UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number: 811-22488

 

Blackstone / GSO Long-Short Credit Income Fund

(exact name of Registrant as specified in charter)

 

345 Park Avenue, 31st Floor

New York, New York 10154

(Address of principal executive offices) (Zip code)

 

(Name and address of agent for service)

 

Marisa Beeney

345 Park Avenue, 31st Floor

New York, New York 10154

 

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

 

Date of fiscal year end: December 31

 

Date of reporting period: March 31, 2018

 

 

 

Item 1. Schedule of Investments.

 

Blackstone / GSO Long-Short Credit Income Fund

 

Portfolio of Investments

March 31, 2018 (Unaudited)

 

  

Principal

Amount

   Value 
     
FLOATING RATE LOAN INTERESTS(a) - 136.57%
Aerospace and Defense - 2.08%
Propulsion Acquisition LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 6.00%, 7/13/2021(b)  $1,193,878   $1,181,939 
Standard Aero Aviation Holdings Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 3.75%, 07/07/2022   980,885    991,234 
Vectra Co, Senior Secured First Lien Term Loan, 1M US L + 3.25%, 03/08/2025   895,522    895,245 
Vectra Co, Senior Secured Second Lien Term Loan, 1M US L + 7.25%, 03/09/2026   666,667    673,333 
WP CPP Holdings LLC, Senior Secured First Lien B-3 Term Loan, 3M US L + 3.50%, 12/28/2019   816,122    816,632 
         4,558,383 
           
Automotive - 2.26%          
American Tire Distributors Inc, Senior Secured First Lien Initial Term Loan, 2M US L + 4.25%, 09/01/2021   390,465    396,078 
CH Hold Corp, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.25%, 02/03/2025(b)   789,474    803,290 
FPC Holdings Inc, Senior Secured First Lien Term Loan, 3M US L + 4.50%, 11/21/2022(c)   900,000    880,875 
FPC Holdings Inc, Senior Secured Second Lien Term Loan, 3M US L + 9.00%, 11/20/2023(c)   407,547    393,283 
Mitchell International Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 3.25%, 11/29/2024   688,348    689,380 
Mitchell International Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.25%, 12/01/2025   690,909    696,609 
Superior Industries International Inc, Senior Secured First Lien Closing Date Term Loan, 1M US L + 4.50%, 05/22/2024   1,081,285    1,093,449 
         4,952,964 
           
Banking, Finance, Insurance and Real Estate - 10.41%          
Acrisure LLC, Senior Secured First Lien Term B-2 Loan, 3M US L + 4.25%, 11/22/2023   543,375    551,118 
Alliant Holdings Intermediate LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 3.25%, 08/12/2022   279,960    281,905 
Almonde Inc, Senior Secured First Lien US Term Loan, 3M US L + 3.50%, 06/13/2024   488,113    488,206 
AmWINS Group Inc, Second Lien Term Loan, 1M US L + 6.75%, 01/25/2025   32,916    33,286 
Applied Systems Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.25%, 09/19/2024   74,625    75,258 
ASP MCS Acquisition Corp, Senior Secured First Lien Initial Term Loan, 1M US L + 4.75%, 05/20/2024(b)   1,654,741    1,679,563 
Asurion LLC, Senior Secured Second Lien Tranche B-2 Loan, 1M US L + 6.00%, 08/04/2025   1,818,182    1,870,909 
BroadStreet Partners Inc, Senior Secured First Lien Term B-1 Loan Facility, 1M US L + 3.75%, 11/08/2023   1,636,598    1,658,594 
Confie Seguros Holding II Co, Senior Secured First Lien Term B Loan, 3M US L + 5.25%, 04/19/2022   1,492,443    1,494,078 
CP VI Bella Topco LLC, Senior Secured First Lien Term Loan, 1M US L + 3.00%, 02/14/2025   397,441    396,947 
CP VI Bella Topco LLC, Senior Secured Second Lien Term Loan, 1M US L + 6.75%, 02/16/2026   364,286    364,286 
Cunningham Lindsey US Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.75%, 12/10/2019   1,739,816    1,737,641 
Cypress Merger Sub Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 6.75%, 04/28/2025   813,953    830,436 
DTZ US Borrower LLC, Senior Secured Second Lien Initial Term Loan, 3M US L + 8.25%, 11/04/2022   166,512    166,721 
Edelman Financial Center LLC/The, Senior Secured First Lien Initial Term Loan, 2M US L + 4.25%, 11/09/2024   1,159,884    1,178,007 
ExamWorks Group Inc, Senior Secured First Lien Term B-1 Loan, 3M US L + 3.25%, 07/27/2023(c)   192,273    193,931 
EZE Software Group LLC, Senior Secured Second Lien Term Loan, 3M US L + 6.50%, 04/05/2021   470,905    472,475 

 

 

 

  

Principal

Amount

   Value 
     
Banking, Finance, Insurance and Real Estate (continued)
Gem Acquisitions Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.25%, 03/02/2025(c)  $586,957   $588,057 
Gemworth Holdings Inc, Senior Secured First Lien Initial Loan, 1M US L + 4.50%, 02/28/2023   313,043    319,110 
Hyperion Insurance Group Limited, Senior Secured First Lien Initial Dollar Term Loan, 1M US L + 3.50%, 12/20/2024   1,534,615    1,551,880 
Intralinks Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 4.00%, 11/11/2024   1,282,500    1,289,983 
NFP Corp, Senior Secured First Lien Term B Term Loan, 1M US L + 3.00%, 01/08/2024   728,129    731,391 
One Call Corp, Senior Secured First Lien Term B Loan, 3M US L + 4.00%, 11/27/2020   1,390,671    1,331,567 
Resolute Investment Managers Inc, Senior Secured Second Lien Tranche C Term Loan, 3M US L + 7.50%, 04/30/2023(b)   1,000,000    1,017,500 
SS&C Technologies Inc, Senior Secured First Lien Term B-3 Loan, 3M US L + 2.50%, 02/28/2025(c)   1,218,558    1,225,857 
SS&C Technologies Inc, Senior Secured First Lien Term B4 Loan, 3M US L + 2.50%, 02/28/2025(c)   434,700    437,303 
Victory Capital Holdings Senior Secured First Lien Initial Term Loan, 3M US L + 2.75%, 02/07/2025   169,287    170,187 
York Risk Services Holding Corp (Onex York Finance LP), Senior Secured First Lien Initial Term Loan, 1M US L + 3.75%, 10/01/2021   670,818    658,576 
         22,794,772 
           
Beverage, Food and Tobacco - 5.07%          
Agro Merchants North America Holdings Inc, Senior Secured First Lien Effective Date Loan, 3M US L + 3.75%, 12/06/2024   806,117    814,178 
CEC Entertainment Inc, Senior Secured First Lien Term B Loan, 1M US L + 3.25%, 02/15/2021   2,004,257    1,901,539 
CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan, 3M US L + 4.00%, 7/3/2020   2,304,428    2,283,112 
Fago de Chao Inc, Senior Secured First Lien Term B Loan, 3M US L + 4.50%, 03/27/2025(c)   615,183    618,643 
Give & Go Prepared Foods Corp, Senior Secured First Lien Term Loan, 3M US L + 4.25%, 7/29/2023(b)   1,536,397    1,551,761 
NPC International Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.50%, 04/18/2025   991,663    1,016,454 
TKC Holdings Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.25%, 02/01/2023   1,415,983    1,431,736 
TKC Holdings Inc, Senior Secured Second Lien Initial Term Loan, 3M US L + 8.00%, 02/01/2024   831,548    841,735 
Winebow Holdings Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.50%, 01/02/2022(b)   693,642    648,555 
         11,107,713 
           
