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Form N-CSR Blackstone / GSO Senior For: Dec 31

March 6, 2020 1:16 PM EST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number: 811-22393

 

Blackstone / GSO Senior Floating Rate Term Fund

(exact name of registrant as specified in charter)

 

345 Park Avenue, 31st Floor

New York, New York 10154

 

(Address of principal executive offices) (Zip code)

 

Marisa Beeney

345 Park Avenue, 31st Floor

New York, New York 10154

 

(Name and address of agent for service)

 

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

 

Date of fiscal year end:  December 31

 

Date of reporting period: December 31, 2019

 

Item 1.Report to Stockholders.

 

 

 

 

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

 

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

 

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

 

 

Table of Contents

 

 

Manager Commentary 2
Fund Summary 3
Portfolio of Investments 9
Statements of Assets and Liabilities 45
Statements of Operations 46
Statements of Changes in Net Assets 47
Statements of Cash Flows 48
Financial Highlights 49
Notes to Financial Statements 54
Report of Independent Registered Public Accounting Firm 69
Summary of Dividend Reinvestment Plan 70
Additional Information 71
Privacy Procedures 72
Trustees & Officers 80

 

 

Blackstone / GSO Funds Manager Commentary

 

December 31, 2019 (Unaudited)

 

To Our Shareholders:

 

The U.S. credit markets posted strong performance in 2019 despite lingering tensions over trade and concerns about a weakening global economy. Ample Collateralized Loan Obligation (“CLO”) creation and institutional demand supported loan performance of 8.64%, offsetting persistent loan retail fund outflows and negative media coverage. High yield and investment grade bonds, which returned 14.32% and 14.54%, respectively, for the year, outperformed most other credit asset classes as investors sought fixed-coupon, longer-duration assets due to the downward shift in the U.S. Treasury yield curve.

 

Investor flight to quality drove dispersion in performance by credit quality throughout much of the second half of 2019, before the year culminated in a strong rally in risk assets. BB rated and B rated loans returned 9.3% and 9.0%, respectively, in 2019 versus 3.4% for CCC rated loans. Similarly, in high yield, higher quality paper generally outperformed lower quality in 2019 with BB rated and B rated high yield bonds returning 15.5% and 14.8%, respectively, versus 9.5% for CCC rated high yield bonds.

 

A topical theme throughout fixed income during 2019 was the expectation for falling interest rates, with retail loan funds facing redemptions for much of the year while high yield and investment grade bond funds experienced strong inflows. Loan mutual funds and Exchange Traded Funds (“ETFs”) reported $38 billion in net outflows in 2019 and more than $58 billion in net outflows since October 2018 when expectations for near-term rate hikes peaked. With the market pricing in only one Federal Funds rate cut during 2020, loan retail outflows are expected to stabilize somewhat. Retail investor demand for high yield bonds, on the other hand, was resilient throughout 2019. Net inflows totaled $19 billion as investors rotated into fixed-rate, longer-duration assets amid the declining rate environment.

 

Primary loan issuance slowed in 2019 due to a decline in both M&A related financing and refinancing activity, coupled with an increase in bond-for-loan refinancings and secured high yield issuance. Gross loan issuance totaled $392 billion in 2019, a 44% decrease year-over-year, and net issuance totaled $192 billion, a 36% decrease year-over-year. High yield bond issuance, on the other hand, increased year-over-year with gross issuance totaling $287 billion, a 53% increase over 2018. Net issuance of $93 billion represented a 27% increase year-over-year. We believe the investor preference for fixed-rate, longer-duration assets led to a relatively high volume of senior secured notes issued in 2019, which otherwise may have taken the form of senior secured loans. Senior secured note issuance increased by over 140% in 2019 compared to 2018, and it represented a greater proportion of total high yield bond issuance than it did in the prior year.

Total Returns through December 31, 2019

US Loans (S&P/LSTA Leveraged Loan Index)

8.64%

US High Yield Bonds (Bloomberg Barclays U.S. High Yield Index)

14.32%

3-month Treasury Bills (Bloomberg Barclays U.S. Treasury Bellwethers: 3 Month)

2.30%

10-Year Treasuries (Bloomberg Barclays U.S. Treasury Bellwethers: 10 Year)

8.90%

US Aggregate Bonds (Bloomberg Barclays U.S. Aggregate Index)

8.72%

US Investment Grade Bonds (Bloomberg Barclays U.S. Corporate Investment Grade Index)

14.54%

Emerging Markets (Bloomberg Barclays EM USD Aggregate Index)

13.11%

US Large Cap Equities (S&P 500® Index)

31.50%

 

Sources: Bloomberg, Barclays, S&P/LCD

 

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



U.S. CLO gross issuance was healthy in 2019, down just 8% compared to record-breaking issuance in 2018. JP Morgan is forecasting net new supply in 2020 of $90-100 billion (a 15-24% decrease year-over-year) driven primarily by continuing tight arbitrage, depressed loan supply, a saturated manager base, and U.S. election uncertainty.

 

In 2019, 43 companies in the loan and high yield bond markets defaulted with debt totaling $51.5 billion, compared to 32 companies with debt totaling $43.1 billion in 2018, according to JP Morgan. Although total debt involved in defaults picked up almost 20% year-over-year, energy and metals/mining defaults accounted for over half of 2019’s defaults/distressed activity by volume. The par-weighted loan last twelve months (“LTM”) default rate at the end of 2019 was 1.64% versus the 20-year average of 3.0%, and the par-weighted high yield bond LTM default rate was 2.63% versus the 20-year average of 3.1%. JP Morgan is forecasting loan and high yield bond default rates of 2.0% and 3.0%, respectively, in 2020.

 

Average LTM revenue and EBITDA growth continues to be positive for the public issuers in the S&P/LSTA Leveraged Loan Index as of September 30, 2019. While growth has slowed, leverage and interest coverage levels remain stable, and we remain focused on key loan protections and covenants.

 

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

 

Sincerely,

 

GSO / Blackstone Debt Funds Management LLC

 

 

 
2 www.blackstone-gso.com

 

 

Blackstone / GSO Senior Floating Rate Term Fund Fund Summary

 

December 31, 2019 (Unaudited)

 

Blackstone / GSO Senior Floating Rate Term Fund

 

Fund Overview

 

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

 

On November 18, 2019, the Board of Trustees of BSL approved a proposal to amend BSL's charter to allow an extension greater than two years in length (the “Charter Amendment”) and also approved a proposal to extend the term of BSL by five years by changing BSL's scheduled dissolution date from May 31, 2022 to May 31, 2027 (the "Term Extension"). The Charter Amendment and the Term Extension were subject to shareholder approval, which was obtained at a special shareholder meeting held on February 19, 2020.

 

Portfolio Management Commentary

 

Fund Performance

As of December 31, 2019, BSL outperformed its key benchmark, the S&P/LSTA Leveraged Loan Index (“S&P LLI”), on a Net Asset Value (“NAV”) per share basis for the periods of three years, five years, and since inception and underperformed its benchmark for the one year period. On a share price basis, the Fund outperformed its benchmark for the periods of one year, five years, and since inception and underperformed its benchmark for the three year period. The shares of the Fund traded at an average discount to NAV of 0.6% for the twelve months ended December 31, 2019, compared to its peer group average discount of 11.8% over the same time.1

 

NAV Performance Factors

The Fund’s underperformance relative to its benchmark in 2019 was primarily attributable to an underweight allocation to BBB/BB rated credit. The Fund’s 2019 relative performance was also impacted by a snap-back of larger loan tranches in January 2019, which we believe was largely a normalization following the significant underperformance of larger loans in late 2018 as open-end loan mutual funds facing record outflows aggressively sold these larger, more liquid tranches to meet redemptions. The Fund, which is generally underweight larger loans, outperformed its benchmark on an asset-level basis by +1.2% during November and December 2018 and then lagged by -1.0% in January 2019 as this temporary phenomenon reversed. Net of this impact, credit selection within credit rating tiers was positive for 2019. Illustratively, single-B rated loans below $1.0 billion (approximately 52% of the Fund during 2019) returned approximately +8.6% compared to approximately +7.6% for single-B loans sub-$1.0 billion in the benchmark. By issuer, the largest positive contributors to performance relative to the benchmark were Advantage Sales & Marketing, Beacon Health, and US LBM, while Southern Graphics, Sheridan Production Partners, and Mortgage Contracting Services were the most significant detractors.

 

Portfolio Activity and Positioning

During 2019, we continued to dynamically manage the Fund, using the secondary market to add or exit positions based on relative value while also leveraging our scale in the primary market to take advantage of new issue discounts. The Fund slightly reduced its allocation to second lien loans throughout the year in favor of additional high yield.

 

As of December 31, 2019, the Fund held 82.3% of its Managed Assets in Senior Loans, 12.0% in second lien loans, and 3.0% in high yield bonds. BSL’s investments represented the obligations of 276 companies, with an average position size representing 0.31% of Managed Assets of the Fund. Electronics/electric, business equipment and services, and healthcare represented the Fund’s top sector weightings.2 

 

 

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

 

 
Annual Report | December 31, 2019 3

 

 

Blackstone / GSO Senior Floating Rate Term Fund Fund Summary

 

December 31, 2019 (Unaudited)

 

BSL’s Portfolio Composition*

 

 

 

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

 

BSL’s Moody’s Rating*

 

 

 

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

 

Portfolio Characteristics
Average All-In Rate 6.51%
Current Dividend Yield^ 7.50%
Effective Duration^^ 0.25 yr
Average Position* 0.31%
Leverage* 32.99%

 

^Using current dividend rate of $0.101/share and market price/share as of 12/31/2019.

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

*As a percentage of Managed Assets.
Top 10 Issuers*
EG Group, Ltd. 1.4%
Advantage Sales & Marketing, Inc. 1.3%
TKC Holdings, Inc. 1.1%
Ellie Mae, Inc. 1.1%
Quest Software US Holdings, Inc. 1.1%
Ivanti Software, Inc. 1.1%
GI Revelation Acquisition LLC 1.0%
KUEHG Corp 1.0%
Netsmart Technologies, Inc. 1.0%
National Intergovernmental Purchasing Alliance Co 0.9%
Top 10 Issuer 11.0%

 

*As a percentage of Managed Assets.

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

 

Top 5 Industries*^
Electronics/Electric 19.0%
Business Equipment & Services 15.8%
Healthcare 15.1%
Building & Development 5.6%
Chemical & Plastics 3.5%
Top 5 Industries 59.0%

 

*As a percentage of Managed Assets.

^S&P Industry Classification Schema.

 

BSL Total Return
  1
Year
3
Year
5
Year
Since
Inception
NAV* 7.98%** 5.50% 5.68% 5.70%
Market Price* 14.17% 3.98% 6.96% 5.01%
S&P LLI 8.64% 4.35% 4.44% 4.83%

 

Annualized.

*NAV is equal to the total assets attributable to common shareholders less liabilities divided by the number of common shares outstanding. Market Price is the price at which a share can currently be traded in the market. Market Price is based on the close price at 4 p.m. ET and does not represent the returns an investor would receive if shares were traded at other times. Return assumes distributions are reinvested pursuant to the Fund’s dividend reinvestment plan. Performance data quoted represents past performance and does not guarantee future results.

**Excludes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value and total return for shareholder transactions reported to the market at year ended December 31, 2019 may differ from the net asset value for financial reporting purposes.


 

 
4 www.blackstone-gso.com

 

 

Blackstone / GSO Long-Short Credit Income Fund Fund Summary

 

December 31, 2019 (Unaudited)

 

Blackstone / GSO Long-Short Credit Income Fund

 

Fund Overview

 

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

 

Portfolio Management Commentary

 

Fund Performance

As of December 31, 2019, BGX outperformed a composite weighting of the S&P LLI and the Barclays U.S. High Yield Index (“Barclays HYI”) (70% loans, 30% high yield bonds) on a NAV per share basis for the periods of one year, three years, five years, and since inception. On a share price basis, the Fund outperformed its benchmark for the periods of one year, three years, five years, and since inception. The shares of the Fund traded at an average discount to NAV of 2.7% for the twelve months ended December 31, 2019, compared to its peer group average discount of 8.1% over the same time.1

 

NAV Performance Factors

The Fund’s underperformance relative to its benchmark in 2019 was primarily attributable to an underweight allocation to BBB/BB rated credit. The Fund’s 2019 relative performance was also impacted by a snap-back of larger loan tranches in January 2019, which we believe was largely a normalization following the significant underperformance of larger loans in late 2018 as open-end loan mutual funds facing record outflows aggressively sold these larger, more liquid tranches to meet redemptions. Due primarily to this tranche size effect, the Fund’s loans outperformed the loan benchmark on an asset-level basis by +1.4% during November and December 2018 and then lagged by -1.3% in January 2019 as this temporary phenomenon reversed. Net of this impact, credit selection within credit rating tiers was positive for 2019. Illustratively, single-B rated loans below $1.0 billion (approximately 47% of the Fund during 2019) returned approximately +8.5% compared to approximately +7.6% for single-B loans sub-$1.0 billion in the benchmark. By issuer, the largest positive contributors to performance relative to the benchmark were York Risk Services, Advantage Sales & Marketing, and Avantor, while Southern Graphics, Pier 1 Imports, and Mortgage Contracting Services were the most significant detractors.

