N-Q 1 tv503657_nq.htm N-Q

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

 

FORM N-Q

 

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number: 811-23221

 

 

 

FS Credit Income Fund

(Exact name of registrant as specified in charter)

 

 

 

201 Rouse Boulevard

Philadelphia, Pennsylvania

   19112
(Address of principal executive offices)   (Zip code)

 

 

 

Michael C. Forman

FS Credit Income Fund

201 Rouse Boulevard

Philadelphia, Pennsylvania 19112

(Name and address of agent for service) 

 

 

 

Registrant’s telephone number, including area code: (215) 495-1150

 

Date of fiscal year end: October 31

 

Date of reporting period: July 31, 2018

 

 

 

 

 

 

 

  

Item 1. Schedule of Investments.

 

FS Credit Income Fund (the “Fund”) is a Delaware statutory trust that is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a non-diversified, closed-end management investment company that operates as an interval fund pursuant to Rule 23c-3 under the 1940 Act. The Fund’s unaudited schedule of investments as of July 31, 2018 is set forth below: 

 

 1 

 

 

FS Credit Income Fund

Unaudited Schedule of Investments

As of July 31, 2018

(in thousands, except share and per share amounts)

 

Portfolio Company(a)  Footnotes  Industry  Principal
Amount(b)		   Amortized
Cost		   Fair
Value(c)		 
Senior Secured Loans—First Lien—17.3%                     
Abaco Energy Technologies LLC, L + 950, 1.0% Floor, 11/20/2020  (d) (e)  Independent Oil & Gas  $458   $456   $456 
AHP Health Partners, Inc., L + 450, 1.0% Floor, 6/15/2025  (d)  Healthcare   675    668    681 
Aleris International, Inc., L + 475, 1.0% Floor, 2/27/2023  (d)  Metals and Mining   675    668    683 
BPP Pristine US Mezz A LLC, L + 450, 1.0% Floor, 6/24/2020  (d)  Other Financial   1,900    1,881    1,881 
California Resources Corp., L + 475, 1.0% Floor, 12/31/2022  (d)  Independent Oil & Gas   1,168    1,199    1,191 
Comet Bidco Limited, L + 500, 1.0% Floor, 10/6/2024  (d) (e)  Consumer Cyclical Services   701    682    687 
Coronado Coal LLC, L + 650, 1.0% Floor, 3/29/2025  (d)  Metals and Mining   257    256    260 
Coronado Coal LLC, L + 650, 1.0% Floor, 3/29/2025  (d)  Metals and Mining   941    937    952 
East Valley Tourist Development Authority, L + 800, 1.0% Floor, 12/17/2021  (d)  Leisure   1,110    1,110    1,132 
Genworth Financial, Inc., L + 450, 1.0% Floor, 3/7/2023  (d)  Life Insurance   190    189    194 
HLF Financing S.a r.l., L + 550, 1.0% Floor, 2/15/2023  (d)  Pharmaceuticals   2,351    2,385    2,367 
Holland & Barrett International, E + 425, 1.0% Floor, 8/31/2024  (d) (e)  Consumer Cyclical Services  €400    455    453 
Jo-Ann Stores, Inc., L + 500, 1.0% Floor, 10/20/2023  (d) (e)  Retailers  $394    393    396 
McDermott Technology Americas Inc, L + 500, 1.0% Floor, 5/10/2025  (d)  Oil Field Services   329    328    332 
Modacin France SAS, L + 450, 11/20/2020  (d) (e)  Retailers  €435    453    449 
Neiman Marcus Group Ltd LLC, L + 325, 1.0% Floor, 10/25/2020  (d)  Retailers  $498    443    441 
NMI Holdings, Inc., L + 475, 1.0% Floor, 5/17/2023  (d)  Property & Casualty Insurance   310    308    313 
Onex TSG Holdings II Corp., L + 400, 1.0% Floor, 7/31/2022  (d) (e)  Healthcare   88    88    88 
Patterson Medical Holdings, Inc., L + 475, 1.0% Floor, 8/28/2022  (d)  Healthcare   469    449    454 
R1 RCM, Inc., L + 525, 1.0% Floor, 5/8/2025  (d)  Other Financial   715    710    716 
Red Ventures, LLC, L + 400, 1.0% Floor, 11/8/2024  (d)  Media Entertainment   262    260    264 
Seadrill Partners Finco LLC, L + 600, 1.0% Floor, 2/21/2021  (d)  Oil Field Services   488    428    457 
UTEX Industries Inc., L + 400, 5/22/2021  (d) (e)  Chemicals   564    561    560 
Valeant Pharmaceuticals International, Inc., L + 300, 1.0% Floor, 6/1/2025  (d)  Pharmaceuticals   210    209    210 
Value-Based Care Solutions, Inc., L + 425, 1.0% Floor, 7/10/2025  (d)  Healthcare   570    559    560 
Total Senior Secured Loans—First Lien              16,075    16,177 
                      
Senior Secured Loans—Second Lien—2.2%                     
Asurion LLC, L + 650, 1.0% Floor, 8/4/2025  (d)  Property & Casualty Insurance   450    449    458 
DG Investment Intermediate Holdings 2, Inc., L + 675, 1.0% Floor, 2/2/2026  (d)  Other Industrial   290    289    292 
Jo-Ann Stores, Inc., L + 925, 1.0% Floor, 5/21/2024  (d)  Retailers   325    320    322 
UTEX Industries Inc., L + 725, 1.0% Floor, 5/22/2022  (d) (e)  Chemicals   960    943    947 
Total Senior Secured Loans—Second Lien              2,001    2,019 
                      
Senior Secured Bonds—18.0%                     
ABG Orphan Holdco Sarl, 14.0%, 2/28/2021     Engineering & Construction   109    110    116 
Altice France SA, 8.1%, 2/1/2027  (f) (g)  Media Entertainment   940    954    959 
Ambac LSNI LLC, 7.3%, 2/12/2023  (f) (g)  Insurance   1,037    1,051    1,046 
Avantor, Inc., 4.8%, 10/1/2024  (f)  Healthcare-Products  €310    367    367 

 

See notes to unaudited schedule of investments.