Capital Equipment - 4.05%          
Blount International Inc, Senior Secured First Lien Term Loan B-1 Facility, 1M US L + 4.25%, 04/12/2023   1,216,346    1,234,135 
Direct Chassislink Acquisition Inc, Senior Secured Second Lien Term Loan, 1M US L + 6.00%, 06/15/2023(b)   2,100,000    2,139,375 
Engineered Machinery Holdings Inc, Senior Secured First Lien Term Loan, 3M US L + 3.25%, 07/19/2024(c)   1,137,000    1,138,660 
Helix Acquisition Holdings Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.00%, 09/27/2024   765,385    772,801 
LTI Holdings Inc, Senior Secured First Lien Second Amendment Incremental Term Loan, 1M US L + 3.50%, 05/16/2024(b)   410,870    412,410 
LTI Holdings Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 8.75%, 05/16/2025(b)   700,000    710,500 
Robertshaw US Holding Corp, Senior Secured First Lien Initial Term Loan, 1M US L + 3.50%, 02/14/2025   1,119,512    1,131,055 
Titan Acquisition Limited, Senior Secured First Lien Initial Term Loan, 3M US L + 3.00%, 03/28/2025(c)   1,340,426    1,339,588 
         8,878,524 
           
Chemicals, Plastics and Rubber - 3.45%          
Albaugh LLC, Senior Secured First Lien 2017 Refinancing Term Loan, 1M US L + 3.50%, 12/06/2024   1,330,000    1,345,381 
DuBois Chemicals Inc, Senior Secured First Lien Term Loan, 3M US L + 3.25%, 03/15/2024(c)   539,095    540,443 

 

 

 

  

Principal

Amount

   Value 
     
Chemicals, Plastics and Rubber (continued)
Emerald Performance Materials LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 3.50%, 08/02/2021  $698,164   $705,582 
Emerald Performance Materials LLC, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.75%, 08/01/2022   1,500,000    1,503,285 
Pinnacle Operating Corp, Senior Secured First Lien 2017 Extended Term Loan, PIK 1.75%, 11/15/2021   2,236,264    2,110,475 
Spectrum Holdings III Corp, Senior Secured Second Lien Closing Date Loan, 1M US L + 7.00%, 01/26/2026(b)   566,667    572,333 
Spectrum Holdings III, Senior Secured First Lien Term Loan, 1M US L + 3.25%, 01/31/2025   278,112    279,271 
Vantage Specialty Chemicals Inc, Senior Secured First Lien Closing Date Loan, 3M US L + 4.00%, 10/28/2024   456,000    460,749 
Vantage Specialty Chemicals Inc, Senior Secured Second Lien Initial Loan, 3M US L + 8.25%, 10/27/2025   48,834    49,078 
         7,566,597 
           
Construction and Building - 8.63%          
American Bath Group LLC, Senior Secured First Lien Replacement Term Loan, 3M US L + 5.25%, 09/30/2023   2,330,644    2,359,777 
American Bath Group LLC, Senior Secured Second Lien Term Loan, 3M US L + 9.75%, 09/30/2024(b)   150,000    150,562 
Dayton Superior Corp, Senior Secured First Lien Term Loan, 3M US L + 8.00%, 11/03/2021   1,012,018    946,237 
DiversiTech Holdings Inc, Senior Secured First Lien Tranche B-1 Term Loan, 3M US L + 3.00%, 06/03/2024   514,995    518,054 
Forterra Finance LLC, Senior Secured First Lien Replacement Loan, 1M US L + 3.00%, 10/25/2023   2,753,114    2,550,939 
Henry Holdings Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 4.00%, 10/05/2023   860,865    874,049 
Interior Logic Group Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 6.00%, 02/28/2024(b)   1,357,143    1,367,321 
LBM Borrower LLC, Senior Secured First Lien Tranche C Term Loan, 1M US L + 3.75%, 08/19/2022   3,658,336    3,701,321 
Morsco Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 7.00%, 10/31/2023   1,399,127    1,424,486 
SouthernCarlson Inc, Senior Secured First Lien Term Loan, 3M US L + 4.25%, 03/21/2025(c)   937,500    941,016 
Specialty Building Products Holdings LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 6.00%, 10/28/2023   1,427,192    1,445,032 
SRS Distribution Inc, Senior Secured First Lien Tranche B-4 Term Loan, 3M US L + 3.25%, 08/25/2022   1,782,790    1,797,275 
SRS Distribution Inc, Senior Secured Second Lien 06/16 Term Loan, 1M US L + 8.75%, 02/24/2023   810,445    835,772 
         18,911,841 
           
Consumer Goods Durable - 3.42%          
Al Aqua Merger Sub Inc, Senior Secured First Lien Term B1 Loan, 1M US L + 3.25%, 12/13/2023   1,570,393    1,578,739 
Al Aqua Merger Sub Inc, Senior Secured Incremental Term B Loan, 1M US L + 3.25%, 12/13/2023   638,400    640,995 
Apex Tool Group LLC, Senior Secured First Lien Term Loan, 1M US L + 3.75%, 02/01/2022   1,553,018    1,553,158 
Hayward Acquisition Corp, Senior Secured First Lien Term Loan, 1M US L + 3.50%, 08/05/2024   60,615    60,933 
Hercules Achievement Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 3.50%, 12/16/2024   510,164    515,585 
Hillman Group Inc (The), Senior Secured First Lien Initial Term Loan, 3M US L + 3.50%, 06/30/2021   489,822    495,742 
Power Products LLC, Senior Secured First Lien Tranche B-1 Term Loan, 3M US L + 4.00%, 12/20/2022   636,656    643,818 
Recess Holdings Inc, Senior Secured First Lien Term Loan, 3M US L + 3.75%, 09/30/2024   1,001,012    1,007,268 
Serta Simmons Bedding LLC, Senior Secured Second Lien Initial Term Loan, 1M US L + 8.00%, 11/8/2024   1,246,702    1,003,596 
         7,499,834 
           
Consumer Goods Non Durable - 0.97%          
Acosta Inc, Senior Secured First Lien Tranche B-1 Loan, 1M US L + 3.25%, 09/26/2021(c)   500,000    420,672 

 

 

 

  

Principal

Amount

   Value 
     
Consumer Goods Non Durable (continued)
Carlisle Foodservice Products Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.00%, 03/14/2025(c)  $104,295   $104,230 
Clover Merger Sub Inc, Senior Secured First Lien Term Loan, 1M US L + 3.50%, 09/26/2024   1,647,361    1,539,459 
Revlon Consumer Products Corp, Senior Secured First Lien Initial Term B Loan, 1M US L + 3.50%, 09/07/2023   64,538    51,039 
         2,115,400 
           
Containers, Packaging and Glass - 4.45%          
Caraustar Industries Inc, Senior Secured First Lien Refinancing Term Loan, 3M US L + 5.50%, 03/14/2022   1,467,533    1,477,094 
Coveris Holdings SA, Senior Secured First Lien USD Term B-1 Loan, 3M US L + 4.25%, 06/29/2022   111,451    112,161 
IBC Capital Limited, Senior Secured Second Lien Term Loan, 3M US L + 7.00%, 09/09/2022   2,482,618    2,488,824 
Loparex Holding BV, Senior Secured First Lien Term Loan, 3M US L + 4.25%, 03/28/2025(c)   2,520,000    2,545,200 
Pregis Holding I Corp, Senior Secured First Lien Initial Term Loan, 3M US L + 3.50%, 5/20/2021   717,738    720,278 
ProAmpac PG Borrower LLC, Senior Secured First Lien Initial Loan, 1M US L + 3.50%, 11/20/2023   413,594    417,627 
ProAmpac PG Borrower LLC, Senior Secured Second Lien Initial Term Loan, 1M US L + 8.50%, 11/18/2024   366,029    373,694 
Ranpak Corp, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.25%, 10/03/2022(b)   323,753    326,181 
Strategic Materials Holding Corp, Senior Secured First Lien Initial Term Loan, 3M US L + 3.75%, 11/01/2024   332,500    334,994 
Strategic Materials Holding Corp, Senior Secured Second Lien Initial term Loan, 3M US L + 7.75%, 12/27/2025   933,333    939,946 
         9,735,999 
           