 

Portfolio Activity and Positioning

During 2019, we continued to dynamically manage the Fund, using the secondary market to add or exit positions based on relative value while also leveraging our scale in the primary market to take advantage of new issue discounts. The Fund slightly reduced its allocation to second lien loans throughout the year in favor of incremental single-B loan exposure.

 

As of December 31, 2019, the Fund held 86.2% of its Managed Assets in Secured Loans and 11.0% in high yield bonds. BGX’s investments represented the obligations of 285 companies, with an average position size representing 0.31% of Managed Assets of the Fund. Electronics/electric, healthcare, and business equipment and services represented the Fund’s top sector weightings.2

 

 

1 Average discount and peer group per Morningstar.

2 Industries per S&P classifications.

 

 
Annual Report | December 31, 2019 5

 

 

Blackstone / GSO Long-Short Credit Income Fund Fund Summary

 

December 31, 2019 (Unaudited)

 

BGX’s Portfolio Composition*

 

 

 

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

 

BGX’s Moody’s Rating Distribution*

 

 

 

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

 

Portfolio Characteristics
Average All-In Rate 6.76%
Current Dividend Yield^ 8.82%
Effective Duration^^ 0.40 yr
Average Position* 0.31%
Leverage* 39.02%

 

^Using current dividend rate of $0.115/share and market price/share as of 12/31/2019.

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

*As a percentage of Managed Assets.
Top 10 Issuers*
Ivanti Software, Inc. 1.5%
Advantage Sales & Marketing, Inc. 1.3%
KUEHG Corp 1.1%
Quest Software US Holdings, Inc. 1.1%
Priso Acquisition Corp 1.1%
Ellie Mae, Inc. 1.0%
Asurion LLC 1.0%
Carestream Health, Inc. 1.0%
Netsmart Technologies, Inc. 1.0%
GI Revelation Acquisition LLC 0.9%
Top 10 Issuer 11.0%

 

*As a percentage of Managed Assets.

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

 

Top 5 Industries*^
Electronics/Electric 17.8%
Healthcare 14.8%
Business Equipment & Services 14.4%
Building & Development 6.6%
Telecommunications 4.1%
Top 5 Industries 57.7%

 

*As a percentage of Managed Assets.

^S&P Industry Classification Schema.

 

BGX Total Return
  1
Year
3
Year
5
Year
Since
Inception
NAV* 10.73%** 6.86% 6.82% 6.14%
Market Price* 25.08% 8.87% 9.64% 5.51%
70% S&P LLI / 30% Barclays HYI 9.80% 4.79% 4.94% 4.96%

 

Annualized.
*NAV is equal to the total assets attributable to common shareholders less liabilities divided by the number of common shares outstanding. Market Price is the price at which a share can currently be traded in the market. Market Price is based on the close price at 4 p.m. ET and does not represent the returns an investor would receive if shares were traded at other times. Return assumes distributions are reinvested pursuant to the Fund’s dividend reinvestment plan. Performance data quoted represents past performance and does not guarantee future results.

**Excludes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value and total return for shareholder transactions reported to the market at year ended December 31, 2019 may differ from the net asset value for financial reporting purposes.


 

 
6 www.blackstone-gso.com

 

 

Blackstone / GSO Strategic Credit Fund Fund Summary
 

December 31, 2019 (Unaudited)

 

Blackstone / GSO Strategic Credit Fund

 

Fund Overview

 

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

 

Portfolio Management Commentary

 

Fund Performance

As of December 31, 2019, BGB outperformed a composite weighting of the S&P LLI and the Barclays HYI (75% loans, 25% high yield bonds) on a NAV per share basis for the periods of three years, five years, and since inception and underperformed its benchmark for the one year period. On a share price basis, the Fund outperformed its benchmark for the periods of one year, three years, and five years and underperformed its benchmark for the inception period. The shares of the Fund traded at an average discount to NAV of 7.1% for the twelve months ended December 31, 2019, compared to its peer group average discount of 7.6% over the same time.1

 

NAV Performance Factors

The Fund’s underperformance relative to its benchmark in 2019 was primarily attributable to an underweight allocation to BBB/BB rated credit. The Fund’s 2019 relative performance was also impacted by a snap-back of larger loan tranches in January 2019, which we believe was largely a normalization following the significant underperformance of larger loans in late 2018 as open-end loan mutual funds facing record outflows aggressively sold these larger, more liquid tranches to meet redemptions. Due primarily to this tranche size effect, the Fund’s loans outperformed the loan benchmark on an asset-level basis by +1.3% during November and December 2018 and then lagged by -1.2% in January 2019 as this temporary phenomenon reversed. Net of this impact, credit selection within credit rating tiers was positive for 2019. Illustratively, single-B rated loans below $1.0 billion (approximately 46% of the Fund during 2019) returned approximately +8.7% compared to approximately +7.6% for single-B loans sub-$1.0 billion in the benchmark. Mark-downs on legacy, reorganized equity positions, which are typically illiquid until a monetization event, were also a headwind to performance. By issuer, the largest positive contributors to performance relative to the benchmark were York Risk Services, Advantage Sales & Marketing, and Calumet Specialty Products Partners, while Southern Graphics, Mood Media, and NPC International were the most significant detractors.

 

Portfolio Activity and Positioning

During 2019, we continued to dynamically manage the Fund, using the secondary market to add or exit positions based on relative value while also leveraging our scale in the primary market to take advantage of new issue discounts. The Fund reduced its allocation to CCC exposure during the year in favor of incremental B-rated credit.

 

As of December 31, 2019, the Fund held 86.2% of its Managed Assets in Senior Secured Loans and 12.5% in high yield bonds. BGB’s investments represented the obligations of 286 companies, with an average position size representing 0.30% of Managed Assets of the Fund. Electronics/electric, business equipment and services, and healthcare represented the Fund’s top sector weightings.2

 

 
1 Average discount and peer group per Morningstar.

2 Industries per S&P classifications.

 

 
Annual Report | December 31, 2019 7

 

 

Blackstone / GSO Strategic Credit Fund Fund Summary
 

December 31, 2019 (Unaudited)

 

BGB’s Portfolio Composition*

 

 

 

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

 

BGB’s Moody’s Rating Distribution*

 

 

 

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

 

Portfolio Characteristics
Average All-In Rate 6.85%
Current Dividend Yield^ 8.76%
Effective Duration^^ 0.41 yr
Average Position* 0.30%
Leverage* 37.08%

 

^Using current dividend rate of $0.105/share and market price/share as of 12/31/2019.

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

*As a percentage of Managed Assets.
Top 10 Issuers*
Advantage Sales & Marketing, Inc. 1.4%
Priso Acquisition Corp 1.2%
Quest Software US Holdings, Inc. 1.1%
Ivanti Software, Inc. 1.1%
Ellie Mae, Inc. 1.1%
KUEHG Corp 1.0%
American Bath Group LLC 1.0%
Carestream Health, Inc. 1.0%
GI Revelation Acquisition LLC 0.9%
Gigamon, Inc. 0.9%
Top 10 Issuer 10.7%

 

*As a percentage of Managed Assets.

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

 

Top 5 Industries*^
Electronics/Electric 18.6%
Business Equipment & Services 15.1%
Healthcare 14.0%
Building & Development 7.6%
Telecommunications 4.0%
Top 5 Industries 59.3%

 

*As a percentage of Managed Assets.

^S&P Industry Classification Schema.

 

BGB Total Return
  1
Year
3
Year
5
Year
Since
Inception
NAV* 9.29%** 5.95% 5.91% 5.50%
Market Price* 17.05% 7.05% 6.50% 3.98%
75% S&P LLI / 25% Barclays HYI 9.60% 4.71% 4.86% 4.66%

 

Annualized.

*NAV is equal to the total assets attributable to common shareholders less liabilities divided by the number of common shares outstanding. Market Price is the price at which a share can currently be traded in the market. Market Price is based on the close price at 4 p.m. ET and does not represent the returns an investor would receive if shares were traded at other times. Return assumes distributions are reinvested pursuant to the Fund’s dividend reinvestment plan. Performance data quoted represents past performance and does not guarantee future results.

**Excludes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value and total return for shareholder transactions reported to the market at year ended December 31, 2019 may differ from the net asset value for financial reporting purposes.


 

 
8 www.blackstone-gso.com

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

  December 31, 2019

 

  

Principal

Amount

   Value 
FLOATING RATE LOAN INTERESTS(a) - 140.75%          
Aerospace & Defense - 1.54%          
Nordam Group LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 04/09/2026(b)  $1,746,800   $1,744,616 
Propulsion Acquisition LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 07/13/2021(b)   2,132,624    2,111,298 
         3,855,914 
           
Air Transport - 0.76%          
Air Medical Group Holdings, Inc., First Lien 2018 New Term Loan, 1M US L + 4.25%, 03/14/2025   1,965,000    1,910,962 
           
Automotive - 1.09%          
Bright Bidco B.V., First Lien 2018 Refinancing B Term Loan, 3M US L + 3.50%, 06/30/2024   1,750,919    1,041,797 
Midas Intermediate Holdco II LLC, First Lien 2017 Refinancing Term Loan, 3M US L + 2.75%, 08/18/2021   434,402    428,609 
Superior Industries International, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 05/22/2024(b)   1,289,688    1,254,222 
         2,724,628 
           
Brokers, Dealers & Investment Houses - 1.71%          
Advisor Group Holdings, Inc., First Lien Initial B Term Loan, 1M US L + 5.00%, 07/31/2026   1,166,667    1,160,110 
Advisor Group Holdings, Inc., First Lien Initial A Term Loan, 1M US L + 4.00%, 01/31/2025   830,499    804,550 
Deerfield Dakota Holding LLC, First Lien Initial Term Loan, 1M US L + 3.25%, 02/13/2025   871,134    870,275 
Edelman Financial Center LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 07/20/2026   676,923    677,769 
Newport Group Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 09/12/2025(b)   762,013    763,918 
         4,276,622 
           
Building & Development - 8.01%          
American Bath Group LLC, Second Lien Term Loan, 1M US L + 9.75%, 09/30/2024(b)   250,000    250,000 
American Bath Group LLC, First Lien 2018 Replacement Term Loan, 1M US L + 4.25%, 09/30/2023(b)   3,183,671    3,203,569 
CPG International LLC, First Lien New Term Loan, 3M US L + 3.75%, 05/05/2024   288,148    288,990 
Dayton Superior Corp., First Lien Term Loan, 3M US L + 7.00%, 12/04/2024   325,342    322,902 
Forterra Finance LLC, First Lien Replacement Term Loan, 1M US L + 3.00%, 10/25/2023   1,288,275    1,263,585 
Hillman Group, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025   3,253,216    3,208,484 
Interior Logic Group Holdings IV LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b)   2,370,000    2,263,350 
LBM Borrower LLC, Second Lien Initial Term Loan, 1M US L + 9.25%, 08/20/2023   400,000    394,376 
LBM Borrower LLC, First Lien Tranche C Term Loan, 1M US L + 3.75%, 08/20/2022   2,614,372    2,634,804 
MI Windows and Doors LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 11/06/2026   840,000    841,050 
Ply Gem Midco, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 04/12/2025   1,361,822    1,363,089 
Road Infrastructure Investment Holdings, Inc., First Lien Term Loan, 1M US L + 3.50%, 06/13/2023   351,529    327,977 
SIWF Holdings, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 06/15/2025   866,800    866,076 
SRS Distribution, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 05/23/2025   2,871,461    2,854,591 
         20,082,843 
           
Business Equipment & Services - 23.55%          
Access CIG LLC, First Lien B Term Loan, 1M US L + 3.75%, 02/27/2025   1,044,629    1,045,501 
Access CIG LLC, Second Lien Initial Term Loan, 1M US L + 7.75%, 02/27/2026   119,565    119,266 
Advantage Sales & Marketing, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 07/23/2021   1,027,665    997,992 
Advantage Sales & Marketing, Inc., Second Lien Term Loan, 1M US L + 6.50%, 07/25/2022   3,248,461    2,904,676 
Advantage Sales & Marketing, Inc., First Lien B-2 Term Loan, 1M US L + 3.25%, 07/23/2021   950,625    922,301 
ALKU LLC, First Lien B Term Loan, 3M US L + 5.50%, 07/29/2026   2,100,000    2,075,504 
Allied Universal Holdco LLC, First Lien Delayed Draw Term Loan, 1M US L + 4.25%, 07/10/2026   138,739    139,750 
Allied Universal Holdco LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 07/10/2026   1,401,261    1,411,476 

 

See Notes to Financial Statements.

