1.32%          
Aleris International, Inc., First Lien Initial Term Loan, 1M US L + 4.75%, 02/27/2023   1,752,414    1,756,795 
American Rock Salt Co. LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 03/21/2025   972,454    972,454 
Murray Energy Corp., First Lien Superpriority B-2 Term Loan, 3M US L + 7.25%, 10/17/2022   967,856    654,111 
         3,383,360 
           
Oil & Gas - 3.92%          
Ascent Resources - Marcellus LLC, First Lien Initial Term Loan, 1M US L + 6.50%, 03/30/2023(b)   246,914    244,444 
Equitrans Midstream Corp., First Lien Holdco B Facility Term Loan, 1M US L + 4.50%, 01/31/2024   739,527    745,691 
Keane Group Holdings LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 05/26/2025   1,306,800    1,292,641 
Lower Cadence Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/22/2026   1,346,939    1,342,171 
Lucid Energy Group II Borrower LLC, First Lien Initial Term Loan, 1M US L + 3.00%, 01/31/2025   400,594    383,571 
Petroleum GEO-Services ASA, First Lien Extended Term Loan, 3M US L + 2.50%, 03/19/2021   1,638,530    1,580,010 
Sheridan Investment Partners I LLC, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   2,772,674    1,982,462 
Sheridan Production Partners I LLC, First Lien Deferred Principal Term Loan:          
3M US L + 0.00%, 10/01/2019(b)   14,516    10,282 
3M US L + 0.00%, 10/01/2019(b)   109,547    77,592 
3M US L + 0.00%, 10/01/2019(b)   8,866    6,280 
Sheridan Production Partners I-A LP, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   367,402    262,692 
Sheridan Production Partners I-M LP, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   224,411    160,454 
UTEX Industries, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/21/2021   2,047,216    1,924,383 
         10,012,673 
           
Property & Casualty Insurance - 1.48%          
Applied Systems, Inc., First Lien Closing Date Term Loan, 3M US L + 3.00%, 09/19/2024   171,108    169,931 
Asurion LLC, Second Lien Replacement B-2 Term Loan, 1M US L + 6.50%, 08/04/2025   1,910,526    1,941,381 
Confie Seguros Holding II Co., First Lien B Term Loan, 3M US L + 4.75%, 04/19/2022   1,687,293    1,664,793 
         3,776,105 
           
Publishing - 1.57%          
Champ Acquisition Corp., First Lien Initial Term Loan, 3M US L + 5.50%, 12/19/2025   1,633,582    1,617,246 
Recorded Books, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 08/29/2025   957,675    960,673 
Southern Graphics, Inc., Second Lien Initial Term Loan:          
2M US L + 3.25%, 12/31/2022   406,509    341,216 
2M US L + 7.50%, 12/31/2023(b)   1,500,000    1,095,000 
         4,014,135 

 

 

Semi-Annual Report | June 30, 2019 17

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
         
Radio & Television - 1.12%          
iHeartCommunications, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 05/01/2026  $2,500,000   $2,506,062 
William Morris Endeavor Entertainment LLC, First Lien B-1 Term Loan, 1M US L + 2.75%, 05/18/2025   355,272    344,318 
         2,850,380 
           
Retailers (except food & drug) - 1.96%          
Academy, Ltd., First Lien Initial Term Loan, 1M US L + 4.00%, 07/01/2022   657,704    472,231 
Apro LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 08/08/2024   784,407    787,839 
Ascena Retail Group, Inc., First Lien Tranche B Term Loan, 1M US L + 4.50%, 08/19/2022   1,094,008    719,764 
FBB Holdings III, Inc., First Lien Initial Term Loan:          
3M US L + 9.00%, 02/07/2024(b)   185,648    176,366 
3M US L + 7.00%, 01/31/2025(b)   63,008    43,476 
Neiman Marcus Group, Ltd. LLC, First Lien Cash Pay/PIK Extended Term Loan, 1M US L + 6.50%, 10/25/2023   989,450    868,242 
Petco Animal Supplies, Inc., First Lien Term Loan, 3M US L + 3.25%, 01/26/2023   647,325    504,105 
Spencer Spirit Holding/Gift, First Lien Initial Term Loan, 3M US L + 6.00%, 06/19/2026   1,470,000    1,441,217 
Sports Authority, Inc., First Lien B Term Loan, 3M US L + 6.00%, 11/16/2017(b)(d)   4,296,916    8,594 
         5,021,834 
           
Steel - 0.84%          
Can Am Construction, Inc., First Lien Closing Date Term Loan, 1M US L + 5.00%, 07/01/2024(b)   1,858,138    1,802,394 
Phoenix Services International LLC, First Lien B Term Loan, 1M US L + 3.75%, 03/01/2025   359,370    356,225 
         2,158,619 
           
Surface Transport - 1.17%          
Drive Chassis Holdco LLC, Second Lien B Term Loan, 3M US L + 8.25%, 04/10/2026   2,200,000    2,120,250 
SMB Shipping Logistics LLC, First Lien Term Loan, 3M US L + 4.00%, 02/05/2024   867,883    863,544 
         2,983,794 
           
Telecommunications - 3.37%          
Alorica, Inc., First Lien New B Term Loan, 1M US L + 3.75%, 06/30/2022   842,907    815,513 
Avaya, Inc., First Lien Tranche B Term Loan, 1M US L + 4.25%, 12/15/2024   992,443    951,505 
Cyxtera DC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 05/01/2025   300,751    263,481 
Ensono LP, First Lien Term Loan, 1M US L + 5.25%, 06/27/2025   1,235,324    1,234,169 
Masergy Holdings, Inc., Second Lien Initial Term Loan:          
3M US L + 3.25%, 12/15/2023   717,695    707,826 
3M US L + 7.50%, 12/16/2024   588,972    580,138 
Peak 10 Holding Corp., First Lien Initial Term Loan:          
3M US L + 3.50%, 08/01/2024   1,071,818    987,418 
3M US L + 7.25%, 08/01/2025   1,157,143    975,616 
Securus Technologies Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 11/01/2024   167,870    156,679 
Vertiv Group Corp., First Lien B Term Loan, 3M US L + 4.00%, 11/30/2023   2,040,638    1,943,707 
         8,616,052 
           
Utilities - 2.49%          
Brookfield WEC Holdings, Inc., Second Lien Initial Term Loan:          
3M US L + 3.50%, 08/01/2025(b)   675,234    675,234 
1M US L + 6.75%, 08/03/2026   274,143    278,128 
Eastern Power LLC, First Lien Term Loan, 1M US L + 3.75%, 10/02/2023   572,205    572,442 
Granite Acquisition, Inc., First Lien C Term Loan, 3M US L + 3.50%, 12/20/2021   62,857    62,987 
Green Energy Partners/Stonewall LLC, First Lien B-1 Conversion Advances Term Loan, 3M US L + 5.50%, 11/13/2021   491,250    481,425 

 

 

18 www.blackstone-gso.com

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
         
Utilities (continued)          
Moxie Liberty LLC, First Lien Construction B-1 Advance Term Loan, 3M US L + 6.50%, 08/21/2020  $2,369,712   $2,142,622 
Moxie Patriot LLC, First Lien Construction B-1 Advances Term Loan, 3M US L + 5.75%, 12/19/2020   1,369,580    1,316,508 
Southeast PowerGen LLC, First Lien B Advance Term Loan, 1M US L + 3.50%, 12/02/2021   862,830    836,945 
         6,366,291 
           
TOTAL FLOATING RATE LOAN INTERESTS          
(Cost $380,341,426)        366,295,281 
           
COLLATERALIZED LOAN OBLIGATION SECURITIES(a) - 1.52%          
Structured Finance Obligations - 1.52%          
Babson CLO, Ltd. 2015-I 3M US L + 5.50%, 01/20/2031(b)(e)   875,000    776,726 
Carlyle Global Market Strategies CLO 2016-2, Ltd. 3M US L + 5.17%, 07/15/2027(b)(e)   1,000,000    979,294 
Dryden 40 Senior Loan Fund 3M US L + 5.75%, 08/15/2031(b)(e)   800,000    760,150 
Highbridge Loan Management 6-2015, Ltd. 3M US L + 5.10%, 02/05/2031(b)(e)   834,000    764,827 
Neuberger Berman Loan Advisers CLO 27, Ltd. 3M US L + 5.20%, 01/15/2030(b)(e)   667,000    609,339 
         3,890,336 
           
TOTAL COLLATERALIZED LOAN OBLIGATION SECURITIES          
(Cost $4,152,939)        3,890,336 
           
CORPORATE BONDS - 4.32%          
Automotive - 0.28%          
IAA, Inc. 5.500%, 06/15/2027(e)   181,000    188,693 
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. 7.875%, 10/01/2022(e)   550,000    525,250 
         713,943 
           
Building & Development - 0.30%          
Builders FirstSource, Inc. 6.750%, 06/01/2027(e)   157,000    166,420 
NWH Escrow Corp. 7.500%, 08/01/2021(e)   1,000,000    610,000 
         776,420 
           
Business Equipment & Services - 0.55%          
Allied Universal Holdco LLC 6.625%, 07/15/2026(e)   1,370,000    1,395,687 
           
Chemical & Plastics - 0.24%          
Starfruit Finco BV / Starfruit US Holdco LLC 8.000%, 10/01/2026(e)   595,000    614,338 
           
Containers & Glass Products - 0.13%          
ARD Securities Finance SARL 8.750%, 01/31/2023(e)(f)   327,432    331,525 
           
Ecological Services & Equipment - 0.87%          
GFL Environmental, Inc.:          
5.375%, 03/01/2023(e)   1,325,000    1,318,375 
8.500%, 05/01/2027(e)   843,000    909,386 
         2,227,761 
           
Electronics/Electrical - 0.36%          
Riverbed Technology, Inc. 8.875%, 03/01/2023(e)   1,385,000    931,413 
           
Healthcare - 0.93%          
Envision Healthcare Corp. 8.750%, 10/15/2026(e)   2,292,000    1,598,670 

 

 

Semi-Annual Report | June 30, 2019 19

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments
 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
         
Healthcare (continued)          
Team Health Holdings, Inc. 6.375%, 02/01/2025(e)  $1,000,000   $770,000 
         2,368,670 
           
Property & Casualty Insurance - 0.14%          
GTCR AP Finance, Inc. 8.000%, 05/15/2027(e)   350,000    352,625 
           
Publishing - 0.15%          
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance 7.875%, 05/15/2024(e)   420,000    390,600 
           
Radio & Television - 0.17%          
Entercom Media Corp. 6.500%, 05/01/2027(e)   123,000    128,227 
Univision Communications, Inc. 5.125%, 05/15/2023(e)   300,000    294,750 
         422,977 
           
Telecommunications - 0.20%          
Sprint Communications, Inc. 6.000%, 11/15/2022   500,000    522,500 
           
TOTAL CORPORATE BONDS          
(Cost $12,418,785)        11,048,459 

 

   Shares     
COMMON STOCK - 0.18%          
Oil & Gas - 0.18%          
Ascent Resources - Equity(b)(g)   177,384    465,633 
Templar Energy LLC(b)(g)   72,786    – 
         465,633 
           
TOTAL COMMON STOCK          
(Cost $3,533,965)        465,633 
           
PREFERRED STOCK - 0.00%          
Oil & Gas - 0.00%          
Templar Energy LLC(b)(g)   48,248    – 
           
TOTAL PREFERRED STOCK          
(Cost $482,483)        – 
           
WARRANTS - 0.00%(h)          
Oil & Gas - 0.00%          
Ascent Resources Marcellus LLC expires 3/30/2023 at $6.15(b)(g)   45,926    1,378 
           
TOTAL WARRANTS          
(Cost $5,013)        1,378 

 

 

20 www.blackstone-gso.com

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Value 
Total Investments - 149.31%     
(Cost $400,934,611)  $381,701,087 
      
Other Assets in Excess of Liabilities - 0.37%   947,481 
      
Leverage Facility - (49.68)%   (127,000,000)
      
Net Assets - 100.00%  $255,648,568 

 

Amounts above are shown as a percentage of net assets as of June 30, 2019.

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate
PIK - Payment In Kind

 

Libor Rates:

1W US L - 1 Week LIBOR as of June 30, 2019 was 2.37%
1M US L - 1 Month LIBOR as of June 30, 2019 was 2.40%
2M US L - 2 Month LIBOR as of June 30, 2019 was 2.33%
3M US L - 3 Month LIBOR as of June 30, 2019 was 2.32%
6M US L - 6 Month LIBOR as of June 30, 2019 was 2.20%

 

(a)Floating or variable rate security. The reference rate is described above. The rate in effect as of June 30, 2019 is based on the reference rate plus the displayed spread as of the security's last reset date.

(b)Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.

(c)A portion of this position was not funded as of June 30, 2019. The Portfolio of Investments records only the funded portion of each position. As of June 30, 2019, the Fund has unfunded delayed draw loans in the amount of $336,063. Fair value of these unfunded delayed draw loans was $323,976.

(d)Security is in default as of period end and is therefore non-income producing.

(e)Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $14,416,295, which represented approximately 5.64% of net assets as of June 30, 2019. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.

(f)Option to convert to pay-in-kind security.

(g)Non-income producing security.

(h)Amount represents less than 0.005% of net assets.

 

See Notes to Financial Statements.

 

 

Semi-Annual Report | June 30, 2019 21

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

  

Principal

Amount

   Value 
FLOATING RATE LOAN INTERESTS(a) - 142.18%          
Aerospace & Defense - 2.91%          
Nordam Group LLC, First Lien Initial Term Loan, 3M US L + 5.50%, 04/09/2026(b)  $1,436,400   $1,438,196 
Propulsion Acquisition LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 07/13/2021(b)   1,865,762    1,847,104 
Vectra Co., First Lien Initial Term Loan:          
1M US L + 3.25%, 03/10/2025   886,567    855,262 
1M US L + 7.25%, 03/08/2026(b)   666,667    645,000 
WP CPP Holdings LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 04/30/2025   1,116,563    1,116,563 
         5,902,125 
           
Air Transport - 1.13%          
Air Medical Group Holdings, Inc., First Lien 2018 New Term Loan:          
1M US L + 3.25%, 04/28/2022   469,469    443,481 
1M US L + 4.25%, 03/14/2025   1,970,000    1,857,218 
         2,300,699 
           
Automotive - 0.58%          
Midas Intermediate Holdco II LLC, First Lien 2017 Refinancing Term Loan, 3M US L + 2.75%, 08/18/2021   357,252    347,428 
Superior Industries International, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 05/22/2024(b)   875,980    836,561 
         1,183,989 
           
Beverage & Tobacco - 0.23%          
Winebow Holdings, Inc., Second Lien Term Loan, 1M US L + 7.50%, 01/02/2022(b)   693,642    464,740 
           
Brokers, Dealers & Investment Houses - 0.92%          
Deerfield Dakota Holding LLC, First Lien Initial Term Loan, 1M US L + 3.25%, 02/13/2025   716,373    696,161 
Edelman Financial Center LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 06/26/2026   553,846    558,000 
Newport Group Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 09/12/2025   626,622    621,530 
         1,875,691 
           
Building & Development - 8.62%          
American Bath Group LLC, Second Lien Term Loan:          
3M US L + 4.25%, 09/30/2023   2,674,792    2,659,747 
3M US L + 9.75%, 09/30/2024(b)   150,000    150,000 
CPG International LLC, First Lien New Term Loan, 6M US L + 3.75%, 05/06/2024   236,970    233,415 
Dayton Superior Corp., First Lien Borrowing Term Loan, 3M US L + 8.00%, 11/03/2021   1,018,430    845,297 
Forest City Enterprises LP, First Lien Initial Term Loan, 1M US L + 4.00%, 12/08/2025   470,040    472,586 
Forterra Finance LLC, First Lien Replacement Term Loan, 1M US L + 3.00%, 10/25/2023   2,646,611    2,449,955 
Hillman Group, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025   2,675,233    2,579,928 
Interior Logic Group Holdings IV LLC, First Lien Initial Term Loan, 3M US L + 4.00%, 05/30/2025   1,948,909    1,926,984 
LBM Borrower LLC, First Lien Tranche C Term Loan, 1M US L + 3.75%, 08/20/2022   2,078,386    2,078,604 
Ply Gem Midco, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 04/12/2025   1,119,874    1,091,413 
SIWF Holdings, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 06/15/2025(b)   712,800    708,345 
SRS Distribution, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 05/23/2025   2,376,269    2,284,188 
         17,480,462 
           
Business Equipment & Services - 23.05%          
Access CIG LLC, First Lien B Term Loan:          
3M US L + 3.75%, 02/27/2025   726,875    724,378 
1M US L + 7.75%, 02/27/2026   97,826    97,459 

 

 

22 www.blackstone-gso.com

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

  

Principal 

Amount

   Value 
Business Equipment & Services (continued)          
Advantage Sales & Marketing, Inc., First Lien Initial Term Loan:          
3M US L + 3.25%, 07/23/2021  $743,167   $680,090 
3M US L + 3.25%, 07/23/2021   774,819    711,090 
3M US L + 6.50%, 07/25/2022   3,123,849    2,487,381 
Allied Universal Holdco LLC, First Lien Initial Term Loan:          
1M US L + 4.25%, 07/28/2022   1,143,191    1,143,375 
1M US L + 3.75%, 07/28/2022   1,161,000    1,160,518 
3M US L + 4.25%, 06/26/2026(b)   1,201,081    1,198,078 
3M US L + 4.25%, 06/26/2026(b)   118,919    118,622 
APFS Staffing Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/15/2026   1,636,364    1,621,023 
AqGen Ascensus, Inc., First Lien Replacement Term Loan, 6M US L + 4.00%, 12/05/2022   1,285,982    1,290,007 
BMC Acquisition, Inc., First Lien Initial Term Loan, 3M US L + 5.25%, 12/28/2024   646,406    646,406 
Capri Acquisitions BidCo, Ltd., First Lien Initial Dollar Term Loan, 3M US L + 3.25%, 11/01/2024   1,771,762    1,741,642 
Cast & Crew Payroll LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 02/09/2026   327,281    329,245 
DG Investment Intermediate Holdings 2, Inc., First Lien Initial Term Loan:          
1M US L + 3.00%, 02/03/2025(b)   306,609    297,027 
1M US L + 6.75%, 02/02/2026(b)   439,655    428,664 
Dun & Bradstreet Corp., First Lien Initial Borrowing Term Loan, 1M US L + 5.00%, 02/06/2026   1,232,432    1,234,361 
Epicor Software Corp., First Lien B Term Loan, 1M US L + 3.25%, 06/01/2022   565,979    563,149 
GI Revelation Acquisition LLC, First Lien Initial Term Loan:          
1M US L + 5.00%, 04/16/2025   1,571,474    1,559,688 
1M US L + 9.00%, 04/16/2026   1,800,000    1,732,500 
IG Investments Holdings LLC, First Lien Refinancing Term Loan, 1M US L + 4.00%, 05/23/2025   231,195    229,635 
Informatica LLC, First Lien Dollar B-1 Term Loan, 1M US L + 3.25%, 08/05/2022   166,341    166,688 
Inmar, Inc., First Lien Initial Term Loan:          
3M US L + 4.00%, 05/01/2024   314,213    298,031 
3M US L + 8.00%, 05/01/2025   946,746    889,941 
KUEHG Corp., Second Lien Tranche B Term Loan:          
3M US L + 3.75%, 02/21/2025   1,401,920    1,398,913 
3M US L + 8.25%, 08/15/2025   2,198,220    2,195,472 
LD Intermediate Holdings, Inc., First Lien Initial Term Loan, 3M US L + 5.875%, 12/09/2022   1,935,054    1,925,388 
LegalZoom.com, Inc., First Lien 2018 Term Loan, 1M US L + 4.50%, 11/21/2024   1,535,143    1,545,705 
Minotaur Acquisition, Inc., First Lien B Term Loan, 1M US L + 5.00%, 02/27/2026   1,381,154    1,361,583 
Mitchell International, Inc., First Lien Initial Term Loan:          
1M US L + 3.25%, 11/29/2024   1,458,067    1,395,319 
1M US L + 7.25%, 12/01/2025   460,606    447,363 
National Intergovernmental Purchasing Alliance Co., First Lien Initial Term Loan:          
3M US L + 3.75%, 05/19/2025   1,667,187    1,646,355 
3M US L + 7.50%, 05/22/2026(b)   1,260,000    1,234,800 
PricewaterhouseCoopers Public Sector LLP, Second Lien Initial Term Loan, 1M US L + 7.50%, 05/01/2026(b)   360,000    358,200 
Project Boost Purchaser LLC, First Lien B Term Loan, 3M US L + 3.50%, 06/01/2026   520,661    519,141 
PT Intermediate Holdings III LLC, First Lien B Term Loan:          
3M US L + 4.00%, 12/04/2024   1,421,230    1,377,413 
3M US L + 8.00%, 12/08/2025(b)   1,260,000    1,222,200 
RevSpring, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 10/11/2025   1,074,600    1,073,595 
Sedgwick Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 12/31/2025   1,188,498    1,173,956 
SurveyMonkey, Inc., First Lien Term Loan, 1W US L + 3.75%, 10/10/2025(b)   1,833,131    1,834,231 
ThoughtWorks, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 10/11/2024   1,105,062    1,106,449 
TRC Cos., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 06/21/2024   1,173,138    1,170,938 
Trugreen LP, First Lien Initial Refinancing Term Loan, 1M US L + 3.75%, 03/19/2026   70,313    70,576 
Weld North Education LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 02/07/2025(b)   2,370,000    2,370,000 
         

46,776,595

 

 

 

Semi-Annual Report | June 30, 2019 23

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

  

Principal 

Amount 

   Value 
Cable & Satellite Television - 0.31%          
Radiate Holdco LLC, First Lien Amendment No. 2 Incremental Term Loan, 3M US L + 3.50%, 02/01/2024  $630,000   $624,390 
           
Chemical & Plastics - 3.41%          
Composite Resins Holding B.V., First Lien Initial Term Loan, 3M US L + 4.25%, 06/27/2025   2,138,400    2,122,362 
Emerald Performance Materials LLC, Second Lien Initial Term Loan, 1M US L + 7.75%, 08/01/2022   1,500,000    1,475,002 
Spectrum Holdings III Corp., First Lien Closing Date Term Loan:          
1M US L + 3.25%, 01/31/2025   274,636    260,218 
1M US L + 7.00%, 01/31/2026(b)   566,667    521,333 
Starfruit Finco B.V., First Lien Initial Dollar Term Loan, 1M US L + 3.25%, 10/01/2025   1,507,416    1,487,631 
Vantage Specialty Chemicals, Inc., First Lien Closing Date Term Loan:          
1M US L + 3.50%, 10/20/2024   492,049    486,514 
3M US L + 8.25%, 10/27/2025(b)   588,834    562,336 
         6,915,396 
           
Clothing & Textiles - 0.24%          
Hercules Achievement, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 12/16/2024   503,776    495,116 
           
Conglomerates - 0.64%          
American Residential Services LLC, First Lien Term Loan, 1M US L + 4.00%, 06/30/2021   290,740    287,590 
Output Services Group, Inc., First Lien B Term Loan, 1M US L + 4.25%, 03/26/2024(b)   405,884    367,325 
Spring Education Group, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 07/30/2025   638,150    635,227 
         1,290,142 
           
Containers & Glass Products - 3.43%          
Charter NEX US, Inc., First Lien Third Amendment Incremental Term Loan, 1M US L + 3.50%, 05/16/2024   194,318    194,051 
Flex Acquisition Co., Inc., First Lien Incremental B-2018 Term Loan, 3M US L + 3.25%, 06/29/2025   1,054,152    1,003,137 
Goodpack, Ltd., Second Lien Tranche B-1 Term Loan, 3M US L + 7.00%, 09/11/2024(b)   507,363    499,752 
IBC Capital I, Ltd., First Lien Tranche B-1 Term Loan, 3M US L + 3.75%, 09/11/2023   888,750    888,012 
Loparex International BV, First Lien B Term Loan, 1M US L + 4.25%, 04/11/2025(b)   1,573,875    1,573,875 
Pregis Holding I Corp., First Lien Term Loan, 3M US L + 3.50%, 05/20/2021   708,455    709,192 
ProAmpac PG Borrower LLC, First Lien Initial Term Loan:          
3M US L + 3.50%, 11/20/2023   479,447    460,420 
3M US L + 8.50%, 11/18/2024   366,029    350,016 
Strategic Materials Holding Corp., First Lien Initial Term Loan:          
3M US L + 3.75%, 11/01/2024(b)   328,333    297,142 
3M US L + 7.75%, 10/27/2025(b)   933,333    681,333 
Trident TPI Holdings, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.25%, 10/04/2024   311,053    295,307 
         6,952,237 
           
Diversified Insurance - 1.35%          
Acrisure LLC, First Lien 2017-2 Refinancing Term Loan:          
3M US L + 4.25%, 11/22/2023   536,548    535,097 
3M US L + 3.75%, 11/22/2023   500,562    497,641 
BroadStreet Partners, Inc., First Lien Tranche B-2 Term Loan, 1M US L + 3.25%, 11/08/2023   22,653    22,628 
CP VI Bella Midco LLC, First Lien Initial Term Loan:          
1M US L + 2.75%, 01/24/2025   392,461    382,159 
1M US L + 6.75%, 12/28/2025   364,286    357,911 
Genworth Holdings, Inc., First Lien Initial Term Loan, 2M US L + 4.50%, 03/07/2023   309,913    313,207 
York Risk Services Holding Corp., First Lien Term Loan, 1M US L + 3.75%, 10/01/2021   662,129    627,781 
         2,736,424 

 

 

24 www.blackstone-gso.com

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

  

Principal 

Amount 

   Value 
Drugs - 2.02%          
Albany Molecular Research, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 08/28/2025  $294,643   $295,195 
Arbor Pharmaceuticals LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 07/05/2023   1,166,512    1,091,662 
Avantor Funding, Inc., First Lien Initial B-2 Dollar Term Loan, 1M US L + 3.75%, 11/21/2024   329,805    331,558 
Packaging Coordinators Midco, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 06/30/2023   2,366,041    2,374,181 
         4,092,596 
           
Ecological Services & Equipment - 0.94%          
Emerald 3 Limited, 3M US L + 7.00%, 05/31/2022(b)   545,236    545,236 
EnergySolutions LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 05/09/2025   758,303    727,971 
ERM Emerald US, Inc., First Lien Term Loan, 3M US L + 3.75%, 06/26/2026(b)   296,907    297,650 
Tunnel Hill Partners LP, First Lien Initial Term Loan, 1M US L + 3.50%, 02/06/2026   333,677    333,468 
         1,904,325 
           
Electronics/Electrical - 27.01%          
AppLovin Corp., First Lien Initial Term Loan, 1M US L + 3.50%, 08/15/2025   331,475    331,477 
Boxer Parent Co., Inc., First Lien Initial Dollar Term Loan, 3M US L + 4.25%, 10/02/2025   2,686,500    2,548,817 
Brave Parent Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 04/18/2025   714,586    709,677 
CommerceHub, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 05/21/2025(b)   965,250    955,598 
Compuware Corp., First Lien Term Loan, 1M US L + 3.50%, 08/23/2025   304,225    304,225 
ConvergeOne Holdings, Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 01/04/2026   1,795,500    1,712,458 
CPI International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 07/25/2025(b)   209,150    200,784 
Curvature, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 10/30/2023   3,206,952    2,235,695 
DigiCert, Inc., Second Lien Initial Term Loan, 1M US L + 8.00%, 09/19/2025   800,000    796,000 
DiscoverOrg LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 02/02/2026   1,496,250    1,492,509 
Dynatrace LLC, Second Lien Term Loan, 1M US L + 7.00%, 08/24/2026   456,675    460,671 
ECi Macola/MAX Holding LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 09/27/2024   514,876    514,876 
Ellie Mae, Inc., First Lien Term Loan, 3M US L + 4.00%, 04/17/2026   2,880,000    2,875,190 
Flexera Software LLC, Second Lien Initial Term Loan, 1M US L + 7.25%, 02/26/2026   705,887    705,227 
Gigamon, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 12/27/2024(b)   2,175,536    2,121,148 
Help/Systems Holdings, Inc., First Lien Term Loan:          
3M US L + 3.75%, 03/28/2025   584,646    580,991 
3M US L + 7.75%, 03/23/2026(b)   775,862    771,983 
Hyland Software, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 05/31/2025   497,917    501,445 
Idera, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2024   696,890    697,179 
Imperva, Inc., First Lien Term Loan:          
1M US L + 4.00%, 01/12/2026   981,818    978,446 
1M US L + 7.75%, 01/11/2027   847,059    836,470 
Ivanti Software, Inc., First Lien Term Loan:          
1M US L + 4.25%, 01/19/2024   2,867,155    2,864,173 
1M US L + 9.00%, 01/20/2025   2,000,000    1,981,000 
MACOM Technology Solutions Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.25%, 05/17/2024   1,346,565    1,209,384 
McAfee LLC, First Lien B USD Term Loan, 1M US L + 3.75%, 09/30/2024   728,672    728,786 
MH Sub I LLC, First Lien Amendment No. 2 Initial Term Loan, 1M US L + 3.75%, 08/16/2024   1,406,963    1,384,627 
MLN US HoldCo LLC, First Lien B Term Loan, 1M US L + 4.50%, 11/30/2025   1,229,736    1,178,499 
MYOB US Borrower LLC, First Lien Initial U.S. Term Loan, 1M US L + 4.00%, 04/17/2026   800,000    802,004 
Navex Topco, Inc., First Lien Initial Term Loan:          
1M US L + 3.25%, 09/05/2025   201,236    197,664 
1M US L + 7.00%, 09/04/2026   900,000    893,250 
Park Place Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 03/29/2025   1,112,544    1,106,981 
Perforce Software, Inc., First Lien B Term Loan, 3M US L + 4.50%, 06/12/2026   362,903    362,903 
Ping Identity Corp., First Lien Term Loan, 1M US L + 3.75%, 01/24/2025   369,600    369,138 