Energy, Oil and Gas - 3.77%          
Chief Exploration & Development LLC, Senior Secured Second Lien Term Loan, 2M US L + 6.50%, 05/16/2021   1,502,941    1,494,803 
Delek US Holdings Inc, Senior Secured First Lien Term Loan, 3M US L + 2.50%, 03/14/2025(c)   308,290    309,640 
Lucid Energy Group II Borrower LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 3.00%, 02/17/2025   421,053    419,606 
Oryx Southern Delaware Holdings LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 3.25%, 02/28/2025   2,223,529    2,229,088 
Sheridan Investment Partners I LLC, Senior Secured First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   872,220    740,663 
Sheridan Production Partners I LLC, Senior Secured First Lien Deferred Principal Term Loan,:          
3M US L + 0.00%, 10/01/2019(b)   2,752    2,134 
3M US L + 0.00%, 10/01/2019(b)   34,005    26,368 
Sheridan Production Partners I LLC, Senior Secured First Lien Term Loan, 3M US L + 0.00%, 10/01/2019(b)   4,506    3,494 
Sheridan Production Partners I-A LP, Senior Secured First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   115,576    98,144 
Sheridan Production Partners I-M LP, Senior Secured First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019   70,595    59,947 
Traverse Midstream Partners LLC, Senior Secured First Lien Advance Term Loan, 3M US L + 4.00%, 09/27/2024   1,029,412    1,036,649 
Utex Industries Inc, Senior Secured First Lien New Initial Term Loan, 1M US L + 4.00%, 05/21/2021   1,875,699    1,844,441 
         8,264,977 
           
Environmental Industries - 0.86%          
EnergySolutions LLC, Senior Secured First Lien Advance Term Loan, 1M US L + 4.75%, 05/29/2020(b)   1,422,857    1,447,757 
Filtration Group Corp, Senior Secured First Lien Term Loan, 3M US L + 3.00%, 03/28/2025(b)(c)   225,000    226,125 
Gopher Resource LLC, Senior Secured First Lien Term Loan, 3M US L + 3.25%, 03/06/2025   203,518    205,680 
         1,879,562 

 

 

 

  

Principal

Amount

   Value 
     
Healthcare and Pharmaceuticals - 20.40%
Albany Molecular Research Inc, Senior Secured First Lien Term Loan, 1M US L + 3.25%, 08/30/2024  $285,305   $286,553 
Albany Molecular Research Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.00%, 08/30/2025   294,643    297,221 
Alvogen Pharma US Inc, Senior Secured First Lien Term Loan, 1M US L + 5.00%, 04/01/2022   3,331,838    3,345,715 
American Renal Holdings Inc, Senior Secured First Lien New Term Loan B, 1M US L + 3.25%, 06/14/2024   461,408    462,416 
Arbor Pharmaceuticals LLC, Senior Secured First Lien Initial Term Loan, 2M US L + 5.00%, 07/05/2023   1,230,430    1,250,425 
Avantor Inc, Senior Secured First Lien Initial Dollar Term Loan, 1M US L + 4.00%, 11/21/2024   809,375    818,902 
BioClinica-Clinverse Holdings Corp, Senior Secured First Lien Initial Term Loan, 3M US L + 4.25%, 10/20/2023   944,565    925,674 
BioClinica-Clinverse Holdings Corp, Senior Secured Second Lien Initial Term Loan, 3M US L + 8.25%, 10/04/2024(b)   789,474    765,789 
Certara Holdco Inc, Senior Secured First Lien Term Loan, 3M US L + 3.50%, 08/15/2024(c)   160,666    161,670 
Concordia Healthcare Corp, Senior Secured First Lien Dollar Term Loan, 1M US L + 4.25%, 10/21/2021(d)   1,299,241    1,169,778 
Covenant Surgical Partners Inc, Senior Secured First Lien Delayed Draw Loan, 3M US L + 4.75%, 10/04/2024(b)(e)   89,391    90,062 
Covenant Surgical Partners Inc, Senior Secured First Lien Term Loan, 3M US L + 4.75%, 10/04/2024(b)   575,481    579,797 
CPI Holdco LLC, Senior Secured Closing Date Term Loan, 3M US L + 3.50%, 03/21/2024   492,072    495,763 
Cryolife Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.00%, 11/15/2024(b)   521,769    528,291 
CT Technologies Intermediate Holdings Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 4.25%, 12/01/2021   777,850    776,555 
CVS Holdings I LP, Senior Secured First Lien Initial Term Loan, 3M US L + 3.00%, 02/06/2025   206,897    206,122 
Endo LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 4.25%, 04/29/2024   1,931,176    1,930,771 
Equian LLC, Senior Secured First Lien 2018 Incremental Term B Loan, 3M US L + 3.25%, 05/20/2024   1,114,259    1,121,920 
Greenway Health LLC, Senior Secured First Lien Term Loan, 3M US L + 4.25%, 02/16/2024   1,368,966    1,382,087 
Lanai Holdings III Inc, Senior Secured First Lien Initial Term Loan, 2M US L + 4.75%, 08/29/2022   1,130,969    1,099,867 
Midwest Physician Administrative Services LLC, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.00%, 08/15/2025   640,000    644,800 
Navicure Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 3.75%, 11/01/2024   1,166,308    1,173,597 
Netsmart Technologies Inc, Senior Secured First Lien Term C-1 Loan, 1M US L + 4.50%, 04/19/2023(b)   1,956,530    1,983,432 
nThrive Inc, Senior Secured First Lien Term B-2 Loan, 1M US L + 4.50%, 10/20/2022   2,630,826    2,641,928 
Onex Carestream Finance LP, Senior Secured First Lien Term Loan, 1M US L + 4.00%, 06/07/2019   171,064    172,280 
Onex Carestream Finance LP, Senior Secured Second Lien Term Loan, 1M US L + 8.50%, 12/07/2019   3,244,121    3,244,121 
Onex Schumacher Finance LP, Senior Secured First Lien Initial Term Loan, 1M US L + 4.00%, 07/29/2022(c)   2,361,755    2,304,187 
Ortho Clinical Diagnostics Holdings Luxembourg SARL, Senior Secured First Lien Initial Term Loan, 1M US L + 3.75%, 06/30/2021   478,271    482,874 
Packaging Coordinators Midco Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.00%, 06/30/2023   2,229,588    2,243,534 
Pharmerica Corp, Senior Secured First Lien Term Loan, 1M US L + 3.50%, 12/06/2024   960,000    965,002 
Pharmerica Corp, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.75%, 12/07/2025   289,405    291,937 
Press Ganey Holdings Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 6.50%, 10/21/2024   459,082    465,969 
Project Ruby Ultimate Parent Corp, Senior Secured First Lien New Closing Date Term Loan, 1M US L + 3.50%, 02/09/2024   658,787    665,790 
Prospect Medical Holdings Inc, Senior Secured First Lien Term B-1 Loan, 1M US L + 5.50%, 02/22/2024   1,311,742    1,315,021 
Stratose Intermediate Holdings II LLC, Senior Secured First Lien Term Loan, 1M US L + 3.25%, 06/22/2023(b)   464,955    468,442 
U.S. Renal Care Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.25%, 12/30/2022   2,503,010    2,517,602 

 

 

 

  

Principal

Amount

   Value 
     
Healthcare and Pharmaceuticals (continued)
Valeant Pharmaceuticals International Inc, Senior Secured First Lien Series F-4 Tranche B Term Loan, 1M US L + 3.50%, 04/01/2022  $341,648   $345,638 
Wink Holdco Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 6.75%, 12/01/2025(b)   388,889    389,861 
YI LLC (aka Young Innovations), Senior Secured First Lien Delayed Draw Term Loan, 3M US L + 1.00%, 11/07/2024(b)(e)   193,580    194,548 
YI LLC (aka Young Innovations), Senior Secured First Lien Initial Term Loan, 3M US L + 4.00%, 11/06/2024(b)   2,128,000    2,138,640 
Zest Acquisition Corp, Senior Secured First Lien Initial Term Loan, 3M US L + 3.50%, 03/07/2025(b)   1,022,727    1,027,841 
Zest Acquisition Corp, Senior Secured Second Lien Initial Term Loan, 3M US L + 7.50%, 03/06/2026   1,285,714    1,301,786 
         44,674,208 
           