 

 2 

 

 

FS Credit Income Fund

Unaudited Schedule of Investments (continued)

As of July 31, 2018

(in thousands, except share and per share amounts)

 

Portfolio Company(a)  Footnotes  Industry  Principal
Amount(b)		   Amortized
Cost		   Fair
Value(c)		 
Avon International Operations, Inc., 7.9%, 8/15/2022  (f) (g)  Household Products  $860   $861   $854 
BCD Acquisition, Inc., 9.6%, 9/15/2023  (f) (g)  Auto Manufacturers   620    672    654 
CGG Holding US, Inc., 7.9%, 5/1/2023  (f) (g)  Oil & Gas Services  €105    129    131 
Chembulk Holding LLC, 8.0%, 2/2/2023  (f) (g)  Transportation  $400    401    401 
CSI Compressco LP / CSI Compressco Finance, Inc., 7.5%, 4/1/2025  (f) (g)  Oil & Gas Services   1,432    1,443    1,431 
Denbury Resources, Inc., 9.3%, 3/31/2022  (f) (g)  Oil & Gas   896    946    952 
Douglas GmbH, 6.3%, 7/15/2022     Retail  €143    157    158 
Drax Finco Plc, 6.6%, 11/1/2025  (f) (g)  Electric  $235    235    237 
Eagle Bulk Shipco LLC, 8.3%, 11/28/2022     Transportation   446    445    459 
EP Energy LLC / Everest Acquisition Finance, Inc., 7.8%, 5/15/2026  (f) (g)  Oil & Gas   390    391    399 
Frontier Communications Corp., 8.5%, 4/1/2026  (f) (g)  Telecommunications   1,860    1,809    1,788 
HCA, Inc., 6.5%, 2/15/2020  (f)  Healthcare-Services   1,195    1,252    1,246 
Hexion, Inc., 10.4%, 2/1/2022  (f) (g)  Chemicals   1,300    1,279    1,282 
Hexion, Inc., 6.6%, 4/15/2020  (f)  Chemicals   111    102    105 
Hot Topic, Inc., 9.3%, 6/15/2021  (f) (g)  Retail   575    540    560 
Nomad Foods Bondco Plc, 3.3%, 5/15/2024  (f)  Food  €421    496    492 
Peabody Energy Corp., 6.0%, 3/31/2022  (f) (g)  Coal  $240    247    248 
Platin 1426 GmbH, 5.4%, 6/15/2023     Machinery-Diversified  €175    203    197 
Solocal Group, 8.0%, 3/15/2022     Internet   1,358    1,594    1,606 
Tendam Brands SAU, 5.0%, 9/15/2024     Retail   100    111    111 
Urban One, Inc., 7.4%, 4/15/2022  (f) (g)  Media Entertainment  $1,030    1,024    1,015 
Total Senior Secured Bonds              16,819    16,814 
                      
Unsecured Bonds—41.6%                     
AHP Health Partners, Inc., 9.8%, 7/15/2026  (f) (g)  Healthcare-Services   1,223    1,206    1,247 
Alta Mesa Holdings LP / Alta Mesa Finance Services Corp., 7.9%, 12/15/2024  (f)  Oil & Gas   691    726    728 
American Tire Distributors, Inc., 10.3%, 3/1/2022  (g)  Distribution/Wholesale   453    467    183 
Apex Tool Group LLC / BC Mountain Finance, Inc., 9.0%, 2/15/2023  (f) (g)  Hand/Machine Tools   300    294    287 
Aruba Investments, Inc., 8.8%, 2/15/2023  (f) (g)  Chemicals   1,389    1,431    1,436 
Banco de Sabadell SA, 6.5%     Commercial Banks  €800    910    969 
Barclays Plc, 8.3%  (f)  Commercial Banks  $246    251    251 
Bausch Health Companies, Inc., 4.5%, 5/15/2023     Pharmaceuticals  €1,324    1,482    1,497 
BMC Software Finance, Inc., 8.1%, 7/15/2021  (f) (g)  Software  $664    681    680 
Bombardier, Inc., 7.8%, 3/15/2020  (f) (g)  Aerospace/Defense   465    494    492 
CaixaBank SA, 5.3%     Commercial Banks  €200    213    222 
Catalent Pharma Solutions, Inc., 4.8%, 12/15/2024     Healthcare-Services   142    175    175 
CBS Radio, Inc., 7.3%, 11/1/2024  (f) (g)  Media Entertainment  $450    435    425 
Cequel Communications Holdings I LLC / Cequel Capital Corp., 7.5%, 4/1/2028  (f) (g)  Media Entertainment   947    956    980 
Citigroup, Inc., 6.0%  (f)  Commercial Banks   405    409    409 
Citigroup, Inc., 6.3%  (f)  Commercial Banks   85    88    89 
Compass Group Diversified Holdings LLC, 8.0%, 5/1/2026  (e) (g)  Investment Company Security   40    39    39 
Consolidated Energy Finance SA, 6.5%, 5/15/2026  (f) (g)  Chemicals   300    298    297 
Diamondback Energy, Inc., 4.8%, 11/1/2024  (f)  Oil & Gas   29    29    28 
Diamondback Energy, Inc., 5.4%, 5/31/2025  (f)  Oil & Gas   350    350    351 
Eagle Holding Co. II LLC, 7.6%, 5/15/2022  (f) (g)  Healthcare-Services   408    415    414 
Endeavor Energy Resources LP / EER Finance, Inc., 5.5%, 1/30/2026  (f) (g)  Oil & Gas   385    376    377 
Ensco Plc, 7.8%, 2/1/2026  (f)  Oil & Gas   1,199    1,139    1,166 
Envision Healthcare Corp., 6.3%, 12/1/2024  (f) (g)  Healthcare-Services   115    122    123 

  

See notes to unaudited schedule of investments.