 

 

Semi-Annual Report | June 30, 2019 25

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

  

Principal 

Amount 

   Value 
Electronics/Electrical (continued)          
Project Alpha Intermediate Holding, Inc., First Lien B Term Loan, 3M US L + 4.25%, 04/26/2024  $1,818,182   $1,813,636 
Project Angel Parent LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b)   1,066,567    1,055,902 
Project Leopard Holdings, Inc., First Lien 2018 Repricing Term Loan:          
6M US L + 4.50%, 07/07/2023   545,854    545,742 
6M US L + 4.25%, 07/07/2023   310,440    310,634 
Project Silverback Holdings Corp., First Lien New Term Loan, 1M US L + 3.50%, 08/21/2024   498,169    445,861 
Quest Software US Holdings, Inc., First Lien Initial Term Loan:          
3M US L + 4.25%, 05/16/2025   2,757,570    2,720,343 
3M US L + 8.25%, 05/17/2026   2,607,692    2,573,479 
Rocket Software, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 11/28/2025   1,539,317    1,508,531 
SciQuest, Inc., First Lien Term Loan, 1M US L + 4.00%, 12/28/2024(b)   1,367,308    1,357,053 
SCS Holdings I, Inc., First Lien New Tranche B Term Loan, 1M US L + 4.25%, 10/30/2022   780,326    785,691 
SonicWall US Holdings, Inc., First Lien Initial Term Loan:          
3M US L + 3.50%, 05/16/2025   1,082,659    1,012,286 
3M US L + 7.50%, 05/17/2026   1,440,000    1,330,200 
Triton Solar US Acquisition Co., First Lien Initial Term Loan, 3M US L + 6.00%, 10/29/2024   207,389    195,204 
Veritas US, Inc., First Lien New Dollar B Term Loan, 1M US L + 4.50%, 01/27/2023   1,078,139    984,481 
Vero Parent, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.50%, 08/16/2024   503,239    502,296 
Web.com Group, Inc., First Lien B Term Loan:          
1M US L + 3.75%, 10/10/2025   1,635,616    1,615,515 
1M US L + 7.75%, 10/09/2026   658,628    648,749 
         54,814,878 
           
Financial Intermediaries - 2.28%          
ASP MCS Acquisition Corp., First Lien Initial Term Loan, 1M US L + 4.75%, 05/20/2024   2,128,850    1,341,176 
Misys, Ltd., First Lien Dollar Term Loan, 1M US L + 3.50%, 04/26/2024   457,966    447,028 
NorthStar Financial Services Group LLC, First Lien Initial Term Loan:          
2M US L + 3.25%, 05/25/2025   1,377,116    1,366,788 
2M US L + 7.50%, 05/25/2026(b)   354,881    351,332 
Victory Capital Holdings, Inc., First Lien B Term Loan, 3M US L + 3.25%, 06/07/2026   1,125,000    1,127,109 
         4,633,433 
           
Food Products - 1.83%          
Alphabet Holding Co., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/26/2024   1,626,665    1,539,232 
TKC Holdings, Inc., First Lien Initial Term Loan:          
1M US L + 3.75%, 01/31/2023   1,381,955    1,355,608 
1M US L + 8.00%, 01/31/2024   831,382    820,395 
         3,715,235 
           
Food Service - 3.45%          
Agro Merchants North America Holdings, Inc., First Lien Effective Date Term Loan, 3M US L + 3.75%, 12/06/2024(b)   796,296    793,310 
CEC Entertainment, Inc., First Lien B Term Loan, 1M US L + 3.25%, 02/15/2021   980,792    975,275 
Flynn Restaurant Group LP, First Lien Initial Term Loan, 1M US L + 3.50%, 06/27/2025   2,284,655    2,219,691 
Fogo de Chao, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.25%, 04/07/2025   593,162    593,904 
Quidditch Acquisition, Inc., First Lien B Term Loan, 1M US L + 7.00%, 03/21/2025(b)   820,174    828,375 
Red Lobster Management LLC, First Lien Initial Term Loan, 1M US L + 5.25%, 07/28/2021   649,362    643,277 
Tacala Investment Corp., Second Lien Initial Term Loan, 1M US L + 7.00%, 01/30/2026   937,931    946,138 
         6,999,970 

 

 

26 www.blackstone-gso.com

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

  

Principal 

Amount 

   Value 
Food/Drug Retailers - 0.91%          
EG Group, Ltd., First Lien Facility B Term Loan:          
3M US L + 4.00%, 01/31/2025  $137,153   $135,067 
3M US L + 4.00%, 02/07/2025   1,734,628    1,708,244 
         1,843,311 
           
Health Insurance - 1.60%          
Achilles Acquisition LLC, First Lien Closing Date Term Loan, 1M US L + 4.00%, 10/13/2025   689,472    690,334 
FHC Health Systems, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 12/23/2021   2,430,753    2,432,782 
MPH Acquisition Holdings LLC, First Lien Initial Term Loan, 3M US L + 2.75%, 06/07/2023   137,773    132,090 
         3,255,206 
           
Healthcare - 23.99%          
Alvogen Pharma US, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.75%, 04/01/2022   2,264,056    2,088,591 
BioClinica Holding I LP, First Lien Initial Term Loan:          
3M US L + 4.25%, 10/20/2023   617,522    586,645 
3M US L + 8.25%, 10/04/2024   789,474    700,003 
Carestream Health, Inc., First Lien Extended Term Loan:          
1M US L + 5.75%, 02/28/2021   158,257    153,509 
1M US L + 9.50%, 06/07/2021   3,276,562    3,153,691 
Certara Holdco, Inc., First Lien Replacement Term Loan, 3M US L + 3.50%, 08/15/2024(b)   158,405    157,613 
Covenant Surgical Partners, Inc., First Lien Term Loan:          
3M US L + 4.00%, 06/19/2026   225,000    223,734 
3M US L + 4.00%, 06/19/2026   1,125,000    1,118,672 
CT Technologies Intermediate Holdings, Inc., First Lien New Facility Term Loan, 1M US L + 4.25%, 12/01/2021   767,852    656,514 
Dentalcorp Health Services ULC, First Lien Initial Term Loan, 1M US L + 3.75%, 06/06/2025   941,884    932,173 
Endo Luxembourg Finance Company I S.a r.l., First Lien Initial Term Loan, 1M US L + 4.25%, 04/12/2024   1,906,854    1,795,627 
Envision Healthcare Corp., First Lien Initial Term Loan, 1M US L + 3.75%, 10/10/2025   1,871,884    1,658,957 
Equian Buyer Corp., First Lien 2018 Incremental Term Loan, 1M US L + 3.25%, 05/20/2024   598,258    598,482 
Femur Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 03/05/2026   547,200    549,594 
Greenway Health LLC, First Lien Term Loan, 3M US L + 3.75%, 02/16/2024   1,351,724    1,199,655 
Heartland Dental LLC, First Lien Initial Term Loan:          
3M US L + 4.50%, 04/30/2025(b)   421,875    414,492 
1M US L + 3.75%, 04/30/2025   1,492,232    1,417,628 
Lanai Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 4.75%, 08/29/2022   1,624,346    1,559,372 
LifeScan Global Corp., First Lien Initial Term Loan, 3M US L + 6.00%, 10/01/2024   2,605,500    2,494,766 
Maravai Intermediate Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 08/02/2025(b)   821,214    821,214 
Midwest Physician Administrative Services LLC, Second Lien Initial Term Loan, 1M US L + 7.00%, 08/15/2025   640,000    627,200 
Navicure, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 11/01/2024   1,411,040    1,403,102 
Netsmart Technologies, Inc., First Lien D-1 Term Loan, 1M US L + 3.75%, 04/19/2023   3,244,101    3,217,743 
NMSC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/19/2023(b)   203,453    203,962 
nThrive, Inc., First Lien Additional B-2 Term Loan, 1M US L + 4.50%, 10/20/2022   2,597,355    2,464,241 
NVA Holdings, Inc., First Lien B-3 Term Loan:          
1M US L + 2.75%, 02/02/2025   179,098    179,023 
1M US L + 3.50%, 02/02/2025   540,000    540,634 
Onex TSG Holdings II Corp., First Lien Initial Term Loan, 1M US L + 4.00%, 07/29/2022   2,361,755    2,358,803 
PAREXEL International Corp., First Lien Initial Term Loan, 1M US L + 2.75%, 09/27/2024   851,308    817,562 
Pearl Intermediate Parent LLC, First Lien Initial Term Loan:          
1M US L + 2.75%, 01/31/2025(c)   76,092    73,667 
1M US L + 2.75%, 01/31/2025   337,789    327,021 
PetVet Care Centers LLC, First Lien 2018 Term Loan, 1M US L + 3.25%, 02/14/2025   537,293    527,555 

 

 

Semi-Annual Report | June 30, 2019 27

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

  

Principal 

Amount 

   Value 
Healthcare (continued)          
Phoenix Guarantor, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/05/2026  $2,579,618   $2,572,201 
Press Ganey Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 6.50%, 10/21/2024   306,437    307,840 
Project Ruby Ultimate Parent Corp., First Lien New Term Loan, 1M US L + 3.50%, 02/09/2024   650,510    647,528 
Prospect Medical Holdings, Inc., First Lien B-1 Term Loan, 1M US L + 5.50%, 02/16/2024   1,295,345    1,226,258 
Regionalcare Hospital Partners Holdings, Inc., First Lien B Term Loan, 1M US L + 4.50%, 11/16/2025   1,457,213    1,451,092 
Surgery Center Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 09/02/2024   114,275    110,656 
Team Health Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.75%, 02/06/2024   248,096    220,341 
U.S. Anesthesia Partners, Inc., 1M US L + 3.00%, 06/23/2024   235,636    231,316 
Verscend Holding Corp., First Lien B Term Loan, 1M US L + 4.50%, 08/27/2025   1,116,562    1,119,533 
Viant Medical Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 07/02/2025   744,375    743,132 
Vyaire Medical, Inc., First Lien Term Loan, 3M US L + 4.75%, 04/16/2025(b)   2,673,000    2,419,065 
YI LLC, First Lien Initial Term Loan, 3M US L + 4.00%, 11/06/2024(b)   1,398,527    1,396,779 
Zest Acquisition Corp., Second Lien Initial Term Loan, 1M US L + 7.50%, 03/06/2026(b)   1,285,714    1,211,786 
         48,678,972 
           
Home Furnishings - 1.12%          
AI Aqua Merger Sub, Inc., First Lien Tranche B-1 Term Loan:          
1M US L + 3.25%, 12/13/2023   630,400    609,912 
1M US L + 3.25%, 12/13/2023   1,055,628    1,023,959 
Hayward Industries, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/05/2024   77,717    76,260 
Serta Simmons Bedding LLC, Second Lien Initial Term Loan, 1M US L + 8.00%, 11/08/2024   1,246,702    566,003 
         2,276,134 
           
Industrial Equipment - 4.75%          
AI Alpine AT BidCo GmbH, First Lien Facility B Term Loan, 1M US L + 3.25%, 10/31/2025(b)   241,850    238,525 
Apex Tool Group LLC, First Lien Second Amendment Term Loan, 1M US L + 3.75%, 02/01/2022   1,137,834    1,097,066 
Engineered Machinery Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.25%, 07/19/2024(b)   1,120,930    1,092,907 
Helix Acquisition Holdings, Inc., First Lien 2018 New Term Loan, 3M US L + 3.75%, 09/30/2024   985,734    967,252 
Justrite Safety Group:          
3M US L + 4.50%, 06/26/2026(b)   99,130    99,007 
3M US L + 4.50%, 06/26/2026(b)   812,870    811,853 
LTI Holdings, Inc., First Lien Initial Term Loan:          
1M US L + 3.50%, 09/06/2025   590,579    559,759 
1M US L + 6.75%, 09/07/2026   382,979    356,745 
Robertshaw US Holding Corp., First Lien Initial Term Loan, 1M US L + 3.50%, 02/28/2025(b)   1,135,143    1,050,007 
Tailwind Smith Cooper Intermediate Corp., First Lien Initial Term Loan, 3M US L + 5.00%, 05/28/2026   1,260,000    1,237,162 
Titan Acquisition, Ltd., First Lien Initial Term Loan, 1M US L + 3.00%, 03/28/2025   2,227,289    2,132,317 
         9,642,600 
           
Insurance - 1.51%          
APCO Holdings LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 06/06/2025   1,313,879    1,317,164 
Cypress Intermediate Holdings III, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 03/31/2025   813,953    822,093 
HIG Finance 2, Ltd., First Lien Initial Dollar Term Loan, 1M US L + 3.50%, 12/13/2024   193,365    193,311 
Outcomes Group Holdings, Inc., Second Lien Term Loan:          
3M US L + 3.50%, 10/24/2025   390,764    386,368 
3M US L + 7.50%, 10/26/2026   346,154    344,423 
         3,063,359 

 

 

28 www.blackstone-gso.com

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
Leisure Goods/Activities/Movies - 2.32%          
Recess Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 09/30/2024  $1,121,334   $1,102,765 
Travel Leaders Group LLC, First Lien 2018 Refinancing Term Loan, 1M US L + 4.00%, 01/25/2024   473,409    474,985 
Travelport Finance S.à r.l., First Lien Initial Term Loan, 3M US L + 5.00%, 05/29/2026   2,160,000    2,037,820 
United PF Holdings LLC, First Lien Term Loan:          
1M US L + 4.50%, 06/10/2026   915,663    917,952 
1M US L + 8.50%, 06/10/2027(b)   170,270    168,993 
         4,702,515 
           
Lodging & Casinos - 1.28%          
AP Gaming I LLC, First Lien Incremental B Term Loan, 1M US L + 3.50%, 02/15/2024   1,207,780    1,207,025 
Casablanca US Holdings, Inc., First Lien Amendment No. 2 Initial Term Loan, 3M US L + 4.00%, 03/29/2024(b)   1,422,000    1,386,450 
         2,593,475 
           
Nonferrous Metals/Minerals - 1.35%          
Aleris International, Inc., First Lien Initial Term Loan, 1M US L + 4.75%, 02/27/2023   1,433,793    1,437,378 
American Rock Salt Co. LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 03/21/2025   818,171    818,170 
Murray Energy Corp., First Lien Superpriority B-2 Term Loan, 3M US L + 7.25%, 10/17/2022   725,892    490,583 
         2,746,131 
           
Oil & Gas - 3.23%          
Equitrans Midstream Corp., First Lien Holdco B Facility Term Loan, 1M US L + 4.50%, 01/31/2024   605,068    610,111 
Keane Group Holdings LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 05/26/2025   1,069,200    1,057,615 
Lower Cadence Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/22/2026   1,102,041    1,098,140 
Lucid Energy Group II Borrower LLC, First Lien Initial Term Loan, 1M US L + 3.00%, 01/31/2025   267,063    255,714 
Petroleum GEO-Services ASA, First Lien Extended Term Loan, 3M US L + 2.50%, 03/19/2021   1,058,968    1,021,147 
Sheridan Investment Partners I LLC, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   860,683    615,388 
Sheridan Production Partners I LLC, First Lien Deferred Principal Term Loan:          
3M US L + 0.00%, 10/01/2019(b)   4,506    3,192 
3M US L + 0.00%, 10/01/2019(b)   34,005    24,086 
3M US L + 0.00%, 10/01/2019(b)   2,752    1,949 
Sheridan Production Partners I-A LP, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   114,048    81,544 
Sheridan Production Partners I-M LP, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   69,661    49,808 
UTEX Industries, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/21/2021   1,851,339    1,740,259 
         6,558,953 
           
Property & Casualty Insurance - 2.40%          
Asurion LLC, Second Lien Replacement B-2 Term Loan, 1M US L + 6.50%, 08/04/2025   3,381,340    3,435,949 
Confie Seguros Holding II Co., First Lien B Term Loan, 3M US L + 4.75%, 04/19/2022   1,446,251    1,426,965 
         4,862,914 
           
Publishing - 1.71%          
Champ Acquisition Corp., First Lien Initial Term Loan, 3M US L + 5.50%, 12/19/2025   1,336,567    1,323,201 
Recorded Books, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 08/29/2025   783,553    786,005 
Southern Graphics, Inc., Second Lien Initial Term Loan:          
2M US L + 3.25%, 12/31/2022   304,882    255,912 
2M US L + 7.50%, 12/31/2023(b)   1,500,000    1,095,000 
         3,460,118 

 

 
Semi-Annual Report | June 30, 2019 29

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments
 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
Radio & Television - 0.63%          
Gray Television, Inc., First Lien B-2 Term Loan, 1M US L + 2.25%, 02/07/2024  $142,857   $142,464 
iHeartCommunications, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 05/01/2026   1,000,000    1,002,425 
William Morris Endeavor Entertainment LLC, First Lien B-1 Term Loan, 1M US L + 2.75%, 05/18/2025   142,109    137,727 
         1,282,616 
           
Retailers (except food & drug) - 1.54%          
Academy, Ltd., First Lien Initial Term Loan, 1M US L + 4.00%, 07/01/2022   309,577    222,276 
Apro LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 08/08/2024   589,831    592,411 
Ascena Retail Group, Inc., First Lien Tranche B Term Loan, 1M US L + 4.50%, 08/19/2022   250,061    164,518 
FBB Holdings III, Inc., First Lien Initial Term Loan:          
3M US L + 9.00%, 02/07/2024(b)   139,237    132,275 
3M US L + 7.00%, 01/31/2025(b)   47,256    32,607 
Petco Animal Supplies, Inc., First Lien Term Loan, 3M US L + 3.25%, 01/26/2023   305,871    238,197 
Pier 1 Imports US, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 04/30/2021(b)   1,979,167    494,792 
Spencer Spirit Holding/Gift, First Lien Initial Term Loan, 3M US L + 6.00%, 06/19/2026   1,260,000    1,235,329 
Sports Authority, Inc., First Lien B Term Loan, 3M US L + 6.00%, 11/16/2017(b)(d)   3,389,299    6,779 
         3,119,184 
           
Steel - 0.71%          
Can Am Construction, Inc., First Lien Closing Date Term Loan, 1M US L + 5.00%, 07/01/2024(b)   1,238,759    1,201,596 
Phoenix Services International LLC, First Lien B Term Loan, 1M US L + 3.75%, 03/01/2025   239,580    237,483 
         1,439,079 
           
Surface Transport - 1.21%          
Drive Chassis Holdco LLC, Second Lien B Term Loan, 3M US L + 8.25%, 04/10/2026   1,800,000    1,734,750 
SMB Shipping Logistics LLC, First Lien Term Loan, 3M US L + 4.00%, 02/05/2024   723,584    719,966 
         2,454,716 
           
Telecommunications - 4.51%          
Alorica, Inc., First Lien New B Term Loan, 1M US L + 3.75%, 06/30/2022   674,326    652,410 
Avaya, Inc., First Lien Tranche B Term Loan, 1M US L + 4.25%, 12/15/2024   2,169,634    2,080,136 
Cyxtera DC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 05/01/2025   225,564    197,611 
Ensono LP, First Lien Term Loan, 1M US L + 5.25%, 06/27/2025   1,010,720    1,009,775 
Masergy Holdings, Inc., Second Lien Initial Term Loan:          
3M US L + 3.25%, 12/15/2023   697,141    687,556 
3M US L + 7.50%, 12/16/2024   548,872    540,639 
Peak 10 Holding Corp., First Lien Initial Term Loan:          
3M US L + 3.50%, 08/01/2024   714,545    658,278 
3M US L + 7.25%, 08/01/2025   771,429    650,411 
Securus Technologies Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 11/01/2024   137,348    128,192 
TierPoint LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 05/06/2024   1,389,050    1,293,553 
Vertiv Group Corp., First Lien B Term Loan, 3M US L + 4.00%, 11/30/2023   1,312,355    1,250,018 
         9,148,579 
           
Utilities - 3.06%          
Brookfield WEC Holdings, Inc., Second Lien Initial Term Loan:          
3M US L + 3.50%, 08/01/2025(b)   633,032    633,032 
1M US L + 6.75%, 08/03/2026   224,299    227,559 
Eastern Power LLC, First Lien Term Loan, 1M US L + 3.75%, 10/02/2023   488,556    488,759 
Granite Acquisition, Inc., Second Lien B Term Loan, 3M US L + 7.25%, 12/19/2022   2,421,507    2,427,949 
Green Energy Partners/Stonewall LLC, First Lien B-1 Conversion Advances Term Loan, 3M US L + 5.50%, 11/13/2021   491,250    481,425 

 

 
30 www.blackstone-gso.com

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments
 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
Utilities (continued)          
Moxie Liberty LLC, First Lien Construction B-1 Advance Term Loan, 3M US L + 6.50%, 08/21/2020  $1,421,391   $1,285,179 
Moxie Patriot LLC, First Lien Construction B-1 Advances Term Loan, 3M US L + 5.75%, 12/19/2020   684,790    658,254 
         6,202,157 
           
TOTAL FLOATING RATE LOAN INTERESTS          
(Cost $299,825,523)        288,488,462 
           
COLLATERALIZED LOAN OBLIGATION SECURITIES(a) -3.01%          
Structured Finance Obligations - 3.01%          
Babson CLO, Ltd. 2015-I 3M US L + 5.50%, 01/20/2031(b)(e)   875,000    776,726 
Carlyle Global Market Strategies CLO 2016-2, Ltd. 3M US L + 5.17%, 07/15/2027(b)(e)   1,000,000    979,294 
Dryden 40 Senior Loan Fund 3M US L + 5.75%, 08/15/2031(b)(e)   700,000    665,131 
Highbridge Loan Management 6-2015, Ltd. 3M US L + 5.10%, 02/05/2031(b)(e)   833,000    763,910 
Neuberger Berman Loan Advisers CLO 27, Ltd. 3M US L + 5.20%, 01/15/2030(b)(e)   667,000    609,339 
Tiaa Clo III, Ltd. 3M US L + 5.90%, 01/16/2031(b)(e)   2,500,000    2,318,323 
         6,112,723 
           
TOTAL COLLATERALIZED LOAN OBLIGATION SECURITIES          
(Cost $6,554,819)        6,112,723 
           
CORPORATE BONDS - 19.86%          
Automotive - 0.29%          
IAA, Inc. 5.500%, 06/15/2027(e)   148,000    154,290 
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. 7.875%, 10/01/2022(e)   450,000    429,750 
         584,040 
           
Building & Development - 2.16%          
Builders FirstSource, Inc. 6.750%, 06/01/2027(e)   129,000    136,740 
Northwest Hardwoods, Inc. 7.500%, 08/01/2021(e)   289,000    177,735 
NWH Escrow Corp. 7.500%, 08/01/2021(e)   1,332,000    812,520 
PriSo Acquisition Corp. 9.000%, 05/15/2023(e)   3,477,000    3,264,034 
         4,391,029 
           
Business Equipment & Services - 0.83%          
Allied Universal Holdco LLC 6.625%, 07/15/2026(e)   1,174,000    1,196,012 
Clean Harbors, Inc.:          
4.875%, 07/15/2027(e)   328,000    334,183 
5.125%, 07/15/2029(e)   162,000    165,645 
         1,695,840 
           
Chemical & Plastics - 0.25%          
Starfruit Finco BV / Starfruit US Holdco LLC 8.000%, 10/01/2026(e)   487,000    502,828 
           
Containers & Glass Products - 1.63%          
ARD Securities Finance SARL 8.750%, 01/31/2023(e)(f)   436,576    442,033 
Flex Acquisition Co., Inc. 6.875%, 01/15/2025(e)   1,916,000    1,743,560 
Trident Merger Sub, Inc. 6.625%, 11/01/2025(e)   1,200,000    1,125,000 
         3,310,593 
           
Diversified Insurance - 1.62%          
HUB International, Ltd. 7.000%, 05/01/2026(e)   378,000    384,143 

 

 
Semi-Annual Report | June 30, 2019 31

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments
 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
Diversified Insurance (continued)          
York Risk Services Holding Corp. 8.500%, 10/01/2022(e)  $3,500,000   $2,896,250 
         3,280,393 
           
Drugs - 1.87%          
Avantor, Inc.:          
6.000%, 10/01/2024(e)   833,000    888,394 
9.000%, 10/01/2025(e)   2,600,000    2,905,500 
         3,793,894 
           
Ecological Services & Equipment - 0.81%          
GFL Environmental, Inc.:          
5.375%, 03/01/2023(e)   864,000    859,680 
7.000%, 06/01/2026(e)   37,000    37,971 
8.500%, 05/01/2027(e)   689,000    743,259 
         1,640,910 
           
Electronics/Electrical - 1.85%          
Banff Merger Sub, Inc. 9.750%, 09/01/2026(e)   857,000    747,732 
Global A&T Electronics, Ltd. 8.500%, 01/12/2023   1,363,502    1,279,897 
Riverbed Technology, Inc. 8.875%, 03/01/2023(e)   2,559,000    1,720,928 
         3,748,557 
           
Food Service - 0.17%          
CEC Entertainment, Inc. 8.000%, 02/15/2022   345,000    348,881 
           
Food/Drug Retailers - 0.34%          
eG Global Finance PLC 6.750%, 02/07/2025(e)   704,000    700,269 
           
Healthcare - 2.44%          
Envision Healthcare Corp. 8.750%, 10/15/2026(e)   1,875,000    1,307,813 
Team Health Holdings, Inc. 6.375%, 02/01/2025(e)   1,500,000    1,155,000 
Tenet Healthcare Corp.:          
4.625%, 07/15/2024   667,000    677,839 
5.125%, 05/01/2025   667,000    672,002 
7.000%, 08/01/2025   1,143,000    1,143,000 
         4,955,654 
           
Industrial Equipment - 0.11%          
Titan Acquisition, Ltd. / Titan Co.-Borrower LLC 7.750%, 04/15/2026(e)   250,000    225,625 
           
Leisure Goods/Activities/Movies - 0.14%          
Cedar Fair LP 5.250%, 07/15/2029(e)   278,000    284,255 
           
Oil & Gas - 0.98%          
Calumet Specialty Products Partners LP / Calumet Finance Corp. 7.750%, 04/15/2023   1,600,000    1,540,000 
CSI Compressco LP / CSI Compressco Finance, Inc. 7.250%, 08/15/2022   500,000    451,250 
         1,991,250 
           
Property & Casualty Insurance - 2.07%          
AssuredPartners, Inc. 7.000%, 08/15/2025(e)   1,136,000    1,134,580 
GTCR AP Finance, Inc. 8.000%, 05/15/2027(e)   286,000    288,145 
Solera LLC / Solera Finance, Inc. 10.500%, 03/01/2024(e)   2,550,000    2,769,937 
         4,192,662 

 

 
32 www.blackstone-gso.com

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments
 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
Publishing - 0.27%          
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance 7.875%, 05/15/2024(e)  $580,000   $539,400 
           
Radio & Television - 0.36%          
Entercom Media Corp. 6.500%, 05/01/2027(e)   101,000    105,293 
Univision Communications, Inc. 5.125%, 05/15/2023(e)   630,000    618,975 
         724,268 
           
Telecommunications - 1.34%          
Digicel, Ltd. 6.000%, 04/15/2021(e)   750,000    573,750 
Frontier Communications Corp. 10.500%, 09/15/2022   1,250,000    853,125 
Sprint Communications, Inc. 6.000%, 11/15/2022   1,050,000    1,097,250 
Vertiv Group Corp. 9.250%, 10/15/2024(e)   204,000    196,350 
         2,720,475 
           
Utilities - 0.33%          
Calpine Corp. 5.750%, 01/15/2025   667,000    664,499 
           
TOTAL CORPORATE BONDS          
(Cost $43,339,914)        40,295,322 

 

   Shares     
COMMON STOCK - 0.13%          
Oil & Gas - 0.13%          
SandRidge Energy, Inc.(g)   37,842    261,866 
           
TOTAL COMMON STOCK          
(Cost $1,749,997)        261,866 
           
Total Investments - 165.18%          
(Cost $351,470,253)        335,158,373 
           
Liabilities in Excess of Other Assets - (0.81)%        (1,630,101)
           
Mandatory Redeemable Preferred Shares - (9.92)%          
(liquidation preference plus distributions payable on term preferred shares)        (20,118,997)
           
Leverage Facility - (54.46)%        (110,500,000)
           
Net Assets - 100.00%       $202,909,275 

 

Amounts above are shown as a percentage of net assets as of June 30, 2019.