High Tech Industries - 21.24%          
Barracuda Networks Inc, Senior Secured First Lien Term B Loan, 3M US L + 3.25%, 02/12/2025   292,683    294,256 
BMC Software Finance Inc, Senior Secured First Lien Initial B-2 US Term Loan, 1M US L + 3.25%, 09/10/2022   839,890    845,089 
Compuware Corp, Senior Secured First Lien Tranche B-3 Term Loan, 1M US L + 3.25%, 12/15/2021   3,116,607    3,159,460 
CPI International Inc, Senior Secured Second Lien Term Loan, 1M US L + 7.25%, 07/25/2025(b)   209,150    210,458 
Digicert Holdings Inc, Senior Secured Second Lien Term Loan, 3M US L + 8.00%, 10/31/2025   1,000,000    1,011,405 
ECI Macola / Max Holding LLC, Senior Secured First Lien Term Loan, 3M US L + 4.25%, 09/27/2024   835,401    844,018 
Epicor Software Corp, Senior Secured First Lien Term B Loan, 1M US L + 3.25%, 06/01/2022   1,336,063    1,343,372 
Excelitas Technologies Corp (fka IDS Acquisition), Senior Secured First Lien Initial USD Term Loan, 6M US L + 3.50%, 12/02/2024   446,370    451,204 
Flexera Software LLC, Senior Secured First Lien Term Loan, 1M US L + 3.25%, 02/26/2025   576,271    580,475 
Flexera Software LLC, Senior Secured Second Lien Term Loan, 1M US L + 7.25%, 02/26/2026   548,387    553,871 
Gigamon Inc, Senior Secured First Lien Initial Term Loan, 2M US L + 4.50%, 12/27/2024(b)   2,913,228    2,942,361 
Help Systems Holdings Inc, Senior Secured First Lien Term Loan, 3M US L + 3.75%, 03/22/2025(c)   590,551    592,028 
Help Systems Holdings Inc, Senior Secured Second Lien Term Loan, 3M US L + 7.75%, 03/23/2026(c)   775,862    780,711 
Hyland Software Inc, Senior Secured Second Lien Initial Loan, PRIME + + 6.00%, 07/07/2025(c)   365,564    370,437 
Idera Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2024   1,258,792    1,272,953 
Ivanti Software Inc, Senior Secured First Lien Term Loan, 1M US L + 4.25%, 01/20/2024   2,901,784    2,860,070 
Ivanti Software Inc, Senior Secured Second Lien Term Loan, 1M US L + 9.00%, 01/20/2025   2,000,000    1,925,000 
Marketo Inc, Senior Secured First Lien Term Loan, 3M US L + 3.25%, 02/07/2025   727,273    726,705 
Mcafee LLC, Senior Secured First Lien Closing Date USD Term Loan, 1M US L + 4.50%, 09/30/2024   1,909,369    1,931,442 
MH Sub I LLC, Senior Secured First Lien Term Loan, 1M US L + 3.75%, 09/13/2024   2,244,361    2,248,165 
Park Place Technologies LLC, Senior Secured First Lien Term Loan, 3M US L + 4.00%, 03/21/2025(b)(c)   784,615    786,577 
Ping Identity Corp, Senior Secured First Lien Term Loan 1M US L + 3.75%, 1/23/2025   373,333    375,667 
Pomeroy Group LLC, Senior Secured First Lien Initial Term Loan, 3M US L + 6.00%, 11/12/2021   1,483,652    1,479,016 
Project Alpha Intermediate Holding Inc, Senior Secured First Lien Term Loan, 3M US L + 3.50%, 04/26/2024   2,960,907    2,926,975 
Project Leopard Holdings Inc, Senior Secured First Lien 2018 Repricing Term Loan, 1M US L + 4.00%, 7/7/2023   552,781    558,829 
Project Silverback Holdings Corp, Senior Secured First Lien Term B Loan, 3M US L + 3.50%, 08/21/2024   504,507    505,768 
Quest Software US Holdings Inc, Senior Secured First Lien Refinancing Term Loan, 3M US L + 5.50%, 10/31/2022   2,566,667    2,618,013 
Ramundsen Public Sector LLC, Senior Secured First Lien Term Loan, 1M US L + 4.25%, 02/01/2024   543,956    548,036 
Rocket Software Inc, Senior Secured First Lien Term Loan, 3M US L + 4.25%, 10/14/2023(c)   1,683,907    1,694,431 

 

 

 

  

Principal

Amount

   Value 
     
High Tech Industries (continued)
SciQuest Inc, Senior Secured First Lien Term Loan, 1M US L + 4.00%, 12/20/2024(b)  $1,384,615   $1,391,538 
SCS Holdings I Inc, Senior Secured First Lien New Tranche B Term Loan, 1M US L + 4.25%, 10/30/2022   951,184    962,279 
SMS Systems Maintenance Services Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 5.00%, 10/30/2023   3,239,760    3,002,188 
Solarwinds Holdings Inc, Senior Secured First Lien Refinancing Term Loan, 1M US L + 3.00%, 02/05/2024   1,514,953    1,523,475 
Sophia LP, Senior Secured First Lien Term B Loan, 3M US L + 3.25%, 09/30/2022   1,028,324    1,032,453 
Sungard Availability Services Capital Inc, Senior Secured Extended Term B Loan, 1M US L + 7.00%, 09/30/2021   430,623    405,539 
TIBCO Software Inc, Senior Secured First Lien Term B-1 Loan, 1M US L + 3.50%, 12/04/2020   667,153    670,352 
Veritas US Inc, Senior Secured First Lien Term Loan B Facility, 3M US L + 4.50%, 01/27/2023   1,091,919    1,089,096 
         46,513,712 
           
Hotels, Gaming and Leisure - 1.14%          
AP Gaming I LLC, Senior Secured First Lien 2018 Refinancing Term B Loan, 1M US L + 4.25%, 02/15/2024   2,459,585    2,495,716 
           
Media Advertising, Printing and Publishing - 1.46%          
Southern Graphics Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 3.50%, 12/31/2022   1,663,188    1,678,432 
Southern Graphics Inc, Senior Secured Second Lien Term Loan, 1M US L + 7.50%, 12/31/2023   1,500,000    1,514,062 
         3,192,494 
           
Media Diversified and Production - 0.13%          
Shutterfly Inc, Senior Secured First Lien Term B-2 Loan, 3M US L + 2.75%, 08/17/2024(c)   293,478    295,312 
           
Metals and Mining - 2.32%          
American Rock Salt Company LLC, Senior Secured First Lien Term Loan, 3M US L + 3.75%, 03/21/2025(b)(c)   855,978    861,863 
Canam Steel Corp, Senior Secured First Lien Closing Date Term Loan, 1M US L + 5.50%, 07/01/2024(b)   1,254,559    1,267,105 
GrafTech Finance Inc, Senior Secured First Lien Term B Loan, 1M US L + 3.50%, 02/12/2025   2,068,966    2,072,845 
Murray Energy Corp, Senior Secured First Lien Term B-2 Non-PIK Loan, 3M US L + 7.25%, 04/16/2020   735,203    624,308 
Phoenix Services International LLC, Senior Secured First Lien Term Loan, 1M US L + 3.75%, 03/01/2025   242,857    245,589 
         5,071,710 
           
Retail - 2.37%          
Academy Ltd, Senior Secured First Lien Initial Term Loan, 1M US L + 4.00%, 07/01/2022   314,060    251,405 
Apro LLC, Senior Secured First Lien Initial Term Loan, 2M US L + 4.00%, 08/08/2024   597,458    602,312 
Ascena Retail Group Inc, Senior Secured First Lien Tranche B Term Loan, 1M US L + 4.50%, 08/19/2022   286,982    253,774 
EG America LLC, Senior Secured First Lien Term B Loan, 3M US L + 4.00%, 02/07/2025(c)   1,421,569    1,420,147 
EG Group Limited, Senior Secured First Lien Term B Loan, 3M US L + 4.50%, 02/07/2025(c)   138,889    138,750 
FullBeauty Brands Holdings Corp, Senior Secured First Lien Term Loan, 1M US L + 4.75%, 10/14/2022   626,675    360,623 
Petco Animal Supplies Inc, Senior Secured First Lien Second Amendment Term Loan, 3M US L + 3.00%, 1/26/2023   309,823    228,322 
Pier 1 Imports (US) Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.50%, 04/30/2021   2,005,208    1,909,961 
Sports Authority (The), Senior Secured First Lien Term B Loan, 6M US L + 0.00%, 11/16/2017(d)   3,537,739    27,134 
         5,192,428 
           