 
Annual Report | December 31, 2019 9

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

December 31, 2019

 

  

Principal

Amount

   Value 
Business Equipment & Services (continued)          
APFS Staffing Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/15/2026  $1,990,000   $1,990,000 
AqGen Ascensus, Inc., First Lien Replacement Term Loan, 3M US L + 4.00%, 12/05/2022   1,746,782    1,754,974 
BMC Acquisition, Inc., First Lien Initial Term Loan, 3M US L + 5.25%, 12/28/2024(b)   857,500    855,356 
Cambium Learning Group, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 12/18/2025   458,182    444,436 
Capri Acquisitions BidCo, Ltd., First Lien Initial Dollar Term Loan, 3M US L + 3.00%, 11/01/2024   2,154,522    2,138,094 
Cast & Crew Payroll LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 02/09/2026   398,005    400,493 
DG Investment Intermediate Holdings 2, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 02/02/2026(b)   465,517    451,552 
DG Investment Intermediate Holdings 2, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 02/03/2025   333,562    332,728 
Dun & Bradstreet Corp., First Lien Initial Borrowing Term Loan, 1M US L + 5.00%, 02/06/2026   1,506,306    1,521,369 
Epicor Software Corp., First Lien B Term Loan, 1M US L + 3.25%, 06/01/2022   493,910    497,276 
Explorer Holdings, Inc., First Lien Term Loan, 3M US L + 4.50%, 11/20/2026   630,000    635,906 
Garda World Security Corp., First Lien Initial Term Loan, 3M US L + 4.75%, 10/30/2026   1,076,923    1,085,678 
GI Revelation Acquisition LLC, First Lien Initial Term Loan, 1M US L + 5.00%, 04/16/2025   2,010,178    1,902,141 
GI Revelation Acquisition LLC, Second Lien Initial Term Loan, 1M US L + 9.00%, 04/16/2026   2,200,000    1,985,500 
Inmar, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 05/01/2024   390,762    374,155 
Inmar, Inc., Second Lien Initial Term Loan, 3M US L + 8.00%, 05/01/2025   1,183,432    1,109,840 
KUEHG Corp, First Lien B-3 Term Loan, 3M US L + 3.75%, 02/21/2025   1,625,053    1,632,837 
KUEHG Corp, Second Lien Tranche B Term Loan, 3M US L + 8.25%, 08/22/2025   2,250,000    2,254,579 
LD Intermediate Holdings, Inc., First Lien Initial Term Loan, 3M US L + 5.88%, 12/09/2022   1,910,340    1,915,116 
LegalZoom.com, Inc., First Lien 2018 Term Loan, 1M US L + 4.50%, 11/21/2024   1,866,857    1,884,359 
Minotaur Acquisition, Inc., First Lien B Term Loan, 1M US L + 5.00%, 03/27/2026   1,356,791    1,339,831 
Mitchell International, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 11/29/2024   2,066,419    2,053,835 
Mitchell International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 12/01/2025   690,909    665,000 
National Intergovernmental Purchasing Alliance Co., Second Lien Initial Term Loan, 3M US L + 7.50%, 05/22/2026(b)   1,540,000    1,516,900 
National Intergovernmental Purchasing Alliance Co., First Lien Initial Term Loan, 3M US L + 3.75%, 05/23/2025   2,022,302    2,028,197 
Polyconcept North America Holdings, Inc., First Lien Closing Date Term Loan, 1M US L + 3.75%, 08/16/2023   577,819    577,819 
PriceWaterhouseCoopers, First Lien Initial Term Loan, 1M US L + 4.50%, 05/01/2025   1,675,747    1,666,321 
PriceWaterhouseCoopers, Second Lien Initial Term Loan, 1M US L + 8.00%, 05/01/2026(b)   440,000    433,400 
Project Boost Purchaser LLC, First Lien B Term Loan, 1M US L + 3.50%, 06/01/2026   634,773    638,642 
Revspring, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/11/2025   1,306,800    1,308,434 
Sedgwick Claims Management Services, Inc., First Lien 2019 Term Loan, 1M US L + 4.00%, 09/03/2026   1,090,174    1,101,534 
Sedgwick Claims Management Services, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 12/31/2025   1,445,309    1,448,019 
Surveymonkey, Inc., First Lien Term Loan, 1W US L + 3.75%, 10/10/2025(b)   2,558,826    2,568,421 
ThoughtWorks, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 10/11/2024   1,927,855    1,932,675 
TRC Companies, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 06/21/2024   1,915,435    1,848,394 
Weld North Education LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 02/15/2025(b)   3,144,000    3,155,790 
         59,066,067 
           
Cable & Satellite Television - 0.20%          
Radiate Holdco LLC, First Lien Amendment No. 2 Incremental Term Loan, 1M US L + 3.50%, 02/01/2024   498,747    502,737 
           
Chemical & Plastics - 5.02%          
Ascend Performance Materials Operations LLC, First Lien Initial Term Loan, 1M US L + 5.25%, 08/27/2026   1,496,250    1,511,213 
Composite Resins Holding B.V., First Lien Initial Term Loan, 3M US L + 4.25%, 08/01/2025   2,600,400    2,613,402 
DCG Acquisition Corp., First Lien B Term Loan, 1W US L + 4.50%, 09/30/2026(b)   1,220,817    1,228,447 

 

See Notes to Financial Statements.

 
10 www.blackstone-gso.com

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments
 

December 31, 2019

 

  

Principal

Amount

   Value 
Chemical & Plastics (continued)          
Emerald Performance Materials LLC, First Lien Initial Term Loan, 1M US L + 3.50%, 07/30/2021  $1,924,055   $1,914,435 
Nouryon Finance B.V., First Lien Initial Dollar Term Loan, 1M US L + 3.25%, 10/01/2025   1,786,349    1,790,073 
Peroxychem LLC, First Lien Initial Term Loan, 6M US L + 5.00%, 10/01/2024(b)   1,367,442    1,365,733 
Spectrum Holdings III Corp., First Lien Closing Date Term Loan, 1M US L + 3.25%, 01/31/2025   406,723    378,592 
Spectrum Holdings III Corp., Second Lien Closing Date Term Loan, 1M US L + 7.00%, 01/31/2026   600,000    486,000 
Vantage Specialty Chemicals, Inc., First Lien Closing Date Term Loan, 1M US L + 3.50%, 10/28/2024   722,785    676,408 
Vantage Specialty Chemicals, Inc., Second Lien Initial Term Loan, 3M US L + 8.25%, 10/27/2025(b)   725,111    632,659 
         12,596,962 
           
Conglomerates - 0.51%          
Output Services Group, Inc., First Lien B Term Loan, 1M US L + 4.50%, 03/27/2024   600,889    509,254 
Spring Education Group, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 07/30/2025   776,032    781,367 
         1,290,621 
           
Containers & Glass Products - 2.23%          
Charter NEX US, Inc., First Lien Third Amendment Incremental Term Loan, 1M US L + 3.50%, 05/16/2024   236,313    238,233 
Flex Acquisition Co., Inc., First Lien Incremental B-2018 Term Loan, 3M US L + 3.25%, 06/29/2025   1,281,393    1,274,986 
IBC Capital I, Ltd., First Lien Tranche B-1 Term Loan, 3M US L + 3.75%, 09/11/2023   1,080,750    1,083,452 
IBC Capital, Ltd., Second Lien Tranche B-1 Term Loan, 3M US L + 7.00%, 09/11/2024(b)   620,110    612,358 
ProAmpac PG Borrower LLC, First Lien Initial Term Loan, 3M US L + 3.50%, 11/20/2023   580,263    573,193 
ProAmpac PG Borrower LLC, Second Lien Initial Term Loan, 3M US L + 8.50%, 11/18/2024(b)   488,038    469,736 
Strategic Materials Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.75%, 10/31/2025(b)   1,400,000    966,000 
Trident TPI Holdings, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.00%, 10/17/2024   378,246    368,445 
         5,586,403 
           
Diversified Insurance - 1.40%          
Acrisure LLC, First Lien 2017-2 Refinancing Term Loan, 3M US L + 4.25%, 11/22/2023   1,462,507    1,468,905 
Acrisure LLC, First Lien 2018-1 Additional Term Loan, 3M US L + 3.75%, 11/22/2023   608,708    610,482 
AmWINS Group, Inc., First Lien Term Loan, 1W US L + 6.75%, 01/25/2024   217,412    219,559 
Broadstreet Partners, Inc., First Lien Tranche B-2 Term Loan, 1M US L + 3.25%, 11/08/2023   284,681    286,284 
CP VI Bella Midco LLC, First Lien Initial Term Loan, 1M US L + 2.75%, 12/27/2024   413,437    405,816 
CP VI Bella Midco LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 12/29/2025   385,714    382,100 
NFP Corp., First Lien B Term Loan, 1M US L + 3.00%, 01/08/2024   147,472    147,116 
         3,520,262 
           
Drugs - 2.19%          
Albany Molecular Research, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 08/30/2024   623,386    621,830 
Albany Molecular Research, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 08/30/2025   392,857    392,857 
Arbor Pharmaceuticals LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 07/05/2023   1,512,734    1,335,744 
Cambrex Corp., First Lien Initial Dollar Term Loan, 3M US L + 5.00%, 12/04/2026   1,260,000    1,259,213 
Packaging Coordinators Midco, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 06/30/2023   1,880,619    1,876,708 
         5,486,352 
           
Ecological Services & Equipment - 0.91%          
Eagle 4, Ltd., Second Lien Initial Term Loan, 3M US L + 7.75%, 07/12/2027   649,091    649,091 
Emerald 2, Ltd., First Lien Initial B-1 Term Loan, 3M US L + 3.75%, 07/10/2026   344,660    346,254 

 

See Notes to Financial Statements.

 
Annual Report | December 31, 2019 11

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

December 31, 2019

 

  

Principal

Amount

   Value 
Ecological Services & Equipment (continued)          
EnergySolutions LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 05/09/2025  $922,134   $874,012 
Tunnel Hill Partners LP, First Lien Initial Term Loan, 1M US L + 3.50%, 02/06/2026   405,783    404,769 
         2,274,126 
           
Electronics/Electric - 28.03%          
Applovin Corp., First Lien Initial Term Loan, 1M US L + 3.50%, 08/15/2025   403,100    406,313 
Boxer Parent Co., Inc., First Lien Initial Dollar Term Loan, 1M US L + 4.25%, 10/02/2025   3,267,000    3,237,679 
Brave Parent Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 04/18/2025   868,972    853,587 
CommerceHub, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 05/21/2025   1,255,875    1,238,607 
Compuware Corp., First Lien Term Loan, 1M US L + 4.00%, 08/22/2025   353,146    355,941 
ConvergeOne Holdings, Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 01/04/2026   2,183,500    2,094,599 
CPI International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 07/28/2025(b)   313,725    301,961 
Curvature, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 10/30/2023   3,836,948    3,013,923 
DCert Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/16/2026   1,152,439    1,158,201 
DiscoverOrg LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 02/02/2026   1,819,583    1,828,681 
ECi Macola/MAX Holding LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 09/27/2024   823,446    824,990 
Electronics for Imaging, Inc., First Lien Initial Term Loan, 3M US L + 5.00%, 07/23/2026   1,050,000    981,099 
Ellie Mae, Inc., First Lien Term Loan, 3M US L + 4.00%, 04/17/2026   4,139,625    4,173,280 
Excelitas Technologies Corp., First Lien Initial USD Term Loan, 3M US L + 3.50%, 12/02/2024   69,822    69,779 
Flexera Software LLC, First Lien Initial Term Loan, 1M US L + 3.50%, 02/26/2025   225,862    226,850 
Flexera Software LLC, Second Lien Initial Term Loan, 1M US L + 7.25%, 02/26/2026   773,145    775,078 
Gigamon, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 12/27/2024   1,874,639    1,858,236 
Help/Systems Holdings, Inc., First Lien Term Loan, 1M US L + 4.75%, 11/19/2026   1,161,702    1,156,864 
Hyland Software, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 07/07/2025   696,541    707,425 
Idera, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2024   1,733,814    1,742,492 
Imperva, Inc., Second Lien Term Loan, 3M US L + 7.75%, 01/11/2027   980,805    861,882 
Imperva, Inc., First Lien Term Loan, 3M US L + 4.00%, 01/12/2026   1,194,000    1,128,927 
Ivanti Software, Inc., Second Lien Term Loan, 1M US L + 9.00%, 01/20/2025   2,000,000    1,972,500 
Ivanti Software, Inc., First Lien Term Loan, 1M US L + 4.25%, 01/20/2024   2,062,810    2,067,750 
LI Group Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 12/20/2026(b)   840,000    842,100 
MACOM Technology Solutions Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.25%, 05/17/2024   1,637,405    1,569,862 
McAfee LLC, First Lien B USD Term Loan, 1M US L + 3.75%, 09/30/2024   2,633,818    2,648,633 
Merrill Communications LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 10/05/2026   630,000    636,300 
MH Sub I LLC, First Lien Amendment No. 2 Initial Term Loan, 1M US L + 3.75%, 09/13/2024   933,202    936,767 
MLN US HoldCo LLC, First Lien B Term Loan, 1M US L + 4.50%, 11/30/2025   1,495,458    1,419,436 
MYOB US Borrower LLC, First Lien Initial U.S. Term Loan, 1M US L + 4.00%, 05/06/2026(b)   972,889    982,618 
Navex Topco, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 09/05/2025   661,985    662,813 
Navex Topco, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 09/04/2026   1,100,000    1,090,831 
Navico, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/31/2023   64,413    52,819 
Park Place Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 03/29/2025   2,250,009    2,242,516 
Perforce Software, Inc., First Lien B Term Loan, 1M US L + 4.50%, 07/01/2026   576,493    577,576 
Project Alpha Intermediate Holding, Inc., First Lien Term Loan, 3M US L + 3.50%, 04/26/2024   3,324,232    3,336,714 
Project Angel Parent LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b)   1,297,015    1,277,560 
Project Leopard Holdings, Inc., First Lien 2019 Incremental Term Loan, 1M US L + 4.25%, 07/07/2023   377,520    380,351 
Project Leopard Holdings, Inc., First Lien 2018 Repricing Term Loan, 1M US L + 4.50%, 07/07/2023   320,941    323,751 
Project Silverback Holdings Corp., First Lien New Term Loan, 3M US L + 3.50%, 08/21/2024   743,451    638,126 
Quest Software US Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 8.25%, 05/18/2026   2,994,017    2,938,628 
Quest Software US Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 05/16/2025   1,136,295    1,129,199 
Riverbed Technology, Inc., First Lien First Amendment Term Loan, 1M US L + 3.25%, 04/24/2022   986,004    865,840 
Rocket Software, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 11/28/2025   2,053,128    2,003,093 

 

See Notes to Financial Statements.