 

 3 

 

 

FS Credit Income Fund

Unaudited Schedule of Investments (continued)

As of July 31, 2018

(in thousands, except share and per share amounts)

 

Portfolio Company(a)  Footnotes  Industry  Principal
Amount(b)		   Amortized
Cost		   Fair
Value(c)		 
Frontier California, Inc., 6.8%, 5/15/2027  (f)  Telecommunications  $2   $2   $2 
Frontier Communications Corp., 9.0%, 8/15/2031  (f)  Telecommunications   2,740    1,853    1,769 
Frontier Florida LLC, 6.9%, 2/1/2028  (f)  Telecommunications   4    4    4 
Frontier North, Inc., 6.7%, 2/15/2028  (f)  Telecommunications   523    456    469 
IAMGOLD Corp., 7.0%, 4/15/2025  (f) (g)  Mining   480    498    490 
InterXion Holding N.V., 4.8%, 6/15/2025  (f) (g)  Software  €800    941    973 
Jaguar Holding Co. II / Pharmaceutical Product Development LLC, 6.4%, 8/1/2023  (f) (g)  Commercial Services  $249    250    252 
JPMorgan Chase & Co., 6.1%  (f)  Commercial Banks   193    199    200 
KLX, Inc., 5.9%, 12/1/2022  (f) (g)  Aerospace/Defense   952    991    988 
LGI Homes, Inc., 6.9%, 7/15/2026  (f) (g)  Home Builders   1,435    1,424    1,437 
Liberty Interactive LLC, 3.8%, 2/15/2030  (f)  Media Entertainment   1,020    712    704 
Liberty Interactive LLC, 4.0%, 11/15/2029  (f)  Media Entertainment   701    496    482 
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.6%, 10/15/2023  (f) (g)  Healthcare-Products   1,102    924    950 
Methanex Corp., 5.7%, 12/1/2044  (e) (f)  Chemicals   757    736    722 
Natural Resource Partners LP / NRP Finance Corp., 10.5%, 3/15/2022  (f)  Coal   600    642    648 
Netflix, Inc., 3.6%, 5/15/2027  (f)  Internet  €213    249    246 
NOVA Chemicals Corp., 5.0%, 5/1/2025  (f) (g)  Chemicals  $480    458    457 
Oasis Petroleum, Inc., 6.3%, 5/1/2026  (f) (g)  Oil & Gas   300    301    302 
Parsley Energy LLC / Parsley Finance Corp., 5.4%, 1/15/2025  (f) (g)  Oil & Gas   100    102    100 
Parsley Energy LLC / Parsley Finance Corp., 5.3%, 8/15/2025  (f) (g)  Oil & Gas   820    815    814 
Parsley Energy LLC / Parsley Finance Corp., 5.6%, 10/15/2027  (f) (g)  Oil & Gas   85    88    85 
Puerto Rico Commonwealth Aqueduct & Sewer Auth., 5.0%, 7/1/2022  (f)  Municipal   10    8    8 
Puerto Rico Commonwealth Aqueduct & Sewer Auth., 5.0%, 7/1/2019  (f)  Municipal   460    383    385 
Puerto Rico Commonwealth Aqueduct & Sewer Auth., 6.0%, 7/1/2044  (f)  Municipal   125    104    106 
Puerto Rico Commonwealth Aqueduct & Sewer Auth., 6.0%, 7/1/2038  (f)  Municipal   570    425    482 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 5.5%, 8/1/2028  (f) (h) (j)  Municipal   30    9    13 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 5.3%, 8/1/2043  (f) (h) (j)  Municipal   55    17    23 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 5.3%, 8/1/2041  (f) (h) (j)  Municipal   30    9    12 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 5.5%, 8/1/2042  (f) (h) (j)  Municipal   40    12    17 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 5.4%, 8/1/2039  (f) (h) (j)  Municipal   30    9    13 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 6.8%, 8/1/2032  (f) (h) (j)  Municipal   4,910    1,553    2,065 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 6.0%, 8/1/2042  (f) (h) (j)  Municipal   30    9    13 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 6.4%, 8/1/2039  (f) (h) (j)  Municipal   45    14    19 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 5.8%, 8/1/2037  (f) (h) (j)  Municipal   45    14    19 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 5.5%, 8/1/2023  (f) (h) (j)  Municipal   25    8    10 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 5.5%, 8/1/2021  (f) (h) (j)  Municipal   900    275    378 

  

See notes to unaudited schedule of investments.

 

 4 

 

 

FS Credit Income Fund

Unaudited Schedule of Investments (continued)

As of July 31, 2018

(in thousands, except share and per share amounts)

 

Portfolio Company(a)  Footnotes  Industry  Principal
Amount(b)		   Amortized
Cost		   Fair
Value(c)		 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 0.0%, 8/1/2046  (f) (i) (j)  Municipal  $225   $46   $51 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 0.0%, 8/1/2044  (f) (i) (j)  Municipal   2,235    510    566 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 0.0%, 8/1/2043  (f) (i) (j)  Municipal   2,635    658    692 
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 6.1%, 8/1/2036  (f) (h) (j)  Municipal   1,250    862    1,049 
SemGroup Corp., 6.4%, 3/15/2025  (f)  Pipelines   245    233    237 
SemGroup Corp. / Rose Rock Finance Corp., 5.6%, 11/15/2023  (f)  Pipelines   1,265    1,211    1,210 
Shelf Drill Holdings Ltd., 8.3%, 2/15/2025  (f) (g)  Oil & Gas   744    753    760 
Societe Generale SA, 8.3%  (f)  Commercial Banks   247    251    251 
Spectrum Brands Holdings, 7.8%, 1/15/2022  (f)  Holding Companies-Diversified   204    212    210 
Sprint Capital Corp., 8.8%, 3/15/2032  (f)  Telecommunications   571    619    615 
Sprint Communications, Inc., 6.0%, 11/15/2022  (f)  Telecommunications   70    73    71 
Sterling Entertainment Enterprises, LLC, 10.3%, 1/15/2025     Media Entertainment   813    801    847 
SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp., 7.5%, 6/15/2025  (f) (g)  Coal   975    993    1,013 
Teck Resources Ltd., 6.1%, 10/1/2035  (f)  Mining   220    228    229 
Teck Resources Ltd., 5.4%, 2/1/2043  (f)  Mining   30    30    28 
Teekay Shuttle Tankers LLC, 7.1%, 8/15/2022  (f)  Transportation   600    607    592 
Transocean, Inc., 9.0%, 7/15/2023  (f) (g)  Oil & Gas   460    497    498 
Vizient Inc., 10.4%, 3/1/2024  (f) (g)  Pharmaceuticals   1,147    1,273    1,265 
XPO Logistics, Inc., 6.1%, 9/1/2023  (f) (g)  Transportation   245    252    252 
Total Unsecured Bonds              38,085    38,958 
                      