 

 
Semi-Annual Report | June 30, 2019 33

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments
 

June 30, 2019 (Unaudited)

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

 

Libor Rates:

1W US L - 1 Week LIBOR as of June 30, 2019 was 2.37%

1M US L - 1 Month LIBOR as of June 30, 2019 was 2.40%

2M US L - 2 Month LIBOR as of June 30, 2019 was 2.33%

3M US L - 3 Month LIBOR as of June 30, 2019 was 2.32%

6M US L - 6 Month LIBOR as of June 30, 2019 was 2.20%

 

(a)Floating or variable rate security. The reference rate is described above. The rate in effect as of June 30, 2019 is based on the reference rate plus the displayed spread as of the security's last reset date.
(b)Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
(c)A portion of this position was not funded as of June 30, 2019. The Portfolio of Investments records only the funded portion of each position. As of June 30, 2019, the Fund has unfunded delayed draw loans in the amount of $249,956. Fair value of these unfunded delayed draw loans was $241,440.
(d)Security is in default as of period end and is therefore non-income producing.
(e)Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $37,680,302, which represented approximately 18.57% of net assets as of June 30, 2019. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(f)Option to convert to pay-in-kind security.
(g)Non-income producing security.

 

See Notes to Financial Statements.

 

 
34 www.blackstone-gso.com

 

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

  

Principal

Amount

   Value 
FLOATING RATE LOAN INTERESTS(a) - 137.51%          
Aerospace & Defense - 2.67%          
Nordam Group LLC, First Lien Initial Term Loan, 3M US L + 5.50%, 04/09/2026(b)  $4,788,000   $4,793,985 
Propulsion Acquisition LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 07/13/2021(b)   6,219,207    6,157,014 
Vectra Co., First Lien Initial Term Loan:          
1M US L + 3.25%, 03/10/2025   2,364,179    2,280,700 
1M US L + 7.25%, 03/08/2026(b)   1,666,667    1,612,500 
WP CPP Holdings LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 04/30/2025   3,731,250    3,731,250 
         18,575,449 
           
Air Transport - 0.80%          
Air Medical Group Holdings, Inc., First Lien 2018 New Term Loan, 1M US L + 4.25%, 03/14/2025   5,910,000    5,571,652 
           
Automotive - 0.78%          
Bright Bidco B.V., First Lien 2018 Refinancing B Term Loan, 3M US L + 3.50%, 06/30/2024   134,175    95,767 
Midas Intermediate Holdco II LLC, First Lien 2017 Refinancing Term Loan, 3M US L + 2.75%, 08/18/2021   1,190,840    1,158,092 
Superior Industries International, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 05/22/2024(b)   4,379,898    4,182,802 
         5,436,661 
           
Beverage & Tobacco - 0.23%          
Winebow Holdings, Inc., Second Lien Term Loan, 1M US L + 7.50%, 01/02/2022(b)   2,387,283    1,599,480 
           
Brokers, Dealers & Investment Houses - 0.69%          
Deerfield Dakota Holding LLC, First Lien Initial Term Loan, 1M US L + 3.25%, 02/13/2025   891,697    866,538 
Edelman Financial Center LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 06/26/2026   1,846,154    1,860,000 
Newport Group Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 09/12/2025   2,088,739    2,071,768 
         4,798,306 
           
Building & Development - 8.33%          
American Bath Group LLC, Second Lien Term Loan:          
3M US L + 4.25%, 09/30/2023   9,917,325    9,861,540 
3M US L + 9.75%, 09/30/2024(b)   600,000    600,000 
CPG International LLC, First Lien New Term Loan, 6M US L + 3.75%, 05/06/2024   789,899    778,050 
Dayton Superior Corp., First Lien Borrowing Term Loan, 3M US L + 8.00%, 11/03/2021   3,734,245    3,099,423 
Forterra Finance LLC, First Lien Replacement Term Loan, 1M US L + 3.00%, 10/25/2023   9,385,206    8,687,839 
Hillman Group, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025   8,917,444    8,599,760 
Interior Logic Group Holdings IV LLC, First Lien Initial Term Loan, 3M US L + 4.00%, 05/30/2025   6,496,364    6,423,279 
LBM Borrower LLC, Second Lien Initial Term Loan:          
1M US L + 3.75%, 08/20/2022   4,666,747    4,667,237 
1M US L + 9.25%, 08/20/2023   1,713,476    1,679,206 
Ply Gem Midco, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 04/12/2025   3,742,341    3,647,229 
SIWF Holdings, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 06/15/2025(b)   2,376,000    2,361,150 
SRS Distribution, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 05/23/2025   7,939,225    7,631,580 
         58,036,293 
           
Business Equipment & Services - 23.04%          
Access CIG LLC, First Lien B Term Loan:          
3M US L + 3.75%, 02/27/2025   2,422,916    2,414,593 
1M US L + 7.75%, 02/27/2026   326,087    324,864 

 

 

Semi-Annual Report | June 30, 2019 35

 

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

  

Principal 

Amount 

   Value 
Business Equipment & Services (continued)          
Advantage Sales & Marketing, Inc., First Lien Initial Term Loan:          
3M US L + 3.25%, 07/23/2021  $2,548,000   $2,331,739 
3M US L + 3.25%, 07/23/2021   3,099,270    2,844,355 
3M US L + 6.50%, 07/25/2022   11,245,389    8,954,197 
Allied Universal Holdco LLC, First Lien Initial Term Loan:          
1M US L + 4.25%, 07/28/2022   3,810,638    3,811,248 
1M US L + 3.75%, 07/28/2022   4,644,000    4,642,073 
3M US L + 4.25%, 06/26/2026(b)   4,070,330    4,060,155 
3M US L + 4.25%, 06/26/2026(b)   403,003    401,995 
APFS Staffing Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/15/2026   5,454,545    5,403,409 
AqGen Ascensus, Inc., First Lien Replacement Term Loan, 6M US L + 4.00%, 12/05/2022   8,107,050    8,132,425 
BMC Acquisition, Inc., First Lien Initial Term Loan, 3M US L + 5.25%, 12/28/2024   2,801,094    2,801,094 
Capri Acquisitions BidCo, Ltd., First Lien Initial Dollar Term Loan, 3M US L + 3.25%, 11/01/2024   5,905,872    5,805,472 
Cast & Crew Payroll LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 02/09/2026   1,090,937    1,097,482 
DG Investment Intermediate Holdings 2, Inc., First Lien Initial Term Loan:          
1M US L + 3.00%, 02/03/2025(b)   998,338    967,140 
1M US L + 6.75%, 02/02/2026(b)   1,422,414    1,386,854 
Dun & Bradstreet Corp., First Lien Initial Borrowing Term Loan, 1M US L + 5.00%, 02/06/2026   4,108,108    4,114,537 
GI Revelation Acquisition LLC, First Lien Initial Term Loan:          
1M US L + 5.00%, 04/16/2025   5,139,040    5,100,497 
1M US L + 9.00%, 04/16/2026   6,000,000    5,775,000 
IG Investments Holdings LLC, First Lien Refinancing Term Loan, 1M US L + 4.00%, 05/23/2025   759,809    754,681 
Informatica LLC, First Lien Dollar B-1 Term Loan, 1M US L + 3.25%, 08/05/2022   554,471    555,627 
Inmar, Inc., First Lien Initial Term Loan:          
3M US L + 4.00%, 05/01/2024   1,256,852    1,192,125 
3M US L + 8.00%, 05/01/2025   3,786,982    3,559,763 
KUEHG Corp., Second Lien Tranche B Term Loan:          
3M US L + 3.75%, 02/21/2025   4,654,901    4,644,916 
3M US L + 8.25%, 08/15/2025   6,161,780    6,154,078 
LD Intermediate Holdings, Inc., First Lien Initial Term Loan, 3M US L + 5.875%, 12/09/2022   5,890,213    5,860,792 
LegalZoom.com, Inc., First Lien 2018 Term Loan, 1M US L + 4.50%, 11/21/2024   5,117,143    5,152,349 
Minotaur Acquisition, Inc., First Lien B Term Loan, 1M US L + 5.00%, 02/27/2026   4,603,846    4,538,610 
Mitchell International, Inc., First Lien Initial Term Loan:          
1M US L + 3.25%, 11/29/2024   6,096,335    5,833,979 
1M US L + 7.25%, 12/01/2025   2,303,030    2,236,818 
National Intergovernmental Purchasing Alliance Co., First Lien Initial Term Loan:          
3M US L + 3.75%, 05/19/2025   5,557,290    5,487,851 
3M US L + 7.50%, 05/22/2026(b)   4,200,000    4,116,000 
PricewaterhouseCoopers Public Sector LLP, Second Lien Initial Term Loan, 1M US L + 7.50%, 05/01/2026(b)   1,200,000    1,194,000 
Project Boost Purchaser LLC, First Lien B Term Loan, 3M US L + 3.50%, 06/01/2026   1,735,537    1,730,469 
PT Intermediate Holdings III LLC, First Lien B Term Loan:          
3M US L + 4.00%, 12/04/2024   4,761,121    4,614,336 
3M US L + 8.00%, 12/08/2025(b)   4,200,000    4,074,000 
RevSpring, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 10/11/2025   3,582,000    3,578,651 
Sedgwick Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 12/31/2025   3,961,659    3,913,188 
SurveyMonkey, Inc., First Lien Term Loan, 1W US L + 3.75%, 10/10/2025(b)   6,771,788    6,775,851 
ThoughtWorks, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 10/11/2024   4,186,694    4,191,948 
TRC Cos., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 06/21/2024   1,292,202    1,289,779 
Trugreen LP, First Lien Initial Refinancing Term Loan, 1M US L + 3.75%, 03/19/2026   597,872    600,117 
Weld North Education LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 02/07/2025(b)   7,998,469    7,998,468 
         160,417,525 

 

 

36 www.blackstone-gso.com

 

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

  

Principal 

Amount 

   Value 
Cable & Satellite Television - 0.30%          
Radiate Holdco LLC, First Lien Amendment No. 2 Incremental Term Loan, 3M US L + 3.50%, 02/01/2024  $2,135,000   $2,115,988 
           
Chemical & Plastics - 2.71%          
Composite Resins Holding B.V., First Lien Initial Term Loan, 3M US L + 4.25%, 06/27/2025   7,128,000    7,074,540 
Spectrum Holdings III Corp., First Lien Closing Date Term Loan:          
1M US L + 3.25%, 01/31/2025   888,528    841,880 
1M US L + 7.00%, 01/31/2026(b)   1,833,333    1,686,667 
Starfruit Finco B.V., First Lien Initial Dollar Term Loan, 1M US L + 3.25%, 10/01/2025   5,037,313    4,971,199 
Vantage Specialty Chemicals, Inc., First Lien Closing Date Term Loan:          
1M US L + 3.50%, 10/20/2024   2,390,640    2,363,745 
3M US L + 8.25%, 10/27/2025(b)   1,995,334    1,905,544 
         18,843,575 
           
Conglomerates - 1.12%          
American Residential Services LLC, First Lien Term Loan, 1M US L + 4.00%, 06/30/2021   1,259,875    1,246,224 
Genuine Financial Holdings LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 07/11/2025   3,123,934    3,088,790 
Output Services Group, Inc., First Lien B Term Loan, 1M US L + 4.25%, 03/26/2024(b)   1,526,920    1,381,863 
Spring Education Group, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 07/30/2025   2,127,167    2,117,425 
         7,834,302 
           
Containers & Glass Products - 3.46%          
Charter NEX US, Inc., First Lien Third Amendment Incremental Term Loan, 1M US L + 3.50%, 05/16/2024   647,727    646,837 
Flex Acquisition Co., Inc., First Lien Incremental B-2018 Term Loan, 3M US L + 3.25%, 06/29/2025   3,513,841    3,343,788 
Goodpack, Ltd., Second Lien Tranche B-1 Term Loan, 3M US L + 7.00%, 09/11/2024(b)   1,691,209    1,665,841 
IBC Capital I, Ltd., First Lien Tranche B-1 Term Loan, 3M US L + 3.75%, 09/11/2023   2,962,500    2,960,041 
Loparex International BV, First Lien B Term Loan, 1M US L + 4.25%, 04/11/2025(b)   5,246,250    5,246,250 
Pregis Holding I Corp., First Lien Term Loan, 3M US L + 3.50%, 05/20/2021   2,428,990    2,431,516 
ProAmpac PG Borrower LLC, First Lien Initial Term Loan:          
3M US L + 3.50%, 11/20/2023   1,717,784    1,649,614 
3M US L + 8.50%, 11/18/2024   1,464,115    1,400,060 
Strategic Materials Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.75%, 10/27/2025(b)   4,666,667    3,406,667 
Trident TPI Holdings, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.25%, 10/04/2024   1,411,041    1,339,614 
         24,090,228 
           
Diversified Insurance - 0.81%          
Acrisure LLC, First Lien 2018-1 Additional Term Loan, 3M US L + 3.75%, 11/22/2023   1,672,753    1,662,992 
BroadStreet Partners, Inc., First Lien Tranche B-2 Term Loan, 1M US L + 3.25%, 11/08/2023   75,510    75,427 
CP VI Bella Midco LLC, First Lien Initial Term Loan:          
1M US L + 2.75%, 01/24/2025   1,269,727    1,236,396 
1M US L + 6.75%, 12/28/2025   1,178,571    1,157,947 
Genworth Holdings, Inc., First Lien Initial Term Loan, 2M US L + 4.50%, 03/07/2023   1,033,043    1,044,025 
York Risk Services Holding Corp., First Lien Term Loan, 1M US L + 3.75%, 10/01/2021   482,488    457,459 
         5,634,246 
           
Drugs - 1.66%          
Albany Molecular Research, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 08/28/2025   1,473,214    1,475,977 
Arbor Pharmaceuticals LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 07/05/2023   4,666,043    4,366,646 
Avantor Funding, Inc., First Lien Initial B-2 Dollar Term Loan, 1M US L + 3.75%, 11/21/2024   69,220    69,588 

 

 

Semi-Annual Report | June 30, 2019 37

 

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

  

Principal 

Amount 

   Value 
Drugs (continued)          
Packaging Coordinators Midco, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 06/30/2023  $5,616,415   $5,635,736 
         11,547,947 
           
Ecological Services & Equipment - 0.92%          
Emerald 3 Limited, 3M US L + 7.00%, 05/31/2022(b)   1,847,745    1,847,745 
EnergySolutions LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 05/09/2025   2,527,676    2,426,569 
ERM Emerald US, Inc., First Lien Term Loan, 3M US L + 3.75%, 06/26/2026(b)   1,006,186    1,008,701 
Tunnel Hill Partners LP, First Lien Initial Term Loan, 1M US L + 3.50%, 02/06/2026   1,112,257    1,111,562 
         6,394,577 
           
Electronics/Electrical - 28.48%          
AppLovin Corp., First Lien Initial Term Loan, 1M US L + 3.50%, 08/15/2025   1,104,916    1,104,922 
Boxer Parent Co., Inc., First Lien Initial Dollar Term Loan, 3M US L + 4.25%, 10/02/2025   8,955,000    8,496,056 
Brave Parent Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 04/18/2025   2,381,955    2,365,591 
CommerceHub, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 05/21/2025(b)   3,712,500    3,675,375 
Compuware Corp., First Lien Term Loan, 1M US L + 3.50%, 08/23/2025   1,030,986    1,030,986 
ConvergeOne Holdings, Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 01/04/2026   5,985,000    5,708,194 
CPI International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 07/25/2025(b)   1,045,752    1,003,922 
Curvature, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 10/30/2023   11,570,036    8,065,935 
DigiCert, Inc., Second Lien Initial Term Loan, 1M US L + 8.00%, 09/19/2025   4,000,000    3,980,000 
DiscoverOrg LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 02/02/2026   4,987,500    4,975,031 
Dynatrace LLC, Second Lien Term Loan, 1M US L + 7.00%, 08/24/2026   1,522,251    1,535,570 
ECi Macola/MAX Holding LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 09/27/2024   2,096,812    2,096,812 
Ellie Mae, Inc., First Lien Term Loan, 3M US L + 4.00%, 04/17/2026   9,600,000    9,583,968 
Flexera Software LLC, Second Lien Initial Term Loan, 1M US L + 7.25%, 02/26/2026   2,299,194    2,297,044 
Gigamon, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 12/27/2024(b)   10,152,502    9,898,689 
Help/Systems Holdings, Inc., First Lien Term Loan:          
3M US L + 3.75%, 03/28/2025   2,143,701    2,130,302 
3M US L + 7.75%, 03/23/2026(b)   2,068,966    2,058,621 
Hyland Software, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 05/31/2025   1,675,906    1,687,779 
Idera, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2024   2,830,564    2,831,738 
Imperva, Inc., First Lien Term Loan:          
1M US L + 4.00%, 01/12/2026   3,272,727    3,261,486 
1M US L + 7.75%, 01/11/2027   2,823,529    2,788,235 
Ivanti Software, Inc., First Lien Term Loan:          
1M US L + 4.25%, 01/19/2024   5,927,213    5,921,049 
1M US L + 9.00%, 01/20/2025   6,000,000    5,943,000 
MACOM Technology Solutions Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.25%, 05/17/2024   4,488,550    4,031,279 
McAfee LLC, First Lien B USD Term Loan, 1M US L + 3.75%, 09/30/2024   7,651,223    7,652,409 
MH Sub I LLC, First Lien Amendment No. 2 Initial Term Loan, 1M US L + 3.75%, 08/16/2024   2,818,616    2,773,870 
MLN US HoldCo LLC, First Lien B Term Loan, 1M US L + 4.50%, 11/30/2025   4,099,120    3,928,330 
MYOB US Borrower LLC, First Lien Initial U.S. Term Loan, 1M US L + 4.00%, 04/17/2026   2,666,667    2,673,347 
Navex Topco, Inc., First Lien Initial Term Loan:          
1M US L + 3.25%, 09/05/2025   670,787    658,880 
1M US L + 7.00%, 09/04/2026   3,000,000    2,977,500 
P2 Upstream Acquisition Co., First Lien Term Loan, 3M US L + 4.00%, 10/30/2020   4,030,964    4,001,578 
Park Place Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 03/29/2025   3,967,402    3,947,565 
Perforce Software, Inc., First Lien B Term Loan, 3M US L + 4.50%, 06/12/2026   1,229,839    1,229,839 
Ping Identity Corp., First Lien Term Loan, 1M US L + 3.75%, 01/24/2025   1,848,000    1,845,690 
Project Alpha Intermediate Holding, Inc., First Lien Term Loan:          
3M US L + 3.50%, 04/26/2024   2,085,997    2,028,632 
3M US L + 4.25%, 04/26/2024   3,636,364    3,627,273 
Project Angel Parent LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b)   3,555,224    3,519,672 

 

 

38 www.blackstone-gso.com

 

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

  

Principal 

Amount 

   Value 
Electronics/Electrical (continued)          
Project Leopard Holdings, Inc., First Lien 2018 Repricing Term Loan:          
6M US L + 4.50%, 07/07/2023  $2,729,271   $2,728,711 
6M US L + 4.25%, 07/07/2023   1,034,800    1,035,447 
Project Silverback Holdings Corp., First Lien New Term Loan, 1M US L + 3.50%, 08/21/2024   1,992,676    1,783,445 
Quest Software US Holdings, Inc., First Lien Initial Term Loan:          
3M US L + 4.25%, 05/16/2025   9,403,373    9,276,428 
3M US L + 8.25%, 05/17/2026   8,885,470    8,768,893 
Rocket Software, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 11/28/2025   5,154,808    5,051,712 
SciQuest, Inc., First Lien Term Loan, 1M US L + 4.00%, 12/28/2024(b)   6,836,538    6,785,264 
SCS Holdings I, Inc., First Lien New Tranche B Term Loan, 1M US L + 4.25%, 10/30/2022   3,901,630    3,928,453 
SonicWall US Holdings, Inc., First Lien Initial Term Loan:          
3M US L + 3.50%, 05/16/2025   3,608,863    3,374,287 
3M US L + 7.50%, 05/17/2026   4,800,000    4,434,000 
Triton Solar US Acquisition Co., First Lien Initial Term Loan, 3M US L + 6.00%, 10/29/2024   691,295    650,681 
Veritas US, Inc., First Lien New Dollar B Term Loan, 1M US L + 4.50%, 01/27/2023   4,312,500    3,937,873 
Vero Parent, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.50%, 08/16/2024   1,677,465    1,674,319 
Web.com Group, Inc., First Lien B Term Loan:          
1M US L + 3.75%, 10/10/2025   5,452,055    5,385,049 
1M US L + 7.75%, 10/09/2026   2,195,428    2,162,496 
         198,313,227 
           
Financial Intermediaries - 2.75%          
ASP MCS Acquisition Corp., First Lien Initial Term Loan, 1M US L + 4.75%, 05/20/2024   6,757,170    4,257,017 
ION Trading Technologies S.A.R.L., First Lien 2018 Initial Dollar Term Loan, 3M US L + 4.00%, 11/21/2024   5,468,947    5,317,566 
NorthStar Financial Services Group LLC, First Lien Initial Term Loan:          
2M US L + 3.25%, 05/25/2025   4,590,387    4,555,959 
2M US L + 7.50%, 05/25/2026(b)   1,182,937    1,171,107 
Victory Capital Holdings, Inc., First Lien B Term Loan, 3M US L + 3.25%, 06/07/2026   3,812,500    3,819,649 
         19,121,298 
           
Food Products - 1.96%          
Alphabet Holding Co., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/26/2024   5,422,218    5,130,774 
TKC Holdings, Inc., First Lien Initial Term Loan:          
1M US L + 3.75%, 01/31/2023   4,631,309    4,543,013 
1M US L + 8.00%, 01/31/2024   4,051,201    3,997,664 
         13,671,451 
           
Food Service - 3.72%          
CEC Entertainment, Inc., First Lien B Term Loan, 1M US L + 3.25%, 02/15/2021   3,771,327    3,750,113 
Flynn Restaurant Group LP, First Lien Initial Term Loan, 1M US L + 3.50%, 06/27/2025   7,615,517    7,398,970 
Fogo de Chao, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.25%, 04/07/2025   2,307,748    2,310,633 
K-Mac Holdings Corp., Second Lien Initial Term Loan, 1M US L + 6.75%, 03/16/2026   1,744,186    1,738,954 
NPC International, Inc., Second Lien Initial Term Loan, 1M US L + 7.50%, 04/18/2025   3,424,278    2,110,211 
Quidditch Acquisition, Inc., First Lien B Term Loan, 1M US L + 7.00%, 03/21/2025(b)   2,965,243    2,994,896 
Red Lobster Management LLC, First Lien Initial Term Loan, 1M US L + 5.25%, 07/28/2021   2,597,444    2,573,106 
Tacala Investment Corp., Second Lien Initial Term Loan, 1M US L + 7.00%, 01/30/2026   3,034,483    3,061,034 
         25,937,917 
           
Food/Drug Retailers - 0.89%          
EG Group, Ltd., First Lien Facility B Term Loan:          
3M US L + 4.00%, 01/31/2025   685,764    675,333 
3M US L + 4.00%, 02/07/2025   5,594,918    5,509,819 
         6,185,152 

 

 

Semi-Annual Report | June 30, 2019 39

 

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

  

Principal

Amount

   Value 
Health Insurance - 1.46%          
Achilles Acquisition LLC, First Lien Closing Date Term Loan, 1M US L + 4.00%, 10/13/2025  $2,298,240   $2,301,113 
FHC Health Systems, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 12/23/2021   7,381,849    7,388,012 
MPH Acquisition Holdings LLC, First Lien Initial Term Loan, 3M US L + 2.75%, 06/07/2023   482,206    462,316 
         10,151,441 
           
Healthcare - 21.75%          
Alvogen Pharma US, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.75%, 04/01/2022   6,326,766    5,836,441 
Auris Luxembourg III S.a r.l., First Lien Facility B2 Term Loan, 1M US L + 3.75%, 02/27/2026   2,071,731    2,078,464 
BioClinica Holding I LP, First Lien Initial Term Loan:          
3M US L + 4.25%, 10/20/2023   2,445,497    2,323,223 
3M US L + 8.25%, 10/04/2024   3,157,898    2,800,013 
Carestream Health, Inc., First Lien Extended Term Loan:          
1M US L + 5.75%, 02/28/2021   495,690    480,819 
1M US L + 9.50%, 06/07/2021   10,447,039    10,055,275 
Certara Holdco, Inc., First Lien Replacement Term Loan, 3M US L + 3.50%, 08/15/2024(b)   929,697    925,048 
Covenant Surgical Partners, Inc., First Lien Term Loan:          
3M US L + 4.00%, 06/19/2026   762,500    758,211 
3M US L + 4.00%, 06/19/2026   3,812,500    3,791,055 
CT Technologies Intermediate Holdings, Inc., First Lien New Facility Term Loan, 1M US L + 4.25%, 12/01/2021   2,910,421    2,488,410 
Dentalcorp Health Services ULC, First Lien Initial Term Loan, 1M US L + 3.75%, 06/06/2025   3,139,614    3,107,244 
Envision Healthcare Corp., First Lien Initial Term Loan, 1M US L + 3.75%, 10/10/2025   6,239,613    5,529,857 
Equian Buyer Corp., First Lien 2018 Incremental Term Loan, 1M US L + 3.25%, 05/20/2024   1,341,582    1,342,085 
Femur Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 03/05/2026   1,824,000    1,831,980 
Greenway Health LLC, First Lien Term Loan, 3M US L + 3.75%, 02/16/2024   3,041,379    2,699,224 
Heartland Dental LLC, First Lien Initial Term Loan:          
3M US L + 4.50%, 04/30/2025(b)   1,429,688    1,404,668 
1M US L + 3.75%, 04/30/2025   4,997,277    4,747,438 
Immucor, Inc., First Lien B-3 Term Loan, 3M US L + 5.00%, 06/15/2021   339,231    338,807 
Lanai Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 4.75%, 08/29/2022   6,286,171    6,034,725 
LifeScan Global Corp., First Lien Initial Term Loan, 3M US L + 6.00%, 10/01/2024   8,685,000    8,315,887 
Maravai Intermediate Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 08/02/2025(b)   2,737,379    2,737,379 
Midwest Physician Administrative Services LLC, Second Lien Initial Term Loan, 1M US L + 7.00%, 08/15/2025   2,560,000    2,508,800 
Navicure, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 11/01/2024   6,622,952    6,585,698 
Netsmart Technologies, Inc., First Lien D-1 Term Loan, 1M US L + 3.75%, 04/19/2023   9,918,929    9,838,338 
NMSC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/19/2023(b)   689,480    691,203 
nThrive, Inc., First Lien Additional B-2 Term Loan, 1M US L + 4.50%, 10/20/2022   6,362,004    6,035,951 
NVA Holdings, Inc., First Lien B-3 Term Loan:          
1M US L + 2.75%, 02/02/2025   596,992    596,742 
1M US L + 3.50%, 02/02/2025   800,000    800,940 
Onex TSG Holdings II Corp., First Lien Initial Term Loan, 1M US L + 4.00%, 07/29/2022   4,966,836    4,960,627 
PAREXEL International Corp., First Lien Initial Term Loan, 1M US L + 2.75%, 09/27/2024   2,837,693    2,725,206 
Pearl Intermediate Parent LLC, First Lien Initial Term Loan:          
1M US L + 2.75%, 01/31/2025(c)   355,748    344,409 
1M US L + 2.75%, 01/31/2025   1,579,230    1,528,892 
PetVet Care Centers LLC, First Lien 2018 Term Loan, 1M US L + 3.25%, 02/14/2025   1,790,977    1,758,516 
Phoenix Guarantor, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/05/2026   8,598,726    8,574,005 
Press Ganey Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 6.50%, 10/21/2024   1,123,601    1,128,747 
Project Ruby Ultimate Parent Corp., First Lien New Term Loan, 1M US L + 3.50%, 02/09/2024   2,594,568    2,582,672 
Prospect Medical Holdings, Inc., First Lien B-1 Term Loan, 1M US L + 5.50%, 02/16/2024   4,649,994    4,401,987 
Regionalcare Hospital Partners Holdings, Inc., First Lien B Term Loan, 1M US L + 4.50%, 11/16/2025   4,881,067    4,860,567 
Surgery Center Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 09/02/2024   380,916    368,852 