 
12 www.blackstone-gso.com

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

December 31, 2019

 

  

Principal

Amount

   Value 
Electronics/Electric (continued)          
S2P Acquisition Borrower, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 08/14/2026  $1,163,750   $1,170,540 
SonicWall US Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 05/18/2026   1,760,000    1,560,530 
SonicWall US Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 05/16/2025   1,316,601    1,287,524 
Triton Solar US Acquisition Co., First Lien Initial Term Loan, 1M US L + 6.00%, 10/29/2024   250,246    212,292 
Veritas US, Inc., First Lien New Dollar B Term Loan, 1M US L + 4.50%, 01/27/2023   1,787,684    1,726,134 
Vero Parent, Inc., First Lien 2019 Incremental Term Loan, 3M US L + 6.00%, 08/16/2024   1,470,000    1,403,850 
Vero Parent, Inc., First Lien 2018 Refinancing Term Loan, 3M US L + 6.25%, 08/16/2024   611,972    589,023 
Web.com Group, Inc., Second Lien Initial Term Loan, 1M US L + 7.75%, 10/09/2026   804,990    777,069 
Web.com Group, Inc., First Lien B Term Loan, 1M US L + 3.75%, 10/10/2025   1,999,087    2,000,376 
         70,319,515 
           
Equipment Leasing - 0.24%          
CSC SW Holdco, Inc., First Lien B-1 Term Loan, 3M US L + 3.25%, 11/14/2022   617,089    613,343 
           
Financial Intermediaries - 1.36%          
ASP MCS Acquisition Corp., First Lien Initial Term Loan, 1M US L + 4.75%, 05/20/2024   2,733,323    1,301,062 
NorthStar Financial Services Group LLC, First Lien Initial Term Loan, 1M US L + 3.50%, 05/25/2025   1,683,142    1,668,414 
NorthStar Financial Services Group LLC, Second Lien Initial Term Loan, 1M US L + 7.50%, 05/25/2026(b)   433,744    429,406 
         3,398,882 
           
Food Products - 3.43%          
Alphabet Holding Co., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/26/2024   2,063,811    2,000,050 
Give & Go Prepared Foods Corp., First Lien 2017 Term Loan, 3M US L + 4.25%, 07/29/2023   553,927    529,693 
Snacking Investments Bidco Pty Limited, First Lien Term Loan, 3M US L + 4.00%, 10/16/2026   1,852,941    1,858,741 
TKC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 02/01/2023   3,435,360    3,203,473 
TKC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 8.00%, 02/01/2024   1,105,408    1,005,921 
         8,597,878 
           
Food Service - 3.64%          
CEC Entertainment, Inc., First Lien B Term Loan, 1M US L + 6.50%, 08/30/2026   1,726,622    1,663,419 
Flynn Restaurant Group LP, First Lien B Initial Term Loan, 1M US L + 3.50%, 06/27/2025   1,837,929    1,770,156 
Fogo de Chao, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.25%, 04/07/2025(b)   1,868,314    1,879,991 
Quidditch Acquisition, Inc., First Lien B Term Loan, 1M US L + 7.00%, 03/21/2025(b)   1,255,417    1,267,971 
Tacala Investment Corp., First Lien Initial Term Loan, 1M US L + 3.25%, 01/31/2025   733,135    737,192 
Tacala Investment Corp., Second Lien Initial Term Loan, 1M US L + 7.75%, 01/30/2026   1,308,103    1,304,833 
Whatabrands LLC, First Lien B Term Loan, 1M US L + 3.25%, 08/02/2026   490,820    494,239 
         9,117,801 
           
Food/Drug Retailers - 2.02%          
EG Group, Ltd., First Lien Facility B Term Loan, 3M US L + 4.00%, 02/07/2025   204,688    204,283 
EG Group, Ltd., First Lien Additional Facility Term Loan, 3M US L + 4.00%, 02/07/2025   4,881,370    4,871,729 
         5,076,012 
           
Health Insurance - 1.49%          
Achilles Acquisition LLC, First Lien Closing Date Term Loan, 1M US L + 4.00%, 10/13/2025   838,464    848,421 
FHC Health Systems, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 12/23/2021   2,539,091    2,542,265 
MPH Acquisition Holdings LLC, First Lien Initial Term Loan, 3M US L + 2.75%, 06/07/2023   344,433    340,434 
         3,731,120 
           
Healthcare - 21.74%          
Alvogen Pharma US, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.75%, 04/01/2022   2,375,157    2,041,162 
American Renal Holdings, Inc., First Lien B Term Loan, 1M US L + 3.25%, 06/14/2024   418,926    399,140 

 

See Notes to Financial Statements.

 
Annual Report | December 31, 2019 13

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

December 31, 2019

 

  

Principal

Amount

   Value 
Healthcare (continued)          
ATI Holdings Acquisition, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 05/10/2023  $328,051   $327,369 
BioClinica Holding I LP, First Lien Initial Term Loan, 1M US L + 4.25%, 10/20/2023   1,826,366    1,781,282 
BioClinica Holding I LP, Second Lien Initial Term Loan, 1M US L + 8.25%, 10/21/2024   1,052,629    984,208 
Carestream Health, Inc., Second Lien Extended Term Loan, 1M US L + 9.50%, 06/07/2021   2,390,930    2,265,406 
Carestream Health, Inc., First Lien Extended Term Loan, 1M US L + 5.50%, 02/28/2021   173,634    171,500 
Certara Holdco, Inc., First Lien Replacement Term Loan, 3M US L + 3.50%, 08/15/2024(b)   219,263    218,989 
Covenant Surgical Partners, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 07/01/2026   1,309,219    1,305,946 
CPI Holdco LLC, First Lien B Term Loan, 3M US L + 4.25%, 11/04/2026(b)   1,260,000    1,265,513 
CT Technologies Intermediate Holdings, Inc., First Lien New Facility Term Loan, 1M US L + 4.25%, 12/01/2021   2,159,823    2,043,193 
Endo International PLC, First Lien Initial Term Loan, 1M US L + 4.25%, 04/29/2024   767,908    737,311 
Envision Healthcare Corp., First Lien Initial Term Loan, 1M US L + 3.75%, 10/10/2025   2,276,361    1,952,924 
Femur Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 03/05/2026(b)   734,766    718,233 
Greenway Health LLC, First Lien Term Loan, 3M US L + 3.75%, 02/16/2024   1,344,828    1,203,621 
Heartland Dental LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 04/30/2025   2,955,458    2,949,295 
Heartland Dental LLC, First Lien Incremental 2 Facility Term Loan, 1M US L + 4.50%, 04/30/2025   489,727    486,054 
Immucor, Inc., First Lien B-3 Term Loan, 3M US L + 5.00%, 06/15/2021   359,357    358,683 
Lanai Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 4.75%, 08/29/2022   1,359,609    1,289,589 
Lifescan Global Corp., First Lien Initial Term Loan, 3M US L + 6.00%, 10/01/2024   2,623,750    2,512,241 
Maravai Intermediate Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 08/02/2025   998,649    996,153 
Navicure, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/22/2026   1,065,217    1,072,541 
Netsmart Technologies, Inc., First Lien D-1 Term Loan, 1M US L + 3.75%, 04/19/2023   3,675,594    3,668,702 
NMSC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/19/2023   236,749    235,861 
nThrive, Inc., First Lien Additional B-2 Term Loan, 1M US L + 4.50%, 10/20/2022   3,506,260    2,938,684 
NVA Holdings, Inc., First Lien Incremental B-4 Term Loan, 3M US L + 3.50%, 02/02/2025   656,700    657,114 
Onex TSG Holdings II Corp., First Lien Initial Term Loan, 1M US L + 4.00%, 07/29/2022   1,196,887    1,117,893 
Ortho-Clinical Diagnostics, Inc., First Lien Second Amendment New Term Loan, 1M US L + 3.25%, 06/30/2025   474,967    470,514 
Parexel International Corp., First Lien Initial Term Loan, 1M US L + 2.75%, 09/27/2024   1,574,941    1,549,348 
PetVet Care Centers LLC, First Lien Initial Term Loan, 1M US L + 2.75%, 02/14/2025   747,707    739,882 
PetVet Care Centers LLC, First Lien 2018 Term Loan, 1M US L + 3.25%, 02/14/2025   653,383    648,483 
Phoenix Guarantor, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/05/2026   3,137,102    3,158,701 
Project Ruby Ultimate Parent Corp., First Lien New Term Loan, 1M US L + 3.50%, 02/09/2024   797,538    792,885 
Regionalcare Hospital Partners Holdings, Inc., First Lien B Term Loan, 1M US L + 4.50%, 11/16/2025   1,957,733    1,976,087 
Sunshine Luxembourg VII SARL, First Lien Facility B1 Term Loan, 3M US L + 4.25%, 10/01/2026   518,519    524,119 
Surgery Center Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 09/02/2024   138,958    138,640 
Team Health Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.75%, 02/06/2024   987,310    804,040 
U.S. Anesthesia Partners, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 06/23/2024   690,957    690,093 
Verscend Holding Corp., First Lien B Term Loan, 1M US L + 4.50%, 08/27/2025   1,357,813    1,370,257 
Viant Medical Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 07/02/2025   410,221    403,169 
Vyaire Medical, Inc., First Lien Term Loan, 3M US L + 4.75%, 04/16/2025   3,250,500    2,827,935 
YI LLC, First Lien Initial Term Loan, 3M US L + 4.00%, 11/07/2024   1,391,394    1,303,270 
Zest Acquisition Corp., Second Lien Initial Term Loan, 1M US L + 7.50%, 03/13/2026(b)   1,500,000    1,413,750 
         54,509,780 
           
Home Furnishings - 1.76%          
AI Aqua Merger Sub, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.25%, 12/13/2023   1,293,272    1,259,860 
AI Aqua Merger Sub, Inc., First Lien 2017 Incremental Term Loan, 1M US L + 3.25%, 12/13/2023   940,800    916,104 
Hayward Industries, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/05/2024   109,061    108,516 
Prime Security Services Borrower LLC, First Lien 2019 Refinancing B-1 Term Loan, 1M US L + 3.25%, 09/23/2026   1,625,925    1,632,941 

 

See Notes to Financial Statements.

 
14 www.blackstone-gso.com

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

December 31, 2019

 

  

Principal

Amount

   Value 
Home Furnishings (continued)          
Serta Simmons Bedding LLC, Second Lien Initial Term Loan, 1M US L + 8.00%, 11/08/2024  $1,645,600   $507,396 
         4,424,817 
           
Industrial Equipment - 4.18%          
Apex Tool Group LLC, First Lien Third Amendment Term Loan, 1M US L + 5.50%, 08/01/2024   2,111,971    2,088,539 
Engineered Machinery Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.00%, 07/19/2024   1,471,960    1,460,000 
Justrite Safety Group, First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2026(b)   943,606    908,221 
Justrite Safety Group, First Lien Delayed Draw Term Loan, 3M US L + 4.50%, 06/28/2026(b)(c)   51,003    49,090 
LTI Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/06/2025   881,247    796,898 
LTI Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 09/06/2026   468,085    358,085 
Robertshaw US Holding Corp., First Lien Initial Term Loan, 1M US L + 3.25%, 02/28/2025(b)   1,380,373    1,263,041 
Tailwind Smith Cooper Intermediate Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 05/28/2026   1,005,813    965,581 
Titan Acquisition, Ltd., First Lien Initial Term Loan, 1M US L + 3.00%, 03/28/2025   2,638,287    2,601,061 
         10,490,516 
           
Insurance - 0.97%          
APCO Holdings LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 06/09/2025(b)   1,562,557    1,554,745 
Outcomes Group Holdings, Inc., Second Lien Term Loan, 3M US L + 7.50%, 10/26/2026(b)   423,077    420,962 
Outcomes Group Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 10/24/2025   475,200    468,466 
         2,444,173 
           
Leisure Goods/Activities/Movies - 2.18%          
Recess Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 09/30/2024   1,953,825    1,949,751 
Thunder Finco Pty, Ltd., First Lien Term Loan, 3M US L + 4.75%, 11/20/2026(b)   1,050,000    1,050,000 
Travelport Finance S.à r.l., First Lien Initial Term Loan, 3M US L + 5.00%, 05/29/2026   2,633,400    2,470,129 
         5,469,880 
           
Lodging & Casinos - 0.94%          
Aimbridge Acquisition Co., Inc., First Lien Initial (2019) Term Loan, 1M US L + 3.75%, 02/02/2026(b)   698,250    705,233 
Casablanca US Holdings, Inc., First Lien Amendment No. 2 Initial Term Loan, 3M US L + 4.00%, 03/29/2024   1,729,200    1,645,619 
         2,350,852 
           
Nonferrous Metals/Minerals - 1.17%          
Aleris International, Inc., First Lien Initial Term Loan, 1M US L + 4.75%, 02/27/2023   1,743,563    1,747,922 
American Rock Salt Co. LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 03/21/2025(b)   967,445    974,701 
Murray Energy Corp., First Lien Superpriority B-2 Term Loan, 3M US L + 7.25%, 10/17/2022(d)   967,856    211,854 
         2,934,477 
           
Oil & Gas - 3.42%          
Ascent Resources - Marcellus LLC, First Lien Initial Term Loan, 1M US L + 6.50%, 03/30/2023   246,914    230,864 
BCP Raptor II LLC, First Lien Initial Term Loan, 2M US L + 4.75%, 11/03/2025   380,708    352,789 
Equitrans Midstream Corp., First Lien Holdco B Facility Term Loan, 1M US L + 4.50%, 01/31/2024   735,811    734,126 
Lower Cadence Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/22/2026   1,340,204    1,329,322 
Lucid Energy Group II Borrower LLC, First Lien Initial Term Loan, 1M US L + 3.00%, 02/17/2025   797,551    741,722 
Petroleum GEO-Services ASA, First Lien Extended Term Loan, 3M US L + 2.50%, 03/19/2021   1,629,883    1,551,649 
Sheridan Investment Partners I LLC, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019(d)   2,772,674    1,705,194 
Sheridan Production Partners I LLC, First Lien Deferred Principal Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d)   14,516    8,927 

 

See Notes to Financial Statements.