CLO / Structured Credit—20.2%                     
Ares European CLO B.V., 2.9%, 10/15/2030     EUR CLO  €1,290    1,497    1,503 
Ares European CLO B.V., 2.9%, 10/15/2030     EUR CLO   560    655    653 
Atrium XII, 5.1%, 4/22/2027  (g)  USD CLO  $250    250    250 
Babson Euro CLO 2015-1 B.V., 1.5%, 10/25/2029     EUR CLO  €305    350    351 
Bain Capital Credit CLO 2018-2, 4.3%, 7/19/2031  (g)  USD CLO  $250    250    250 
Battalion CLO IX Ltd., 5.6%, 7/15/2031  (g)  USD CLO   710    710    712 
BlueMountain Fuji EUR CLO III DAC, 1.0%, 1/15/2031  (e)  EUR CLO  €615    712    715 
Cairn CLO IV B.V., 5.7%, 1/30/2028     EUR CLO   200    231    228 
Cairn CLO VI B.V., 3.1%, 7/25/2029     EUR CLO   425    496    492 
Canyon Capital CLO 2016-1 Ltd., 4.2%, 7/15/2031  (g)  USD CLO  $250    250    250 
Carlyle Global Market Strategies CLO 2014-4-R Ltd., 4.9%, 7/15/2030  (g)  USD CLO   250    250    251 
Carlyle Global Market Strategies Euro CLO 2014-1 Ltd., 2.9%, 7/15/2031     EUR CLO  €340    396    388 
Carlyle Global Market Strategies Euro CLO 2015-2 DAC, 2.7%, 9/21/2029     EUR CLO   140    163    163 
Carlyle Global Market Strategies Euro CLO 2015-3 DAC, 2.6%, 7/15/2030     EUR CLO   275    323    314 
Cathedral Lake CLO 2013 Ltd., 4.6%, 10/15/2029  (g)  USD CLO  $275    275    276 
CFIP CLO 2017-1 Ltd., 4.4%, 1/18/2030  (g)  USD CLO   285    285    286 
Clarinda Park CLO DAC, 3.7%, 11/15/2029     EUR CLO  €280    327    329 
Euro-Galaxy IV CLO B.V., 3.1%, 7/30/2030     EUR CLO   280    330    329 
Grosvenor Place CLO 2015-1 B.V., 2.5%, 10/30/2029     EUR CLO   100    118    115 
Grosvenor Place CLO 2015-1 B.V., 5.4%, 10/30/2029     EUR CLO   100    121    115 
Grosvenor Place CLO 2015-1 B.V., 1.6%, 10/30/2029     EUR CLO   100    123    116 

 

See notes to unaudited schedule of investments.

 

 5 

 

 

FS Credit Income Fund

Unaudited Schedule of Investments (continued)

As of July 31, 2018

(in thousands, except share and per share amounts)

 

Portfolio Company(a)  Footnotes  Industry  Principal
Amount(b)		   Amortized
Cost		   Fair
Value(c)		 
Harvest CLO X DAC, 2.5%, 11/15/2028     EUR CLO  €390   $452   $454 
Harvest CLO X DAC, 4.7%, 11/15/2028     EUR CLO   220    261    255 
ICG US CLO Ltd. ICG 2014 1A CR 144A, 5.5%, 1/20/2030  (e)  USD CLO  $250    250    251 
Jubilee CLO 2017-XVIII B.V., 3.1%, 1/15/2030     EUR CLO  €185    216    216 
Kingsland IX Ltd., 4.2%, 4/28/2031  (g)  USD CLO  $200    200    200 
Kingsland IX Ltd., 4.7%, 4/28/2031  (g)  USD CLO   200    200    200 
Kingsland IX Ltd., 5.5%, 4/28/2031  (g)  USD CLO   200    198    200 
KKR Clo 16 Ltd., 6.4%, 1/20/2029  (g)  USD CLO   250    253    251 
Madison Park Funding XX Ltd., 5.3%, 7/27/2030  (g)  USD CLO   350    350    351 
Neuberger Berman CLO XV, 5.4%, 10/15/2029  (g)  USD CLO   670    672    671 
Neuberger Berman CLO XX Ltd., 4.7%, 1/15/2028  (g)  USD CLO   250    250    249 
OCP CLO 2015-10 Ltd., 4.9%, 10/26/2027  (g)  USD CLO   250    250    249 
OCP CLO 2015-8 Ltd., 4.2%, 4/17/2027  (g)  USD CLO   595    595    594 
OCP CLO 2017-14 Ltd., 4.3%, 11/20/2030  (g)  USD CLO   250    250    250 
Octagon Investment Partners XXII Ltd., 4.2%, 1/22/2030  (g)  USD CLO   250    250    250 
Orwell Park CLO Designated Activity Co., 4.5%, 7/18/2029     EUR CLO  €200    236    229 
Park Avenue Institutional Advisers CLO Ltd. 2017-1, 4.0%, 11/14/2029  (g)  USD CLO  $250    251    251 
Preferred Term Securities XX Ltd. / Preferred Term Securities XX, Inc., 2.8%, 3/22/2038  (g)  USD CDO   437    332    397 
Preferred Term Securities XXIV Ltd. / Preferred Term Securities XXIV, Inc., 2.7%, 3/22/2037  (g)  USD CDO   440    331    391 
Regatta XI Funding Ltd., 5.1%, 7/17/2031  (g)  USD CLO   250    250    248 
RR 4 Ltd., 5.0%, 4/15/2030  (g)  USD CLO   250    250    249 
Shackleton 2013-III CLO Ltd., 5.4%, 7/15/2030  (g)  USD CLO   250    250    250 
Sound Point CLO V-R Ltd., 5.4%, 7/18/2031  (g)  USD CLO   710    710    712 
Sound Point Clo XX Ltd., 5.3%, 7/26/2031  (g)  USD CLO   460    460    461 
St Pauls CLO II DAC, 3.4%, 2/15/2030     EUR CLO  €225    263    265 
Symphony CLO XIX Ltd., 4.9%, 4/16/2031  (g)  USD CLO  $250    248    248 
TCI-Cent Clo 2017-1 Income Note Issuer Ltd., 6.0%, 7/25/2030  (g)  USD CLO   500    504    504 
Tikehau CLO B.V., 4.6%, 8/4/2028     EUR CLO  €170    198    196 
Tikehau CLO B.V., 2.4%, 8/4/2028     EUR CLO   165    192    188 
Tymon Park CLO Ltd., 4.6%, 1/21/2029     EUR CLO   100    121    114 
Vibrant Clo VI Ltd., 4.9%, 6/20/2029  (g)  USD CLO  $425    427    426 
VOYA CLO Ltd., 4.7%, 1/18/2029  (g)  USD CLO   250    250    249 
Webster Park CLO Ltd., 5.2%, 7/20/2030  (g)  USD CLO   250    250    250 
Willow Park CLO 1X C, 2.8%, 1/15/2031     EUR CLO  €270    309    309 
York Clo-3 Ltd., 4.8%, 10/20/2029     USD CLO  $288    288    288 
Total CLO / Structured Credit              18,879    18,952 
                      