Services - Business - 20.30%          
Access CIG LLC, Senior Secured First Lien Term B Loan, 1M US L + 3.75%, 02/27/2025   516,489    522,945 
Advantage Sales & Marketing Inc, Senior Secured First Lien Incremental Term B-2 Loan, 3M US L + 3.25%, 07/25/2021   752,646    738,936 

 

 

 

  

Principal

Amount

   Value 
     
Services - Business (continued)
Advantage Sales & Marketing Inc, Senior Secured First Lien Initial term Loan, 3M US L + 3.25%, 07/23/2021  $1,101,597   $1,081,532 
Advantage Sales & Marketing Inc, Senior Secured Second Lien Initial Term Loan, 3M US L + 6.50%, 07/25/2022   3,123,849    3,008,938 
Allied Universal Holdco LLC, Senior Secured First Lien Initial Term Loan, 3M US L + 3.75%, 07/28/2022   1,176,000    1,161,470 
AqGen Ascensus Inc, Senior Secured Delayed Draw First Lien Term Loan, 3M US L + 3.50%, 12/05/2022(b)(e)   395,111    398,074 
AqGen Ascensus Inc, Senior Secured First Lien Additional Term Loan, 3M US L + 3.50%, 12/05/2022   834,034    842,896 
BMC Acquisition Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 5.25%, 12/18/2024(b)   654,609    656,246 
Crossmark Holdings Inc, Senior Secured First Lien Term Loan, Series 0000, 3M US L + 3.50%, 12/20/2019   3,257,754    1,628,877 
Crossmark Holdings Inc, Senior Secured Second Lien Term Loan, 3M US L + 7.50%, 12/21/2020   1,500,000    134,250 
DG Investment Intermediate Holdings 2 Inc, Senior Secured First Lien Term Loan, 3M US L + 3.00%, 02/03/2025   220,933    220,933 
DG Investment Intermediate Holdings 2 Inc, Senior Secured Second Lien Initial Term Loan, 3M US L + 6.75%, 02/01/2026(b)   439,655    446,250 
Explorer Holdings Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.75%, 05/02/2023   2,984,810    3,012,808 
FHC Health Systems Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 4.00%, 12/23/2021(b)   2,283,814    2,278,105 
GlobalLogic, Holdings Inc, Senior Secured First Lien Refinancing Term B Loan, 3M US L + 3.75%, 06/20/2022(b)   504,795    509,212 
Information Resources Inc, Senior Secured First Lien Initial Bluebird Term Loan, 3M US L + 8.25%, 01/20/2025   2,000,000    2,012,500 
Information Resources Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.25%, 01/18/2024   2,149,504    2,168,312 
Inmar Inc, Senior Secured First Lien Initial Term Loan, 1M US L + 3.50%, 05/01/2024   1,280,645    1,289,450 
Inmar Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 8.00%, 05/01/2025   946,746    952,071 
LD Intermediate Holdings Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 5.875%, 12/09/2022   2,026,577    1,823,919 
Output Services Group Inc, Senior Secured First Lien Term Loan, 3M US L + 4.50%, 03/21/2024(b)(c)   284,696    286,119 
Packers Holdings LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 3.25%, 12/04/2024   332,500    333,677 
PricewaterhouseCoopers LLP, Senior Secured First Lien Term Loan, 3M US L + 3.25%, 03/14/2025(b)(c)   393,750    395,719 
PricewaterhouseCoopers LLP, Senior Secured Second Lien Term Loan, 3M US L + 7.50%, 03/16/2026(b)(c)   360,000    361,800 
Prometric Holdings Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.00%, 01/29/2025   165,584    166,878 
PT Intermediate Holdings III LLC, Senior Secured First Lien Term B Loan, 3M US L + 4.00%, 12/9/2024(b)   872,100    883,001 
PT Intermediate Holdings III LLC, Senior Secured Second Lien Initial Loan, 3M US L + 8.00%, 12/08/2025(b)   1,260,000    1,278,900 
Sedgwick Claims Management Services Inc, Senior Secured First Lien Initial Tranche B Term Loan, 3M US L + 2.75%, 02/28/2021(c)   1,703,704    1,705,194 
Sedgwick Claims Management Services Inc, Senior Secured New Second Lien B Facility, 3M US L + 5.75%, 02/28/2022(b)(c)   975,610    982,927 
Sedgwick Claims Management Services Inc, Senior Secured Second Lien Incremental Term Loan, 3M US L + 5.75%, 02/28/2022   3,160,377    3,181,710 
SurveyMonkey Inc, Senior Secured First Lien Term Loan, 3M US L + 4.50%, 04/13/2024(b)   2,499,724    2,493,475 
Thoughtworks Inc, Senior Secured Initial Term Loan, 1M US L + 4.50%, 10/12/2024   500,000    504,062 
Travel Click Inc, Senior Secured First Lien Term Loan, 3M US L + 3.50%, 05/06/2021(b)(c)   604,688    607,711 
Travel Click Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.75%, 11/06/2021   2,189,316    2,194,110 
Travel Leaders Group LLC, Senior Secured First Lien Term B Loan, 3M US L + 4.50%, 01/25/2024   260,531    264,330 
TRC Companies Inc, Senior Secured First Lien Term Loan, 1M US L + 3.50%, 06/21/2024(b)   1,492,500    1,507,425 

 

 

 

  

Principal

Amount

   Value 
     
Services - Business (continued)
Weld North Education LLC, Senior Secured First Lien Initial Term Loan, 3M US L + 4.25%, 02/15/2025  $2,400,000   $2,418,000 
         44,452,762 
           
Services - Consumer - 5.89%          
American Residential Services LLC, Senior Secured First Lien Term Loan, 1M US L + 4.00%, 6/30/2021   705,202    709,613 
Big Jack Holdings LP, Senior Secured First Lien Term B Loan, 1M US L + 4.00%, 04/05/2024(b)   552,624    557,459 
IRB Holding Corp, Senior Secured First Lien Term B Loan, 1M US L + 3.25%, 02/05/2025   284,387    287,764 
K-MAC Holdings Corp, Senior Secured First Lien Initial Term Loan, 3M US L + 3.25%, 03/07/2025(c)   525,000    528,347 
K-MAC Holdings Corp, Senior Secured Second Lien Initial Term Loan, 3M US L + 6.75%, 03/09/2026(c)   488,372    495,942 
KUEHG Corp, Senior Secured First Lien Term B-2 Loan, 3M US L + 3.75%, 08/12/2022   1,419,684    1,430,111 
KUEHG Corp, Senior Secured Second Lien Initial Term Loan, 3M US L + 8.25%, 08/15/2025   3,250,000    3,310,937 
Learning Care Group (US) No. 2 Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.25%, 03/13/2025(b)   429,775    434,073 
Pearl Intermediate Parent LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 2.75%, 02/14/2025(c)   267,998    265,570 
Pearl Intermediate Parent LLC, Senior Secured Second Lien Initial Term Loan, 1M US L + 6.25%, 02/13/2026   235,294    235,882 
Quidditch Acquisition Inc, Senior Secured First Lien Term B Loan, 3M US L + 7.00%, 03/14/2025(b)(c)   830,556    836,785 
Red Lobster Management LLC, Senior Secured First Lien Initial Term Loan, 1M US L + 5.25%, 07/28/2021   657,884    661,588 
Renaissance Learning Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 3.75%, 04/09/2021   1,669,539    1,679,280 
Renaissance Learning Inc, Senior Secured Second Lien Initial Term Loan, 3M US L + 7.00%, 04/11/2022   66,482    66,898 
Tacala Investment Corp, Senior Secured First Lien Term Loan, 1M US L + 3.25%, 01/31/2025   443,889    446,872 
Tacala Investment Corp, Senior Secured Second Lien Term Loan, 1M US L + 7.00%, 01/30/2026   937,931    957,867 
         12,904,988 
           