 
Annual Report | December 31, 2019 15

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

December 31, 2019

 

  

Principal

Amount

   Value 
Oil & Gas (continued)          
Sheridan Production Partners I LLC, First Lien M Deferred Principal TL Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d)  $8,866   $5,453 
Sheridan Production Partners I LLC, First Lien Deferred Principal TL Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d)   109,547    67,371 
Sheridan Production Partners I-A LP, First Lien Tranche B-2 Term Loan, 1M US L + 3.50%, 10/01/2019(d)   367,402    225,952 
Sheridan Production Partners I-M LP, First Lien Tranche B-2 Term Loan, 1M US L + 3.50%, 10/01/2019(d)   224,411    138,013 
UTEX Industries, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/21/2021   2,036,441    1,495,929 
         8,587,311 
           
Property & Casualty Insurance - 0.96%          
Asurion LLC, Second Lien Replacement B-2 Term Loan, 1M US L + 6.50%, 08/04/2025   1,910,526    1,938,468 
Confie Seguros Holding II Co., First Lien B Term Loan, 3M US L + 4.75%, 04/19/2022   490,239    477,372 
         2,415,840 
           
Publishing - 2.81%          
Ancestry.com Operations, Inc., First Lien Extended Term Loan, 1M US L + 4.25%, 08/27/2026   1,076,680    1,061,542 
Champ Acquisition Corp., First Lien Initial Term Loan, 3M US L + 5.50%, 12/19/2025   1,613,060    1,613,737 
Clear Channel Outdoor Holdings, Inc., First Lien B Term Loan, 1M US L + 3.50%, 08/21/2026   1,163,750    1,172,164 
Recorded Books, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 08/29/2025(b)   952,851    958,806 
Shutterfly, Inc., First Lien B Term Loan, 3M US L + 6.00%, 09/25/2026   1,680,000    1,586,895 
Southern Graphics, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 12/31/2023   1,500,000    414,000 
Southern Graphics, Inc., First Lien Refinancing Term Loan, 1M US L + 3.25%, 12/31/2022   404,451    253,107 
         7,060,251 
           
Radio & Television - 1.63%          
iHeartCommunications, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/01/2026   1,613,697    1,629,495 
Terrier Media Buyer, Inc., First Lien B Term Loan, 3M US L + 4.25%, 12/12/2026   2,075,099    2,098,454 
William Morris Endeavor Entertainment LLC, First Lien B-1 Term Loan, 1M US L + 2.75%, 05/18/2025   353,402    352,372 
         4,080,321 
           
Retailers (except food & drug) - 1.14%          
Ascena Retail Group, Inc., First Lien Tranche B Term Loan, 1M US L + 4.50%, 08/21/2022   1,094,008    749,395 
FBB Holdings III, Inc., First Lien Initial Term Loan, 3M US L + 9.00%, 02/07/2024(b)   184,720    87,742 
FBB Holdings III, Inc., Second Lien Initial Term Loan, 3M US L + 7.00%, 01/31/2025(b)   64,966    6,172 
Petco Animal Supplies, Inc., First Lien Term Loan, 3M US L + 3.25%, 01/26/2023   643,980    550,200 
Spencer Spirit IH LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 06/19/2026   1,466,325    1,454,873 
Sports Authority, Inc., First Lien B Term Loan, 3M US L + 6.00%, 11/16/2019(b)(d)   4,090,935    8,182 
         2,856,564 
           
Steel - 0.73%          
Can Am Construction, Inc., First Lien Closing Date Term Loan, 1M US L + 5.00%, 07/01/2024(b)   1,493,147    1,493,146 
Phoenix Services International LLC, First Lien B Term Loan, 1M US L + 3.75%, 03/01/2025   357,911    338,523 
         1,831,669 
           
Surface Transport - 1.15%          
Drive Chassis Holdco LLC, Second Lien B Term Loan, 3M US L + 8.25%, 04/10/2026(b)   2,200,000    2,029,500 
SMB Shipping Logistics LLC, First Lien Term Loan, 3M US L + 4.00%, 02/05/2024   863,441    863,445 
         2,892,945 
           
Telecommunications - 3.23%          
Alorica, Inc., First Lien New B Term Loan, 1M US L + 4.25%, 06/30/2022   842,907    730,800 

 

See Notes to Financial Statements.

 
16 www.blackstone-gso.com

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

December 31, 2019

 

  

Principal

Amount

   Value 
Telecommunications (continued)          
Avaya, Inc., First Lien Tranche B Term Loan, 1M US L + 4.25%, 12/15/2024  $903,808   $889,573 
Aventiv Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 11/01/2024   167,011    125,146 
Cyxtera DC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 05/01/2025   300,751    186,800 
Ensono LP, First Lien Term Loan, 1M US L + 5.25%, 06/27/2025   1,229,085    1,232,668 
Masergy Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 12/16/2024   588,972    577,193 
Masergy Holdings, Inc., First Lien 2017 Replacement Term Loan, 3M US L + 3.25%, 12/15/2023   713,879    705,252 
Peak 10 Holding Corp., First Lien Initial Term Loan, 3M US L + 3.50%, 08/01/2024   1,066,364    892,125 
Peak 10 Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.25%, 08/01/2025   1,157,143    732,859 
Vertiv Group Corp., First Lien B Term Loan, 1M US L + 4.00%, 11/30/2023   2,040,638    2,040,638 
         8,113,054 
           
Utilities - 3.41%          
Brookfield WEC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/01/2025   671,841    677,508 
Eastern Power LLC, First Lien Term Loan, 1M US L + 3.75%, 10/02/2023   560,692    563,013 
Granite Acquisition, Inc., First Lien B Term Loan, 3M US L + 3.50%, 12/17/2021   62,698    63,056 
Granite Acquisition, Inc., Second Lien B Term Loan, 3M US L + 7.25%, 12/19/2022   2,055,115    2,061,959 
Green Energy Partners/Stonewall LLC, First Lien B-1 Conversion Advances Term Loan, 3M US L + 5.50%, 11/13/2021   488,750    455,322 
Moxie Patriot LLC, First Lien Construction B-1 Advances Term Loan, 3M US L + 5.75%, 12/19/2020   1,362,538    1,214,362 
Panda Liberty LLC, First Lien Construction B-1 Advance Term Loan, 3M US L + 6.50%, 08/21/2020   2,357,497    2,106,022 
Pike Corp., First Lien Initial (2019) Term Loan, 1M US L + 3.25%, 07/24/2026   609,520    613,774 
Southeast PowerGen LLC, First Lien B Advance Term Loan, 1M US L + 3.50%, 12/02/2021   862,830    798,118 
         8,553,134 
           
TOTAL FLOATING RATE LOAN INTERESTS          
(Cost $368,244,636)        353,044,634 
           
COLLATERALIZED LOAN OBLIGATION SECURITIES(a) - 2.41%          
Structured Finance Obligations - 2.41%          
Babson CLO, Ltd. 2015-I 3M US L + 5.50%, 01/20/2031(b)(e)   875,000    781,922 
Canyon Capital CLO 2016-1, Ltd. 3M US L + 1.90%, 07/15/2031(b)(e)   500,000    487,400 
Carlyle Global Market Strategies CLO 2016-2, Ltd. 3M US L + 5.17%, 07/15/2027(b)(e)   1,000,000    909,736 
Dryden 40 Senior Loan Fund 3M US L + 5.75%, 08/15/2031(b)(e)   800,000    766,244 
Greywolf CLO IV, Ltd. 3M US L + 6.94%, 04/17/2030(b)(e)   500,000    500,650 
Highbridge Loan Management 6-2015, Ltd. 3M US L + 5.10%, 02/05/2031(b)(e)   834,000    749,023 
Neuberger Berman Loan Advisers CLO 27, Ltd. 3M US L + 5.20%, 01/15/2030(b)(e)   667,000    623,758 
ROMARK CLO LLC 3M US L + 3.35%, 07/25/2031(b)   250,000    247,603 
Romark CLO, Ltd. 3M US L + 2.15%, 10/23/2030(b)(e)   330,000    326,830 
TICP CLO X, Ltd. 3M US L + 1.90%, 04/20/2031(b)(e)   330,000    321,856 
TRESTLES CLO II, Ltd. 3M US L + 1.90%, 07/25/2031(b)(e)   340,000    328,763 
         6,043,785 
           
TOTAL COLLATERALIZED LOAN OBLIGATION SECURITIES          
(Cost $6,312,974)        6,043,785 
           
CORPORATE BONDS - 4.52%          
Automotive - 0.20%          
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. 7.875%, 10/01/2022(e)   550,000    503,422 

 

See Notes to Financial Statements.

 
Annual Report | December 31, 2019 17

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

December 31, 2019

 

  

Principal

Amount

   Value 
         
Building & Development - 0.20%          
NWH Escrow Corp. 7.500%, 08/01/2021(e)  $1,000,000   $510,000 
           
Chemical & Plastics - 0.25%          
Starfruit Finco BV / Starfruit US Holdco LLC 8.000%, 10/01/2026(e)   595,000    632,202 
           
Containers & Glass Products - 0.33%          
ARD Finance SA 6.500%, 06/30/2027(e)(f)   800,000    828,640 
           
Diversified Insurance - 0.10%          
AmWINS Group, Inc. 7.750%, 07/01/2026(e)   228,000    252,619 
           
Ecological Services & Equipment - 1.16%          
GFL Environmental, Inc.:          
5.375%, 03/01/2023(e)   1,325,000    1,368,063 
7.000%, 06/01/2026(e)   930,000    985,100 
8.500%, 05/01/2027(e)   513,000    565,249 
         2,918,412 
           
Electronics/Electric - 0.50%          
Rackspace Hosting, Inc. 8.625%, 11/15/2024(e)   452,000    442,960 
Riverbed Technology, Inc. 8.875%, 03/01/2023(e)   1,385,000    803,300 
         1,246,260 
           
Food/Drug Retailers - 0.39%          
Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC 5.875%, 02/15/2028(e)   917,000    976,009 
           
Healthcare - 0.84%          
Envision Healthcare Corp. 8.750%, 10/15/2026(e)   2,292,000    1,427,566 
Team Health Holdings, Inc. 6.375%, 02/01/2025(e)   1,000,000    670,415 
         2,097,981 
           
Property & Casualty Insurance - 0.15%          
GTCR AP Finance, Inc. 8.000%, 05/15/2027(e)   350,000    364,997 
           
Publishing - 0.14%          
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance 7.875%, 05/15/2024(e)   420,000    362,424 
           
Radio & Television - 0.05%          
Entercom Media Corp. 6.500%, 05/01/2027(e)   123,000    131,960 
           
Telecommunications - 0.21%          
Sprint Communications, Inc. 6.000%, 11/15/2022   500,000    525,265 
           
TOTAL CORPORATE BONDS          
(Cost $13,147,210)        11,350,191 
           
    Shares      
COMMON STOCK - 0.32%          
Building & Development - 0.20%          
Dayton Superior LLC(b)(g)   5,726    515,342 

 

See Notes to Financial Statements.

 
18 www.blackstone-gso.com

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

December 31, 2019

 

   Shares   Value 
Oil & Gas - 0.12%          
Ascent Resources - Equity(g)   177,384   $299,335 
Templar Energy LLC(b)(g)   72,786     
         299,335 
           
TOTAL COMMON STOCK          
(Cost $3,974,819)        814,677 
           
PREFERRED STOCK - 0.00%          
Oil & Gas - 0.00%          
Templar Energy LLC(b)(g)   48,248     
           
TOTAL PREFERRED STOCK          
(Cost $482,483)         
           
WARRANTS - 0.00%(h)          
Oil & Gas - 0.00%          
Ascent Resources Marcellus LLC expires 3/30/2023 at $6.15(b)   45,926    1,378 
           
TOTAL WARRANTS          
(Cost $5,012)        1,378 
           
Total Investments - 148.00%          
(Cost $392,167,134)        371,254,665 
           
Other Assets in Excess of Liabilities - 1.23%        3,092,863 
           
Leverage Facility - (49.23)%        (123,500,000)
           
Net Assets - 100.00%       $250,847,528 

 

Amounts above are shown as a percentage of net assets as of December 31, 2019.