Emerging Markets Debt—3.1%                     
Oi S.A., 10.0%, 7/27/2025     Wirelines   441    421    491 
Provincia de Entre Rios Argentina, 8.8%, 2/8/2025  (f)  Municipal   1,905    1,851    1,640 
Provincia de la Rioja, 9.8%, 2/24/2025  (f)  Provincial   830    859    765 
Total Emerging Markets Debt              3,131    2,896 

 

See notes to unaudited schedule of investments.

 

 6 

 

 

FS Credit Income Fund

Unaudited Schedule of Investments (continued)

As of July 31, 2018

(in thousands, except share and per share amounts)

 

Portfolio Company(a)  Footnotes  Industry  Number of
Shares		   Cost(b)   Fair
Value(c)		 
 
Equity / Other—0.4%                     
Oi S.A. ADR, ADR  (j)  Wirelines   86,896   $354   $343 
Oi S.A. ADR, Warrants, 10/21/2019  (j)  Wirelines   6,208    25    25 
Total Equity / Other              379    368 

 

Portfolio Company(a)  Footnotes     Number of
Shares		   Cost(b)   Fair
Value(c)		 
Short-Term Investments—3.7%                     
State Street Institutional Treasury Plus Money Market Fund – Institutional Class, 1.8%  (k)      3,423,842   $3,424   $3,424 
Total Short-Term Investments              3,424    3,424 
TOTAL INVESTMENTS—106.5%             $98,793   $99,608 

 

Investments Sold Short

 

Portfolio Company(a)  Footnotes  Industry  Principal
Amount(b)		   Amortized
Cost		   Fair
Value(c)		 
U.S. Treasury—(0.9)%                     
U.S. Treasury Note, 2.8%, 8/15/2047  (j)  Sovereign   228   $(213)   (214)
U.S. Treasury Note, 2.4%, 5/15/2027  (j)  Sovereign   647    (618)   (618)
Total Investments Sold Short              (831)   (832)
LIABILITIES IN EXCESS OF OTHER ASSETS—(5.6)%                   (5,215)
NET ASSETS—100.0%                  $93,561 
Shares outstanding at period end (Class A)                   6,902 
Net asset value per common share at period end (Class A)                  $12.96 
Shares outstanding at period end (Class I)                   7,199,629 
Net asset value per common share at period end (Class I)                  $12.98 

 

See notes to unaudited schedule of investments.

 

 7 

 

 

FS Credit Income Fund

Unaudited Schedule of Investments (continued)

As of July 31, 2018

(in thousands, except share and per share amounts)

 

Forward Foreign Currency Exchange Contracts

 

Counterparty  Contract
Settlement
Date		  Currency
to be
Received		  Value   Currency
to be
Delivered		  Value   Unrealized
Appreciation		   Unrealized
Depreciation		 
JPMorgan Chase Bank  12/19/2018  USD   179   BRL  $682   $1   $— 
JPMorgan Chase Bank  12/19/2018  USD   147   BRL   561    1    — 
JPMorgan Chase Bank  12/19/2018  USD   128   BRL   487    —    (7)
JPMorgan Chase Bank  12/19/2018  USD   105   BRL   401    —    (5)
JPMorgan Chase Bank  12/19/2018  USD   782   EUR   661    —    (1)
JPMorgan Chase Bank  12/19/2018  USD   2,357   EUR   1,993    —    (8)
JPMorgan Chase Bank  12/19/2018  USD   533   EUR   451    —    — 
JPMorgan Chase Bank  12/19/2018  USD   293   EUR   248    —    (1)
JPMorgan Chase Bank  12/19/2018  USD   285   EUR   241    —    — 
JPMorgan Chase Bank  12/19/2018  USD   662   EUR   560    —    (1)
JPMorgan Chase Bank  12/19/2018  USD   351   EUR   297    —    — 
JPMorgan Chase Bank  12/19/2018  USD   805   EUR   681    —    (6)
State Street Bank and Trust Company  12/19/2018  USD   564   EUR   477    —    (5)
State Street Bank and Trust Company  12/19/2018  USD   406   EUR   343    —    — 
State Street Bank and Trust Company  12/19/2018  USD   380   EUR   321    1    — 
JPMorgan Chase Bank  12/19/2018  USD   203   EUR   172    —    (1)
State Street Bank and Trust Company  12/19/2018  USD   356   EUR   301    3    — 
State Street Bank and Trust Company  12/19/2018  USD   1,035   EUR   875    13    — 
State Street Bank and Trust Company  12/19/2018  USD   465   EUR   393    6    — 
JPMorgan Chase Bank  12/19/2018  USD   491   EUR   415    4    — 
JPMorgan Chase Bank  12/19/2018  USD   72   EUR   61    1    — 
JPMorgan Chase Bank  12/19/2018  USD   114   EUR   96    1    — 
JPMorgan Chase Bank  12/19/2018  USD   388   EUR   328    4    — 
State Street Bank and Trust Company  12/19/2018  USD   556   EUR   470    6    — 
State Street Bank and Trust Company  12/19/2018  USD   46   EUR   39    1    — 
BNP Paribas Securities Co.  12/19/2018  USD   99   EUR   84    1    — 
BNP Paribas Securities Co.  12/19/2018  USD   490   EUR   414    5    — 
JPMorgan Chase Bank  12/19/2018  BRL   282   USD   74    —    (1)
JPMorgan Chase Bank  12/19/2018  BRL   231   USD   61    —    (1)
JPMorgan Chase Bank  12/19/2018  EUR   2,811   USD   3,324    10    — 
JPMorgan Chase Bank  12/19/2018  EUR   1,393   USD   1,647    5    — 
JPMorgan Chase Bank  12/19/2018  EUR   2,094   USD   2,476    7    — 
Total Foreign Currency Exchange Contracts               $70   $(37)