Telecommunications - 5.80%          
Alorica Inc, Senior Secured First Lien Term B Loan, 1M US L + 3.75%, 06/30/2022   674,326    677,910 
Avaya Inc, Senior Secured First Lien Term Loan, 1M US L + 4.75%, 12/15/2024   2,197,167    2,215,612 
Centurylink Inc, Senior Secured First Lien Term B Loan, 1M US L + 2.75%, 01/31/2025   573,631    565,207 
Cologix Holdings Inc, Senior Secured Second Lien Initial Term Loan, 1M US L + 7.00%, 03/20/2025   1,523,309    1,552,831 
Colorado Buyer Inc, Senior Secured Second Lien Initial Term Loan, 3M US L + 7.25%, 05/01/2025   225,564    226,093 
Frontier Communications Corp, Senior Secured First Lien Term B-1 Loan, 1M US L + 3.75%, 06/15/2024   219,395    217,019 
Greeneden US Holdings II LLC, Senior Secured First Lien Tranche B-3 Dollar Term Loan, 3M US L + 3.50%, 12/01/2023   459,293    462,487 
Masergy Holdings Inc, Senior Secured First Lien 2017 Replacement Term Loan, 3M US L + 3.25%, 12/15/2023   706,079    708,579 
Masergy Holdings Inc, Senior Secured Second Lien Initial Term Loan, 3M US L + 7.50%, 12/16/2024   548,872    553,447 
Mitel US Holdings Inc, Senior Secured First Lien Term B Term Loan, 1M US L + 3.75%, 9/25/2023   775,515    781,576 
Peak 10 Holding Corp, Senior Secured First Lien Term Loan, 3M US L + 3.50%, 08/01/2024   723,636    726,972 
Peak 10 Holding Corp, Senior Secured Second Lien Initial Term Loan, 3M US L + 7.25%, 08/01/2025   771,429    777,407 
TierPoint LLC, Senior Secured First Lien Term Loan, 1M US L + 3.75%, 05/06/2024   1,406,767    1,392,700 
Vertiv Group Corp, Senior Secured First Lien Term B Loan, 1M US L + 4.00%, 11/30/2023   1,838,998    1,850,105 
         12,707,945 

 

 

 

  

Principal

Amount

   Value 
     
Transportation - Cargo - 0.26%
REP WWEX Acquisition Parent LLC, Senior Secured First Lien Term Loan, 3M US L + 4.00%, 02/05/2024  $568,033   $570,163 
           
Transportation - Consumer - 1.31%          
Air Medical Group Holdings Inc, Senior Secured First Lien 2018 Term Loan, 1M US L + 3.25%, 04/28/2022   476,618    479,232 
Air Medical Group Holdings Inc, Senior Secured First Lien Term B Loan, 1M US L + 4.25%, 03/14/2025   1,995,000    2,014,641 
Lineage Logistics LLC, Senior Secured First Lien Term Loan, 1M US L + 3.00%, 02/16/2025   369,326    369,249 
         2,863,122 
           
Utilities Electric - 3.87%          
Eastern Power LLC, Senior Secured First Lien Term B Loan, 1M US L + 3.75%, 10/02/2023   856,415    870,867 
Exgen Texas Power LLC, Senior Secured First Lien Term Loan Non-PIK, 3M US L + 4.75%, 09/20/2021(d)   987,140    611,202 
Granite Acquisition Inc, Senior Secured Second Lien Term B Loan, 3M US L + 7.25%, 12/19/2022   2,421,507    2,455,566 
Green Energy Partners / Stonewall LLC, Senior Secured First Lien Term B-1 Conversion Advance Loan, 3M US L + 5.50%, 11/13/2021   497,500    490,037 
Panda Liberty LLC, Senior Secured First Lien Construction B-1 Facility Term Loan, 3M US L + 6.50%, 08/21/2020   1,439,708    1,351,886 
Panda Patriot LLC (fka Moxie Patriot LLC), Senior Secured First Lien Construction B-1 Facility Term Loan, 3M US L + 5.75%, 12/18/2020   715,981    708,151 
Pike Corp, Senior Secured Initial Term Loan, 3M US L + 3.50%, 03/23/2025(c)   911,043    920,723 
Sandy Creek Energy Associates LP, Senior Secured First Lien Term Loan, 3M US L + 4.00%, 11/09/2020   1,273,880    1,071,970 
         8,480,402 
           
Wholesale - 0.66%          
Staples Inc, Senior Secured First Lien Initial Term Loan, 3M US L + 4.00%, 09/12/2024   1,457,885    1,446,768 
           
TOTAL FLOATING RATE LOAN INTERESTS          
(Cost $302,407,391)        299,128,296 
           
COLLATERALIZED LOAN OBLIGATIONS(a) - 2.55%          
Banking, Finance, Insurance and Real Estate - 2.55%          
Barings CLO Ltd Series 2018-IA, 3M US L + 5.50%, 01/20/2031(b)(f)   875,000    858,615 
CIFC Funding 18-IA Ltd Series 2018-1A, 3M US L + 5.00%, 04/18/2031(b)(f)   725,000    722,248 
HPS Loan Management 6-2015 Ltd Series 2018-2015, 3M US L + 5.10%, 02/05/2031(b)(f)   833,000    829,683 
Neuberger Berman Loan Advisors CLO 27 Ltd Series 2018-27A, 3M US L + 5.20%, 01/15/2030(b)(f)   667,000    666,441 
TIAA CLO III Ltd. Series 2017-2A, 3M US L + 5.90%, 01/16/2031(b)(f)   2,500,000    2,497,936 
         5,574,923 
           
TOTAL COLLATERALIZED LOAN OBLIGATIONS          
(Cost $5,600,000)        5,574,923 
           
CORPORATE BONDS - 27.93%          
Aerospace and Defense - 0.48%          
Engility Corp, Senior Unsecured Bond, 8.875%, 09/01/2024   1,000,000    1,043,450 
           
Banking, Finance, Insurance and Real Estate - 4.97%          
AssuredPartners Inc, Senior Unsecured Bond, 7.000%, 08/15/2025(f)   1,136,000    1,124,640 
HUB International Ltd, Senior Unsecured Bond, 8.125%, 07/15/2019(f)(g)   2,025,000    2,030,062 
NFP Corp, Senior Secured Bond, 6.875%, 07/15/2025(f)   1,583,000    1,579,043 
Onex York Acquisition Co, Senior Unsecured Bond, 8.500%, 10/01/2022(f)   3,500,000    3,290,000 
Solera LLC, Senior Unsecured Bond, 10.500%, 03/01/2024(f)   2,550,000    2,849,625 
         10,873,370 

 

 

 

  

Principal

Amount

   Value 
     
Beverage, Food and Tobacco - 1.35%
CEC Entertainment Inc, Senior Unsecured Bond, 8.000%, 02/15/2022  $345,000   $307,050 
PF Chang's China Bistro Inc, Senior Unsecured Bond, 10.250%, 06/30/2020(f)   3,377,000    2,650,945 
         2,957,995 
           
Capital Equipment - 0.92%          
Diebold Inc, Senior Unsecured Bond, Series WI, 8.500%, 04/15/2024   500,000    528,125 
Hardwoods Acquisition Inc, Senior Secured Bond, 7.500%, 08/01/2021(f)   289,000    264,435 
NWH Escrow Corp, Senior Secured Bond, 7.500%, 08/01/2021(f)   1,332,000    1,218,780 
         2,011,340 
           