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

 

Libor Rates:

1M US L - 1 Month LIBOR as of December 31, 2019 was 1.76%

1W US L - 1 Week LIBOR as of December 31, 2019 was 1.63%

2M US L - 2 Month LIBOR as of December 31, 2019 was 1.83%

3M US L - 3 Month LIBOR as of December 31, 2019 was 1.91%

6M US L - 6 Month LIBOR as of December 31, 2019 was 1.91%                

 

(a) Floating or variable rate security. The reference rate is described above. The rate in effect as of December 31, 2019 is based on the reference rate plus the displayed spread as of the security's last reset date.

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

(c) A portion of this position was not funded as of December 31, 2019. The Portfolio of Investments records only the funded portion of each position. As of December 31, 2019, the Fund has unfunded delayed draw loans in the amount of $595,240. Fair value of these unfunded delayed draws was $592,678.

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

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $16,621,108, which represented approximately 6.63% of net assets as of December 31, 2019. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.

 

See Notes to Financial Statements.

 
Annual Report | December 31, 2019 19

 

 

Blackstone / GSO Senior Floating Rate Term Fund Portfolio of Investments

 

December 31, 2019

 

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

(g)Non-income producing security.

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

 

See Notes to Financial Statements.

 
20 www.blackstone-gso.com

 

 

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

 

  December 31, 2019

 

   Principal
Amount
   Value 
FLOATING RATE LOAN INTERESTS(a) - 141.33%          
Aerospace & Defense - 1.64%          
Nordam Group LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 04/09/2026(b)  $1,429,200   $1,427,414 
Propulsion Acquisition LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 07/13/2021(b)   1,865,762    1,847,104 
         3,274,518 
           
Air Transport - 1.18%          
Air Medical Group Holdings, Inc., First Lien 2018 New Term Loan, 1M US L + 4.25%, 03/14/2025   1,965,000    1,910,962 
Air Medical Group Holdings, Inc., First Lien 2018 Term Loan, 1M US L + 3.25%, 04/28/2022   467,085    458,984 
         2,369,946 
           
Automotive - 1.02%          
Bright Bidco B.V., First Lien 2018 Refinancing B Term Loan, 3M US L + 3.50%, 06/30/2024   1,432,663    852,435 
Midas Intermediate Holdco II LLC, First Lien 2017 Refinancing Term Loan, 3M US L + 2.75%, 08/18/2021   355,420    350,680 
Superior Industries International, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 05/22/2024(b)   859,793    836,148 
         2,039,263 
           
Beverage & Tobacco - 0.23%          
Winebow Holdings, Inc., Second Lien Term Loan, 1M US L + 7.50%, 01/02/2022   693,642    469,363 
           
Brokers, Dealers & Investment Houses - 1.79%          
Advisor Group Holdings, Inc., First Lien Initial B Term Loan, 1M US L + 5.00%, 07/31/2026   1,000,000    994,380 
Advisor Group Holdings, Inc., First Lien Initial A Term Loan, 1M US L + 4.00%, 01/31/2025   711,856    689,614 
Deerfield Dakota Holding LLC, First Lien Initial Term Loan, 1M US L + 3.25%, 02/13/2025   712,746    712,044 
Edelman Financial Center LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 07/20/2026   553,846    554,538 
Newport Group Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 09/12/2025(b)   623,465    625,024 
         3,575,600 
           
Building & Development - 8.32%          
American Bath Group LLC, Second Lien Term Loan, 1M US L + 9.75%, 09/30/2024(b)   150,000    150,000 
American Bath Group LLC, First Lien 2018 Replacement Term Loan, 1M US L + 4.25%, 09/30/2023(b)   2,661,249    2,677,882 
CPG International LLC, First Lien New Term Loan, 3M US L + 3.75%, 05/05/2024   235,758    236,446 
Dayton Superior Corp., First Lien Term Loan, 3M US L + 7.00%, 12/04/2024   244,007    242,177 
Forterra Finance LLC, First Lien Replacement Term Loan, 1M US L + 3.00%, 10/25/2023   1,125,808    1,104,232 
Hillman Group, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025   2,661,722    2,625,123 
Interior Logic Group Holdings IV LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b)   1,939,091    1,851,833 
LBM Borrower LLC, Second Lien Initial Term Loan, 1M US L + 9.25%, 08/20/2023   500,000    492,970 
LBM Borrower LLC, First Lien Tranche C Term Loan, 1M US L + 3.75%, 08/20/2022   2,067,589    2,083,747 
MI Windows and Doors LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 11/06/2026   720,000    720,900 
Ply Gem Midco, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 04/12/2025   1,114,218    1,115,255 
Road Infrastructure Investment Holdings, Inc., First Lien Term Loan, 1M US L + 3.50%, 06/13/2023   309,759    289,005 
SIWF Holdings, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 06/15/2025   709,200    708,608 
SRS Distribution, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 05/23/2025   2,364,298    2,350,407 
         16,648,585 
           
Business Equipment & Services - 23.57%          
Access CIG LLC, First Lien B Term Loan, 1M US L + 3.75%, 02/27/2025   860,958    861,677 
Access CIG LLC, Second Lien Initial Term Loan, 1M US L + 7.75%, 02/27/2026   97,826    97,582 
Advantage Sales & Marketing, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 07/23/2021   770,751    748,496 
Advantage Sales & Marketing, Inc., Second Lien Term Loan, 1M US L + 6.50%, 07/25/2022   3,123,849    2,793,252 

 

See Notes to Financial Statements.  
 
Annual Report | December 31, 2019 21

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments
 
  December 31, 2019

 

   Principal
Amount
   Value 
Business Equipment & Services (continued)          
Advantage Sales & Marketing, Inc., First Lien B-2 Term Loan, 1M US L + 3.25%, 07/23/2021  $739,375   $717,345 
ALKU LLC, First Lien B Term Loan, 3M US L + 5.50%, 07/29/2026   1,800,000    1,779,003 
Allied Universal Holdco LLC, First Lien Delayed Draw Term Loan, 1M US L + 4.25%, 07/10/2026   118,919    119,786 
Allied Universal Holdco LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 07/10/2026   1,201,081    1,209,837 
APFS Staffing Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/15/2026   1,628,182    1,628,182 
AqGen Ascensus, Inc., First Lien Replacement Term Loan, 3M US L + 4.00%, 12/05/2022   1,279,476    1,285,476 
BMC Acquisition, Inc., First Lien Initial Term Loan, 3M US L + 5.25%, 12/28/2024(b)   643,125    641,517 
Cambium Learning Group, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 12/18/2025   392,727    380,945 
Capri Acquisitions BidCo, Ltd., First Lien Initial Dollar Term Loan, 3M US L + 3.00%, 11/01/2024   1,762,791    1,749,349 
Cast & Crew Payroll LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 02/09/2026   325,641    327,676 
DG Investment Intermediate Holdings 2, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 02/03/2025   305,056    304,294 
DG Investment Intermediate Holdings 2, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 02/02/2026(b)   439,655    426,466 
Dun & Bradstreet Corp., First Lien Initial Borrowing Term Loan, 1M US L + 5.00%, 02/06/2026   1,232,432    1,244,757 
Explorer Holdings, Inc., First Lien Term Loan, 3M US L + 4.50%, 11/20/2026   540,000    545,063 
Garda World Security Corp., First Lien Initial Term Loan, 3M US L + 4.75%, 10/30/2026   923,077    930,582 
GI Revelation Acquisition LLC, First Lien Initial Term Loan, 1M US L + 5.00%, 04/16/2025   1,563,537    1,479,505 
GI Revelation Acquisition LLC, Second Lien Initial Term Loan, 1M US L + 9.00%, 04/16/2026   1,800,000    1,624,500 
IG Investments Holdings LLC, First Lien Refinancing Term Loan, 1M US L + 4.00%, 05/23/2025   230,028    231,839 
Inmar, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 05/01/2024   312,610    299,324 
Inmar, Inc., Second Lien Initial Term Loan, 3M US L + 8.00%, 05/01/2025   946,746    887,872 
KUEHG Corp, Second Lien Tranche B Term Loan, 3M US L + 8.25%, 08/22/2025   2,198,220    2,202,693 
KUEHG Corp, First Lien B-3 Term Loan, 3M US L + 3.75%, 02/21/2025   1,394,839    1,401,521 
LD Intermediate Holdings, Inc., First Lien Initial Term Loan, 3M US L + 5.88%, 12/09/2022   1,882,755    1,887,462 
LegalZoom.com, Inc., First Lien 2018 Term Loan, 1M US L + 4.50%, 11/21/2024   1,527,429    1,541,748 
Minotaur Acquisition, Inc., First Lien B Term Loan, 1M US L + 5.00%, 03/27/2026   1,110,102    1,096,225 
Mitchell International, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 11/29/2024   1,450,684    1,441,849 
Mitchell International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 12/01/2025   460,606    443,333 
National Intergovernmental Purchasing Alliance Co., Second Lien Initial Term Loan, 3M US L + 7.50%, 05/22/2026(b)   1,260,000    1,241,100 
National Intergovernmental Purchasing Alliance Co., First Lien Initial Term Loan, 3M US L + 3.75%, 05/23/2025   1,654,611    1,659,434 
Polyconcept North America Holdings, Inc., First Lien Closing Date Term Loan, 3M US L + 3.75%, 08/16/2023   495,274    495,274 
PriceWaterhouseCoopers, Second Lien Initial Term Loan, 1M US L + 8.00%, 05/01/2026(b)   360,000    354,600 
PriceWaterhouseCoopers, 1M US L + 4.50%, 05/01/2025   1,436,354    1,428,275 
Revspring, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/11/2025   1,069,200    1,070,536 
Sedgwick Claims Management Services, Inc., First Lien 2019 Term Loan, 1M US L + 4.00%, 09/03/2026   934,435    944,172 
Sedgwick Claims Management Services, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 12/31/2025   1,182,525    1,184,743 
Surveymonkey, Inc., First Lien Term Loan, 1W US L + 3.75%, 10/10/2025(b)   1,823,896    1,830,736 
ThoughtWorks, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 10/11/2024   1,099,481    1,102,229 
TRC Companies, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 06/21/2024   1,167,168    1,126,317 
Weld North Education LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 02/15/2025(b)   2,358,000    2,366,842 
         47,133,414 
           
Chemical & Plastics - 5.04%          
Ascend Performance Materials Operations LLC, First Lien Initial Term Loan, 1M US L + 5.25%, 08/27/2026   997,500    1,007,475 
Composite Resins Holding B.V., First Lien Initial Term Loan, 3M US L + 4.25%, 08/01/2025   2,129,075    2,139,721 
DCG Acquisition Corp., First Lien B Term Loan, 1W US L + 4.50%, 09/30/2026(b)   1,046,415    1,052,955 

 

See Notes to Financial Statements.  
 
22 www.blackstone-gso.com

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments
 
  December 31, 2019

 

   Principal
Amount
   Value 
Chemical & Plastics (continued)          
Emerald Performance Materials LLC, Second Lien Initial Term Loan, 1M US L + 7.75%, 08/01/2022  $1,500,000   $1,468,748 
Nouryon Finance B.V., First Lien Initial Dollar Term Loan, 1M US L + 3.25%, 10/01/2025   1,461,558    1,464,605 
Peroxychem LLC, First Lien Initial Term Loan, 6M US L + 5.00%, 10/01/2024(b)   1,172,093    1,170,628 
Spectrum Holdings III Corp., First Lien Closing Date Term Loan, 1M US L + 3.25%, 01/31/2025   374,134    348,257 
Spectrum Holdings III Corp., Second Lien Closing Date Term Loan, 1M US L + 7.00%, 01/31/2026   566,667    459,000 
Vantage Specialty Chemicals, Inc., First Lien Closing Date Term Loan, 1M US L + 3.50%, 10/28/2024   489,551    458,139 
Vantage Specialty Chemicals, Inc., Second Lien Initial Term Loan, 3M US L + 8.25%, 10/27/2025(b)   588,834    513,757 
         10,083,285 
           
Clothing & Textiles - 0.25%          
Hercules Achievement, Inc., First Lien Initial Term Loan, 1M US L + 2.04%, 12/16/2024   501,221    493,954 
           
Conglomerates - 0.52%          
Output Services Group, Inc., First Lien B Term Loan, 1M US L + 4.50%, 03/27/2024   468,025    396,652 
Spring Education Group, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 07/30/2025   634,935    639,300 
         1,035,952 
           
Containers & Glass Products - 2.20%          
Charter NEX US, Inc., First Lien Third Amendment Incremental Term Loan, 1M US L + 3.50%, 05/16/2024   193,347    194,918 
Flex Acquisition Co., Inc., First Lien Incremental B-2018 Term Loan, 3M US L + 3.25%, 06/29/2025   1,048,412    1,043,170 
IBC Capital I, Ltd., First Lien Tranche B-1 Term Loan, 3M US L + 3.75%, 09/11/2023   884,250    886,461 
IBC Capital, Ltd., Second Lien Tranche B-1 Term Loan, 3M US L + 7.00%, 09/11/2024(b)   507,363    501,021 
ProAmpac PG Borrower LLC, First Lien Initial Term Loan, 3M US L + 3.50%, 11/20/2023   476,989    471,176 
ProAmpac PG Borrower LLC, Second Lien Initial Term Loan, 3M US L + 8.50%, 11/18/2024(b)   366,029    352,303 
Strategic Materials Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.75%, 10/31/2025(b)   933,333    644,000 
Trident TPI Holdings, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.00%, 10/17/2024   309,474    301,455 
         4,394,504 
           
Diversified Insurance - 0.98%          
Acrisure LLC, First Lien 2017-2 Refinancing Term Loan, 3M US L + 4.25%, 11/22/2023   533,818    536,153 
Acrisure LLC, First Lien 2018-1 Additional Term Loan, 3M US L + 3.75%, 11/22/2023   498,034    499,486 
AmWINS Group, Inc., First Lien Term Loan, 1W US L + 6.75%, 01/25/2024   186,353    188,193 
CP VI Bella Midco LLC, First Lien Initial Term Loan, 1M US L + 2.75%, 12/27/2024   390,469    383,271 
CP VI Bella Midco LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 12/29/2025   364,286    360,872 
         1,967,975 
           
Drugs - 2.64%          
Albany Molecular Research, Inc., 1M US L + 3.25%, 08/30/2024   549,678    548,307 
Albany Molecular Research, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 08/30/2025   294,643    294,643 
Arbor Pharmaceuticals LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 07/05/2023   1,134,552    1,001,810 
Cambrex Corp., First Lien Initial Dollar Term Loan, 3M US L + 5.00%, 12/04/2026   1,080,000    1,079,325 
Packaging Coordinators Midco, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 06/30/2023   2,353,845    2,348,949 
         5,273,034 
           
Ecological Services & Equipment - 0.95%          
Eagle 4, Ltd., Second Lien Initial Term Loan, 3M US L + 7.75%, 07/12/2027   556,364    556,364 

 

See Notes to Financial Statements.  
 