 

 

40 www.blackstone-gso.com

 

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
         
Healthcare (continued)          
Team Health Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.75%, 02/06/2024  $992,386   $881,363 
U.S. Anesthesia Partners, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 06/23/2024   798,545    783,904 
Verscend Holding Corp., First Lien B Term Loan, 1M US L + 4.50%, 08/27/2025   3,721,875    3,731,775 
Vyaire Medical, Inc., First Lien Term Loan, 3M US L + 4.75%, 04/16/2025(b)   8,910,000    8,063,550 
YI LLC, First Lien Initial Term Loan, 3M US L + 4.00%, 11/06/2024(b)   4,005,983    4,000,976 
Zest Acquisition Corp., Second Lien Initial Term Loan, 1M US L + 7.50%, 03/06/2026(b)   4,357,143    4,106,607 
         151,486,580 
           
Home Furnishings - 0.48%          
AI Aqua Merger Sub, Inc., First Lien Tranche B-1 Term Loan:          
1M US L + 3.25%, 12/13/2023   182,151    176,231 
1M US L + 3.25%, 12/13/2023   674,587    654,350 
Hayward Industries, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/05/2024   358,813    352,085 
Serta Simmons Bedding LLC, Second Lien Initial Term Loan, 1M US L + 8.00%, 11/08/2024   4,786,804    2,173,209 
         3,355,875 
           
Industrial Equipment - 4.98%          
AI Alpine AT BidCo GmbH, First Lien Facility B Term Loan, 1M US L + 3.25%, 10/31/2025(b)   808,193    797,081 
Apex Tool Group LLC, First Lien Second Amendment Term Loan, 1M US L + 3.75%, 02/01/2022   5,183,511    4,997,786 
Engineered Machinery Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.25%, 07/19/2024(b)   4,393,100    4,283,272 
Helix Acquisition Holdings, Inc., First Lien 2018 New Term Loan, 3M US L + 3.75%, 09/30/2024   3,789,626    3,718,571 
Justrite Safety Group:          
3M US L + 4.50%, 06/26/2026(b)   335,942    335,522 
3M US L + 4.50%, 06/26/2026(b)   2,754,725    2,751,281 
LTI Holdings, Inc., First Lien Initial Term Loan:          
1M US L + 3.50%, 09/06/2025   1,968,595    1,865,864 
1M US L + 6.75%, 09/07/2026   1,276,596    1,189,149 
Robertshaw US Holding Corp., First Lien Initial Term Loan, 1M US L + 3.50%, 02/28/2025(b)   3,783,811    3,500,025 
Tailwind Smith Cooper Intermediate Corp., First Lien Initial Term Loan, 3M US L + 5.00%, 05/28/2026   4,200,000    4,123,875 
Titan Acquisition, Ltd., First Lien Initial Term Loan, 1M US L + 3.00%, 03/28/2025   7,437,033    7,119,918 
         34,682,344 
           
Insurance - 1.48%          
APCO Holdings LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 06/06/2025   4,379,598    4,390,547 
Cypress Intermediate Holdings III, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 03/31/2025   2,790,698    2,818,605 
HIG Finance 2, Ltd., First Lien Initial Dollar Term Loan, 1M US L + 3.50%, 12/13/2024   644,518    644,337 
Outcomes Group Holdings, Inc., Second Lien Term Loan:          
3M US L + 3.50%, 10/24/2025   1,302,545    1,287,892 
3M US L + 7.50%, 10/26/2026   1,153,846    1,148,077 
         10,289,458 
           
Leisure Goods/Activities/Movies - 1.73%          
Travel Leaders Group LLC, First Lien 2018 Refinancing Term Loan, 1M US L + 4.00%, 01/25/2024   1,578,030    1,583,285 
Travelport Finance S.à r.l., First Lien Initial Term Loan, 3M US L + 5.00%, 05/29/2026   7,200,000    6,792,732 
United PF Holdings LLC, First Lien Term Loan:          
1M US L + 4.50%, 06/10/2026   3,103,079    3,110,837 
1M US L + 8.50%, 06/10/2027(b)   577,027    572,699 
         12,059,553 

 

 

Semi-Annual Report | June 30, 2019 41

 

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
         
Lodging & Casinos - 0.66%          
Casablanca US Holdings, Inc., First Lien Amendment No. 2 Initial Term Loan, 3M US L + 4.00%, 03/29/2024(b)  $4,740,000   $4,621,500 
           
Nonferrous Metals/Minerals - 1.39%          
Aleris International, Inc., First Lien Initial Term Loan, 1M US L + 4.75%, 02/27/2023   4,779,310    4,791,259 
American Rock Salt Co. LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 03/21/2025   2,892,065    2,892,065 
Murray Energy Corp., First Lien Superpriority B-2 Term Loan, 3M US L + 7.25%, 10/17/2022   2,903,567    1,962,332 
         9,645,656 
           
Oil & Gas - 3.66%          
Ascent Resources - Marcellus LLC, First Lien Initial Term Loan, 1M US L + 6.50%, 03/30/2023(b)   1,234,568    1,222,222 
Equitrans Midstream Corp., First Lien Holdco B Facility Term Loan, 1M US L + 4.50%, 01/31/2024   2,016,892    2,033,703 
Keane Group Holdings LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 05/26/2025   3,564,000    3,525,384 
Lower Cadence Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/22/2026   3,673,469    3,660,465 
Lucid Energy Group II Borrower LLC, First Lien Initial Term Loan, 1M US L + 3.00%, 01/31/2025   1,335,314    1,278,570 
Petroleum GEO-Services ASA, First Lien Extended Term Loan, 3M US L + 2.50%, 03/19/2021   3,382,368    3,261,567 
Sheridan Investment Partners I LLC, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   3,043,366    2,176,006 
Sheridan Production Partners I LLC, First Lien Deferred Principal Term Loan:          
3M US L + 0.00%, 10/01/2019(b)   15,933    11,286 
3M US L + 0.00%, 10/01/2019(b)   120,242    85,167 
3M US L + 0.00%, 10/01/2019(b)   9,732    6,893 
Sheridan Production Partners I-A LP, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   403,271    288,339 
Sheridan Production Partners I-M LP, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   246,320    176,119 
Traverse Midstream Partners LLC, First Lien Advance Term Loan, 3M US L + 4.00%, 09/27/2024   4,868,320    4,826,574 
UTEX Industries, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 05/20/2022   3,181,818    2,908,707 
         25,461,002 
           
Property & Casualty Insurance - 1.61%          
Applied Systems, Inc., Second Lien Initial Term Loan, 3M US L + 7.00%, 09/19/2025   303,030    307,121 
Asurion LLC, Second Lien Replacement B-2 Term Loan, 1M US L + 6.50%, 08/04/2025   9,089,314    9,236,107 
Confie Seguros Holding II Co., First Lien B Term Loan, 3M US L + 4.75%, 04/19/2022   1,687,293    1,664,793 
         11,208,021 
           
Publishing - 1.63%          
Champ Acquisition Corp., First Lien Initial Term Loan, 3M US L + 5.50%, 12/19/2025   4,455,224    4,410,672 
Recorded Books, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 08/29/2025   2,611,842    2,620,017 
Southern Graphics, Inc., Second Lien Initial Term Loan:          
2M US L + 3.25%, 12/31/2022   1,219,527    1,023,647 
2M US L + 7.50%, 12/31/2023(b)   4,500,000    3,285,000 
         11,339,336 
           
Radio & Television - 0.21%          
Gray Television, Inc., First Lien B-2 Term Loan, 1M US L + 2.25%, 02/07/2024   500,000    498,625 
iHeartCommunications, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 05/01/2026   500,000    501,213 
William Morris Endeavor Entertainment LLC, First Lien B-1 Term Loan, 1M US L + 2.75%, 05/18/2025   497,381    482,044 
         1,481,882 

 

 

42 www.blackstone-gso.com

 

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
         
Retailers (except food & drug) - 1.97%          
Academy, Ltd., First Lien Initial Term Loan, 1M US L + 4.00%, 07/01/2022  $1,973,114   $1,416,696 
Apro LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 08/08/2024   2,359,322    2,369,644 
Ascena Retail Group, Inc., First Lien Tranche B Term Loan, 1M US L + 4.50%, 08/19/2022   2,746,719    1,807,108 
FBB Holdings III, Inc., First Lien Initial Term Loan:          
3M US L + 9.00%, 02/07/2024(b)   556,946    529,098 
3M US L + 7.00%, 01/31/2025(b)   189,025    130,428 
Neiman Marcus Group, Ltd. LLC, First Lien Cash Pay/PIK Extended Term Loan, 1M US L + 6.50%, 10/25/2023   1,822,881    1,599,578 
Petco Animal Supplies, Inc., First Lien Term Loan, 3M US L + 3.25%, 01/26/2023   1,557,318    1,212,761 
Pier 1 Imports US, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 04/30/2021(b)   1,979,167    494,792 
Spencer Spirit Holding/Gift, First Lien Initial Term Loan, 3M US L + 6.00%, 06/19/2026   4,270,000    4,186,393 
Sports Authority, Inc., First Lien B Term Loan, 3M US L + 6.00%, 11/16/2017(b)(d)   2,169,639    4,339 
         13,750,837 
           
Steel - 1.03%          
Can Am Construction, Inc., First Lien Closing Date Term Loan, 1M US L + 5.00%, 07/01/2024(b)   6,193,794    6,007,979 
Phoenix Services International LLC, First Lien B Term Loan, 1M US L + 3.75%, 03/01/2025   1,197,899    1,187,418 
         7,195,397 
           
Surface Transport - 1.20%          
Drive Chassis Holdco LLC, Second Lien B Term Loan, 3M US L + 8.25%, 04/10/2026   6,000,000    5,782,500 
SMB Shipping Logistics LLC, First Lien Term Loan, 3M US L + 4.00%, 02/05/2024   2,565,877    2,553,048 
         8,335,548 
           
Telecommunications - 4.07%          
Alorica, Inc., First Lien New B Term Loan, 1M US L + 3.75%, 06/30/2022   2,697,303    2,609,640 
Avaya, Inc., First Lien Tranche B Term Loan, 1M US L + 4.25%, 12/15/2024   7,351,014    7,047,785 
Cyxtera DC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 05/01/2025   902,256    790,444 
Ensono LP, First Lien Term Loan, 1M US L + 5.25%, 06/27/2025   3,377,574    3,374,416 
Masergy Holdings, Inc., Second Lien Initial Term Loan:          
3M US L + 3.25%, 12/15/2023   1,819,928    1,794,904 
3M US L + 7.50%, 12/16/2024   1,766,917    1,740,414 
Peak 10 Holding Corp., First Lien Initial Term Loan:          
3M US L + 3.50%, 08/01/2024   3,572,727    3,291,393 
3M US L + 7.25%, 08/01/2025   3,857,143    3,252,053 
Securus Technologies Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 11/01/2024   457,826    427,305 
Vertiv Group Corp., First Lien B Term Loan, 3M US L + 4.00%, 11/30/2023   4,201,217    4,001,660 
         28,330,014 
           
Utilities - 2.88%          
Brookfield WEC Holdings, Inc., First Lien Initial Term Loan:          
1M US L + 3.50%, 07/31/2025   5,492,138    5,491,753 
1M US L + 6.75%, 08/03/2026   747,664    758,531 
Granite Acquisition, Inc., Second Lien B Term Loan, 3M US L + 7.25%, 12/19/2022   5,742,624    5,757,900 
Green Energy Partners/Stonewall LLC, First Lien B-1 Conversion Advances Term Loan, 3M US L + 5.50%, 11/13/2021   1,572,983    1,541,523 
Moxie Liberty LLC, First Lien Construction B-1 Advance Term Loan, 3M US L + 6.50%, 08/21/2020   6,708,966    6,066,046 

 

 

Semi-Annual Report | June 30, 2019 43

 

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
         
Utilities (continued)          
Moxie Patriot LLC, First Lien Construction B-1 Advances Term Loan, 3M US L + 5.75%, 12/19/2020  $427,994   $411,409 
         20,027,162 
           
TOTAL FLOATING RATE LOAN INTERESTS          
(Cost $990,310,566)        957,546,880 
           
CORPORATE BONDS - 20.78%          
Automotive - 0.28%          
IAA, Inc. 5.500%, 06/15/2027(e)   494,000    514,995 
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. 7.875%, 10/01/2022(e)   1,500,000    1,432,500 
         1,947,495 
           
Building & Development - 3.45%          
Builders FirstSource, Inc. 6.750%, 06/01/2027(e)   429,000    454,740 
Great Lakes Dredge & Dock Corp. 8.000%, 05/15/2022   4,874,000    5,172,533 
Hillman Group, Inc. 6.375%, 07/15/2022(e)   1,300,000    1,157,000 
Northwest Hardwoods, Inc. 7.500%, 08/01/2021(e)   3,211,000    1,974,765 
NWH Escrow Corp. 7.500%, 08/01/2021(e)   4,918,000    2,999,980 
PriSo Acquisition Corp. 9.000%, 05/15/2023(e)   13,060,000    12,260,075 
         24,019,093 
           
Business Equipment & Services - 0.82%          
Allied Universal Holdco LLC 6.625%, 07/15/2026(e)   3,978,000    4,052,587 
Clean Harbors, Inc.:          
4.875%, 07/15/2027(e)   1,100,000    1,120,735 
5.125%, 07/15/2029(e)   544,000    556,240 
         5,729,562 
           
Chemical & Plastics - 0.49%          
Pinnacle Operating Corp. 9.000%, 11/15/2020(e)   2,000,000    1,720,000 
Starfruit Finco BV / Starfruit US Holdco LLC 8.000%, 10/01/2026(e)   1,621,000    1,673,683 
         3,393,683 
           
Containers & Glass Products - 1.01%          
ARD Securities Finance SARL 8.750%, 01/31/2023(e)(f)   1,418,875    1,436,611 
Flex Acquisition Co., Inc. 6.875%, 01/15/2025(e)   1,192,000    1,084,720 
Trident Merger Sub, Inc. 6.625%, 11/01/2025(e)   4,800,000    4,500,000 
         7,021,331 
           
Diversified Insurance - 2.36%          
HUB International, Ltd. 7.000%, 05/01/2026(e)   1,281,000    1,301,816 
NFP Corp. 6.875%, 07/15/2025(e)   5,084,000    5,050,700 
York Risk Services Holding Corp. 8.500%, 10/01/2022(e)   12,200,000    10,095,500 
         16,448,016 
           
Drugs - 0.91%          
Avantor, Inc. 9.000%, 10/01/2025(e)   5,667,000    6,332,872 

 

 

44 www.blackstone-gso.com

 

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
         
Ecological Services & Equipment - 0.80%          
GFL Environmental, Inc.:          
5.375%, 03/01/2023(e)  $2,884,000   $2,869,580 
7.000%, 06/01/2026(e)   186,000    190,883 
8.500%, 05/01/2027(e)   2,298,000    2,478,967 
         5,539,430 
           
Electronics/Electrical - 1.83%          
Banff Merger Sub, Inc. 9.750%, 09/01/2026(e)   2,816,000    2,456,960 
Global A&T Electronics, Ltd. 8.500%, 01/12/2023   5,455,007    5,120,526 
Riverbed Technology, Inc. 8.875%, 03/01/2023(e)   7,723,000    5,193,718 
         12,771,204 
           
Equipment Leasing - 0.16%          
Fly Leasing, Ltd. 6.375%, 10/15/2021   1,100,000    1,128,875 
           
Food Service - 0.20%          
CEC Entertainment, Inc. 8.000%, 02/15/2022   1,369,000    1,384,401 
           
Food/Drug Retailers - 0.30%          
eG Global Finance PLC 6.750%, 02/07/2025(e)   2,113,000    2,101,801 
           
Healthcare - 1.83%          
Envision Healthcare Corp. 8.750%, 10/15/2026(e)   6,250,000    4,359,375 
Team Health Holdings, Inc. 6.375%, 02/01/2025(e)   3,500,000    2,695,000 
Tenet Healthcare Corp. 7.000%, 08/01/2025   5,714,000    5,714,000 
         12,768,375 
           
Industrial Equipment - 0.16%          
Titan Acquisition, Ltd. / Titan Co.-Borrower LLC 7.750%, 04/15/2026(e)   1,250,000    1,128,125 
           
Leisure Goods/Activities/Movies - 0.97%          
Cedar Fair LP 5.250%, 07/15/2029(e)   929,000    949,902 
Mood Media Borrower LLC / Mood Media Co.-Issuer, Inc. 6M US L + 6.00%, 8.00% PIK, 07/01/2024(a)   6,573,214    5,767,996 
         6,717,898 
           
Oil & Gas - 1.32%          
Calumet Specialty Products Partners LP / Calumet Finance Corp. 7.750%, 04/15/2023   6,600,000    6,352,500 
CSI Compressco LP / CSI Compressco Finance, Inc. 7.250%, 08/15/2022   800,000    722,000 
Talos Production LLC / Talos Production Finance, Inc. 11.000%, 04/03/2022   2,000,000    2,117,500 
         9,192,000 
           
Property & Casualty Insurance - 1.64%          
AssuredPartners, Inc. 7.000%, 08/15/2025(e)   4,545,000    4,539,319 
GTCR AP Finance, Inc. 8.000%, 05/15/2027(e)   955,000    962,162 
Solera LLC / Solera Finance, Inc. 10.500%, 03/01/2024(e)   5,450,000    5,920,063 
         11,421,544 
           
Publishing - 0.58%          
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance 7.875%, 05/15/2024(e)   4,320,000    4,017,600 
           
Radio & Television - 0.34%          
Entercom Media Corp. 6.500%, 05/01/2027(e)   336,000    350,280 

 

 

Semi-Annual Report | June 30, 2019 45

 

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Principal
Amount		   Value 
         
Radio & Television (continued)          
Univision Communications, Inc. 5.125%, 05/15/2023(e)  $2,070,000   $2,033,775 
         2,384,055 
           
Telecommunications - 1.33%          
Digicel, Ltd. 6.000%, 04/15/2021(e)   2,250,000    1,721,250 
Frontier Communications Corp.:          
10.500%, 09/15/2022   750,000    511,875 
7.125%, 01/15/2023   4,000,000    2,410,000 
Sprint Communications, Inc. 6.000%, 11/15/2022   3,450,000    3,605,250 
Vertiv Group Corp. 9.250%, 10/15/2024(e)   1,022,000    983,675 
         9,232,050 
           
TOTAL CORPORATE BONDS          
(Cost $156,984,608)        144,679,410 

 

   Shares     
COMMON STOCK - 2.06%          
Building & Development - 0.00%          
Baan Rock Garden PCL(b)   164,832    – 
           
Business Equipment & Services - 0.13%          
Expanse Energy(b)(g)   169,664    933,152 
           
Leisure goods/activities/movies - 0.33%          
Mood Media Corp.(b)(g)   3,709,356    2,262,707 
           
Oil & Gas - 1.60%          
Ascent Resources - Equity(b)(g)   886,921    2,328,168 
Ridgeback Resources Inc.(b)(g)   1,201,345    6,926,161 
SandRidge Energy, Inc.(g)   135,154    935,266 
Templar Energy LLC(b)(g)   197,643    – 
Titan Energy LLC(g)   29,318    819 
Total Safety Holdings, LLC(g)   2,951    973,830 
         11,164,244 
           
TOTAL COMMON STOCK          
(Cost $42,341,121)        14,360,103 
           
PREFERRED STOCK - 0.00%          
Oil & Gas - 0.00%          
Templar Energy LLC(b)(g)   131,013    – 
           
TOTAL PREFERRED STOCK          
(Cost $1,310,126)        – 
           
WARRANTS - 0.00%(h)          
Oil & Gas - 0.00%          
Ascent Resources Marcellus LLC expires 3/30/2023 at $6.15(b)(g)   229,630    6,889 
           
TOTAL WARRANTS          
(Cost $25,062)        6,889 

 

 

46 www.blackstone-gso.com

 

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

June 30, 2019 (Unaudited)

 

   Value 
Total Investments - 160.35%     
(Cost $1,190,971,483)  $1,116,593,282 
      
Liabilities in Excess of Other Assets - (1.01)%   (6,988,673)
      
Mandatory Redeemable Preferred Shares - (6.50)%     
(liquidation preference plus distributions payable on term preferred shares)   (45,267,743)
      
Leverage Facility - (52.85)%   (368,000,000)
      
Net Assets - 100.00%  $696,336,866 

 

Amounts above are shown as a percentage of net assets as of June 30, 2019.

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

PIK - Payment In Kind

 

Libor Rates:

1W US L - 1 Week LIBOR as of June 30, 2019 was 2.37%
1M US L - 1 Month LIBOR as of June 30, 2019 was 2.40%
2M US L - 2 Month LIBOR as of June 30, 2019 was 2.33%
3M US L - 3 Month LIBOR as of June 30, 2019 was 2.32%
6M US L - 6 Month LIBOR as of June 30, 2019 was 2.20%

 

(a)Floating or variable rate security. The reference rate is described above. The rate in effect as of June 30, 2019 is based on the reference rate plus the displayed spread as of the security's last reset date.

(b)Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.

(c)A portion of this position was not funded as of June 30, 2019. The Portfolio of Investments records only the funded portion of each position. As of June 30, 2019, the Fund has unfunded delayed draw loans in the amount of $872,694. Fair value of these unfunded delayed draw loans was $843,280.

(d)Security is in default as of period end and is therefore non-income producing.

(e)Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $104,671,954, which represented approximately 15.03% of net assets as of June 30, 2019. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.

(f)Option to convert to pay-in-kind security.

(g)Non-income producing security.

(h)Amount represents less than 0.005% of net assets.

 

See Notes to Financial Statements.

 

 

Semi-Annual Report | June 30, 2019 47

 

 

 

Blackstone / GSO Funds Statements of Assets and Liabilities

 

June 30, 2019 (Unaudited)

 

  

Senior Floating
Rate

Term Fund

  

Long-Short
Credit

Income Fund

  

Strategic
Credit

Fund

 
ASSETS:            
Investments, at fair value (Cost $400,934,611, $351,470,253 and $1,190,971,483, respectively)  $381,701,087   $335,158,373   $1,116,593,282 
Cash   12,071,226    7,795,889    22,457,890 
Receivable for investment securities sold   2,540,751    2,057,541    2,217,907 
Interest receivable   1,507,014    1,956,045    6,548,769 
Receivable for dividend reinvest   31,048    11,432    – 
Prepaid expenses and other assets   211,921    77,861    122,702 
Total Assets   398,063,047    347,057,141    1,147,940,550 
                
LIABILITIES:               
Payable for investment securities purchased   14,411,758    12,853,465    36,241,583 
Leverage facility   127,000,000    110,500,000    368,000,000 
Interest due on leverage facility   338,498    218,042    712,979 
Accrued investment advisory fee payable   284,160    201,832    915,419 
Accrued fund accounting and administration fees payable   89,936    69,157    210,392 
Accrued trustees' fees payable   20,608    15,198    62,484 
Other payables and accrued expenses   269,519    317,377    522,038 
Mandatory redeemable preferred shares (net of deferred financing costs of: –, $(146,202) and $(328,954), respectively)(a)   –    19,853,798    44,671,046 
Distributions payable on mandatory redeemable preferred shares   –    118,997    267,743 
Total Liabilities   142,414,479    144,147,866    451,603,684 
Net Assets Attributable to Common Shareholders  $255,648,568   $202,909,275   $696,336,866 
                
COMPOSITION OF NET ASSETS ATTRIBUTABLE TO COMMON SHARES:               
Paid-in capital  $286,764,190   $236,817,083   $839,760,850 
Total distributable earnings   (31,115,622)   (33,907,808)   (143,423,984)
Net Assets Attributable to Common Shareholders  $255,648,568   $202,909,275   $696,336,866 
                
Common shares outstanding (unlimited shares authorized, par value $0.001 per share)   15,276,446    12,702,890    44,664,382 
Net Asset Value per Common Share  $16.73   $15.97   $15.59 

 

(a)$1,000 liquidation value per share. -, 20,000, and 45,000 shares issued and outstanding, respectively.

 

See Notes to Financial Statements.

 

 

48 www.blackstone-gso.com

 

 

 

Blackstone / GSO Funds Statements of Operations

 

For the Six Months Ended June 30, 2019 (Unaudited)

 

  

Senior Floating
Rate

Term Fund

  

Long-Short
Credit

Income Fund

  

Strategic
Credit

Fund

 
INVESTMENT INCOME:               
Interest  $14,798,030   $13,195,730   $44,355,798 
Facility and other fees   174,217    134,482    368,250 
Total Investment Income   14,972,247    13,330,212    44,724,048 
                
EXPENSES:               
Investment advisory fee   1,717,093    1,218,928    5,536,073 
Fund accounting and administration fees   223,584    169,027    632,242 
Insurance expense   53,964    61,857    987 
Legal and audit fees   162,350    137,496    286,306 
Custodian fees   50,968    30,335    92,393 
Trustees' fees and expenses   46,612    35,668    127,233 
Printing expense   17,339    13,681    35,204 
Transfer agent fees   9,612    15,714    15,289 
Interest on leverage facility   2,319,589    2,001,404    6,521,650 
Amortization of deferred financing costs   –    17,796    40,041 
Other expenses   15,158    32,635    46,487 
Distributions to mandatory redeemable preferred shares   –    358,439    806,487 
Total Expenses   4,616,269    4,092,980    14,140,392 
Net Investment Income   10,355,978    9,237,232    30,583,656 
                
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:               
Net realized gain/(loss) on:               
Investment securities   (895,850)   (353,529)   (1,844,149)
Net realized loss:   (895,850)   (353,529)   (1,844,149)
Change in unrealized appreciation/(depreciation) on:               
Investment securities   2,836,969    3,032,752    8,629,644 
Net unrealized gain:   2,836,969    3,032,752    8,629,644 
Net Realized and Unrealized Gain on Investments   1,941,119    2,679,223    6,785,495 
                
Net Increase in Net Assets Attributable to Common Shares from Operations  $12,297,097   $11,916,455   $37,369,151 

 

See Notes to Financial Statements.

 

 

Semi-Annual Report | June 30, 2019 49

 

 

 

Blackstone / GSO Funds Statements of Changes in Net Assets

 

 

  

Senior Floating Rate

Term Fund

  

Long-Short Credit

Income Fund

  

Strategic Credit

Fund

 
  

For the Six

Months Ended

June 30, 2019

(Unaudited)

  

For the

Year Ended

December 31,

2018

  

For the Six

Months Ended

June 30, 2019

(Unaudited)

  

For the

Year Ended

December 31,

2018

  

For the Six

Months Ended

June 30, 2019

(Unaudited)

  

For the

Year Ended

December 31,

2018

 
FROM OPERATIONS:                              
Net investment income(a)  $10,355,978   $20,209,373   $9,237,232   $18,571,028   $30,583,656   $61,697,251 
Net realized loss   (895,850)   (5,114,704)   (353,529)   (2,688,443)   (1,844,149)   (20,276,387)
Change in unrealized appreciation/(depreciation)   2,836,969    (10,111,102)   3,032,752    (14,061,219)   8,629,644    (45,020,486)
Net Increase/(Decrease) in Net Assets Attributable to Common Shares from Operations   12,297,097    4,983,567    11,916,455    1,821,366    37,369,151    (3,599,622)
                               
DISTRIBUTIONS TO COMMON SHAREHOLDERS:                              
From distributable earnings   (8,414,695)   (21,551,497)   (7,418,061)   (20,488,583)   (24,610,074)   (67,264,559)
Net Decrease in Net Assets from Distributions to Common Shareholders   (8,414,695)   (21,551,497)   (7,418,061)   (20,488,583)   (24,610,074)   (67,264,559)
                               
Net asset value of common shares issued to shareholders from reinvestment of dividends   121,608    309,392    11,433    –    –    – 
Net Increase from Capital Share Transactions   121,608    309,392    11,433    –    –    – 
Net Increase/(Decrease) in Net Assets Attributable to Common Shares   4,004,010    (16,258,538)   4,509,827    (18,667,217)   12,759,077    (70,864,181)
                               
NET ASSETS ATTRIBUTABLE TO COMMON SHAREHOLDERS:                              
Beginning of period   251,644,558    267,903,096    198,399,448    217,066,665    683,577,789    754,441,970 
End of period  $255,648,568   $251,644,558   $202,909,275   $198,399,448   $696,336,866   $683,577,789 

 

(a)Includes impact of distributions to preferred shareholders from net investment income. Distributions on the Fund's mandatory redeemable preferred stock (“MRPS”) are treated as an operating expense under GAAP and are included in the calculation of net investment income. See Note 9 - Leverage. The Long-Short Credit Income Fund and the Strategic Credit Fund recorded distributions of $358,439 and $806,487, respectively, to holders of MRPS for the six months ended June 30, 2019. For the fiscal year ended December 31, 2018, the Long-Short Credit Income Fund and the Strategic Credit Fund recorded distributions of $722,671 and $1,626,010, respectively, to holders of MRPS. See Note 10 for details on tax characterization of distributions.