 

BRL – Brazilian Real.

EUR – Euro.

USD – U.S. Dollar.

 

See notes to unaudited schedule of investments.

 

 8 

 

 

FS Credit Income Fund

Unaudited Schedule of Investments (continued)

As of July 31, 2018

(in thousands, except share and per share amounts)

 

Futures Contracts

 

Description  Number of
Contracts		  Position  Expiration
Date		  Notional
Amount		   Unrealized
Appreciation		   Unrealized
Depreciation		 
Interest Rate Futures                        
U.S 10-Year Treasury Note  (31)  Short  9/19/2018  $(3,701)  $—   $(1)
Total Interest Rate Futures                $—   $(1)

 

Cross-Currency Basis Swaps

 

Counterparty  Fund Pays  Fund Receives  Notional  Amount   Expiration
Date		  Periodic
Payment
Frequency		  Premiums
Paid/
(Received)		   Value ($)   Unrealized
Appreciation		   Unrealized
Depreciation		 
JPMorgan Chase Bank N.A. New York  3 Month EURIBOR plus a spread of (0.33375%)  3 Month USD LIBOR  EUR   347   1/16/2023  Quarterly  $—   $15   $15   $— 
JPMorgan Chase Bank N.A. New York  3 Month EURIBOR plus a spread of (0.33375%)  3 Month USD LIBOR  EUR   1,209   1/16/2023  Quarterly   —    53    53    — 
JPMorgan Chase Bank N.A. New York  3 Month EURIBOR plus a spread of (0.33375%)  3 Month USD LIBOR  EUR   1,407   7/20/2023  Quarterly   (1)   6    7    — 
JPMorgan Chase Bank N.A. New York  3 Month EURIBOR plus a spread of (0.33375%)  3 Month USD LIBOR  EUR   2,719   7/20/2023  Quarterly   (2)   11    13    — 
JPMorgan Chase Bank N.A. New York  3 Month EURIBOR plus a spread of (0.33375%)  3 Month USD LIBOR  EUR   2,080   7/20/2023  Quarterly   (2)   8    10    — 
JPMorgan Chase Bank N.A. New York  3 Month EURIBOR plus a spread of (0.33375%)  3 Month USD LIBOR  EUR   963   6/01/2023  Quarterly   —    —    —    — 
                            $93   $98   $— 

 

EURIBOR – Euro Interbank Offered Rate (As of July 31, 2018, Three Month EURIBOR was (0.32)%)

LIBOR – London Interbank Offered Rate (As of July 31, 2018, Three Month USD LIBOR was 2.35%)

 

Interest Rate Swaps

 

Counterparty  Fund
Pays		   Fund
Receives		  Notional  Amount   Expiration
Date		  Periodic
Payment
Frequency		  Premiums
Paid/
(Received)		   Value ($)   Unrealized
Appreciation		   Unrealized
Depreciation		 
JPMorgan Chase Bank N.A. New York   2.89%  3 Month Libor  USD   648   6/27/2023  Semi-Annually  $—   $2   $2   $— 
JPMorgan Chase Bank N.A. New York   2.87%  3 Month Libor  USD   1,512   7/2/2023  Semi-Annually   —    8    8    — 
JPMorgan Chase Bank N.A. New York   2.86%  3 Month Libor  USD   864   6/29/2023  Semi-Annually   —    4    4    — 
JPMorgan Chase Bank N.A. New York   2.88%  3 Month Libor  USD   1,204   7/9/2023  Semi-Annually   —    —    —    — 
JPMorgan Chase Bank N.A. New York   3.06%  3 Month Libor  USD   160   1/28/2029  Semi-Annually   —    —    —    — 
JPMorgan Chase Bank N.A. New York   3.06%  3 Month Libor  USD   326   1/28/2029  Semi-Annually   —    —    —    — 
JPMorgan Chase Bank N.A. New York   3.05%  3 Month Libor  USD   189   12/14/2048  Semi-Annually   —    —    —    — 
                              $14   $14   $— 

 

See notes to unaudited schedule of investments.

 

 9 

 

 

FS Credit Income Fund

Unaudited Schedule of Investments (continued)

As of July 31, 2018

(in thousands, except share and per share amounts)

 

Total Return Debt Swaps

 