Annual Report | December 31, 2019 23

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments
 
  December 31, 2019

 

   Principal
Amount
   Value 
Ecological Services & Equipment (continued)          
Emerald 2, Ltd., First Lien Initial B-1 Term Loan, 3M US L + 3.75%, 07/10/2026  $295,423   $296,789 
EnergySolutions LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 05/09/2025   754,473    715,101 
Tunnel Hill Partners LP, First Lien Initial Term Loan, 1M US L + 3.50%, 02/06/2026   332,004    331,174 
         1,899,428 
           
Electronics/Electric - 27.39%          
Boxer Parent Co., Inc., First Lien Initial Dollar Term Loan, 1M US L + 4.25%, 10/02/2025   2,673,000    2,649,010 
Brave Parent Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 04/18/2025   710,977    698,390 
CommerceHub, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 05/21/2025   960,375    947,170 
ConvergeOne Holdings, Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 01/04/2026   1,786,500    1,713,763 
CPI International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 07/28/2025(b)   209,150    201,307 
Curvature, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 10/30/2023   3,190,548    2,506,175 
DCert Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/16/2026   987,805    992,744 
DiscoverOrg LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 02/02/2026   1,488,750    1,496,194 
ECi Macola/MAX Holding LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 09/27/2024   645,358    646,569 
Electronics for Imaging, Inc., First Lien Initial Term Loan, 3M US L + 5.00%, 07/23/2026   900,000    840,942 
Ellie Mae, Inc., First Lien Term Loan, 3M US L + 4.00%, 04/17/2026   3,411,450    3,439,185 
Excelitas Technologies Corp., First Lien Initial USD Term Loan, 3M US L + 3.50%, 12/02/2024   59,847    59,810 
Flexera Software LLC, Second Lien Initial Term Loan, 1M US L + 7.25%, 02/26/2026   705,887    707,652 
Gigamon, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 12/27/2024   2,164,493    2,145,553 
Help/Systems Holdings, Inc., First Lien Term Loan, 1M US L + 4.75%, 11/19/2026   995,745    991,597 
Hyland Software, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 07/07/2025   603,517    612,947 
Idera, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2024   636,857    640,044 
Imperva, Inc., Second Lien Term Loan, 3M US L + 7.75%, 01/11/2027   802,477    705,176 
Imperva, Inc., First Lien Term Loan, 3M US L + 4.00%, 01/12/2026   976,909    923,668 
Ivanti Software, Inc., First Lien Term Loan, 1M US L + 4.25%, 01/20/2024   2,853,303    2,860,137 
Ivanti Software, Inc., Second Lien Term Loan, 1M US L + 9.00%, 01/20/2025   2,000,000    1,972,500 
LI Group Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 12/20/2026(b)   720,000    721,800 
MACOM Technology Solutions Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.25%, 05/17/2024   1,339,695    1,284,432 
McAfee LLC, First Lien B USD Term Loan, 1M US L + 3.75%, 09/30/2024   724,732    728,808 
Merrill Communications LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 10/05/2026   540,000    545,400 
MH Sub I LLC, First Lien Amendment No. 2 Initial Term Loan, 1M US L + 3.75%, 09/13/2024   1,399,803    1,405,150 
MLN US HoldCo LLC, First Lien B Term Loan, 1M US L + 4.50%, 11/30/2025   1,223,556    1,161,357 
MYOB US Borrower LLC, First Lien Initial U.S. Term Loan, 1M US L + 4.00%, 05/06/2026(b)   796,000    803,960 
Navex Topco, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 09/04/2026   900,000    892,499 
Navico, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/31/2023   55,211    45,273 
Park Place Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 03/29/2025   1,360,637    1,356,106 
Perforce Software, Inc., First Lien B Term Loan, 1M US L + 4.50%, 07/01/2026   418,623    419,410 
Project Alpha Intermediate Holding, Inc., First Lien 2019 Incremental Term Loan, 3M US L + 4.25%, 04/26/2024   1,809,091    1,827,933 
Project Angel Parent LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b)   1,061,194    1,045,276 
Project Leopard Holdings, Inc., First Lien 2019 Incremental Term Loan, 1M US L + 4.25%, 07/07/2023   308,880    311,197 
Project Leopard Holdings, Inc., First Lien 2018 Repricing Term Loan, 1M US L + 4.50%, 07/07/2023   543,083    547,838 
Project Silverback Holdings Corp., First Lien New Term Loan, 3M US L + 3.50%, 08/21/2024   495,634    425,417 
Quest Software US Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 05/16/2025   960,346    954,348 
Quest Software US Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 8.25%, 05/18/2026   2,607,692    2,559,450 
Rocket Software, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 11/28/2025   1,531,602    1,494,276 
S2P Acquisition Borrower, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 08/14/2026   997,500    1,003,320 
SonicWall US Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 05/16/2025   1,077,219    1,053,428 
SonicWall US Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 05/18/2026   1,440,000    1,276,798 
Triton Solar US Acquisition Co., First Lien Initial Term Loan, 1M US L + 6.00%, 10/29/2024   204,747    173,694 
Veritas US, Inc., First Lien New Dollar B Term Loan, 1M US L + 4.50%, 01/27/2023   1,072,617    1,035,687 

 

See Notes to Financial Statements.  
 
24 www.blackstone-gso.com

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments
 
  December 31, 2019

 

   Principal
Amount
   Value 
Electronics/Electric (continued)          
Vero Parent, Inc., First Lien 2018 Refinancing Term Loan, 3M US L + 6.25%, 08/16/2024  $500,704   $481,928 
Vero Parent, Inc., First Lien 2019 Incremental Term Loan, 3M US L + 6.00%, 08/16/2024   1,260,000    1,203,300 
Web.com Group, Inc., Second Lien Initial Term Loan, 1M US L + 7.75%, 10/09/2026   658,628    635,784 
Web.com Group, Inc., First Lien B Term Loan, 1M US L + 3.75%, 10/10/2025   1,635,616    1,636,671 
         54,781,073 
           
Financial Intermediaries - 1.59%          
ASP MCS Acquisition Corp., First Lien Initial Term Loan, 1M US L + 4.75%, 05/20/2024   2,117,999    1,008,168 
Misys, Ltd., First Lien Dollar Term Loan, 3M US L + 3.50%, 06/13/2024   455,513    453,300 
NorthStar Financial Services Group LLC, First Lien Initial Term Loan, 1M US L + 3.50%, 05/25/2025   1,377,116    1,365,066 
NorthStar Financial Services Group LLC, Second Lien Initial Term Loan, 1M US L + 7.50%, 05/25/2026(b)   354,881    351,332 
         3,177,866 
           
Food Products - 2.82%          
Alphabet Holding Co., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/26/2024   1,618,387    1,568,387 
Give & Go Prepared Foods Corp., 3M US L + 4.25%, 07/29/2023   484,011    462,836 
Snacking Investments Bidco Pty Limited, First Lien Term Loan, 3M US L + 4.00%, 10/16/2026   1,588,235    1,593,207 
TKC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 02/01/2023   1,355,247    1,263,768 
TKC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 8.00%, 02/01/2024   831,382    756,557 
         5,644,755 
           
Food Service - 3.45%          
Agro Merchants North America Holdings, Inc., First Lien Effective Date Term Loan, 3M US L + 3.75%, 12/06/2024(b)   792,368    784,445 
CEC Entertainment, Inc., First Lien B Term Loan, 1M US L + 6.50%, 08/30/2026   1,477,090    1,423,021 
Flynn Restaurant Group LP, First Lien B Initial Term Loan, 1M US L + 3.50%, 06/27/2025   1,502,577    1,447,169 
Fogo de Chao, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.25%, 04/07/2025(b)   590,094    593,782 
Quidditch Acquisition, Inc., First Lien B Term Loan, 1M US L + 7.00%, 03/21/2025(b)   816,021    824,181 
Tacala Investment Corp., 1M US L + 3.25%, 01/31/2025   628,401    631,879 
Tacala Investment Corp., Second Lien Initial Term Loan, 1M US L + 7.75%, 01/30/2026   1,207,931    1,204,911 
         6,909,388 
           
Food/Drug Retailers - 0.93%          
EG Group, Ltd., First Lien Facility B Term Loan, 3M US L + 4.00%, 02/07/2025   136,458    136,189 
EG Group, Ltd., First Lien Additional Facility Term Loan, 3M US L + 4.00%, 02/07/2025   1,725,850    1,722,441 
         1,858,630 
           
Health Insurance - 1.63%          
Achilles Acquisition LLC, First Lien Closing Date Term Loan, 1M US L + 4.00%, 10/13/2025   686,016    694,162 
FHC Health Systems, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 12/23/2021   2,418,059    2,421,082 
MPH Acquisition Holdings LLC, First Lien Initial Term Loan, 3M US L + 2.75%, 06/07/2023   137,773    136,174 
         3,251,418 
           
Healthcare - 22.67%          
Alvogen Pharma US, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.75%, 04/01/2022   2,204,475    1,894,482 
American Renal Holdings, Inc., First Lien B Term Loan, 1M US L + 3.25%, 06/14/2024   359,079    342,120 
BioClinica Holding I LP, First Lien Initial Term Loan, 1M US L + 4.25%, 10/20/2023   614,355    599,189 
BioClinica Holding I LP, Second Lien Initial Term Loan, 1M US L + 8.25%, 10/21/2024   789,474    738,158 
Carestream Health, Inc., Second Lien Extended Term Loan, 1M US L + 9.50%, 06/07/2021   3,276,562    3,104,542 
Carestream Health, Inc., First Lien Extended Term Loan, 1M US L + 5.50%, 02/28/2021   133,465    131,825 
Certara Holdco, Inc., First Lien Replacement Term Loan, 3M US L + 3.50%, 08/15/2024(b)   157,599    157,402 
Covenant Surgical Partners, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 07/01/2026   1,122,188    1,119,382 

 

See Notes to Financial Statements.  
 