 

See Notes to Financial Statements.

 

 

50 www.blackstone-gso.com

 

 

 

Blackstone / GSO Funds Statements of Cash Flows

 

For the Six Months Ended June 30, 2019 (Unaudited)

 

  

Senior Floating
Rate

Term Fund

  

Long-Short
Credit

Income Fund

  

Strategic
Credit

Fund

 
CASH FLOWS FROM OPERATING ACTIVITIES:               
Net increase in net assets from operations  $12,297,097   $11,916,455   $37,369,151 
Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash provided by (used in) operating activities:            
Purchases of investment securities   (71,004,511)   (59,370,560)   (209,913,671)
Proceeds from disposition of investment securities   78,000,368    62,367,372    211,974,767 
Discounts (accreted)/premiums amortized   (402,863)   (248,625)   (1,035,463)
Net realized (gain)/loss on:               
Investment securities   895,850    353,529    1,844,149 
Net change in unrealized (appreciation)/depreciation on:               
Investment securities   (2,836,969)   (3,032,752)   (8,629,644)
Amortization of deferred financing costs   –    17,796    40,041 
(Increase)/Decrease in assets:               
Interest receivable   46,101    17,223    66,468 
Prepaid expenses and other assets   (45,918)   (31,954)   (122,571)
Increase/(Decrease) in liabilities:               
Distributions payable on mandatory redeemable preferred shares   –    (2,561)   (5,762)
Interest due on loan facility   (31,444)   46,655    (59,981)
Accrued investment advisory fees payable   (14,573)   (10,561)   (51,604)
Accrued fund accounting and administration expense   28,517    24,773    15,145 
Accrued trustees' fees payable   579    (842)   (1,343)
Other payables and accrued expenses   (17,878)   (3,818)   (42,403)
Net Cash Provided by (Used in) Operating Activities   16,914,356    12,042,130    31,447,279 
                
CASH FLOWS FROM FINANCING ACTIVITIES:               
Proceeds from leverage facility   4,000,000    4,500,000    15,500,000 
Payments on leverage facility   (1,000,000)   (1,500,000)   (9,000,000)
Distributions paid - common shareholders - net   (13,439,286)   (13,337,266)   (40,063,950)
Net Cash Provided by (Used in) Financing Activities   (10,439,286)   (10,337,266)   (33,563,950)
                
Net Increase/(Decrease) in Cash   6,475,070    1,704,864    (2,116,671)
Cash, beginning balance  $5,596,156   $6,091,025   $24,574,561 
Cash, ending balance  $12,071,226   $7,795,889   $22,457,890 
                
Supplemental disclosure of cash flow information:               
Cash paid on interest on leverage facility  $2,351,033   $1,954,749   $6,581,631 
                
Reinvestment of distributions  $121,608   $11,433    – 

 

See Notes to Financial Statements.

 

 

Semi-Annual Report | June 30, 2019 51

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Financial Highlights

 

For a Share Outstanding Throughout the Periods Indicated

 

  

For the Six

Months Ended

June 30, 2019

(Unaudited)

  

For the

Year Ended

December 31,

2018

  

For the

Year Ended

December 31,

2017

  

For the

Year Ended

December 31,

2016

  

For the

Year Ended

December 31,

2015

  

For the

Year Ended

December 31,

2014

 
PER COMMON SHARE OPERATING PERFORMANCE:                        
Net asset value - beginning of period  $16.48   $17.57   $17.61   $15.96   $18.08   $19.27 
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                              
Net investment income(a)   0.68    1.32    1.26    1.24    1.22    0.92 
Net realized and unrealized gain/(loss) on investments   0.12    (1.00)   (0.14)   1.57    (2.17)   (0.84)
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS:                              
From net investment income(a)   –    –    –    –    –    (0.06)
From net realized gains   –    –    –    –    –    – 
Total Income/(Loss) from Investment Operations   0.80    0.32    1.12    2.81    (0.95)   0.02 
                               
DISTRIBUTIONS TO COMMON SHAREHOLDERS:                              
From net investment income   (0.55)   (1.41)   (1.16)   (1.16)   (1.17)   (0.86)
From net realized gains   –    –    –    –    –    (0.08)
From tax return of capital   –    –    –    –    –    (0.27)
Total Distributions to Common Shareholders   (0.55)   (1.41)   (1.16)   (1.16)   (1.17)   (1.21)
                               
Net asset value per common share - end of period  $16.73   $16.48   $17.57   $17.61   $15.96   $18.08 
Market price per common share - end of period  $16.88   $15.33   $18.00   $18.08   $14.85   $16.74 
                               
Total Investment Return - Net Asset Value(b)   4.94%   1.88%   6.67%   18.44%   (5.19%)   0.38%
Total Investment Return - Market Price(b)   13.83%   (7.49%)   6.44%   30.70%   (4.72%)   (4.99%)
                               
RATIOS AND SUPPLEMENTAL DATA:                              
Net assets attributable to common shares, end of period (000s)  $255,649   $251,645   $267,903   $268,153   $242,874   $275,201 
Ratio of expenses to average net assets attributable to common shares   3.61%(c)   3.35%   3.01%   2.59%   2.48%   3.02%(d)
Ratio of net investment income to average net assets attributable to common shares   8.10%(c)   7.49%   7.11%   7.48%   6.84%   4.88%(d)
Ratio of expenses to average managed assets(e)   2.42%(c)   2.25%   2.02%   1.74%   1.67%   2.02%(d)
Portfolio turnover rate   19%(f)   88%   135%   99%   65%   66%
                               
TERM PREFERRED SHARES:                              
Liquidation value, end of period, including dividends payable on Term Preferred Shares (000s)  $N/A   $N/A   $N/A   $N/A   $N/A   $N/A(g)
Total shares outstanding (000s)   –    –    –    –    –    – 
Asset coverage per share  $N/A   $N/A   $N/A   $N/A   $N/A   $N/A(g)
Liquidation preference per share  $N/A   $N/A   $N/A   $N/A   $N/A   $N/A(g)
                               
SENIOR SECURED NOTES:                              
Aggregate principal amount, end of period (000s)  $N/A   $N/A   $N/A   $N/A   $N/A   $–(h)
Average borrowings outstanding during the period (000s)  $N/A   $N/A   $N/A   $N/A   $N/A   $96,000(h)
Asset coverage, end of period per $1,000   N/A    N/A    N/A    N/A    N/A    N/A(h)
                               
LEVERAGE FACILITY:                              
Aggregate principal amount, end of period (000s)  $127,000   $124,000   $132,000   $131,000   $119,500   $133,000 
Average borrowings outstanding during the period (000s)  $126,801   $132,067   $132,323   $122,782   $132,372   $137,412(i)
Asset coverage, end of period per $1,000(j)  $3,013   $3,029   $3,030   $3,047   $3,032   $3,069 

 

 

52 www.blackstone-gso.com

 

 

 

Blackstone / GSO Senior Floating Rate Term Fund Financial Highlights

 

For a Share Outstanding Throughout the Periods Indicated

 

(a)Calculated using average common shares outstanding.
(b)Total investment return is calculated assuming a purchase of common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund's dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any, and are not annualized.
(c)Annualized.
(d)Ratios do not reflect dividend payments to preferred shareholders.
(e)Average managed assets represent net assets applicable to common shares plus principal value of leverage.
(f)Percentage represents the results for the period and is not annualized.
(g)On October 8, 2014, BSL redeemed 100% of the term preferred shares at 100% of their liquidation preference.
(h)On October 8, 2014, BSL redeemed 100% of the senior secured notes at 100% of their principal amount and entered into a new 364-day revolving credit facility. Average borrowings are shown for the period January 1, 2014 through the redemption date.
(i)Since first borrowing was made on October 8, 2014.
(j)Calculated by subtracting the Fund's total liabilities (excluding the principal amount of the Leverage Facility) from the Fund's total assets and dividing by the principal amount of the Leverage Facility and then multiplying by $1,000.

 

See Notes to Financial Statements.

 

 

Semi-Annual Report | June 30, 2019 53

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Financial Highlights
 

For a Share Outstanding Throughout the Periods Indicated

                         
   For the Six
Months Ended
June 30, 2019
(Unaudited)		   For the
Year Ended
December 31,
2018		   For the
Year Ended
December 31,
2017		   For the
Year Ended
December 31,
2016		   For the
Year Ended
December 31,
2015		   For the
Year Ended
December 31,
2014		 
PER COMMON SHARE OPERATING PERFORMANCE:                        
Net asset value - beginning of period  $15.62   $17.09   $16.94   $15.37   $17.82   $19.11 
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                              
Net investment income(a)(b)   0.73    1.46    1.34    1.40    1.48    0.94 
Net realized and unrealized gain/(loss) on investments   0.20    (1.32)   0.05    1.60    (2.66)   (1.03)
Total Income/(Loss) from Investment Operations   0.93    0.14    1.39    3.00    (1.18)   (0.09)
                               
DISTRIBUTIONS TO COMMON SHAREHOLDERS:                              
From net investment income   (0.58)   (1.61)   (1.24)   (1.43)   (1.27)   (0.96)
From net realized gains   –    –    –    –    –    (0.06)
From tax return of capital   –    –    –    –    –    (0.18)
Total Distributions to Common Shareholders   (0.58)   (1.61)   (1.24)   (1.43)   (1.27)   (1.20)
                               
Net asset value per common share - end of period  $15.97   $15.62   $17.09   $16.94   $15.37   $17.82 
Market price per common share - end of period  $15.69   $13.74   $15.92   $15.92   $13.48   $15.53 
                               
Total Investment Return - Net Asset Value(c)   6.22%   1.25%   8.85%   21.21%   (6.04%)   (0.06%)
Total Investment Return - Market Price(c)   18.56%   (4.40%)   7.90%   29.89%   (5.44%)   (6.86%)
                               
RATIOS AND SUPPLEMENTAL DATA:                              
Net assets attributable to common shares, end of period (000s)  $202,909   $198,399   $217,067   $215,236   $195,204   $226,316 
Ratio of expenses to average net assets attributable to common shares   4.03%(d)   3.73%   3.03%   2.58%   2.07%   1.86%
Ratio of expenses to average net assets excluding interest expense on short sales attributable to common shares   4.03%(d)   3.73%   3.03%   2.58%   2.07%   1.85%
Ratio of net investment income to average net assets attributable to common shares   9.09%(d)   8.52%   7.82%   8.67%   8.45%   4.99%
Ratio of expenses to average managed assets(e)   2.46%(d)   2.31%   1.93%   1.73%   1.43%   1.66%
Portfolio turnover rate   18%(f)   75%   126%   103%   72%   66%
                               
MANDATORY REDEEMABLE PREFERRED SHARES:                              
Liquidation value, end of period, including dividends payable on Mandatory Redeemable Preferred Shares (000s)  $20,119   $20,122   $20,121   $20,125   $N/A   $N/A 
Total shares outstanding (000s)   20    20    20    20    –    – 
Asset coverage , end of period per $1,000  $2,555(g)  $2,556(g)  $2,644(g)  $2,905(g)  $N/A   $N/A 
Liquidation preference per share  $1,000   $1,000   $1,000   $1,000   $N/A   $N/A 
                               
LEVERAGE FACILITY:                              
Aggregate principal amount, end of period (000s)  $110,500   $107,500   $112,000   $93,000   $96,000   $73,000 
Average borrowings outstanding during the period (000s)  $110,390   $115,392   $105,633   $93,684   $100,261   $66,827(h)
Asset coverage, end of period per $1,000(i)  $3,017   $3,032   $3,117   $3,314   $3,033   $4,100 

 

(a)Calculated using average common shares outstanding.

(b)Distributions on the Company's MRPS are treated as an operating expense under GAAP and are included in the calculation of net investment income. See Note 9 - Leverage.

 

 

54 www.blackstone-gso.com

 

 

 

Blackstone / GSO Long-Short Credit Income Fund Financial Highlights

 

For a Share Outstanding Throughout the Periods Indicated

 

(c)Total investment return is calculated assuming a purchase of common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund's dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any, and are not annualized.

(d)Annualized.

(e)Average managed assets represent net assets applicable to common shares plus principal value of leverage.

(f)Percentage represents the results for the period and is not annualized.

(g)Calculated by subtracting the Fund's total liabilities (excluding the liquidation value of the Mandatory Redeemable Preferred Shares and the principal amount of the Leverage Facility) from the Fund's total assets and dividing by the liquidation value of the Mandatory Redeemable Preferred Shares and the principal amount of the Leverage Facility and then multiplying by $1,000.

(h)Since first borrowing was made on July 29, 2014.

(i)Calculated by subtracting the Fund's total liabilities (excluding Mandatory Redeemable Preferred Shares at liquidation value, including dividends payable on mandatory redeemable preferred shares, and the principal amount of the Leverage Facility) from the Fund's total assets and dividing by the principal amount of the Leverage Facility and then multiplying by $1,000.

 

See Notes to Financial Statements.

 

 

Semi-Annual Report | June 30, 2019 55

 

 

 

Blackstone / GSO Strategic Credit Fund Financial Highlights

 

For a Share Outstanding Throughout the Periods Indicated

 

  

For the Six

Months Ended

June 30, 2019
(Unaudited)

 

For the

Year Ended
December 31, 2018

  

For the

Year Ended
December 31, 2017

  

For the

Year Ended
December 31, 2016

  

For the

Year Ended
December 31, 2015

  

For the

Year Ended
December 31, 2014

 
PER COMMON SHARE OPERATING PERFORMANCE:                       
Net asset value - beginning of period  $15.30  $16.89   $16.79   $15.20   $17.98   $19.12 
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                             
Net investment income(a)(b)   0.68   1.38    1.26    1.39    1.48    1.17 
Net realized and unrealized gain/(loss) on investments   0.16   (1.46)   0.10    1.54    (2.89)   (1.03)
Total Income/(Loss) from Investment Operations   0.84   (0.08)   1.36    2.93    (1.41)   0.14 
                              
DISTRIBUTIONS TO COMMON SHAREHOLDERS:                             
From net investment income   (0.55)  (1.51)   (1.26)   (1.34)   (1.37)   (1.17)
From net realized gains   –   –    –    –    –    (0.01)
From tax return of capital   –   –    –    –    –    (0.10)
Total Distributions to Common Shareholders   (0.55)  (1.51)   (1.26)   (1.34)   (1.37)   (1.28)
                              
Net asset value per common share - end of period  $15.59  $15.30   $16.89   $16.79   $15.20   $17.98 
Market price per common share - end of period  $14.67  $13.47   $15.71   $15.34   $13.37   $16.48 
                              
Total Investment Return - Net Asset Value(c)   5.82%  (0.02%)   8.79%   21.02%   (7.42%)   1.27%
Total Investment Return - Market Price(c)   13.10%  (5.37%)   10.75%   25.71%   (11.15%)   (0.29%)
                              
RATIOS AND SUPPLEMENTAL DATA:                             
Net assets attributable to common shares, end of period (000s)  $696,337  $683,578   $754,442   $749,868   $679,029   $803,029 
Ratio of expenses to average net assets attributable to common shares   4.06%(d)  3.72%   3.29%   2.74%   2.33%   2.32%
Ratio of net investment income to average net assets attributable to common shares   8.77%(d)  8.20%   7.38%   8.73%   8.41%   6.16%
Ratio of expenses to average managed assets(e)   2.55%(d)  2.36%   2.10%   1.82%   1.57%   1.57%
Portfolio turnover rate   17%(f)  76%   136%   93%   74%   76%
                              
MANDATORY REDEEMABLE PREFERRED SHARES:                             
Liquidation value, end of period, including dividends payable on Mandatory Redeemable Preferred Shares (000s)  $45,268  $45,274   $45,272   $45,281   $N/A   $N/A 
Total shares outstanding (000s)   45   45    45    45    –    – 
Asset coverage, end of period per $1,000  $2,686(g) $2,682(g)  $2,796(g)  $2,777(g)  $N/A   $N/A 
Liquidation preference per share  $1,000  $1,000   $1,000   $1,000   $N/A   $N/A 
                              
LEVERAGE FACILITY:                             
Aggregate principal amount, end of period (000s)  $368,000  $361,500   $375,000   $377,000   $331,000   $389,500 
Average borrowings outstanding during the period (000s)  $368,249  $387,479   $384,195   $342,331   $382,162   $403,727 
Asset coverage, end of period per $1,000(h)  $3,015  $3,015   $3,132   $2,989   $3,051   $3,062 

   

(a)Calculated using average common shares outstanding.

(b)Distributions on the Company's MRPS are treated as an operating expense under GAAP and are included in the calculation of net investment income. See Note 9 - Leverage.

 

 

56 www.blackstone-gso.com

 

 

 

Blackstone / GSO Strategic Credit Fund Financial Highlights

 

For a Share Outstanding Throughout the Periods Indicated

 

(c)Total investment return is calculated assuming a purchase of common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund's dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any, and are not annualized.

(d)Annualized.

(e)Average managed assets represent net assets applicable to common shares plus principal value of leverage.

(f)Percentage represents the results for the period and is not annualized.

(g)Calculated by subtracting the Fund's total liabilities (excluding the liquidation value of the Mandatory Redeemable Preferred Shares and the principal amount of the Leverage Facility) from the Fund's total assets and dividing by the liquidation value of the Mandatory Redeemable Preferred Shares and the principal amount of the Leverage Facility and then multiplying by $1,000.

(h)Calculated by subtracting the Fund's total liabilities (excluding Mandatory Redeemable Preferred Shares at liquidation value, including dividends payable on mandatory redeemable preferred shares, and the principal amount of the Leverage Facility) from the Fund's total assets and dividing by the principal amount of the Leverage Facility and then multiplying by $1,000.

 

See Notes to Financial Statements.

 

 

Semi-Annual Report | June 30, 2019 57

 

 

 

Blackstone / GSO Funds Notes to Financial Statements

 

June 30, 2019 (Unaudited)

 

NOTE 1. ORGANIZATION

 

Blackstone / GSO Senior Floating Rate Term Fund (“BSL”), is a diversified, closed-end management investment company. BSL was organized as a Delaware statutory trust on March 4, 2010. BSL was registered under the Investment Company Act of 1940, as amended (the “1940 Act”), on March 5, 2010. BSL commenced operations on May 26, 2010. Prior to that date, BSL had no operations other than matters relating to its organization and the sale and issuance of 5,236 common shares of beneficial interest in BSL to GSO / Blackstone Debt Funds Management LLC (the “Adviser”) at a price of $19.10 per share. The Adviser serves as BSL’s investment adviser. BSL’s common shares are listed on the New York Stock Exchange (the “Exchange”) and trade under the ticker symbol “BSL.”

 

Absent shareholder approval to extend the term of BSL, BSL was initially scheduled to dissolve on or about May 31, 2020. On November 17, 2017, BSL’s shareholders approved extending the term of BSL by two years by changing BSL’s scheduled dissolution date from May 31, 2020 to May 31, 2022. Upon dissolution, BSL will distribute substantially all of its net assets to shareholders, after making appropriate provision for any liabilities. Pursuant to BSL’s Amended and Restated 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 shareholders entitled to vote (as defined in the 1940 Act), may extend the life of BSL by a period of two years or such shorter time as may be determined. The dissolution date of BSL may be extended an unlimited number of times. On March 31, 2017, BSL announced an extension of BSL’s reinvestment period. The extension will allow BSL to continue to reinvest proceeds generated by maturities, prepayments and sales of investments until one year prior to BSL’s scheduled dissolution date, which is currently May 31, 2022.

 

Blackstone / GSO Long-Short Credit Income Fund (“BGX”) is a diversified, closed-end management investment company. BGX was organized as a Delaware statutory trust on October 22, 2010. BGX was registered under the 1940 Act on October 26, 2010. BGX commenced operations on January 27, 2011. Prior to that, BGX had no operations other than matters relating to its organization and the sale and issuance of 5,236 common shares of beneficial interest in BGX to the Adviser at a price of $19.10 per share. The Adviser serves as the investment adviser for BGX. BGX’s common shares are listed on the Exchange and trade under the ticker symbol “BGX.”

 

Blackstone / GSO Strategic Credit Fund (“BGB” and, collectively with BSL and BGX, the “Funds”) 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 1940 Act on April 6, 2012. BGB commenced operations on September 26, 2012. Prior to that, 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 the Adviser at a price of $19.10 per share. The Adviser serves as the investment adviser for BGB. BGB’s common shares are listed on the Exchange and trade under the ticker symbol “BGB.”

 

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 BGB. Pursuant to BGB’s Amended and Restated 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 BGB may be extended by a period of two years or such shorter time as may be determined. The dissolution date of BGB may be extended an unlimited number of times.

 

The Funds were previously classified as non-diversified investment companies for purposes of the 1940 Act. As a result of ongoing operations, the Funds are now classified as diversified companies; BGX and BSL as of April 1, 2014 and BGB as of September 25, 2015. This means that with respect to 75% of each Fund’s total assets, no more than 5% of such Fund’s total assets may be invested in any one issuer, excepting cash and cash items, U.S. government securities, and securities of other investment companies. The Funds may not resume operating in a non-diversified manner without first obtaining shareholder approval in accordance with the 1940 Act.

 

BSL’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. Under normal market conditions, at least 80% of BSL’s Managed Assets (defined below) will be invested in senior secured, floating rate loans (“Senior Loans”).

 

BGX’s primary investment objective is to provide current income, with a secondary objective of capital appreciation. BGX seeks to achieve its investment objectives by employing a dynamic long-short strategy in a diversified portfolio of loans and fixed-income instruments of predominantly U.S. corporate issuers, including first- and second-lien secured loans (“Secured Loans”) and high-yield corporate debt securities of varying maturities. BGX’s short positions, either directly or through the use of derivatives, may total up to 30% of such Fund’s net assets.

 

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’’) and high yield corporate bonds of varying maturities. Under normal market conditions, at least 80% of BGB’s Managed Assets (defined below) will be invested in credit investments comprised of corporate fixed income instruments and other investments (including derivatives) with similar economic characteristics.

 

 

58 www.blackstone-gso.com

 

 

 

Blackstone / GSO Funds Notes to Financial Statements

 

June 30, 2019 (Unaudited)

 

Senior Loans, Secured Loans and Senior Secured Loans are referred to collectively as “Loans” throughout the Notes to Financial Statements.

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The preparation of their 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. Each Fund is considered an investment company for financial reporting purposes under GAAP.

 

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

 

Loans are primarily valued by using a composite loan price from a nationally recognized loan pricing service. The methodology used by the Funds’ 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. Collateralized Loan Obligation securities (“CLOs”) 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 evaluated mid-price of each of the CLOs. Corporate bonds and convertible 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. 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. Futures contracts are ordinarily valued at the last sales price on the securities or commodities exchange on which they are traded. Written and purchased options are ordinarily valued at the closing price on the securities or commodities exchange on which they are traded. 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. 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 Funds’ Boards of Trustees. Such methods may include, but are not limited to, the use of a market comparable and/or income approach methodologies. 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. The Funds have procedures to identify and investigate potentially stale or missing prices for investments which are valued using a nationally recognized pricing service, exchange price or broker-dealer quotations. After performing such procedures, any prices which are deemed to be stale are reviewed by the Fair Valued Asset Committee and an alternative pricing source is determined.

 

Various inputs are used to determine the value of the Funds’ 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 Funds’ own assumptions 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 Funds’ 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. 

 

 

Semi-Annual Report | June 30, 2019 59

 

 

 

Blackstone / GSO Funds Notes to Financial Statements

 

June 30, 2019 (Unaudited)

 

The following tables summarize valuation of the Funds’ investments under the fair value hierarchy levels as of June 30, 2019:

 

Blackstone / GSO Senior Floating Rate Term Fund

 

Investments in Securities at Value*  Level 1 - Quoted Prices   Level 2 - Significant Observable Inputs   Level 3 - Significant Unobservable Inputs   Total 
Floating Rate Loan Interests                    
Aerospace & Defense  $–   $2,508,475   $4,836,592   $7,345,067 
Automotive   –    2,231,207    1,254,841    3,486,048 
Building & Development   –    21,147,968    1,115,755    22,263,723 
Business Equipment & Services   –    47,421,694    9,995,137    57,416,831 
Chemical & Plastics   –    7,337,891    1,244,481    8,582,372 
Conglomerates   –    1,159,842    475,194    1,635,036 
Containers & Glass Products   –    4,748,244    2,738,583    7,486,827 
Ecological Services & Equipment   –    1,297,314    983,367    2,280,681 
Electronics/Electrical   –    66,910,812    6,714,028    73,624,840 
Financial Intermediaries   –    4,716,296    429,406    5,145,702 
Food Service   –    8,553,573    1,274,423    9,827,996 
Healthcare   –    52,423,314    7,711,682    60,134,996 
Industrial Equipment   –    8,621,174    4,080,027    12,701,201 
Leisure Goods/Activities/Movies   –    6,485,022    197,159    6,682,181 
Lodging & Casinos   –    –    1,694,550    1,694,550 
Oil & Gas   –    9,674,075    338,598    10,012,673 
Publishing   –    2,919,135    1,095,000    4,014,135 
Retailers (except food & drug)   –    4,793,398    228,436    5,021,834 
Steel   –    356,225    1,802,394    2,158,619 
Utilities   –    5,691,057    675,234    6,366,291 
Other   –    58,413,678    –    58,413,678 
Collateralized Loan Obligation Securities                    
Structured Finance Obligations   –    –    3,890,336    3,890,336 
Corporate Bonds   –    11,048,459    –    11,048,459 
Common Stock                    
Oil & Gas   –    –    465,633    465,633 
Warrants                    
Oil & Gas   –    –    1,378    1,378 
Total   –    328,458,853    53,242,234    381,701,087 

 

Blackstone / GSO Long-Short Credit Income Fund

 

Investments in Securities at Value*  Level 1 - Quoted Prices   Level 2 - Significant Observable Inputs   Level 3 - Significant Unobservable Inputs   Total 
Floating Rate Loan Interests                    
Aerospace & Defense  $–   $1,971,825   $3,930,300   $5,902,125 
Automotive   –    347,428    836,561    1,183,989 
Beverage & Tobacco   –    –    464,740    464,740 
Building & Development   –    16,622,117    858,345    17,480,462 
Business Equipment & Services   –    37,714,773    9,061,822    46,776,595 
Chemical & Plastics   –    5,831,727    1,083,669    6,915,396 
Conglomerates   –    922,817    367,325    1,290,142 
Containers & Glass Products   –    3,900,135    3,052,102    6,952,237 
Ecological Services & Equipment   –    1,061,439    842,886    1,904,325 
Electronics/Electrical   –    48,352,410    6,462,468    54,814,878 
Financial Intermediaries   –    4,282,101    351,332    4,633,433 
Food Service   –    5,378,285    1,621,685    6,999,970 
Healthcare   –    42,054,061    6,624,911    48,678,972 
Industrial Equipment   –    6,350,301    3,292,299    9,642,600 
Leisure Goods/Activities/Movies   –    4,533,522    168,993    4,702,515 
Lodging & Casinos   –    1,207,025    1,386,450    2,593,475 
Oil & Gas   –    6,529,726    29,227    6,558,953 
Publishing   –    2,365,118    1,095,000    3,460,118 
Retailers (except food & drug)   –    2,452,731    666,453    3,119,184 

 

 

60 www.blackstone-gso.com

 

 

 

Blackstone / GSO Funds Notes to Financial Statements

 

June 30, 2019 (Unaudited)

 

Blackstone / GSO Long-Short Credit Income Fund (continued)

 

Investments in Securities at Value*  Level 1 - Quoted Prices   Level 2 - Significant Observable Inputs   Level 3 - Significant Unobservable Inputs   Total 
Steel  $–   $237,483   $1,201,596   $1,439,079 
Utilities   –    5,569,125    633,032    6,202,157 
Other   –    46,773,117    –    46,773,117 
Collateralized Loan Obligation Securities                    
Structured Finance Obligations   –    –    6,112,723    6,112,723 
Corporate Bonds   –    40,295,322    –    40,295,322 
Common Stock   261,866    –    –    261,866 
Total   261,866    284,752,588    50,143,919    335,158,373 