Construction and Building - 3.98%          
FBM Finance Inc, Senior Secured Bond, 8.250%, 08/15/2021(f)   1,590,000    1,669,500 
Great Lakes Dredge & Dock Corp, Senior Unsecured Bond, Series WI, 8.000%, 05/15/2022   1,835,000    1,885,462 
PriSo Acquisition Corp / Building Pro, Senior Unsecured Bond, 9.000%, 05/15/2023(f)   3,477,000    3,642,158 
Zachry Holdings Inc, Senior Unsecured Bond, 7.500%, 02/01/2020(f)   1,500,000    1,518,750 
         8,715,870 
           
Containers, Packaging and Glass - 1.94%          
ARD Securities Finance, Senior Secured Bond, 8.750%, 01/31/2023(f)(g)   400,000    420,000 
Coveris Holdings SA, Senior Unsecured Bond, 7.875%, 11/01/2019(f)   1,331,000    1,340,982 
Flex Acquisition Co Inc, Senior Unsecured Bond, 6.875%, 01/15/2025(f)   1,916,000    1,900,433 
Trident Merger Sub Inc, Senior Secured Bond, 6.625%, 11/01/2025(f)   600,000    586,500 
         4,247,915 
           
Energy, Oil and Gas - 2.02%          
Calumet Specialty Prod, Senior Unsecured Bond, 7.750%, 04/15/2023   1,600,000    1,588,000 
Comstock Resources Inc, Senior Unsecured Bond,:          
10.00% Cash or 12.25% PIK%, 03/15/2020(g)   250,000    258,125 
9.500%, 06/15/2020(g)   2,251,843    2,115,044 
CSI Compressco LP / CSI Compressco Finance Inc, Senior Unsecured Bond, 7.250%, 08/15/2022   500,000    472,500 
         4,433,669 
           
Environmental Industries - 0.21%          
GFL Environmental Inc, Senior Unsecured Bond, 9.875%, 02/01/2021(f)   431,000    455,782 
           
Healthcare and Pharmaceuticals - 4.62%          
Avantor Inc, Senior Secured Bond, 6.000%, 10/01/2024(f)   833,000    830,917 
Avantor Inc, Senior Unsecured Bond, 9.000%, 10/01/2025(f)   2,600,000    2,552,875 
Surgery Center Holdings Inc, Senior Unsecured Bond, 8.875%, 04/15/2021(f)   1,500,000    1,571,250 
Team Health Holdings Inc, Senior Secured Bond, 6.375%, 02/01/2025(f)   1,500,000    1,293,900 
Tenet Healthcare Corp, Senior Secured Bond, 4.625%, 07/15/2024(f)   667,000    643,655 
Tenet Healthcare Corp, Senior Unsecured Bond, 5.125%, 05/01/2025(f)   667,000    643,655 
Tenet Healthcare, Senior Unsecured Bond, 7.000%, 08/01/2025(f)   1,143,000    1,128,713 
Valeant Pharmaceuticals International Inc, Senior Secured Bond, 5.500%, 11/01/2025(f)   600,000    586,350 
Valeant Pharmaceuticals International Inc, Senior Unsecured Bond,:          
6.500%, 03/15/2022(f)   520,000    538,850 
7.000%, 03/15/2024(f)   323,000    337,939 
         10,128,104 
           
High Tech Industries - 3.70%          
BMC Software Finance Inc, Senior Unsecured Bond, 8.125%, 07/15/2021(f)   2,750,000    2,760,312 
Boxer Parent Co Inc, Senior Unsecured Bond, 9.000%, 10/15/2019(f)(g)   502,000    502,628 
Global A&T Electronics, Senior Secured Bond, 8.500%, 01/12/2023   1,363,844    1,382,224 
Infor US Inc, Senior Unsecured Bond, 6.500%, 05/15/2022   1,000,000    1,022,500 
Riverbed Technology Inc, Senior Unsecured Bond, 8.875%, 03/01/2023(f)   2,559,000    2,440,646 
         8,108,310 

 

 

 

  

Principal

Amount

   Value 
     
Media Advertising, Printing and Publishing - 0.25%
McGraw-Hill Global Education, Senior Unsecured Bond, 7.875%, 05/15/2024(f)  $580,000   $556,667 
           
Media Broadcasting and Subscription - 1.36%          
Cablevision Systems Corp, Senior Unsecured Bond, 8.000%, 04/15/2020   1,400,000    1,479,625 
Cequel Communications Holdings I, Senior Unsecured Bond, 5.125%, 12/15/2021(f)   1,500,000    1,505,625 
         2,985,250 
           
Services - Business - 0.88%          
Infinity ACQ LLC / FI Corp, Senior Unsecured Bond, 7.250%, 08/01/2022(f)   1,250,000    1,246,875 
Jaguar Holding Company II, Senior Secured Bond, 6.375%, 08/01/2023(f)   666,000    675,158 
         1,922,033 
           
Services - Consumer - 0.17%          
IRB Holding Corp, Senior Unsecured Bond, 6.750%, 02/15/2026(f)   380,000    373,388 
           
Telecommunications - 0.80%          
Digicel Limited, Senior Unsecured Bond, 6.000%, 04/15/2021(f)   750,000    706,875 
Frontier Communications, Senior Unsecured Bond, 10.500%, 09/15/2022   1,250,000    1,051,662 
         1,758,537 
           
Utilities Electric - 0.28%          
Calpine Corp, Senior Unsecured Bond, 5.750%, 01/15/2025   667,000    611,972 
           
TOTAL CORPORATE BONDS          
(Cost $61,677,916)        61,183,652 
           
    Shares      
COMMON STOCK - 0.25%          
Energy, Oil and Gas - 0.25%          
SandRidge Energy Inc(h)   37,842   $549,087 
           
TOTAL COMMON STOCK          
(Cost $1,749,997)        549,087 
           
WARRANTS - 0.01%          
Energy, Oil and Gas - 0.01%          
Comstock Resources Inc,          
 expires 6/20/2020 at $0.01(h)   3,438    25,201 
           
TOTAL WARRANTS          
(Cost $–)        25,201 
           
Total Investments - 167.31%          
(Cost $371,435,304)        366,461,159 
           
Liabilities in Excess of Other Assets - (4.93)%        (10,808,612)
           
Mandatory Redeemable Preferred Shares - (9.19)%          
(liquidation preference plus distributions payable on term preferred shares)        (20,121,642)
           
Leverage Facility - (53.19)%        (116,500,000)
           
Net Assets - 100.00%       $219,030,905 

 

Amounts above are shown as a percentage of net assets as of March 31, 2018.

 

 

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

PIK - Payment In Kind

 

Libor Rates:

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

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

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

 

(a)Floating or variable rate security. The reference rate is described above. The rate in effect as of March 31, 2018 is based on the reference rate plus the displayed spread as of the security's last reset date.
(b)The level 3 assets were valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
(c)All or a portion of this position has not settled as of March 31, 2018. The interest rate shown represents the stated spread over the London Interbank Offered Rate ("LIBOR" or "L") or the applicable LIBOR floor; the Fund will not accrue interest until the settlement date, at which point the LIBOR will be established.
(d)Security is in default as of period end and is therefore non-income producing.
(e)A portion of this position was not funded as of March 31, 2018. The Portfolio of Investments records only the funded portion of each position. See Note 3 - Senior and Secured Floating Rate Loans.
(f)Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $53,012,836, which represented approximately 24.20% of net assets as of March 31, 2018. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(g)Option to convert to pay-in-kind security.
(h)Non-income producing security.

 

 

 

NOTE 1. ORGANIZATION

 

Blackstone / GSO Long-Short Credit Income Fund (the "Fund" or “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 Investment Company Act of 1940, as amended (the “1940 Act”), on October 26, 2010. BGX commenced operations on January 27, 2011. Prior to that date, 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 GSO / Blackstone Debt Funds Management LLC (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 New York Stock Exchange (the “Exchange”) and trade under the ticker symbol “BGX.”

 

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’’ or “Loans”) and high-yield corporate debt securities of varying maturities. BGX’s long positions in loans and fixed-income instruments will typically be rated below investment grade at the time of purchase.