Counterparty  Fund Pays  Fund Receives  Notional  Amount   Expiration
Date		  Periodic
Payment
Frequency		  Premiums
Paid/
(Received)		   Value ($)   Unrealized
Appreciation		   Unrealized
Depreciation		 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.45%  San Antonio Housing Finance Corporation Multifamily Housing Revenue Bonds (Costa Miranda Apartments Project, 6.10%), Series 2006  USD   601   10/1/2050  Monthly  $—   $(3)  $—   $(3)
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.45%  California Statewide Communities Development Authority Multifamily Housing Revenue Bonds (Parkview Senior Apartments Project, 5.75%), Series 2005U  USD   178   2/1/2049  Monthly   —    —    —    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.45%  Texas Department of Housing and Community Affairs Multifamily Housing Revenue Bonds (Churchill at Pinnacle Park, 6.55%), Series 2004  USD   494   7/1/2044  Monthly   (1)   —    1    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.45%  District of Columbia Housing Finance Agency Multifamily Housing Revenue Bonds (Carver Apartments Project, 5.88%), Series 2006  USD   369   10/1/2049  Monthly   —    1    1    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.45%  Houston Housing Finance Corporation Multifamily Housing Revenue Bonds (Kensington Place Apartments, 6.50%), Series 2004  USD   631   2/1/2048  Monthly   (1)   —    1    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.45%  City of Los Angeles Multifamily Housing Revenue Bonds (Lexington Preservation Apartments, 6.50%), Series 2005D  USD   439   9/1/2043  Monthly   (1)   —    1    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.45%  California Statewide Communities Development Authority Multifamily Housing Revenue Bonds (Rose of Sharon Senior Homes, 5.85%) Series 2006PP  USD   273   3/1/2045  Monthly   (1)   —    1    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.45%  City of Roseville, Minnesota Multifamily Housing Revenue Bonds (Centennial Apartments Project, 5.75%) Series 2007  USD   609   1/1/2051  Monthly   —    —    —    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.45%  Louisiana Housing Finance Agency Multifamily Housing Revenue Bonds (The Crossings Apartments, 6.15%) Series 2006  USD   374   5/1/2048  Monthly   —    1    1    — 

 

See notes to unaudited schedule of investments.

 

 10 

 

 

FS Credit Income Fund

Unaudited Schedule of Investments (continued)

As of July 31, 2018

(in thousands, except share and per share amounts)

 

Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.45%  Massachusetts Development Finance Agency Housing Revenue Bonds(East Canton Apartments Project, 5.90%) Series 2006A  USD   587   5/1/2055  Monthly   —    1    1    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.45%  South Carolina State Housing Finance and Development Authority Multifamily Housing Revenue Bonds (Wyndham Pointe Apartments Project, 6.60%) Series 2004  USD   362   9/1/2048  Monthly   —    —    —    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.45%  San Antonio Housing Finance Corporation Multifamily Housing Revenue Bonds (The Villas at Costa Cadiz , 6.50%) Series 2004  USD   409   1/1/2049  Monthly   (1)   2    3    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.45%  Texas Department of Housing and Community Affairs Multifamily Housing Revenue Bonds (Santora Villas Apartments, 5.80%) Series 2007  USD   619   5/1/2047  Monthly   —    1    1    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.30%  San Antonio Housing Finance Corporation Multifamily Housing Revenue Bonds (Artisan at Salado Heights, 5.80%), Series 2006  USD   700   5/1/2050  Monthly   —    2    2    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.30%  District of Columbia Housing Finance Agency Multifamily Housing Revenue Bonds (Galen Terrace Apartments Project, 6.00%), Series 2006  USD   221   2/1/2049  Monthly   (1)   —    1    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.30%  City of Los Angeles Multifamily Housing Revenue Bonds (Windward Preservation Apartments, 5.85%), Series 2006C  USD   404   10/1/2044  Monthly   —    1    1    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.30%  California Statewide Communities Development Authority Multifamily Housing Revenue Bonds (La Mission Village Apartments Project, 5.75%), Series 2006Q  USD   223   5/1/2049  Monthly   —    1    1    — 
Bank of America, N.A.  SIFMA Municipal Swap Index plus a spread of 1.30%  Sacramento Housing Authority Multifamily Revenue Bonds (Willow Glen Apartments, 5.75%), Series 2007F  USD   247   4/1/2056  Monthly   —    1    1    — 
                            $8   $17   $(3)

 

See notes to unaudited schedule of investments.

 

 11 

 

 

FS Credit Income Fund

Unaudited Schedule of Investments (continued)

As of July 31, 2018

(in thousands, except share and per share amounts)

 

 

(a)Security may be an obligation of one or more entities affiliated with the named company.
(b)Denominated in U.S. dollars unless otherwise noted.
(c)Fair value is determined by the board of trustees of FS Credit Income Fund (the "Fund"). For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the Fund’s most recent audited financial statements.
(d)Certain variable rate securities in the Fund's portfolio bear interest at a rate determined by a publicly disclosed base rate plus a basis point spread. As of July 31, 2018, the three-month London Interbank Offered Rate ("L") was 2.35%, and the Euro Interbank Offered Rate ("E") was (0.32)%.
(e)Position or portion thereof unsettled as of July 31, 2018.
(f)Security or portion thereof is pledged as collateral supporting the amounts outstanding under the prime brokerage facility with BNP Paribas Prime Brokerage International, Ltd. ("BNP"). Securities may be rehypothecated from time to time as permitted under Rule 15c-1(a)(1) promulgated under the Securities Exchange Act of 1934, as amended, subject to terms and conditions governing the prime brokerage facility with BNP. As of July 31, 2018, there were no securities rehypothecated by BNP.
(g)Restricted security as to resale. As of July 31, 2018, the Fund held 42.7% of its net assets, with a fair value of $39,949, in restricted securities.
(h)Security is in default.
(i)Issued with a zero coupon. Income is recognized through the accretion of discount.
(j)Security is non-income producing.
(k)Rate represents the seven-day yield as of July 31, 2018.

 

See notes to unaudited schedule of investments.

 

 12 

 

  

FS Credit Income Fund  

Notes to Unaudited Schedule of Investments 

(in thousands)

 

 

 

Investment Portfolio

 

The information contained in this section should be read in conjunction with the Fund’s audited financial statements contained in its annual report for the fiscal year ended October 31, 2017.

 

The following table summarizes the composition of the Fund’s investment portfolio at cost and fair value as of July 31, 2018: 

 

         Percentage 
   Amortized Cost(1)   Fair Value   of Portfolio 
             
Senior Secured Loans—First Lien  $16,075   $16,177    16%
Senior Secured Loans—Second Lien   2,001    2,019    2%
Senior Secured Bonds   16,819    16,814    17%
Unsecured Bonds   38,085    38,958    39%
CLO / Structured Credit   18,879    18,952    19%
Emerging Markets Debt   3,131    2,896    3%
Equity / Other   379    368    0%
Short-Term Investments   3,424    3,424    4%
Total Investments  $98,793   $99,608    100%
Investments Sold Short  $(831)  $(832)     

 ____________________________

(1) Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, on investments.