 

Blackstone / GSO Strategic Credit Fund

 

Investments in Securities at Value*  Level 1 - Quoted Prices   Level 2 - Significant Observable Inputs   Level 3 - Significant Unobservable Inputs   Total 
Floating Rate Loan Interests                    
Aerospace & Defense  $–   $6,011,950   $12,563,499   $18,575,449 
Automotive   –    1,253,859    4,182,802    5,436,661 
Beverage & Tobacco   –    –    1,599,480    1,599,480 
Building & Development   –    55,075,143    2,961,150    58,036,293 
Business Equipment & Services   –    129,443,062    30,974,463    160,417,525 
Chemical & Plastics   –    15,251,364    3,592,211    18,843,575 
Conglomerates   –    6,452,439    1,381,863    7,834,302 
Containers & Glass Products   –    13,771,470    10,318,758    24,090,228 
Ecological Services & Equipment   –    3,538,131    2,856,446    6,394,577 
Electronics/Electrical   –    171,371,684    26,941,543    198,313,227 
Financial Intermediaries   –    17,950,191    1,171,107    19,121,298 
Food Service   –    22,943,021    2,994,896    25,937,917 
Healthcare   –    129,557,149    21,929,431    151,486,580 
Industrial Equipment   –    23,015,163    11,667,181    34,682,344 
Leisure Goods/Activities/Movies   –    11,486,854    572,699    12,059,553 
Lodging & Casinos   –    –    4,621,500    4,621,500 
Oil & Gas   –    24,135,434    1,325,568    25,461,002 
Publishing   –    8,054,336    3,285,000    11,339,336 
Retailers (except food & drug)   –    12,592,180    1,158,657    13,750,837 
Steel   –    1,187,418    6,007,979    7,195,397 
Other   –    152,349,799    –    152,349,799 
Corporate Bonds   –    144,679,410    –    144,679,410 
Common Stock                    
Business Equipment & Services   –    –    933,152    933,152 
Leisure goods/activities/movies   –    –    2,262,707    2,262,707 
Oil & Gas   936,085    973,830    9,254,329    11,164,244 
Warrants                    
Oil & Gas   –    –    6,889    6,889 
Total   936,085    951,093,887    164,563,310    1,116,593,282 

 

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

  

 

Semi-Annual Report | June 30, 2019 61

 

 

 

Blackstone / GSO Funds Notes to Financial Statements

 

June 30, 2019 (Unaudited)

 

The changes of the fair value of investments for which the Funds have used significant unobservable (Level 3) inputs to determine the fair value are as follows:

 

Blackstone/GSO Senior Floating Rate Term Fund  Floating Rate Loan Interests   Collateralized Loan Obligation Securities   Common Stock   Preferred Stock   Warrants   Total 
Balance as of December 31, 2018  $77,368,725   $5,338,520   $554,675   $144,745   $1,378   $83,408,043 
Accrued discount/ premium   63,772    562    –    –    –    64,334 
Realized Gain/(Loss)   48,108    (109,497)   –    –    –    (61,389)
Change in Unrealized Appreciation/(Depreciation)   17,870    266,508    (89,042)   (144,745)   –    50,591 
Purchases   7,696,387    –    –    –    –    7,696,387 
Sales Proceeds   (6,356,202)   (1,605,757)   –    –    –    (7,961,959)
Transfer into Level 3   7,638,457    –    –    –    –    7,638,457 
Transfer out of Level 3   (37,592,230)   –    –    –    –    (37,592,230)
Balance as of June 30, 2019  $48,884,887   $3,890,336   $465,633   $–   $1,378   $53,242,234 
Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at June 30, 2019  $(519,672)  $102,968   $(89,042)  $(144,745)  $–   $(650,491)

 

Blackstone/GSO Long-Short Credit Income Fund  Floating Rate Loan Interests  

Collateralized Loan

Obligation Securities

   Total 
Balance as of December 31, 2018  $66,097,334   $6,630,969   $72,728,303 
Accrued discount/ premium   54,115    461    54,576 
Realized Gain/(Loss)   55,668    (64,344)   (8,676)
Change in Unrealized Appreciation/(Depreciation)   45,765    206,292    252,057 
Purchases   6,394,177    –    6,394,177 
Sales Proceeds   (6,117,214)   (660,655)   (6,777,869)
Transfer into Level 3   6,218,595    –    6,218,595 
Transfer out of Level 3   (28,717,244)   –    (28,717,244)
Balance as of June 30, 2019  $44,031,196   $6,112,723   $50,143,919 
Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at June 30, 2019  $(1,280,871)  $107,797   $(1,173,074)

 

Blackstone/GSO Strategic Credit Fund 

Floating Rate

Loan Interests

  

Common

Stock

  

Preferred

Stock

   Warrants   Total 
Balance as of December 31, 2018  $229,511,149   $13,989,703   $393,038   $6,889   $243,900,779 
Accrued discount/ premium   190,983    –    –    –    190,983 
Realized Gain/(Loss)   61,209    –    –    –    61,209 
Change in Unrealized Appreciation/(Depreciation)   (142,065)   (1,539,515)   (393,038)   –    (2,074,618)
Purchases   21,183,468    –    –    –    21,183,468 
Sales Proceeds   (19,673,913)   –    –    –    (19,673,913)
Transfer into Level 3   20,085,552    –    –    –    20,085,552 
Transfer out of Level 3   (99,110,150)   –    –    –    (99,110,150)
Balance as of June 30, 2019  $152,106,233   $12,450,188   $–   $6,889   $164,563,310 
Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at June 30, 2019  $(2,473,636)  $(164,921)  $(393,038)  $–   $(3,031,595)

 

 

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Blackstone / GSO Funds Notes to Financial Statements

 

June 30, 2019 (Unaudited)

 

Blackstone / GSO Senior Floating Rate Term Fund Fair Value  Valuation Technique(s) Unobservable Input(s)

Value/Range

(Weighted Average)

Floating Rate Loan Interests $48,884,887  Third-party vendor pricing service Broker quotes N/A
Collateralized Loan Obligation Securities  3,890,336  Third-party vendor pricing service Broker quotes N/A
Common Stock  465,633  Third-party vendor pricing service Broker quotes N/A
Warrants  1,378  Third-party vendor pricing service Broker quotes N/A

 

Blackstone / GSO Long-Short Credit Income Fund Fair Value  Valuation Technique(s) Unobservable Input(s)

Value/Range

(Weighted Average)

Floating Rate Loan Interests $44,031,196  Third-party vendor pricing service Broker quotes N/A
Collateralized Loan Obligation Securities  6,112,723  Third-party vendor pricing service Broker quotes N/A

 

Blackstone / GSO Strategic Credit Fund Fair Value   Valuation Technique(s) Unobservable Input(s)

Value/Range

(Weighted Average)

Floating Rate Loan Interests $ 152,106,233   Third-party vendor pricing service Broker quote N/A
Common Stock   3,261,320   Third-party vendor pricing service Broker quote N/A
  2,262,707   Performance Multiple Methodology EBITDA Multiple(a) 7.25x
  6,926,161   Performance Multiple Methodology EBITDA Multiple(a) 4.25x
    Proved & Probable PV-10(a) 0.54x
    Daily Production(a) 40.8
    Proved & Probable Reserves(a) 8.9
Warrants   6,889   Third-party vendor pricing service Broker quotes N/A

 

(a)A change to the unobservable input at the reporting date would result in a significant change to the value of the investment as follows:

 

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

 

Securities Transactions and Investment Income: Securities transactions are recorded on trade date for financial reporting purposes and amounts payable or receivable for trades not settled at the time of period end are reflected as liabilities and assets, respectively. 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 and stated separately in the Statement of Operations.

 

When the Funds sell a floating rate loan interest, they may pay an agency fee. The Funds earn facility and other fees on floating rate loan interests, and facility fees are typically amortized to income over the term of the loan. Consent and amendment fees are also recorded to income as earned. All of these fees are shown on the Statement of Operations under “Facility and other fees.”

 

Federal Income Taxes: It is the policy of the Funds to continue to qualify as regulated investment companies by complying with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their earnings to their shareholders. While no federal income tax provisions are required, in early 2019 BSL paid excise taxes of $2,982 for the excise tax year ended December 31, 2018. BGX and BGB did not incur an excise tax for this period.

 

Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Funds, timing differences and differing characterization of distributions made by the Funds as a whole.

 

As of and during the period ended June 30, 2019, the Funds did not have a liability for any unrecognized tax benefits. The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations which is generally three years after the filing of the tax return for federal purposes and four years for most state returns. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

 

 

Semi-Annual Report | June 30, 2019 

 63

 

 

 

Blackstone / GSO Funds Notes to Financial Statements

 

June 30, 2019 (Unaudited)

 

Distributions to Shareholders: The Funds make monthly cash distributions of all or a portion of their net investment income to common shareholders. The Funds will distribute to common shareholders at least annually all or substantially all of their net investment income after the payment of dividends and interest, if any, owed with respect to outstanding preferred shares and/or borrowings, if applicable. The Funds intend to pay any capital gains distributions at least annually. On November 20, 2018, the Adviser announced that the Funds were transitioning from a strategy that seeks to maintain Fund distributions at stable levels notwithstanding increases or decreases in net income earned to a distribution strategy that is more reflective of the net income earned by the Funds.

 

NOTE 3. MANAGEMENT FEES, ADMINISTRATION FEES, AND OTHER AGREEMENTS

 

The Adviser, a wholly-owned subsidiary of GSO Capital Partners LP (collectively with its affiliates, “GSO”), is a registered investment adviser and is responsible for the day-to-day management of, and providing administrative and compliance oversight services to, the Funds. GSO is an affiliate of The Blackstone Group Inc.

 

For BSL, the Adviser receives a monthly fee at the annual rate of 0.90% of the average daily value of BSL’s total assets (including any assets attributable to any leverage used) minus the sum of the BSL’s accrued liabilities (other than Fund liabilities incurred for any leverage) (“BSL Managed Assets”). Effective November 17, 2017, the Adviser agreed to reduce a portion of the previous management fee, which was at an annual rate equal to 1.00% of BSL’s Managed Assets, in connection with the extension of BSL’s term through May 31, 2022. If BSL’s term is extended again by shareholders beyond May 31, 2022, the management fee will return to an annual rate of 1.00% of BSL’s Managed Assets unless waived or otherwise modified. For BGX, the Adviser receives a monthly fee at the annual rate of 1.20% of the average daily value of BGX’s net assets (total assets of BGX minus liabilities, including accrued expenses or dividends). For BGB, the Adviser receives a monthly fee at the annual rate of 1.00% of the average daily value of BGB’s Managed Assets (defined below).

 

In 2018, the Funds and the Blackstone / GSO Floating Rate Enhanced Income Fund paid every Trustee who is not a director, officer, employee, or affiliate of GSO or ALPS, a retainer fee of $120,000 per annum. Effective January 1, 2019, the Funds will pay a retainer fee of $130,000 per annum. The Chairman of the Audit Committee and the Chairman of the Nominating and Governance Committee also will receive a retainer fee of $10,000 per annum. The Lead Independent Trustee will also receive a retainer fee of $14,000 per annum.

 

ALPS Fund Services, Inc. (“ALPS”) serves as administrator to the Funds. Under the administration agreement, ALPS is responsible for calculating the net asset value of the common shares and generally managing the administrative affairs of the Funds. For BSL and BGB, ALPS receives a monthly fee based on the average daily value of the Funds’ respective Managed Assets, plus out-of-pocket expenses. For BGX, ALPS receives a monthly fee based on the average daily value of the Fund’s net assets, plus out-of-pocket expenses. ALPS is not considered an affiliate of the Funds, as defined under the 1940 Act.

 

The Bank of New York Mellon serves as the Funds’ custodian. Computershare Shareowner Services, LLC, serves as the Funds’ transfer agent. The Bank of New York Mellon and Computershare Shareowner Services, LLC, are not considered affiliates of the Funds as defined under the 1940 Act.

 

NOTE 4. SECURITIES TRANSACTIONS

 

Investment transactions for the period ended June 30, 2019, excluding temporary short-term investments, were as follows:

 

Fund  Cost of Investments Purchased   Proceeds from Investments Sold 
Blackstone / GSO Senior Floating Rate Term Fund  $72,653,065   $75,598,186 
Blackstone / GSO Long-Short Credit Income Fund   60,016,156    59,657,264 
Blackstone / GSO Strategic Credit Fund   197,445,843    195,663,497 

 

NOTE 5. RELATED PARTY TRANSACTIONS

 

The Adviser is a related party. Fees payable to the related parties are disclosed in Note 3 and accrued amounts are disclosed in the Statement of Operations.

 

During the period ended June 30, 2019 none of the Funds engaged in cross trades with an affiliate pursuant to Rule 17a-7.

 

Blackstone Holdings Finance Co. L.L.C ("FINCO"), an affiliate of the investment adviser, pays expenses on behalf of the Funds from time to time. The Funds reimburse FINCO for such expenses paid on behalf of the Funds. FINCO does not charge any fees for providing such services. The amounts of $73,960, $76,158, and $164,807 for BSL, BGX, and BGB, respectively, as of the period ended June 30, 2019 is recorded as other payables and accrued expenses on the Funds' Statements of Assets and Liabilities.

 

 

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Blackstone / GSO Funds Notes to Financial Statements

 

June 30, 2019 (Unaudited)

 

NOTE 6. CAPITAL

 

The Funds have authorized an unlimited number of $0.001 par value common shares.

 

Transactions in shares were as follows:

 

Blackstone / GSO Senior Floating Rate Term Fund 

For the Six

Months Ended

June 30, 2019

(Unaudited)

  

For the

Year Ended

December 31, 2018

 
Common shares outstanding - beginning of period   15,269,106    15,251,298 
Common shares issued as reinvestment of dividends   7,340    17,808 
Common shares outstanding - end of period   15,276,446    15,269,106 

 

Blackstone / GSO Long-Short Credit Income Fund 

For the Six

Months Ended

June 30, 2019

(Unaudited)

  

For the

Year Ended

December 31, 2018

 
Common shares outstanding - beginning of period   12,702,160    12,702,160 
Common shares issued as reinvestment of dividends   730    – 
Common shares outstanding - end of period   12,702,890    12,702,160 

 

Blackstone / GSO Strategic Credit Fund 

For the Six

Months Ended

June 30, 2019

(Unaudited)

  

For the

Year Ended

December 31, 2018

 
Common shares outstanding - beginning of period   44,664,382    44,664,382 
Common shares issued as reinvestment of dividends   –    – 
Common shares outstanding - end of period   44,664,382    44,664,382 

 

NOTE 7. LOANS AND OTHER INVESTMENTS

 

BSL defines “Senior Loans” as first lien senior secured, floating rate loans that are made to U.S. and, to a limited extent, non-U.S. corporations, partnerships and other business entities (“Borrowers”), which operate in various industries and geographical regions. BGX includes first and second lien secured, floating rate loans in its definition of “Secured Loans.” Under normal market conditions, at least 80% of BSL’s Managed Assets will be invested in Senior Loans and 70% of BGX’s Managed Assets (defined below) will be invested in Secured Loans. BGB defines its managed assets as net assets plus any borrowings for investment purposes, which includes effective leverage obtained through total return swaps, securities lending arrangements, credit default swaps or other derivative transactions ("BGB Managed Assets"). Under normal market conditions, at least 80% of BGB's Managed Assets will be invested in credit investments comprised of corporate fixed income instruments and other investments (including derivatives) with similar economic characteristics. BGX defines its managed assets as net assets plus any borrowings for investment purposes, which includes effective leverage obtained through securities lending, swap contract arrangements, and short selling or other derivative transactions (“BGX Managed Assets”). At June 30, 2019, 83.6% of BSL’s Managed Assets were held in Senior Loans, 86.5% of BGX's Managed Assets were held in Secured Loans, and 99.3% of BGB’s Managed Assets were held in corporate fixed income instruments including Senior Secured Loans.

 

Senior secured 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 that is senior to that held by unsecured creditors, subordinated debt holders and stockholders of the Borrower.

 

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

 

Loans are subject to the risk of payment defaults of scheduled interest or principal. Such non-payment could result in a reduction of income, a reduction in the value of the investment and a potential decrease in the net asset value of any of the Funds. 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 applicable Fund in the event of non-payment of scheduled interest or principal payments, or that such collateral could be readily liquidated. 

 

 

Semi-Annual Report | June 30, 2019 

 65

 

 

 

Blackstone / GSO Funds Notes to Financial Statements

 

June 30, 2019 (Unaudited)

 

 

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 the senior obligations of the Borrower. At June 30, 2019, BSL, BGX and BGB had invested $46,282,001, $50,629,337 and $173,877,334, respectively, in second lien secured loans. Second lien secured loans are considered Secured Loans for BGX and Senior Secured Loans for BGB, but are not considered Senior Loans for BSL.

 

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

 

The Funds may acquire Loans through assignments or participations. The Funds typically acquire these Loans through assignment, and if a Fund 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. 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 which seek to mitigate credit and counterparty risk in the atypical situation when the Funds must acquire a Loan through a participation.

 

BSL and BGX have invested in Collateralized Loan Obligation securities (“CLOs”). A CLO is a financing company (generally called a Special Purpose Vehicle (“SPV”)), created to reapportion the risk and return characteristics of a pool of assets. While the assets underlying a CLO are typically Secured Loans, the assets may also include (i) unsecured loans, (ii) debt securities that are rated below investment grade, and (iii) equity securities incidental to investments in Secured Loans. When investing in CLOs, each fund will not invest in equity tranches, which are the lowest tranche. However, each fund may invest in lower tranches of CLO debt securities, which typically experience a lower recovery, greater risk of loss or deferral or non-payment of interest than more senior debt tranches of the CLO. In addition, each fund intends to invest in CLOs consisting primarily of individual Secured Loans of Borrowers and not repackaged CLO obligations from other high risk pools. The underlying Secured Loans purchased by CLOs are generally performing at the time of purchase but may become non-performing, distressed or defaulted. CLOs with underlying assets of non-performing, distressed or defaulted loans are not contemplated to comprise a significant portion of each fund’s investments in CLOs. The key feature of the CLO structure is the prioritization of the cash flows from a pool of debt securities among the several classes of the CLO. The SPV is a company founded solely for the purpose of securitizing payment claims arising out of this diversified asset pool. On this basis, marketable securities are issued by the SPV which, due to the diversification of the underlying risk, generally represent a lower level of risk than the original assets. The redemption of the securities issued by the SPV typically takes place on a date earlier than legal maturity from refinancing of the senior debt tranches.

 

NOTE 8. CREDIT DEFAULT SWAPS

 

BGX may enter into over-the-counter (“OTC”) and/or centrally cleared credit default swap contracts and may also use credit default swaps to express a negative credit view on a loan or other investment. If BGX purchases protection under a credit default swap and no credit event occurs on the reference obligation, BGX will have made a series of periodic payments and recover nothing of monetary value. However, if a credit event occurs on the reference obligation, BGX (if the buyer of protection) will receive the full notional value of the reference obligation through a cash payment in exchange for the reference obligation or alternatively, a cash payment representing the difference between the expected recovery rate and the full notional value.

 

 

66 www.blackstone-gso.com

 

 

 

Blackstone / GSO Funds Notes to Financial Statements

 

June 30, 2019 (Unaudited)

 

The periodic swap payments received or made by BGX are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value, including the accrual of periodic amounts of interest, are recorded as unrealized appreciation (depreciation) and shown on BGX’s Statement of Operations. When the swap is terminated, BGX will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and BGX’s basis in the contract, if any. Generally, the basis of the contracts is the unamortized premium received or paid.

 

International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) govern OTC (“over the counter”) financial derivative transactions entered into by a Fund and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements.

 

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions. The Adviser selects only those counterparties that it believes are credit-worthy.

 

During the period ended June 30, 2019, BGX did not enter into any credit default swaps.

 

NOTE 9. LEVERAGE

 

On July 27, 2016 BGX and BGB issued 7-year Mandatory Redeemable Preferred Shares (“MRPS”). BGX issued 20,000 MRPS with a total liquidation value of $20,000,000 and BGB issued 45,000 MRPS with a total liquidation value of $45,000,000, rated “AA” by Fitch Ratings. BGB and BGX used the proceeds of the offerings to make additional investments for their portfolios. The final redemption date of the MRPS is July 27, 2023. BGB and BGX make quarterly dividend payments on the MRPS at an annual dividend rate of 3.61%. Due to the terms of the MRPS, face value approximates fair value at June 30, 2019. This fair value is based on Level 2 inputs under the three-tier fair valuation hierarchy (see Note 2).

 

In connection with BGB and BGX’s issuance of MRPS, certain costs were incurred by BGB and BGX and have been recorded net against the outstanding liability. These costs are being amortized over the period beginning July 27, 2016 (day of issuance) through July 27, 2023, the final redemption date. The net deferred financing costs as of June 30, 2019 are shown on BGB’s and BGX’s Statements of Assets and Liabilities. The amount of expense amortized during the period ended June 30, 2019 is shown on BGB’s and BGX’s Statements of Operations under amortization of deferred financing costs.

 

Except for matters which do not require the vote of Holders of MRPS under the 1940 Act and except as otherwise provided in BGB’s and BGX’s Declarations of Trust, Bylaws, or the applicable Securities Purchase Agreements or as otherwise required by applicable law, each holder of MRPS shall be entitled to one vote for each MRPS held on each matter submitted to a vote of shareholders of the Fund, and the holders of outstanding preferred shares and common shares shall vote together as a single class on all matters submitted to shareholders; provided, however, that the holders of outstanding preferred shares shall be entitled, as a class, to the exclusion of the holders of shares of all other classes of beneficial interest of the Fund, to elect two Trustees of the applicable Fund at all times.

 

Each Fund has entered into a separate Credit Agreement (each, an “Agreement”) with a bank to borrow money pursuant to a two-year revolving line of credit (“Leverage Facility”) for BSL, BGX and BGB. BSL entered into an agreement dated October 8, 2014, as amended on October 7, 2015, October 5, 2016, and October 4, 2017 and as further amended and restated on June 20, 2018, to borrow up to a limit of $142 million. BGX entered into an agreement dated July 29, 2014, as amended on January 26, 2015, July 28, 2015, July 26, 2016, July 25, 2017, and February 23, 2018 and as further amended and restated on June 20, 2018, and as further amended and restated on July 25, 2019 to borrow up to a limit of $122 million, with $41 million for tranche A loans (“BGX Tranche A Loans”) and $81 million for tranche B loans (“BGX Tranche B Loans”). BGB entered into an agreement dated December 21, 2012, as amended at December 20, 2013, December 19, 2014, December 18, 2015, July 26, 2016, December 16, 2016, December 20, 2017, as amended and restated on June 20, 2018, as amended on December 4, 2018 and as further amended and restated on January 11, 2019 to borrow up to a limit of $415 million, with $145 million for tranche A loans (“BGB Tranche A Loans” and collectively with BGX Tranche A Loans, the “Tranche A Loans”) and $270 million for tranche B loans (“BGB Tranche B Loans” and collectively with BGX Tranche B Loans, the “Tranche B Loans”). Borrowings under each Agreement are secured by the assets of each Fund.

 

Interest on BSL’s Leverage Facility is charged at a rate of 1.15% above LIBOR for short-term (one (1) month) LIBOR loans and 1.00% above LIBOR for long term (three (3) month, six (6) month or nine (9) month) LIBOR loans, with LIBOR measured for the period commencing on the date of the making of such LIBOR loan (or the last date upon which any other Loan was converted to, or continued as, such LIBOR loan) and ending on the numerically corresponding day in the calendar month that is one (1) week or one (1), two (2), three (3), six (6) or nine (9) months thereafter, as the Fund may elect, as applicable, or such other period as the lender may agree in its sole and absolute discretion. Interest on BGB’s and BGX’s Leverage Facilities is charged at a rate of 0.85% above LIBOR for Tranche A Loans, 1.15% above LIBOR for one (1) month interest period Tranche B Loans and 1.00% above LIBOR for three (3), six (6) and nine (9) months interest period Tranche B Loans, with LIBOR measured for the period commencing on the date of the making of such LIBOR Loan (or the last date upon which any other Loan was converted to, or continued as, such LIBOR Loan) and ending on the numerically corresponding day in the calendar month that is one (1) week or one (1), three (3), six (6) or nine (9) months thereafter, as the Fund may elect, or such other periods as the lender may agree in its sole and absolute discretion.

 

 

Semi-Annual Report | June 30, 2019 

 67

 

 

 

Blackstone / GSO Funds Notes to Financial Statements

 

June 30, 2019 (Unaudited)

 

Under the terms of the applicable Agreement, each Fund must pay a commitment fee on any undrawn amounts. The commitment fee payable in BSL is 0.20% on the undrawn amounts and in BGB and BGX, for each of Tranche A and Tranche B Loans is 0.15% on the undrawn amounts when drawn amounts exceed 75% of the borrowing limit and 0.25% on the undrawn amounts at any other time. Interest and fees are payable quarterly. Each Fund may elect to extend the applicable Agreement for a further period with the consent of the lending bank. At June 30, 2019, BSL, BGX, and BGB had borrowings outstanding under its respective Leverage Facility of $127,000,000, $110,500,000, and $368,000,000, at an interest rate of 3.51%, 3.46%, and 3.39%, respectively. Due to the short term nature of each Agreement, face value approximates fair value at June 30, 2019. This fair value is based on Level 2 inputs under the three-tier fair valuation hierarchy (see Note 2). For the period ended June 30, 2019, the average borrowings under BSL’s, BGX’s and BGB’s Leverage Facility and the average interest rates were $126,801,105, and 3.61%, $110,389,503, and 3.59%, and $368,248,619, and 3.49%, respectively.

 

Under each Agreement and each governing document of the MRPS, each Fund has agreed to certain covenants and additional investment limitations while the leverage is outstanding. Each Fund agreed to maintain asset coverage of three times over borrowings and BGX and BGB have agreed to maintain 225% asset coverage over borrowings plus MRPS. Compliance with the investment restrictions and calculations are performed by the Funds’ custodian, The Bank of New York Mellon.

 

The use of borrowings to leverage the common shares of the Funds can create risks. Changes in the value of the Funds’ portfolios, including securities bought with the proceeds of leverage, are borne entirely by the holders of common shares of the Funds. All costs and expenses related to any form of leverage used by the Funds are borne entirely by common shareholders. If there is a net decrease or increase in the value of the Funds’ investment portfolios, 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 Funds did not utilize leverage. During periods when BSL and BGB are using leverage, the fees paid to the Adviser for advisory services and to ALPS for administrative services are higher than if BSL and BGB did not use leverage because the fees paid are calculated on the basis of BSL and BGB’s Managed Assets, which include the assets purchased through leverage. As of June 30, 2019, BSL’s, BGX’s, and BGB’s leverage represented 33.19%, 39.14% and 37.23% of each Fund’s Managed Assets, respectively. The leverage amounts in BGX and BGB include 6.00% and 4.06% of Managed Assets attributable to the MRPS, respectively.

 

NOTE 10. TAX BASIS DISTRIBUTIONS

 

Ordinary income including net short-term capital gains, if any, and net long-term capital gains are allocated to common stockholders after payment of the available amounts on any outstanding term preferred shares. To the extent that the amount distributed to common stockholders exceeds the amount of available ordinary income and long-term capital gains after allocation to any outstanding term preferred shares, these distributions are treated as a tax return of capital. Additionally, to the extent that the amount distributed on any outstanding term preferred shares exceeds the amount of available ordinary income and long-term capital gains, these distributions are treated as a tax return of capital.

 

As determined on December 31, 2018, certain permanent differences between financial and tax accounting were reclassified. These differences were primarily due to the differing tax treatment of certain investments. The amounts reclassified did not affect net assets. The reclassifications were as follows:

 

Fund  Decrease
Paid-in capital		   Increase
Total Distributable Earnings		 
Blackstone / GSO Senior Floating Rate Term Fund  $(129,867)  $129,867 
Blackstone / GSO Long-Short Credit Income Fund  $(88,152)  $88,152 
Blackstone / GSO Strategic Credit Fund  $(245,787)  $245,787 

 

 

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Blackstone / GSO Funds Notes to Financial Statements

 

June 30, 2019 (Unaudited)

 

The tax character of distributions paid by the Funds during the fiscal year ended December 31, 2018 was as follows:

 

2018    

Blackstone / GSO

Senior Floating

Rate Term Fund

    

Blackstone / GSO

Long-Short

Credit Income Fund

    

Blackstone / GSO

Strategic

Credit Fund

 
Distributions Paid From: Ordinary Income   $21,551,497   $21,211,254(a)  $68,890,569(a)
Total   $21,551,497   $21,211,254   $68,890,569 

 

(a)Distributions paid include common shares and mandatory redeemable preferred shares.