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

 

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

 

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

 

Loans are primarily valued by using a composite loan price from a nationally recognized loan pricing service. The methodology used by BGX’s nationally recognized loan pricing provider for composite loan prices is to value loans at the mean of the bid and ask prices from one or more brokers or dealers. Collateralized Loan Obligations (“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. Short-term debt investments, if any, having a remaining maturity of 60 days or less when purchased would be valued at cost adjusted for amortization of premiums and accretion of discounts. Equity securities for which market quotations are available are valued at the last sale price or official closing price on the primary market or exchange on which they trade. Any investments and other assets for which such current market quotations are not readily available are generally valued at fair value (“Fair Valued Assets”) as determined in good faith by a committee of the Adviser (“Fair Valued Asset Committee”) under procedures established by, and under the general supervision and responsibility of, the Fund’s Board of Trustees. A Fair Valued Asset Committee meeting may be called at any time by any member of the Fair Valued Asset Committee. The pricing of all Fair Valued Assets and determinations thereof shall be reported by the Fair Valued Asset Committee to the Board at each regularly scheduled quarterly meeting.

 

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

 

 

 

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

 

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

 

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

 

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

 

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

 

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 and Defense  $–   $3,376,444   $1,181,939   $4,558,383 
Automotive   –    4,149,674    803,290    4,952,964 
Banking, Finance, Insurance and Real Estate   –    20,097,709    2,697,063    22,794,772 
Beverage, Food and Tobacco   –    8,907,397    2,200,316    11,107,713 
Capital Equipment   –    5,616,239    3,262,285    8,878,524 
Chemicals, Plastics and Rubber   –    6,994,264    572,333    7,566,597 
Construction and Building   –    17,393,958    1,517,883    18,911,841 
Containers, Packaging and Glass   –    9,409,818    326,181    9,735,999 
Energy, Oil and Gas   –    8,232,981    31,996    8,264,977 
Environmental Industries   –    205,680    1,673,882    1,879,562 
Healthcare and Pharmaceuticals   –    36,507,505    8,166,703    44,674,208 
High Tech Industries   –    41,182,778    5,330,934    46,513,712 
Metals and Mining   –    2,942,742    2,128,968    5,071,710 
Services - Business   –    31,367,798    13,084,964    44,452,762 
Services - Consumer   –    11,076,671    1,828,317    12,904,988 
Other   –    46,859,584    –    46,859,584 
Collateralized Loan Obligations                    
Banking, Finance, Insurance and Real Estate  $–   $–   $5,574,923   $5,574,923 
Corporate Bonds   –    61,183,652    –    61,183,652 
Common Stock   549,087    –    –    549,087 
Warrants   –    25,201    –    25,201 
Total  $549,087   $315,530,095   $50,381,977   $366,461,159 

 

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

 

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

 

Blackstone/GSO Long-Short Credit Income Fund  Floating Rate Loan Interests   Collateralized Loan Obligations   Total 
 Balance as of December 31, 2017  $48,514,020   $2,437,391   $50,951,411 
 Accrued discount/ premium   17,141    -    17,141 
 Realized Gain/(Loss)   86,812    -    86,812 
 Change in Unrealized Appreciation/(Depreciation)   159,838    37,532    197,370 
 Purchases   8,327,388    3,100,000    11,427,388 
 Sales Proceeds   (8,163,909)   -    (8,163,909)
 Transfer into Level 3   15,702,028    -    15,702,028 
 Transfer out of Level 3   (19,836,264)   -    (19,836,264)
 Balance as of March 31, 2018  $44,807,054   $5,574,923   $50,381,977 
Net change in unrealized appreciation/(depreciation) included in the Statements of Operations attributable to Level 3 investments held at March 31, 2018  $363,943   $37,532   $401,475 

 

 

 

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

 

   Fair Value at 3/31/2018   Valuation Technique(s)  Unobservable Input(s)  Value/Range
Floating Rate Loan Interests  $44,807,054   Third-party vendor pricing service  Broker quotes  N/A
Collateralized Loan Obligation  $5,574,923   Third-party vendor pricing service  Broker quotes  N/A

 

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

 

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

 

NOTE 3. SENIOR AND SECURED FLOATING RATE LOANS

 

BGX includes first and second lien 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"), in its definition of "Secured Loans". Under normal market conditions, at least 70% of BGX’s Managed Assets (defined below) will be invested in Secured Loans. BGX defines its "Managed Assets" as total assets (including any assets attributable to any leverage used) minus the sum of BGX's accrued liabilities (other than liabilities related to the principal amount of leverage). At March 31, 2018, 84.18% of BGX’s Managed Assets were held in Secured Loans.

 

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

 

At March 31, 2018, BGX had unfunded delayed draw term loans of $1,071,581.

 

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

 

 

 

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

 

Second lien loans generally are subject to similar risks as those associated with investments in first lien loans except that such loans are subordinated in payment and/or lower in lien priority to first lien holders. In the event of default on a second lien loan, the first priority lien holder has first claim to the underlying collateral of the loan. Second lien loans are subject to the additional risk that the cash flow of the Borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior obligations of the Borrower. At March 31, 2018, BGX had invested $59,998,809 in second lien secured loans.

 

Loans can be rated below investment grade or may also be unrated. As a result, the risks associated with Loans may be similar to the risks of other below investment grade securities, although they are senior and secured in contrast to other below investment grade securities, which are often subordinated or unsecured. BGX typically invests 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 BGX, 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.

 

BGX may acquire Loans through assignments or participations. BGX typically acquires these Loans through assignment, and if BGX 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 to mitigate credit and counterparty risk in the atypical situation when BGX must acquire a Loan through a participation. BGX had no outstanding participations as of March 31, 2018.

 

NOTE 4. LEVERAGE

 

The Fund entered into a Credit Agreement (the "Agreement") with a bank to borrow money pursuant to a two-year revolving line of credit ("Leverage Facility") dated July 29, 2014, as amended on January 26, 2015, July 28, 2015, July 26, 2016, July 25, 2017, January 8, 2018 and February 23, 2018 to borrow up to a limit of $122,000,000. Borrowings under the Agreement are secured by the assets of the Fund. Interest is charged at a rate of 1.00% above LIBOR, with LIBOR measured for the period commencing on the date of the making of such LIBOR Loan (or the last date upon which any other Loan was converted to, or continued as, such LIBOR Loan) and ending on the numerically corresponding day in the calendar month that is three (3), six (6) or nine (9) months thereafter, as the Fund may elect, or such other periods as the lender may agree in its sole and absolute discretion. Under the terms of the Agreement, the Fund must pay a 0.20% commitment fee on any undrawn amounts. Interest and fees are payable quarterly. The Fund may elect to extend the Agreement for a further period with the consent of the lending bank. At March 31, 2018, BGX had borrowings outstanding under its Leverage Facility of $116,500,000, at an interest rate of 3.06%. Due to the short term nature of the Agreement, face value approximates fair value at March 31, 2018. This fair value is based on Level 2 inputs under the three-tier fair valuation hierarchy (see Note 2). For the period ended March 31, 2018 the average borrowings under BGX's Leverage Facility and the average interest rate were $112,261,111 and 2.79% respectively.

 

 

 

On July 27, 2016, BGX issued 20,000 Mandatory Redeemable Preferred Shares (“MRPS”) with an aggregate liquidation preference of $20,000,000, rated “AA” by Fitch Ratings. BGX used the proceeds of the offering to make additional investments for BGX’s portfolio. The final redemption date of the MRPS is July 27, 2023. BGX makes quarterly dividend payments on the MRPS at an annual dividend rate of 3.61%.

 

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

 

The use of leverage by the Fund can create risks. Changes in the value of the Fund's portfolio, including securities bought with the proceeds of leverage, are borne entirely by the holders of common shares of the Fund. All costs and expenses related to any form of leverage used by the Fund are borne entirely by common shareholders. If there is a net decrease or increase in the value of the Fund's investment portfolio, the leverage may decrease or increase, as the case may be, the net asset value per common share to a greater extent than if the Fund did not utilize leverage.

 

 

 

Item 2. Controls and Procedures.

 

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

 

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

 

Item 3. Exhibits.

 

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

 

 

 

SIGNATURES

 

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

 

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

 

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

 

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