 

In general, under the 1940 Act, the Fund would be presumed to “control” a portfolio company if it owned more than 25% of its voting securities or it had the power to exercise control over the management or policies of such portfolio company, and would be an “affiliated person” of a portfolio company if it owned 5% or more of its voting securities.

 

As of July 31, 2018, the Fund was not deemed to “control” any of its portfolio companies and was not deemed to be an “affiliated person” of any of its portfolio companies, each as defined in the 1940 Act.

 

The Fund’s investment portfolio may contain loans and other unfunded arrangements that are in the form of lines of credit or revolving credit facilities, or other investments, which require the Fund to provide funding when requested by portfolio companies in accordance with the terms of the underlying agreements. As of July 31, 2018, the Fund did not have any investments with unfunded commitments. The Fund maintains sufficient cash on hand, available borrowings and liquid securities to fund any unfunded commitments should the need arise.

 

The table below describes investments by industry classification and enumerates the percentage, by fair value, of the total portfolio assets in such industries as of July 31, 2018:

 

 13 

 

 

FS Credit Income Fund

Notes to Unaudited Schedule of Investments (continued)

As of July 31, 2018

(in thousands)

 

Industry Classification  Fair Value   Percentage
of Portfolio		 
USD CLO  $10,127    10.2%
EUR CLO   8,037    8.1%
Municipal   7,561    7.6%
Oil & Gas   6,560    6.6%
Chemicals   5,806    5.8%
Media Entertainment   5,676    5.7%
Pharmaceuticals   5,339    5.4%
Telecommunications   4,718    4.7%
Short-Term Investments   3,424    3.4%
Healthcare-Services   3,205    3.2%
Other Financial   2,597    2.6%
Commercial Banks   2,391    2.4%
Coal   1,909    1.9%
Metals and Mining   1,895    1.9%
Internet   1,852    1.9%
Healthcare   1,783    1.8%
Transportation   1,704    1.7%
Software   1,653    1.7%
Independent Oil & Gas   1,647    1.7%
Retailers   1,608    1.6%
Oil & Gas Services   1,562    1.6%
Aerospace/Defense   1,480    1.5%
Pipelines   1,447    1.4%
Home Builders   1,437    1.4%
Healthcare-Products   1,317    1.3%
Consumer Cyclical Services   1,140    1.1%
Leisure   1,132    1.1%
Insurance   1,046    1.0%
Wirelines   859    0.9%
Household Products   854    0.9%
Retail   829    0.8%
Oil Field Services   789    0.8%
USD CDO   788    0.8%
Property & Casualty Insurance   771    0.8%
Provincial   765    0.8%
Mining   747    0.7%
Auto Manufacturers   654    0.7%
Food   492    0.5%
Other Industrial   292    0.3%
Hand/Machine Tools   287    0.3%
Commercial Services   252    0.3%
Electric   237    0.2%
Holding Companies-Diversified   210    0.2%
Machinery-Diversified   197    0.2%
Life Insurance   194    0.2%
Distribution/Wholesale   183    0.2%
Engineering & Construction   116    0.1%
Investment Company Security   39    0.0%
   $99,608    100.0%

 

 14 

 

 

FS Credit Income Fund

Notes to Unaudited Schedule of Investments (continued)

As of July 31, 2018

(in thousands)

 

Under existing accounting guidance, fair value is defined as the price that the Fund would receive upon selling an investment or pay to transfer a liability in an orderly transaction to a market participant in the principal or most advantageous market for the investment. This accounting guidance emphasizes that valuation techniques maximize the use of observable market inputs and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would use in pricing an asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the Fund. Unobservable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances.

 

The Fund classifies the inputs used to measure these fair values into the following hierarchy as defined by current accounting guidance:

 

Level 1: Inputs that are quoted prices (unadjusted) in active markets for identical assets or liabilities.

 

Level 2: Inputs that are quoted prices for similar assets or liabilities in active markets.

 

Level 3: Inputs that are unobservable for an asset or liability.

 

A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement.

 

As of July 31, 2018, the Fund’s investments were categorized as follows in the fair value hierarchy:

 

Valuation Inputs    
     
Level 1 - Price quotations in active markets  $3,792 
Level 2 - Significant other observable inputs   95,816 
Level 3 - Significant unobservable inputs   — 
   $99,608 

 

As of July 31, 2018, the Fund’s investments sold short, forward foreign currency exchange contracts, cross-currency basis swaps, interest rate swaps, total return debt swaps, and futures contracts were categorized as follows in the fair value hierarchy:

 

Valuation Inputs  Assets   Liabilities 
         
Level 1 - Price quotations in active markets  $—   $1 
Level 2 - Significant other observable inputs   199    41 
Level 3 - Significant unobservable inputs   —    — 
   $199   $42 

  

 15 

 

  

Item 2. Controls and Procedures.

 

(a) The Fund’s principal executive officer and principal financial officer have evaluated the Fund’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) as of a date within 90 days of the filing of this Form N-Q and have concluded that the Fund’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Fund in this Form N-Q was recorded, processed, summarized and reported timely.

 

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

 

Item 3. Exhibits.

 

The certifications of the Fund’s principal executive officer and principal financial officer required by Rule 30a-2(a) under the 1940 Act are attached hereto.

 

 16 

 

  

SIGNATURES

 

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

 

FS Credit Income Fund
   
By:  

/s/ Michael C. Forman

    Name:   Michael C. Forman
    Title:   President and Chief Executive Officer
    Date:   September 28, 2018

 

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

 

By:  

/s/ Michael C. Forman

    Name:   Michael C. Forman
    Title:   President and Chief Executive Officer
        (Principal Executive Officer)
    Date:   September 28, 2018
   
By:  

/s/ Edward T. Gallivan, Jr.

    Name:   Edward T. Gallivan, Jr.
    Title:   Chief Financial Officer
        (Principal Financial Officer)
    Date:   September 28, 2018