 

Under the Regulated Investment Company Modernization Act of 2010 (the "RIC Mod Act"), net capital losses recognized by the Fund may get carried forward indefinitely, and retain their character as short-term and/or long-term losses. Any such losses will be deemed to arise on the first day of the next taxable year. The losses carried forward from December 31, 2018 were as follows:

 

Fund  Short Term   Long Term 
Blackstone / GSO Senior Floating Rate Term Fund  $–   $13,408,320 
Blackstone / GSO Long-Short Credit Income Fund  $1,075,555   $18,473,239 
Blackstone / GSO Strategic Credit Fund  $1,884,756   $67,764,612 

 

Capital losses arising in the post-October period of the current fiscal year may be deferred to the next fiscal year if the fund elects to defer the recognition of these losses. When this election is made any losses recognized during the period are treated as having occurred on the first day of the next fiscal year separate from and in addition to the application of normal capital loss carryovers as described above. At December 31, 2018, the Funds elected to defer the following post-October losses:

 

Fund  Capital Losses
Blackstone / GSO Senior Floating Rate Term Fund  $117,519 
Blackstone / GSO Strategic Credit Fund   4,288,118 

 

At December 31, 2018, the components of distributable earnings on a tax basis for the Funds were as follows:

 

   Blackstone / GSO
Senior Floating
Rate Term Fund		  Blackstone / GSO
Long-Short
Credit Income Fund		  Blackstone / GSO
Strategic
Credit Fund
Undistributed ordinary income  $617,538   $639,202   $1,122,033 
Accumulated capital losses   (13,525,839)   (19,548,794)   (73,937,486)
Unrealized depreciation   (22,089,723)   (19,375,052)   (83,094,103)
Other Cumulative effect of timing differences   –    (121,558)   (273,505)
Total  $(34,998,024)  $(38,406,202)  $(156,183,061)

 

At June 30, 2019, the amount of net tax unrealized appreciation/(depreciation) and the tax cost of investment securities, including short-term securities, were as follows*:

 

   Blackstone / GSO
Senior Floating
Rate Term Fund		  Blackstone / GSO
Long-Short
Credit Income Fund		  Blackstone / GSO
Strategic
Credit Fund
Cost of investments for income tax purposes  $400,953,841   $351,500,673   $1,191,057,768 
Gross appreciation (excess of value over tax cost)  $1,600,068   $1,972,618   $6,477,655 
Gross depreciation (excess of tax cost over value)   (20,852,822)   (18,314,918)   (80,942,141)
Net unrealized depreciation  $(19,252,754)  $(16,342,300)  $(74,464,486)

 

*Amounts computed using book/tax differences as of December 31, 2018.

 

 
Semi-Annual Report | June 30, 2019 69

 

 

 

Blackstone / GSO Funds Notes to Financial Statements

 

June 30, 2019 (Unaudited)

 

11. RECENT ACCOUNTING PRONOUNCEMENT

 

In March 2017, the FASB issued ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which provides guidance related to the amortization period for certain purchased callable debt securities purchased at a premium. Specifically, it required the premium to be amortized to the earliest call date. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. The Funds have adopted and applied ASU 2017-08 on a modified retrospective basis through a cumulative-effect adjustment as of the beginning of the period of adoption. As a result of the adoption of ASU 2017-08, as of January 1, 2019, the amortized cost basis of investments was reduced by $36, $83,122 and $201,554 for BSL, BGX and BGB respectively, and unrealized appreciation of investments was increased by corresponding amounts. The adoption of ASU 2017-08 had no impact on beginning net assets, the current period results from operations, or any prior period information presented in the financial statements. Management has evaluated the impact of this ASU and has adopted the changes into these financial statements.

 

NOTE 12. SUBSEQUENT EVENTS

 

In preparing these financial statements, the Funds’ management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.

 

Shareholder Distributions for BSL: On June 11, 2019, a monthly distribution of $0.111 per share was declared to common shareholders, payable on July 31, 2019 to common shareholders of record on July 24, 2019. On June 11, 2019, a monthly distribution of $0.111 per share was declared to common shareholders, payable August 30, 2019 to common shareholders of record on August 23, 2019.

 

Shareholder Distributions for BGX: On June 11, 2019, a monthly distribution of $0.122 per share was declared to common shareholders, payable on July 31, 2019 to common shareholders of record on July 24, 2019. On June 11, 2019, a monthly distribution of $0.122 per share was declared to common shareholders, payable August 30, 2019 to common shareholders of record on August 23, 2019.

 

Shareholder Distributions for BGB: On June 11, 2019, a monthly distribution of $0.114 per share was declared to common shareholders, payable on July 31, 2019 to common shareholders of record on July 24, 2019. On June 11, 2019, a monthly distribution of $0.114 per share was declared to common shareholders, payable August 30, 2019 to common shareholders of record on August 23, 2019.

 

 

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Blackstone / GSO Funds Summary of Dividend Reinvestment Plan

 

June 30, 2019 (Unaudited)

 

Pursuant to the Funds’ Dividend Reinvestment Plan (the “DRIP”), shareholders whose shares are registered in their own name may ‘‘opt-in’’ to the plan and elect to reinvest all or a portion of their distributions in common shares by providing the required enrollment notice to Computershare, the DRIP administrator. Shareholders whose shares are held in the name of a broker or other nominee may have distributions reinvested only if such a service is provided by the broker or the nominee or if the broker or the nominee permits participation in the DRIP. Shareholders whose shares are held in the name of a broker or other nominee should contact the broker or nominee for details. A shareholder may terminate participation in the DRIP at any time by notifying the DRIP administrator before the record date of the next distribution through the Internet, by telephone or in writing. All distributions to shareholders who do not participate in the DRIP, or have elected to terminate their participation in the DRIP, will be paid by check mailed directly to the record holder by or under the direction of the DRIP administrator when the Funds’ Board of Trustees declares a distribution.

 

When the Funds declare a distribution, shareholders who are participants in the applicable DRIP receive the equivalent of the amount of the distribution in common shares. If you participate in the DRIP, the number of common shares of the Funds that you will receive will be determined as follows:

 

(1) If the market price of the common shares plus any brokerage commissions on the payable date (or, if the payable date is not a New York Stock Exchange trading day, the immediately preceding trading day) for determining shareholders eligible to receive the relevant distribution (the ‘‘determination date’’) is equal to or exceeds 98% of the net asset value per common share, the Fund will issue new common shares at a price equal to the greater of:

 

(a) 98% of the net asset value per share at the close of trading on the New York Stock Exchange on the determination date or

 

(b) 95% of the market price per common share on the determination date.

 

(2) If 98% of the net asset value per common share exceeds the market price of the common shares plus any brokerage commissions on the determination date, the DRIP administrator will receive the distribution in cash and will buy common shares in the open market, on the New York Stock Exchange or elsewhere, for your account as soon as practicable commencing on the trading day following the determination date and terminating no later than the earlier of (a) 30 days after the distribution payment date, or (b) the record date for the next succeeding distribution to be made to the shareholders; except when necessary to comply with applicable provisions of the federal securities laws. If during this period: (i) the market price plus any brokerage commissions rises so that it equals or exceeds 98% of the net asset value per common share at the close of trading on the New York Stock Exchange on the determination date before the DRIP administrator has completed the open market purchases or (ii) the DRIP administrator is unable to invest the full amount eligible to be reinvested in open market purchases, the DRIP administrator will cease purchasing common shares in the open market and the Fund will issue the remaining common shares at a price per share equal to the greater of (a) 98% of the net asset value per share at the close of trading on the New York Stock Exchange on the determination date or (b) 95% of the then current market price per share.

 

The DRIP administrator maintains all shareholder accounts in the dividend reinvestment plan and furnishes written confirmations of all transactions in the account, including information needed by shareholders for personal and tax records. Common shares in the account of each DRIP participant are held by the DRIP administrator in non-certificated form in the name of the participant, and each shareholder’s proxy includes shares purchased pursuant to the DRIP.

 

There is no charge to participants for reinvesting regular distributions and capital gains distributions. The fees of the DRIP administrator for handling the reinvestment of regular distributions and capital gains distributions are included in the fee to be paid by us to our transfer agent. There are no brokerage charges with respect to shares issued directly by us as a result of regular distributions or capital gains distributions payable either in shares or in cash. However, each participant bears a pro rata share of brokerage commissions incurred with respect to the DRIP administrator’s open market purchases in connection with the reinvestment of such distributions. Shareholders that opt-in to the DRIP will add to their investment through dollar cost averaging. Because all dividends and distributions paid to such shareholder will be automatically reinvested in additional common shares, the average cost of such shareholder’s common shares will decrease over time. Dollar cost averaging is a technique for lowering the average cost per share over time if the Fund’s net asset value declines. While dollar cost averaging has definite advantages, it cannot assure profit or protect against loss in declining markets.

 

The automatic reinvestment of such dividends or distributions does not relieve participants of any income tax that may be payable on such dividends or distributions.

 

You may obtain additional information by contacting the DRIP administrator at the following address: Computershare, Attn: Sales Dept., P.O. Box 358035, Pittsburgh, PA 15252.

 

 

Semi-Annual Report | June 30, 2019 71

 

 

 

Blackstone / GSO Funds Additional Information

 

June 30, 2019 (Unaudited)

 

Portfolio Information. The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning April 30, 2019, the Funds will be required to use new Form N-PORT on a monthly basis to disclose portfolio holdings, with every third month made available to the public by the SEC 60 days after the end of the Funds’ fiscal quarter, and Form N-Q filings will no longer be required. The Funds’ Forms N-Q or Form N-PORT will be available (1) on the Funds’ website located at http://www.blackstone-gso.com or (2) on the SEC’s website at http://www.sec.gov.

 

Proxy Information. The policies and procedures used to determine how to vote proxies relating to securities held by the Funds are available (1) without charge, upon request, by calling 1-877-876-1121, (2) on the Funds’ website located at http://www.blackstone-gso.com, and (3) on the SEC’s website at http://www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available on Form N-PX by August 31 of each year (1) without charge, upon request, by calling 1-877-876-1121, (2) on the Funds’ website located at http://www.blacksone-gso.com, and (3) on the SEC’s website at http://www.sec.gov.

 

Senior Officer Code of Ethics. The Funds file a copy of their code of ethics that applies to the Funds’ principal executive officer, principal financial officer or controller, or persons performing similar functions, with the SEC as an exhibit to each annual report on Form N-CSR. This will be available on the SEC’s website at http://www.sec.gov.

 

BSL Meeting of Shareholders – Voting Results

On April 17, 2019, BSL held its Annual Meeting of Shareholders to consider the proposal set forth below. The following votes were recorded:

 

Proposal 1: The election of two (2) Trustees of BSL, to hold office for the term indicated and until his successor shall have been elected and qualified.

 

Election of Michael F. Holland as Class II Trustee of BSL, term to expire at 2022 Annual Meeting.

 

  Number of Shares % of Shares Voted
Affirmative 12,846,668 92.36%
Withheld 1,062,520 7.64%
Total 13,909,188 100.00%

 

Election of Daniel H. Smith, Jr. as Class II Trustee of BSL, term to expire at 2022 Annual Meeting.

 

  Number of Shares % of Shares Voted
Affirmative 13,155,430 94.58%
Withheld 753,758 5.42%
Total 13,909,188 100.00%

 

BGX Meeting of Shareholders – Voting Results

On April 17, 2019, BGX held its Annual Meeting of Shareholders to consider the proposal set forth below. The following votes were recorded:

 

Proposal 1: The election of two (2) Trustees of BGX, to hold office for the term indicated and until his successor shall have been elected and qualified.

 

Election of Michael F. Holland as Class I Trustee of BGX, term to expire at 2022 Annual Meeting (only preferred shareholders vote).

 

  Number of Shares % of Shares Voted
Affirmative 20,000 100.00%
Withheld – –
Total 20,000 100.00%

 

Election of Daniel H. Smith, Jr. as Class I Trustee of BSL, term to expire at 2022 Annual Meeting (common and preferred shareholders vote).

 

  Number of Shares % of Shares Voted
Affirmative 10,454,709 88.96%
Withheld 1,297,148 11.04%
Total 11,751,857 100.00%

 

 

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Blackstone / GSO Funds Additional Information

 

June 30, 2019 (Unaudited)

 

BGB Meeting of Shareholders – Voting Results

On April 17, 2019, BGB held its Annual Meeting of Shareholders to consider the proposal set forth below. The following votes were recorded:

 

Proposal 1: The election of two (2) Trustees of BGB, to hold office for the term indicated and until his successor shall have been elected and qualified.

 

Election of Michael F. Holland as Class III Trustee of BGB, term to expire at 2022 Annual Meeting (only preferred shareholders vote).

 

  Number of Shares % of Shares Voted
Affirmative 45,000 100.00%
Withheld – –
Total 45,000 100.00%

 

Election of Daniel H. Smith, Jr. as Class III Trustee of BGB, term to expire at 2022 Annual Meeting (common and preferred shareholders vote).

 

  Number of Shares % of Shares Voted
Affirmative 38,605,343.5 95.25%
Withheld 1,924,511.0 4.75%
Total 40,529,854.5 100.00%

 

 

Semi-Annual Report | June 30, 2019 73

 

 

 

Blackstone / GSO Funds Privacy Procedures

 

June 30, 2019 (Unaudited)

 

This privacy policy sets forth the Investment Manager’s policies with respect to nonpublic personal information of individual investors, shareholders, prospective investors and former investors of investment funds managed by the Investment Manager. These policies apply to individuals only and are subject to change.

 

FACTS WHAT DO BLACKSTONE REGISTERED FUNDS DO WITH YOUR PERSONAL INFORMATION?
Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
What?

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

●   Social Security number and income

●   Assets and investment experience

●   Risk tolerance and transaction history

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Blackstone Registered Funds (as defined below) choose to share; and whether you can limit this sharing.

 

Reasons we can share your personal information Do Blackstone Registered
Funds share?		 Can you limit this sharing?
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus Yes No
For our marketing purposes – to offer our products and services to you Yes No
For joint marketing with other financial companies No We don't share
For our affiliates' everyday business purposes – information about your transactions and experiences No We don't share
For our affiliates' everyday business purposes – information about your creditworthiness No We don't share
For our affiliates to market to you No We don't share
For nonaffiliates to market to you No We don't share

 

Questions? Email us at GLB.privacy@blackstone.com

Who We Are  
Who is providing this notice? Blackstone Registered Funds include Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II, Blackstone Real Estate Income Trust, Inc., Blackstone Alternative Investment Funds, on behalf of its series Blackstone Alternative Multi-Strategy Fund, Blackstone Diversified Multi-Strategy Fund, a sub-fund of Blackstone Alternative Investment Funds plc, and the GSO Funds, consisting of Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund, Blackstone / GSO Strategic Credit Fund, Blackstone / GSO Floating Rate Enhanced Income Fund and Blackstone / GSO Secured Lending Fund and Blackstone / GSO Floating Rate Enhanced Income Fund
What We Do  
How do Blackstone Registered Funds protect my personal information? To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.

 

 

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Blackstone / GSO Funds Privacy Procedures

 

June 30, 2019 (Unaudited)

 

How do Blackstone Registered Funds collect my personal information?

We collect your personal information, for example, when you:

●   open an account or give us your income information

●   provide employment information or give us your contact information

●   tell us about your investment or retirement portfolio

 

We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. 

Why can't I limit all sharing?

Federal law gives you the right to limit only:

●   sharing for affiliates’ everyday business purposes—information about your creditworthiness

●   affiliates from using your information to market to you

●   sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. 

What happens when I limit sharing for an account I hold jointly with someone else? Your choices will apply to everyone on your account—unless you tell us otherwise.
Definitions  
Affiliates

Companies related by common ownership or control. They can be financial and nonfinancial companies.

●   Our affiliates include companies with a Blackstone name and financial companies such as GSO Capital Partners LP and Strategic Partners Fund Solutions. 

Nonaffiliates

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

●   Blackstone Registered Funds do not share with nonaffiliates so they can market to you.

Joint marketing

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

●   Our joint marketing partners include financial services companies.

Other Important Information  

California Residents — In accordance with California law, we will not share information we collect about California residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will also limit the sharing of information about you with our affiliates to the extent required by applicable California law.

 

Vermont Residents — In accordance with Vermont law, we will not share information we collect about Vermont residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will not share creditworthiness information about Vermont residents among Blackstone Registered Funds’ affiliates except with the authorization or consent of the Vermont resident.

 

 

GDPR PRIVACY STATEMENT

 

DATA PRIVACY NOTICE FOR INVESTORS

 

Why are you seeing this notice?

 

●This Data Privacy Notice applies to you to the extent that European Union (“EU”) data protection legislation applies to our processing of your Personal Data (defined below) or to the extent you are a resident of the EU or the European Economic Area (“EEA”). If this Data Privacy Notice applies to you, you have certain rights with respect to your Personal Data which are contained in this Data Privacy Notice.

●You may need to provide Personal Data to us as part of your investment into a Fund.

●We want you to understand how and why we use, store and otherwise process your Personal Data when you deal with us or our relevant affiliates.

 

 

Semi-Annual Report | June 30, 2019 75

 

 

 

Blackstone / GSO Funds Privacy Procedures

 

June 30, 2019 (Unaudited)

 

●“Personal Data” has the meaning given in the EU data protection legislation and includes any information relating to an identifiable individual (such as name, address, date of birth or economic information).

 

Please read the information below carefully. It explains how and why Personal Data is processed by us.

 

Who is providing this notice?

 

The Fund is committed to protecting and respecting your privacy.

 

The Fund-related entities on whose behalf this privacy statement is made are: (i) the Fund, (ii) GSO / Blackstone Debt Funds Management LLC, (the “Investment Adviser”), (iii), their respective affiliates, and in each case such persons’ legal and other advisors and agents (together, the “Fund Parties”).

 

Where we use the terms “we”, “us” and “our” in this Data Privacy Notice, we are referring to the Fund and the Fund Parties.

 

When you provide us with your Personal Data, the Fund acts as a “data controller”. In simple terms, this means that:

 

●we “control” the Personal Data that you provide – including making sure that it is kept secure

●we make certain decisions on how to use and protect your Personal Data – but only to the extent that we have informed you about the use or are otherwise permitted by law

 

What Personal Data do we collect about you?

 

The types of Personal Data we collect and share depends on the product or service you have with us and the nature of your investment. This information can include or be related to:

 

●name, date of birth, country(ies) of citizenship, mailing and permanent address, email address, and telephone number
●photo identification, including passports, driving license, and other government-issued IDs
●bank and brokerage account information, including routing and account numbers
●national insurance number and tax identification number

●source of wealth, employment information, education history, number of dependents and income
●assets and liabilities
●investment strategy, experience, and activity

●risk tolerance and transaction history
●internet protocol address

●cookie identification
●information about your third-party representatives

 

The Personal Data collected about you will help us provide you with a better service and facilitate our business relationship.

 

●We may combine Personal Data that you provide to us with Personal Data that we collect from, or about you, in some circumstances.
●This will include Personal Data collected in an online or offline context.

 

 

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Blackstone / GSO Funds Privacy Procedures

 

June 30, 2019 (Unaudited)

 

Where do we obtain your Personal Data?

 

We collect, and have collected, Personal Data about you from a number of sources, including from you directly:

 

WHAT HOW

Personal Data

that you give us

●   from the forms and any associated documentation that you complete when subscribing for an investment, shares and/or opening an account with us. This will include information about your name, address, date of birth, passport details or other national identifier, driving licence, your national insurance or social security number and income, employment information and details about your investment or retirement portfolio(s)

●   when you provide it to us in correspondence and conversations

●   when you make transactions with respect to the Fund

●   when you purchase shares from us and/or tell us where to send money

Personal Data we

obtain from others

●   publicly available and accessible directories and sources

●   bankruptcy registers

●   tax authorities, including those that are based outside the United Kingdom and the EEA if you are subject to tax in another jurisdiction

●   governmental and competent regulatory authorities to whom we have regulatory obligations

 

Why do we process your Personal Data?

 

We process your Personal Data for the following reasons:

 

WHY HOW
Contract

It is necessary to perform our contract with you to:

●   administer, manage and set up your investor account(s) to allow you to purchase your holding (of shares) in our funds

●   meet the resulting contractual obligations we have to you

●   facilitate the continuation or termination of the contractual relationship between you and the Fund

●   facilitate the transfer of funds, and administering and facilitating any other transaction, between you and the Fund

Compliance with law

It is necessary for compliance with an applicable legal or regulatory obligation to which we are subject to:

●   undertake our client and investor due diligence, and on-boarding checks

●   carry out verification, know your client (KYC), terrorist financing and anti-money laundering checks

●   verify the identity and addresses of our investors (and, if applicable their beneficial owners)

●   comply with requests from regulatory, governmental, tax and law enforcement authorities

●   surveillance and investigation

●   carry out audit checks

●   maintain statutory registers

●   prevent and detect fraud

●   comply with sanctions laws 

 

 
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Blackstone / GSO Funds Privacy Procedures

 

June 30, 2019 (Unaudited)

 

Our legitimate interests

For our legitimate interests or those of a third party to:

●   manage and administer your holding in any funds in which you are invested, and any related accounts on an ongoing basis

●   assess and process any applications or requests made by you

●   open, maintain or close accounts in connection with your investment in, or withdrawal from, the Fund

●   send updates, information and notices or otherwise correspond with you in connection with your investment in the Fund

●   address or investigate any complaints, claims, proceedings or disputes

●   provide you with, and inform you about, our investment products and services

●   monitor and improve our relationships with investors

●   comply with applicable regulatory obligations

●   manage our risk and operations

●   comply with our accounting and tax reporting requirements

●   comply with our audit requirements

●   assist with internal compliance with our policies and process

●   ensure appropriate group management and governance

●   keep our internal records

●   prepare reports on incidents / accidents

●   protect our business against fraud, breach of confidence, theft of proprietary materials, and other financial or business crimes (to the extent that this is not required of us by law)

●   analyse and manage commercial risks

●   seek professional advice, including legal advice

●   enable any actual or proposed, assignee or transferee, participant or sub-participant of the Fund's or

●   Fund vehicles' rights or obligations to evaluate proposed transactions

●   facilitate business asset transactions involving the

●   Fund or Fund-related vehicles

●   monitor communications to/from us using our systems

●   protect the security and integrity of our IT systems

 

We only rely on these interests where we have considered that, on balance, our legitimate interests are not overridden by your interests, fundamental rights or freedoms.

 

Monitoring as described at (3) above

 

We monitor communications where the law requires us to do so. We will also monitor where we are required to do so to comply with our regulatory rules and practices and, where we are permitted to do so, to protect our business and the security of our systems.

 

Who we share your Personal Data with

 

We will share your Personal Data with the following persons for the following reasons:

 

WHO WHY
Fund associates

We share your Personal Data with our associates, related parties and members of our group. This is to:

●   manage our relationship with you

●   the purposes set out in this Data Privacy Notice

Fund Managers, Depositories, Administrators, Custodians, Investment Advisers

●   delivering the services you require

●   managing your investment

●   supporting and administering investment-related activities

●   complying with applicable investment laws and regulations

Fund and investment specific details of these third parties can be found in the relevant subscription documents you have been provided with 

 

 

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Blackstone / GSO Funds Privacy Procedures

 

June 30, 2019 (Unaudited)

 

Tax Authorities

●   to comply with applicable laws and regulations

●   where required by EEA tax authorities (who, in turn, may share your Personal Data with foreign tax authorities)

●   where required by foreign tax authorities, including outside of the EEA 

Service Providers

●   delivering and facilitating the services needed to support our business relationship with you

●   supporting and administering investment-related activities

Our lawyers, auditors and other professional advisors

●   providing you with investment-related services

●   to comply with applicable legal and regulatory requirements

 

In exceptional circumstances, we will share your Personal Data with:

 

●competent regulatory, prosecuting and other governmental agencies or litigation counterparties, in any country or territory

●organisations and agencies – where we are required to do so by law

 

Do you have to provide us with this Personal Data?

 

Unless otherwise indicated, you should assume that we require the Personal Data for business and/or compliance purposes.

 

Where we collect Personal Data from you that is purely voluntary and there are no implications for you if you do not wish to provide us with it, we will indicate as such.

 

Some of the Personal Data we request is necessary for us to perform our contract with you and if you do not wish to provide us with this Personal Data, it will affect our ability to provide our services to you and manage your investment.

 

Sending your Personal Data internationally

 

We will transfer your Personal Data to our group members, shareholders of the Fund and related parties, and to third party service providers outside of the EEA, which do not have similarly strict data protection and privacy laws.

 

Where we transfer Personal Data to other members of our group, or our service providers, we have put in place data transfer agreements and safeguards using European Commission approved terms.

 

Please contact us if you would like to know more about these agreements or receive a copy of them. Please see below for our contact details.

 

Consent – and your right to withdraw it

 

We do not generally rely on obtaining your consent to process your Personal Data.

 

If we do, you have the right to withdraw this consent at any time.

 

Please contact us or send us an email at GDPRqueries@blackstone.com at any time if you wish to do so.

 

Retention and deletion of your Personal Data

 

We keep your Personal Data for as long as it is required by us for our legitimate business purposes, to perform our contractual obligations, or where longer, such longer period as is required by law or regulatory obligations which apply to us.

 

●We will generally retain Personal Data about you throughout the life cycle of any investment you are involved in

●Some Personal Data will be retained after your relationship with us ends. As a general principle, we do not retain your Personal Data for longer than we need it.

 

 

Semi-Annual Report | June 30, 2019 79

 

 

 

Blackstone / GSO Funds Privacy Procedures

 

June 30, 2019 (Unaudited)

 

We will usually delete your Personal Data (at the latest) after you cease to be an investor in any investment vehicle related to the Fund and there is no longer any legal or regulatory requirement or other legitimate business purpose for retaining your Personal Data.

 

Your rights

 

You have certain data protection rights, including:

 

●the right to access your Personal Data

●the right to restrict the use of your Personal Data

●the right to have incomplete or inaccurate Personal Data corrected

●the right to ask us to stop processing your Personal Data
●the right to require us to delete your Personal Data in some limited circumstances

 

From 25 May 2018, you also have the right in some circumstances to request for us to “port” your Personal Data in a portable, re-usable format to other organisations (where this is possible).

 

Concerns or queries

 

We take your concerns very seriously. We encourage you to bring it to our attention if you have any concerns about our processing your Personal Data.

 

This Data Privacy Notice was drafted with simplicity and clarity in mind. We are, of course, happy to provide any further information or explanation needed. Our contact details are below.

 

If you want to make a complaint, you can also contact the body regulating data protection in your country, where you live or work, or the location where the data protection issue arose. A list of the EU data protection authorities is available by clicking this link: http://ec.europa.eu/newsroom/article29/item-detail.cfm?item_id=612080.

 

Contact us

 

Please contact us if you have any questions about this Data Privacy Notice or the Personal Data we hold about you.

 

Contact us by email at GDPRqueries@blackstone.com.

 

Contact us in writing using the address below:

 

Address The Blackstone Group Inc.
Attn: Legal and Compliance
345 Park Avenue
New York, NY 10154

 

Changes to this Data Privacy Notice

 

We keep this Data Privacy Notice under regular review.

 

This Data Privacy Notice was last updated on May 24, 2018.

 

 

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Blackstone / GSO Funds Approval of Investment Advisory Agreement

 

June 30, 2019 (Unaudited)

 

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the Board of Trustees (collectively, the “Board”) of each of Blackstone / GSO Senior Floating Rate Term Fund (“BSL”), Blackstone / GSO Long-Short Credit Income Fund (“BGX”), and Blackstone / GSO Strategic Credit Fund (“BGB,” and together with BSL and BGX, the “Funds” and each a “Fund”), including a majority of its members who are not considered to be “interested persons” under the 1940 Act (the “Independent Trustees”) voting separately, approve on an annual basis the continuation of the Fund’s investment advisory agreement (each an “Agreement” and, collectively, the “Agreements”) with the Fund’s investment adviser, GSO / Blackstone Debt Funds Management LLC (the “Adviser”). At a joint meeting (the “Contract Renewal Meeting”) held in person on May 30, 2019, the Board of each Fund, including the Independent Trustees, considered and approved the continuation of each Agreement for an additional one-year term. To assist in its consideration of the renewal of each of the Agreements, the Board requested, received and considered a variety of information (together with the information provided at the Contract Renewal Meeting, the “Contract Renewal Information”) about the Adviser, as well as the advisory arrangements for the Funds, certain portions of which are discussed below. In preparation for the Contract Renewal Meeting, the Independent Trustees met in person in a private session (the “Review Session”) prior to the Contract Renewal Meeting with counsel to the Independent Trustees (“Independent Counsel”) to review Contract Renewal Information received to that time. No representatives of the Funds, the Adviser, or Fund management were present at the Review Session. In addition to the Contract Renewal Information, the Board received performance and other information since each Fund’s inception related to the services rendered by the Adviser to such Fund. The Board’s evaluation took into account the information received since each Fund’s inception and also reflected the knowledge and familiarity gained as members of the Board with respect to the investment advisory and other services provided to each Fund by the Adviser under the Fund’s Agreement.

 

Board Approval of the Continuation of the Agreements

In its deliberations regarding renewal of each Agreement, the Board, including the Independent Trustees, considered various factors, including those set forth below.

 

Nature, Extent and Quality of the Services Provided to the Funds under the Agreements

The Board received and considered Contract Renewal Information regarding the nature, extent and quality of services provided to the Funds by the Adviser under the Agreements. The Board also reviewed Contract Renewal Information regarding the Funds’ compliance policies and procedures established pursuant to the 1940 Act and considered each Fund’s compliance record during the previous year and since its inception.

 

The Board reviewed the qualifications, backgrounds and responsibilities of the Funds’ senior personnel and the portfolio management team primarily responsible for the day-to-day portfolio management of each Fund. The Board also considered, based on its knowledge of the Adviser and its affiliates, the Contract Renewal Information and the Board’s discussions with the Adviser at the Contract Renewal Meeting, the general reputation and investment performance records of the Adviser and its affiliates and the financial resources of the corporate parent of the Adviser, The Blackstone Group Inc., available to support the Adviser’s activities in respect of the Funds.

 

The Board considered the responsibilities of the Adviser under each Fund’s Agreement, including the Adviser’s coordination and oversight of the services provided to the Fund by other unaffiliated parties.

 

In reaching its determinations regarding continuation of each Fund’s Agreement, the Board took into account that such Fund’s shareholders, in pursuing their investment goals and objectives, likely considered the reputation and the investment style, philosophy and strategy of the Adviser, as well as the resources available to the Adviser, in purchasing their shares.

 

Fund Performance

Among other things, the Board received and considered information and analyses (the “Broadridge Performance Information”) comparing the performance of each Fund with a group of funds (the “Peer Group”) selected by Broadridge Financial Solutions (“Broadridge”), an independent provider of investment company data, primarily from the Morningstar CEF Classification of US Senior Loan Funds Leveraged classification (the “Morningstar Senior Loan Leveraged Classification”), which consisted of 31 closed-end funds. The Peer Group funds were selected primarily from the Morningstar Senior Loan Leveraged Classification to be more comparable to the Funds based upon Broadridge’s consideration of the constituent funds’ investment style, share class characterization, and assets. The Board was provided with a description of the methodology used by Broadridge to select each Fund’s Peer Group. On May 23, 2019, each of the members of the Board and Independent Counsel participated in a conference call with Broadridge regarding the Broadridge Performance Information, including its peer grouping methodology and reporting format. Representatives of the Adviser also participated on that conference call. The Board noted Broadridge’s advice that the relatively limited number of closed-end funds compared to the open-end fund universe poses particular challenges for peer grouping.

 

The Peer Group for BSL consisted of eleven funds, including BSL, for each of the 1-, 3- and 5-year periods ended March 31, 2019 (such periods being hereinafter called the “1-year period”, the “3-year period” and the “5-year period”, respectively) with an emphasis on strategies that have high historical net portfolio allocations to bank loans. There was a single Peer Group for BGX and BGB, which consisted of ten funds, including both BGX and BGB, for each of the 1-, 3- and 5-year periods. The Peer Group for BGX and BGB included funds with historical portfolio allocations to bank loans greater than 20% and allowances for high-yield bonds. Most Peer Group funds, like BGX and BGB, had a majority of assets allocated to bank loans, while two Peer Group funds had less than 50% of assets in bank loans. Funds from outside the Morningstar Senior Loan Leveraged Classification with portfolio allocations to bank loans higher than 20% were included in the Peer Group for BGX and BGB. The Board noted that it had received and discussed with the Adviser information at periodic intervals since each Fund’s inception comparing such Fund’s performance against its benchmarks and its Peer Group funds. The Board considered the return volatility and Sharpe ratio (a measure of risk-weighted return) of each Fund relative to its Peer Group funds. The performance discussion below focuses on the comparison of the Funds’ performance relative to the Peer Groups, rather than to the broader Morningstar Senior Loan Leveraged Classification.

 

 

Semi-Annual Report | June 30, 2019 81

 

 

 

Blackstone / GSO Funds Approval of Investment Advisory Agreement

 

June 30, 2019 (Unaudited)

 

BSL  

The Broadridge Performance Information comparing BSL’s performance to that of the Peer Group based on net asset value (“NAV”) per share showed, among other things, that BSL’s returns, measured on a gross return basis, ranked third among its Peer Group funds for the 1-year period; ranked first among its Peer Group funds for the 3-year period; and ranked fourth among its Peer Group funds for the 5-year period. In these performance rankings, first represents the fund with the best returns in the Peer Group, whether measured on a gross or net return basis. BSL’s returns, measured on a net return basis, ranked fourth among its Peer Group funds for the 1-year period; ranked first among its Peer Group funds for the 3-year period; and ranked third among its Peer Group funds for the 5-year period. Whether measured on a gross or net return basis, BSL’s returns were better than the Peer Group median performance for each of the 1-, 3- and 5-year periods. The Board also considered BSL’s performance relative to its benchmark and in absolute terms. The Broadridge Performance Information showed that, measured on a gross return basis, BSL outperformed its benchmark for each of the 1-, 3-, and 5-year periods. Measured on a net return basis, BSL underperformed its benchmark for the 1-year period but outperformed its benchmark for each of the 3- and 5-year periods. The Broadridge Performance Information noted that BSL’s Sharpe ratio (a measure of risk-weighted return) compared favorably relative to the Peer Group indicating that BSL performed well relative to the Peer Group on a risk-adjusted basis too. On a gross return basis, BSL’s Sharpe ratio ranked first (i.e. best), first and eighth among its Peer Group funds, respectively, for the 1-, 3- and 5-year periods. On a net return basis, BSL’s Share ratio ranked fourth, first and eighth, respectively, among its Peer Group funds for the 1-, 3- and 5-year periods.

 

BGX  

The Broadridge Performance Information comparing BGX’s performance to that of the Peer Group based on NAV per share showed, among other things, that BGX’s returns, measured on a gross return basis, ranked third among its Peer Group funds for the 1-year period; ranked fifth among its Peer Group funds for the 3-year period; and ranked sixth among its Peer Group funds for the 5-year period. BGX’s returns, measured on a net return basis, ranked fifth among its Peer Group funds for each of the 1- and 3-year periods and ranked seventh among its Peer Group funds for the 5-year period. The Fund’s gross and net returns were better than the Peer Group median return in each of the 1- and 3-year periods and slightly below, but in line with, the Peer Group median for the 5-year period. The Board also considered BGX’s performance relative to its benchmark and in absolute terms. The Adviser noted that BGX on a gross return basis outperformed its benchmark for each of the 1-, 3-, and 5-year periods. On a net return basis, BGX underperformed its benchmark for the 1-year period but outperformed its benchmark for each of the 3- and 5-year periods. The Adviser noted, and the Broadridge Performance Information showed, that BGX’s Sharpe ratio on a gross or net return basis compared favorably to the other Peer Group funds for the 1- and 3-year periods, and was in line with the median Peer Group Sharpe ratio for the 5-year period.

 

BGB  

The Broadridge Performance Information comparing BGB’s performance to that of the Peer Group based on NAV per share showed, among other things, that BGB’s returns, measured on a gross return basis, ranked eighth among its Peer Group funds for the 1-year period and ranked seventh among its Peer Group funds for each of the 3- and 5-year periods. BGB’s returns, measured on a net return basis, ranked ninth among its Peer Group funds for the 1-year period; ranked seventh among its Peer Group funds for the 3-year period; and ranked tenth among its Peer Group funds for the 5-year period. The Fund’s returns on both a gross and net return basis were worse than the Peer Group median performance for each of the 1-, 3- and 5-year periods. The Board also considered BGB’s performance relative to its benchmark and in absolute terms. The Adviser noted that BGB on a gross basis outperformed its benchmark for each of the 1-, 3- and 5-year periods. On a net return basis, BGB underperformed its benchmark for the 1-year period, outperformed its benchmark for the 3-year period and, while slightly worse, was in line with its benchmark indices for the 5-year period. The Broadridge Performance Information showed that BGB’s Sharpe ratio, on a gross return basis, was ranked seventh among its Peer Group funds for the 1-year period; fourth among the Peer Group funds for the 3-year period; and ninth among the Peer Group funds for the 5-year period. BGB’s Sharpe ratio on a net return basis was ranked ninth for the 1-year period; fifth for the 3-year period; and ninth for the five year period.

 

In assessing Fund performance, the Adviser noted that the small number and varying investment strategies of funds in the Peer Groups for BSL, BGX and BGB made meaningful performance comparisons difficult. Broadridge itself noted that the relatively limited number of closed-end funds compared to the open-end funds poses particular challenges for peer grouping. The Adviser questioned whether the Morningstar Senior Loan Leveraged Classification provided relevant and appropriate performance comparisons in the case of BGX and BGB in light of their broader investment strategies. The Adviser also noted the particular limitations of the BGX and BGB Peer Groups, highlighting the wide range of investment strategies employed and returns achieved by funds in those Peer Groups (relative to the BSL Peer Group). In addition to the Broadridge Performance Information, the Board considered and gave significant weight to information provided by the Adviser regarding the Funds and the Morningstar Senior Loan Leveraged Classification and their respective Peer Groups as to differences in each fund’s portfolio composition by asset class, credit rating, investment size, and other relevant metrics.

 

 

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Blackstone / GSO Funds Approval of Investment Advisory Agreement

 

June 30, 2019 (Unaudited)

 

The Board also noted the comprehensive and rigorous credit review and other processes employed by the Adviser in managing the Funds’ investment portfolios as well as the Adviser’s arranging and management of the respective Funds’ leverage. Significantly, the Adviser noted that the leadership of the Funds’ portfolio management team changed in October 2015 and that the portfolio of each Fund had been repositioned to implement the strategies of the new team with a meaningful improvement in the Funds’ recent performance, particularly BSL. The Board gave significant weight to the changes made to the portfolio management team to address the Funds’ performance and to the Funds’ performance history under the new portfolio management team. Based on its review and considering other relevant factors, including those noted above, the Board concluded that, under the circumstances, continuation of each Fund’s Agreement for an additional period of one year would be consistent with the interests of the Fund’s shareholders.

 

Management Fees and Expenses

The Board reviewed and considered the investment advisory fee (the “Advisory Fee”) payable by each Fund to the Adviser under its Agreement in light of the nature, extent and overall quality of the investment advisory and other services provided by the Adviser to the Fund.

 

Additionally, the Board received and considered information and analyses (the “Broadridge Expense Information”) prepared by Broadridge, comparing, among other things, the Advisory Fee for each Fund and each Fund’s overall expenses with the Morningstar Senior Loan Leveraged Classification and the Fund’s Peer Group. The comparison was based upon the constituent funds’ latest fiscal years. The discussion below focuses on the Funds’ expenses relative to their respective Peer Groups, rather than to the broader Morningstar Senior Loan Leveraged Classification.

 

BSL  

The eleven funds in BSL’s Peer Group had average common share net assets ranging from $112.80 million to $879.60 million. Seven of the other funds in the Peer Group were larger than BSL and three were smaller. The Broadridge Expense Information, comparing BSL’s actual total expenses to the Peer Group, showed, among other things, that the Fund’s actual Advisory Fee (i.e., giving effect to any voluntary fee waivers implemented by the Adviser with respect to the Fund and by the managers of the other Peer Group funds) compared on the basis of common share net assets ranked ninth among the eleven funds in the Peer Group and was higher (i.e., worse) than the Peer Group median for that expense component. In these expense component rankings, first is best (i.e., lowest). The Fund’s actual total expenses compared on the basis of common share net assets ranked tenth among the funds in the Peer Group and were higher than the Peer Group median for that expense component. The Adviser noted that BSL’s term was extended effective November 17, 2017 and that BSL’s Advisory Fee was reduced in connection with its term extension.

 

BGX  

The ten funds in BGX’s Peer Group (which was the same as BGB’s Peer Group and included both BGX and BGB) had average common share net assets ranging from $162.40 million to $968.50 million. Seven of the other funds in the Peer Group were larger than BGX and two were smaller. The Broadridge Expense Information, comparing BGX’s actual total expenses to the Fund’s Peer Group, showed, among other things, that the Fund’s actual Advisory Fee compared on the basis of common share net assets ranked second among the funds in the Peer Group and was better (i.e., lower) than the Peer Group median for that expense component. The Fund’s actual total expenses compared on the basis of common share net assets ranked ninth among the funds in the Peer Group and were higher than the Peer Group median for that expense component.

 

BGB  

The ten funds in BGB’s Peer Group (which was the same as BGX’s Peer Group and included both BGB and BGX) had average common share net assets ranging from $162.40 million to $968.50 million. Two of the other funds in the Peer Group were larger than BGB and seven were smaller. The Broadridge Expense Information, comparing BGB’s actual total expenses to the Fund’s Peer Group, showed, among other things, that the Fund’s actual Advisory Fee compared on the basis of common share net assets ranked ninth among the funds in the Peer Group and was higher than the Peer Group median for that expense component. The Fund’s actual total expenses compared on the basis of common share net assets ranked eighth among the funds in the Peer Group and were higher than the Peer Group median for that expense component.

 

The Broadridge Expense Information noted that the gross expense ratios of BSL, BGX and BGB increased significantly in the past year due to increases in their leverage interest expense as applicable borrowing rates generally rose.

 

In its evaluation of the Advisory Fee and Broadridge Expense Information for each Fund, the Board took into account the complexity of such Fund’s investment program and the comprehensive and rigorous credit review and other processes employed by the Adviser in managing the Funds’ investment portfolios, including the Adviser’s prominence in the leveraged finance market and the strength of its investment management team and trading and middle office support. The Board further noted Broadridge’s advice that the relatively limited number of closed-end funds compared to the open-end fund universe poses particular challenges for peer grouping and that the small number and varying sizes of funds in the Funds’ Peer Groups made meaningful expense comparisons difficult. The Board considered the Adviser’s belief that smaller funds, such as BSL and BGX, may be disadvantaged in comparison with larger funds that have greater opportunities for economies of scale. The Board also considered the Adviser’s belief that other Peer Group funds that were launched prior to the financial crisis in 2008 and 2009 and that are parts of larger fund complexes than the Funds’ fund complex benefit from reduced cost-sharing opportunities and opportunities owing to economies of scale that are not available to the Funds. The Adviser provided and the Board considered expense information provided by the Adviser in support of this belief.

 

 

Semi-Annual Report | June 30, 2019 83

 

 

 

Blackstone / GSO Funds Approval of Investment Advisory Agreement

 

June 30, 2019 (Unaudited)

 

The Board also considered Contract Renewal Information regarding fees (including sub-advisory fees) charged by the Adviser to other U.S. clients investing primarily in an asset class similar to that of the Funds, including, where applicable, institutional commingled funds and exchange-traded funds. The Board was advised that the base fees paid by such institutional and other clients generally are lower, and may be significantly lower, than the Advisory Fee. The Contract Renewal Information discussed the significant differences in scope of services provided to the Funds and to these other clients, noting that the Funds were subject to heightened regulatory requirements relative to institutional clients; that the Funds were provided with administrative services, office facilities and Fund officers (including each Fund’s chief executive, chief financial and chief compliance officers); and that the Adviser manages the leverage arrangements of the Funds and coordinates and oversees the provision of services to the Funds by other fund service providers. The Board considered the fee comparisons in light of the different services provided in managing these other types of clients and funds.

 

Taking all of the above into consideration, the Board determined that the Advisory Fee for each Fund was reasonable in light of the nature, extent and overall quality of the investment advisory and other services provided to such Fund under its Agreement.

 

Profitability  

The Board, as part of the Contract Renewal Information, received an analysis of the profitability to the Adviser and its affiliates in providing services to each Fund for each of the past two fiscal years. In addition, the Board received Contract Renewal Information with respect to the Adviser’s revenue and cost allocation methodologies used in preparing such profitability data. The profitability analysis, among other things, indicated that the profitability to the Adviser in providing investment advisory and other services to each Fund was at a level which was not considered excessive by the Board in light of the nature, extent and overall quality of such services.

 

Economies of Scale  

The Board received and discussed Contract Renewal Information concerning whether the Adviser would realize economies of scale if the Funds’ assets grow. The Board noted that because each Fund is a closed-end fund with no current plans to seek additional assets beyond maintaining its dividend reinvestment plan, any significant growth in its assets generally will occur through appreciation in the value of each Fund’s investment portfolio, rather than sales of additional shares in the Fund. The Board determined that the Advisory Fee structure was appropriate under present circumstances.

 

Other Benefits to the Adviser  

The Board considered other benefits received by the Adviser and its affiliates as a result of the Adviser’s relationship with each of the Funds and did not regard such benefits as excessive.

 

* * * * *

 

In light of all of the foregoing and other relevant factors, the Board determined that, under the circumstances, continuation of each Fund’s Agreement would be in the interests of the Fund and its shareholders and unanimously voted to continue the Agreement for a period of one additional year.

 

No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve continuation of each Agreement for the next year, and each Board member attributed different weights to the various factors. The Independent Trustees were advised by separate independent legal counsel throughout the process. Prior to the Review Session and the Contract Renewal Meeting, the Board received a memorandum prepared by counsel to the Funds discussing its responsibilities in connection with the proposed continuation of the Agreements as part of the Contract Renewal Information and the Independent Trustees separately received a memorandum as to their responsibilities in this regard from their independent counsel. Prior to voting, the Independent Trustees discussed the proposed continuation of the Agreements in a private session with their independent legal counsel at which no representatives of the Adviser or Fund management were present.

 

 

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Blackstone / GSO Funds Trustees & Officers

June 30, 2019 (Unaudited)

 

The oversight of the business and affairs of the Funds is vested in the Board of Trustees. The Board of Trustees is classified into three classes—Class I, Class II and Class III—as nearly equal in number as reasonably possible, with the Trustees in each class to hold office until their successors are elected and qualified. At each annual meeting of shareholders, the successors to the class of Trustees whose terms expire at that meeting shall be elected to hold office for terms expiring at the later of the annual meeting of shareholders held in the third year following the year of their election or the election and qualification of their successors. The Funds’ executive officers were appointed by the Board of Trustees to hold office until removed or replaced by the Board of Trustees or until their respective successors are duly elected and qualified.

 

Below is a list of the Trustees and officers of the Funds and their present positions and principal occupations during the past five years. The business address of the Funds, the Trustees, the Funds’ officers, and the Adviser is 345 Park Avenue, 31st Floor, New York, NY 10154, unless specified otherwise below.

 

NON-INTERESTED TRUSTEES

Name, Address and

Year of Birth(1)

Position(s) Held
with the Funds

Term of Office

and Length of

Time Served

Principal Occupation(s)

During Past 5 Years

Number of

Portfolios in Fund
Complex

Overseen by

Trustee(2)

Other Directorships

Held by Trustee

Edward H. D'Alelio

Birth Year: 1952

 Lead Independent Trustee and member of Audit and Nominating and Governance Committees

Trustee Since:

BSL: April 2010

BGX: November 2010
BGB: May 2012

 

Term Expires:

BSL: 2020

BGX: 2020

BGB: 2020

 Mr D'Alelio was formerly a Managing Director and CIO for Fixed Income at Putnam Investments, Boston where he retired in 2002. He currently is an Executive in Residence with the School of Management, Univ. of Mass Boston. 7 Owl Rock Capital Corp. business development companies (3 portfolios overseen in Fund Complex).

Michael F. Holland

Birth Year: 1944

 Trustee and member of Audit and Nominating and Governance Committees

Trustee Since:

BSL: April 2010

BGX: November 2010
BGB: May 2012

 

Term Expires:

BSL: 2022

BGX: 2022

BGB: 2022

 Mr. Holland is the Chairman of Holland & Company, a private investment firm he founded in 1995. He is also President and Founder of the Holland Balanced Fund. 7 State Street Master Funds; Reaves Utility Income Fund; The China Fund, Inc. (until 2019); The Taiwan Fund, Inc. (until 2017).

Thomas W. Jasper

Birth Year: 1948

 Trustee, Chairman of Audit Committee and member of Nominating and Governance Committee

Trustee Since:

BSL: April 2010

BGX: November 2010
BGB: May 2012

 

Term Expires:

BSL: 2021

BGX:2021

BGB: 2021

 Mr. Jasper is the Managing Partner of Manursing Partners LLC, a consulting firm. He was Chief Executive Officer of Primus Guaranty, Ltd. from 2001-2010. 7 Ciner Resources LP (master limited partnership).

Gary S. Schpero

Birth Year: 1953

 Trustee, Chairman of Nominating and Governance Committee and member of Audit Committee

Trustee Since:

BSL: May 2012

BGX: May 2012

BGB: May 2012

 

Term Expires:

BSL: 2021

BGX:2021

BGB: 2021

 Mr. Schpero is retired. Prior to January 2000, he was a partner at the law firm of Simpson Thacher & Bartlett LLP where he served as managing partner of the Investment Management and Investment Company Practice Group. 4 AXA Premier VIP Trust; EQ Advisors Trust; 1290 Funds.

 

 

Semi-Annual Report | June 30, 2019 85

 

 

 

Blackstone / GSO Funds Trustees & Officers

 

June 30, 2019 (Unaudited)

 

INTERESTED TRUSTEE(3)

Name, Address and

Year of Birth(1)

Position(s) Held

with the Funds

Term of Office

and Length of

Time Served

Principal Occupation(s)

During Past 5 Years

Number of

Portfolios in Fund

Complex

Overseen by

Trustee(2)

Other Directorships

Held by Trustee

Daniel H. Smith, Jr.

Birth Year: 1963

 Chairman of the Board, President, Chief Executive Officer, Trustee

Trustee Since:

BSL: April 2010
BGX: November 2010

BGB: May 2012

 

Term Expires:

BSL: 2022

BGX: 2022

BGB: 2022

 Mr. Smith is a Senior Managing Director of The Blackstone Group Inc. and is Head of GSO / Blackstone Debt Funds Management LLC. Mr. Smith joined GSO from the Royal Bank of Canada in July 2005 where he was a Managing Partner and Co-head of RBC Capital Market's Alternative Investments Unit. 5 None.

 

OFFICERS          

Name, Address and

Year of Birth(1)

Position(s) Held

with the Funds

Term of Office
and Length of
Time Served

 Principal Occupation During the Past Five Years

Daniel H. Smith, Jr.

Birth Year: 1963

 

 Trustee, Chairman of the Board, President, Chief Executive Officer

Officer Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term of Office:

Indefinite

 Mr. Smith is a Senior Managing Director of The Blackstone Group Inc. and is Head of GSO / Blackstone Debt Funds Management LLC. Mr. Smith joined GSO from the Royal Bank of Canada in July 2005 where he was a Managing Partner and Co-head of RBC Capital Market's Alternative Investments Unit.

Robert W. Busch

Birth Year: 1982

 Chief Financial Officer and Treasurer

Officer Since:

BSL: March 2019

BGX: March 2019

BGB: March 2019

 

Term of Office:

Indefinite

 Robert W. Busch is a Senior Vice President of The Blackstone Group Inc. Before joining GSO, Mr. Busch worked previously at Fifth Street Asset Management from 2012 to 2018, where he was Senior Vice President of Finance and served as Controller of the firm’s two publicly traded business development companies and publicly traded alternative asset manager. Prior to that, Mr. Busch worked at Deloitte & Touche LLP, a global public accounting firm.

Robert Zable

Birth Year: 1972

 Executive Vice President and Assistant Secretary

Officer Since:

BSL: September 2015

BGX: September 2015

BGB: September 2015

 

Term of Office:

Indefinite

Mr. Zable is a Senior Managing Director of The Blackstone Group Inc. Before joining GSO, Mr. Zable was a Vice President at FriedbergMilstein LLC, where he was responsible for credit opportunity investments and junior capital origination and execution. Prior to that, Mr. Zable was a Principal with Abacus Advisors Group, a restructuring and distressed investment firm. Mr. Zable began his career at JP Morgan Securities Inc., where he focused on leveraged finance in New York and London.

 

 

86 www.blackstone-gso.com

 

 

 

Blackstone / GSO Funds Trustees & Officers

 

June 30, 2019 (Unaudited)

 

OFFICERS (continued)

Name, Address and

Year of Birth(1)

Position(s) Held

with the Funds

Term of Office
and Length of
Time Served

 Principal Occupation During the Past Five Years
Marisa Beeney
Birth Year: 1970		 Chief Compliance Officer, Chief Legal Officer and Secretary

Officer Since:

BSL: April 2010

BGX: November 2010
BGB: May 2012

 

Term of Office: Indefinite

 Ms. Beeney is a Senior Managing Director of The Blackstone Group Inc. and General Counsel of GSO. Before joining GSO, she was with the finance group of DLA Piper. Ms. Beeney began her career at Latham & Watkins LLP working primarily on project finance and development transactions, as well as other structured credit products.
Jane Lee
Birth Year: 1972		 Public Relations Officer

Officer Since:

BSL: November 2010
BGX: November 2010
BGB: May 2012

 

Term of Office: Indefinite

 Ms. Lee is a Senior Managing Director of The Blackstone Group Inc. and Head of GSO’s capital formation efforts. Ms. Lee joined GSO from Royal Bank of Canada in July 2005, where she was most recently a partner in the Debt Investments Group and was responsible for origination of new CLO transactions and investor relations.

 

(1)The address of each Trustee/Nominee and Officer, unless otherwise noted, is GSO Capital Partners LP, 345 Park Avenue, 31st Floor, New York, NY 10154.

(2)The “Fund Complex” consists of the Funds, Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund, Blackstone / GSO Strategic Credit Fund and Blackstone / GSO Floating Rate Enhanced Income Fund, as well as the “Blackstone Real Estate Funds,” (Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II and Blackstone Real Estate Income Master Fund), the “Blackstone Alternative Alpha Funds” (Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II and Blackstone Alternative Alpha Master Fund), Blackstone / GSO Secured Lending Fund, and the “Blackstone Alternative Investment Funds” (Blackstone Alternative Multi-Manager Fund and Blackstone Alternative Multi-Strategy Fund).

(3)"Interested person" of the Fund as defined in Section 2(a)(19) of the 1940 Act. Mr. Smith is an interested person due to his employment with the Adviser.

 

 

Semi-Annual Report | June 30, 2019 87

 

 

 

(BACK COVER)

 

 

 

Item 2.Code of Ethics.

 

Not applicable to this Report.

 

Item 3.Audit Committee Financial Expert.

 

Not applicable to this Report.

 

Item 4.Principal Accountant Fees and Services.

 

Not applicable to this Report.

 

Item 5.Audit Committee of Listed Registrants.

 

Not applicable to this Report.

 

Item 6.Investments.

 

(a)Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the Report to Stockholders filed under Item 1 of this Form N-CSR.

 

(b)Not applicable.

 

Item 7.Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable to this Report.

 

Item 8.Portfolio Managers of Closed-End Management Investment Companies.

 

(a)Not applicable to this Report.

 

(b)As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

 

 

Item 9.Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

None.

 

Item 10.Submission of Matters to a Vote of Security Holders.

 

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K, or this Item.

 

Item 11.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 (the “1940 Act”)) are effective 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 1940 Act) that occurred during the period covered by this Report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 

Item 12.Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 13.Exhibits.

 

(a)(1)Not applicable to this Report.

 

(a)(2)The certifications required by Rule 30a-2(a) under the 1940 Act are attached hereto as Exhibit 99.302Cert.

 

(a)(3)Not applicable to Registrant.

 

(a)(4)Not applicable.

 

(b)The certifications by the Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act, are attached hereto as Exhibit 99.906Cert.

 

 

 

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 Senior Floating Rate Term Fund

 

By: /s/ Daniel H. Smith, Jr.  
  Daniel H. Smith, Jr. (Principal Executive Officer)  
  President and Chief Executive Officer  
     
Date: September 4, 2019  

 

By: /s/ Robert W. Busch  
  Robert W. Busch (Principal Financial Officer)  
  Treasurer and Chief Financial Officer  
     
Date: September 4, 2019  

  

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.

 

Blackstone / GSO Senior Floating Rate Term Fund

 

By: /s/ Daniel H. Smith, Jr.  
  Daniel H. Smith, Jr. (Principal Executive Officer)  
  President and Chief Executive Officer  
     
Date: September 4, 2019  

 

By: /s/ Robert W. Busch  
  Robert W. Busch (Principal Financial Officer)  
  Treasurer and Chief Financial Officer  
     
Date: September 4, 2019