Annual Report | December 31, 2019 25

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments
 
  December 31, 2019

 

   Principal
Amount
   Value 
Healthcare (continued)          
CPI Holdco LLC, First Lien B Term Loan, 3M US L + 4.25%, 11/04/2026(b)  $1,080,000   $1,084,725 
CT Technologies Intermediate Holdings, Inc., First Lien New Facility Term Loan, 1M US L + 4.25%, 12/01/2021   763,853    722,605 
Endo International PLC, First Lien Initial Term Loan, 1M US L + 4.25%, 04/29/2024   1,897,125    1,821,534 
Envision Healthcare Corp., First Lien Initial Term Loan, 1M US L + 3.75%, 10/10/2025   1,862,477    1,597,847 
Femur Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 03/05/2026(b)   604,022    590,431 
Greenway Health LLC, First Lien Term Loan, 3M US L + 3.75%, 02/16/2024   1,344,828    1,203,621 
Heartland Dental LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 04/30/2025   1,484,699    1,481,603 
Heartland Dental LLC, First Lien Incremental 2 Facility Term Loan, 1M US L + 4.50%, 04/30/2025   419,766    416,617 
Immucor, Inc., First Lien B-3 Term Loan, 3M US L + 5.00%, 06/15/2021   308,020    307,443 
Lanai Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 4.75%, 08/29/2022   927,063    879,320 
Lifescan Global Corp., First Lien Initial Term Loan, 3M US L + 6.00%, 10/01/2024   2,286,723    2,189,537 
Maravai Intermediate Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 08/02/2025   817,077    815,034 
Navicure, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/22/2026   913,043    919,321 
Netsmart Technologies, Inc., First Lien D-1 Term Loan, 1M US L + 3.75%, 04/19/2023   3,227,379    3,221,327 
NMSC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/19/2023   202,927    202,166 
nThrive, Inc., First Lien Additional B-2 Term Loan, 1M US L + 4.50%, 10/20/2022   2,583,967    2,165,687 
Onex TSG Holdings II Corp., First Lien Initial Term Loan, 1M US L + 4.00%, 07/29/2022   2,361,755    2,205,879 
Ortho-Clinical Diagnostics, Inc., First Lien Second Amendment New Term Loan, 1M US L + 3.25%, 06/30/2025   415,017    411,126 
Parexel International Corp., First Lien Initial Term Loan, 1M US L + 2.75%, 09/27/2024   1,311,729    1,290,414 
PetVet Care Centers LLC, First Lien Initial Term Loan, 1M US L + 2.75%, 02/14/2025   435,592    431,034 
PetVet Care Centers LLC, First Lien 2018 Term Loan, 1M US L + 3.25%, 02/14/2025   534,586    530,577 
Phoenix Guarantor, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/05/2026   2,566,720    2,584,392 
Project Ruby Ultimate Parent Corp., First Lien New Term Loan, 1M US L + 3.50%, 02/09/2024   647,200    643,423 
Regionalcare Hospital Partners Holdings, Inc., First Lien B Term Loan, 1M US L + 4.50%, 11/16/2025   1,453,551    1,467,179 
Sunshine Luxembourg VII SARL, First Lien Facility B1 Term Loan, 3M US L + 4.25%, 10/01/2026   444,444    449,245 
Surgery Center Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 09/02/2024   113,693    113,433 
Team Health Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.75%, 02/06/2024   246,827    201,010 
U.S. Anesthesia Partners, Inc., 1M US L + 3.00%, 06/23/2024   599,561    598,811 
Verscend Holding Corp., First Lien B Term Loan, 1M US L + 4.50%, 08/27/2025   1,110,938    1,121,119 
Viant Medical Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 07/02/2025   740,625    727,894 
Vyaire Medical, Inc., First Lien Term Loan, 3M US L + 4.75%, 04/16/2025   2,659,500    2,313,765 
YI LLC, First Lien Initial Term Loan, 3M US L + 4.00%, 11/07/2024   1,391,394    1,303,270 
Zest Acquisition Corp., Second Lien Initial Term Loan, 1M US L + 7.50%, 03/13/2026(b)   1,285,714    1,211,786 
         45,310,275 
           
Home Furnishings - 1.54%          
AI Aqua Merger Sub, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.25%, 12/13/2023   1,050,228    1,023,096 
AI Aqua Merger Sub, Inc., First Lien 2017 Incremental Term Loan, 1M US L + 3.25%, 12/13/2023   627,200    610,736 
Hayward Industries, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/05/2024   75,940    75,560 
Prime Security Services Borrower LLC, First Lien 2019 Refinancing B-1 Term Loan, 1M US L + 3.25%, 09/23/2026   987,525    991,786 
Serta Simmons Bedding LLC, Second Lien Initial Term Loan, 1M US L + 8.00%, 11/08/2024   1,246,702    384,402 
         3,085,580 
           
Industrial Equipment - 4.24%          
Apex Tool Group LLC, First Lien Third Amendment Term Loan, 1M US L + 5.50%, 08/01/2024   1,617,361    1,599,417 
Engineered Machinery Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.00%, 07/19/2024   1,115,240    1,106,179 
Justrite Safety Group, First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2026(b)   808,805    778,475 

 

See Notes to Financial Statements.  
 
26 www.blackstone-gso.com

 

Blackstone / GSO Long-Short Credit Income Fund Portfolio of Investments
 
  December 31, 2019

 

   Principal
Amount
   Value 
Industrial Equipment (continued)          
Justrite Safety Group, First Lien Delayed Draw Term Loan, 3M US L + 4.50%, 06/28/2026(b)(c)  $43,717   $42,077 
LTI Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/06/2025   730,086    660,206 
LTI Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 09/06/2026   382,979    292,979 
Robertshaw US Holding Corp., First Lien Initial Term Loan, 1M US L + 3.25%, 02/28/2025(b)   1,129,396    1,033,397 
Tailwind Smith Cooper Intermediate Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 05/28/2026   821,850    788,976 
Titan Acquisition, Ltd., First Lien Initial Term Loan, 1M US L + 3.00%, 03/28/2025   2,216,011    2,184,743 
         8,486,449 
           
Insurance - 1.41%          
APCO Holdings LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 06/09/2025(b)   1,278,456    1,272,064 
Cypress Intermediate Holdings III, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 04/28/2025   813,953    819,244 
Outcomes Group Holdings, Inc., Second Lien Term Loan, 3M US L + 7.50%, 10/26/2026(b)   346,154    344,423 
Outcomes Group Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 10/24/2025   388,800    383,291 
         2,819,022 
           
Leisure Goods/Activities/Movies - 2.02%          
Recess Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 09/30/2024   1,115,628    1,113,302 
Thunder Finco Pty, Ltd., First Lien Term Loan, 3M US L + 4.75%, 11/20/2026(b)   900,000    900,000 
Travelport Finance S.à r.l., First Lien Initial Term Loan, 3M US L + 5.00%, 05/29/2026   2,154,600    2,021,015 
         4,034,317 
           
Lodging & Casinos - 0.98%          
Aimbridge Acquisition Co., Inc., First Lien Initial (2019) Term Loan, 1M US L + 3.75%, 02/02/2026(b)   598,500    604,485 
Casablanca US Holdings, Inc., First Lien Amendment No. 2 Initial Term Loan, 3M US L + 4.00%, 03/29/2024   1,414,800    1,346,416 
         1,950,901 
           
Nonferrous Metals/Minerals - 1.20%          
Aleris International, Inc., First Lien Initial Term Loan, 1M US L + 4.75%, 02/27/2023   1,426,552    1,430,118 
American Rock Salt Co. LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 03/21/2025(b)   813,956    820,061 
Murray Energy Corp., First Lien Superpriority B-2 Term Loan, 3M US L + 7.25%, 10/17/2022(d)   725,892    158,890 
         2,409,069 
           
Oil & Gas - 3.10%          
BCP Raptor II LLC, First Lien Initial Term Loan, 2M US L + 4.75%, 11/03/2025   328,782    304,671 
Equitrans Midstream Corp., First Lien Holdco B Facility Term Loan, 1M US L + 4.50%, 01/31/2024   602,027    600,648 
Lower Cadence Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/22/2026   1,096,531    1,087,627 
Lucid Energy Group II Borrower LLC, First Lien Initial Term Loan, 1M US L + 3.00%, 02/17/2025   1,265,711    1,177,111 
Petroleum GEO-Services ASA, First Lien Extended Term Loan, 3M US L + 2.50%, 03/19/2021   1,053,380    1,002,818 
Sheridan Investment Partners I LLC, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019(d)   860,683    529,320 
Sheridan Production Partners I LLC, First Lien Deferred Principal Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d)   4,506    2,771 
Sheridan Production Partners I LLC, First Lien M Deferred Principal TL Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d)   2,752    1,693 
Sheridan Production Partners I LLC, First Lien Deferred Principal TL Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d)   34,005    20,913 
Sheridan Production Partners I-A LP, First Lien Tranche B-2 Term Loan, 1M US L + 3.50%, 10/01/2019(d)   114,048    70,139 

 

See Notes to Financial Statements.  
 
Annual Report | December 31, 2019 27

 

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

 

December 31, 2019

 

   Principal
Amount
   Value 
Oil & Gas (continued)          
Sheridan Production Partners I-M LP, First Lien Tranche B-2 Term Loan, 1M US L + 3.50%, 10/01/2019(d)  $69,661   $42,842 
UTEX Industries, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/21/2021   1,841,596    1,352,799 
         6,193,352 
           
Property & Casualty Insurance - 1.92%          
Asurion LLC, Second Lien Replacement B-2 Term Loan, 1M US L + 6.50%, 08/04/2025   3,381,340    3,430,792 
Confie Seguros Holding II Co., First Lien B Term Loan, 3M US L + 4.75%, 04/19/2022   420,205    409,176 
         3,839,968 
           
Publishing - 2.49%          
Ancestry.com Operations, Inc., First Lien Extended Term Loan, 1M US L + 4.25%, 08/27/2026   922,869    909,893 
Champ Acquisition Corp., First Lien Initial Term Loan, 3M US L + 5.50%, 12/19/2025   1,319,776    1,320,330 
Recorded Books, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 08/29/2025(b)   779,605    784,478 
Shutterfly, Inc., First Lien B Term Loan, 3M US L + 6.00%, 09/25/2026   1,440,000    1,360,195 
Southern Graphics, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 12/31/2023   1,500,000    414,000 
Southern Graphics, Inc., First Lien Refinancing Term Loan, 1M US L + 3.25%, 12/31/2022   303,338    189,831 
         4,978,727 
           
Radio & Television - 1.37%          
Gray Television, Inc., First Lien B-2 Term Loan, 1M US L + 2.25%, 02/07/2024   142,857    143,491 
iHeartCommunications, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/01/2026   645,479    651,798 
Terrier Media Buyer, Inc., First Lien B Term Loan, 3M US L + 4.25%, 12/12/2026   1,778,656    1,798,675 
William Morris Endeavor Entertainment LLC, First Lien B-1 Term Loan, 1M US L + 2.75%, 05/18/2025   141,361    140,948 
         2,734,912 
           
Retailers (except food & drug) - 1.13%          
Ascena Retail Group, Inc., First Lien Tranche B Term Loan, 1M US L + 4.50%, 08/21/2022   250,061    171,291 
FBB Holdings III, Inc., First Lien Initial Term Loan, 3M US L + 9.00%, 02/07/2024(b)   138,540    65,807 
FBB Holdings III, Inc., Second Lien Initial Term Loan, 3M US L + 7.00%, 01/31/2025(b)   49,472    4,700 
Petco Animal Supplies, Inc., First Lien Term Loan, 3M US L + 3.25%, 01/26/2023   304,290    259,978 
Pier 1 Imports , Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 04/30/2021   1,968,750    511,875 
Spencer Spirit IH LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 06/19/2026   1,256,850    1,247,034 
Sports Authority, Inc., First Lien B Term Loan, 3M US L + 6.00%, 11/16/2019(b)(d)   3,226,826    6,454 
         2,267,139 
           
Steel - 0.61%          
Can Am Construction, Inc., First Lien Closing Date Term Loan, 1M US L + 5.00%, 07/01/2024(b)   995,431    995,431 
Phoenix Services International LLC, First Lien B Term Loan, 1M US L + 3.75%, 03/01/2025   238,607    225,682 
         1,221,113 
           
Surface Transport - 1.19%          
Drive Chassis Holdco LLC, Second Lien B Term Loan, 3M US L + 8.25%, 04/10/2026(b)   1,800,000    1,660,500 
SMB Shipping Logistics LLC, First Lien Term Loan, 3M US L + 4.00%, 02/05/2024   719,872    719,875 
         2,380,375 
           
Telecommunications - 4.38%          
Alorica, Inc., First Lien New B Term Loan, 1M US L + 4.25%, 06/30/2022   674,326    584,640 
Avaya, Inc., First Lien Tranche B Term Loan, 1M US L + 4.25%, 12/15/2024   1,975,864    1,944,744 
Aventiv Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 11/01/2024   136,646    102,392 
Cyxtera DC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 05/01/2025   225,564    140,100 
Ensono LP, First Lien Term Loan, 1M US L + 5.25%, 06/27/2025   1,005,615    1,008,547 
Masergy Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 12/16/2024   548,872    537,895 

 

See Notes to Financial Statements.

 
28 www.blackstone-gso.com

 

 

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

 

December 31, 2019

 

   Principal
Amount
   Value 
Telecommunications (continued)          
Masergy Holdings, Inc., First Lien 2017 Replacement Term Loan, 3M US L + 3.25%, 12/15/2023  $693,435   $685,055 
Peak 10 Holding Corp., First Lien Initial Term Loan, 3M US L + 3.50%, 08/01/2024   710,909    594,750 
Peak 10 Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.25%, 08/01/2025   771,429    488,573 
TierPoint LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 05/06/2024   1,381,963    1,350,578 
Vertiv Group Corp., First Lien B Term Loan, 1M US L + 4.00%, 11/30/2023   1,312,355    1,312,355 
         8,749,629 
           
Utilities - 2.94%          
Brookfield WEC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/01/2025   629,851    635,163 
Eastern Power LLC, First Lien Term Loan, 1M US L + 3.75%, 10/02/2023   478,726    480,708 
Granite Acquisition, Inc., Second Lien B Term Loan, 3M US L + 7.25%, 12/19/2022   2,421,507    2,429,571 
Green Energy Partners/Stonewall LLC, First Lien B-1 Conversion Advances Term Loan, 3M US  L + 5.50%, 11/13/2021   488,750    455,322 
Moxie Patriot LLC, First Lien Construction B-1 Advances Term Loan, 3M US L + 5.75%, 12/19/2020   681,269    607,181 
Panda Liberty LLC, First Lien Construction B-1 Advance Term Loan, 3M US L + 6.50%, 08/21/2020   1,414,064    1,263,226 
         5,871,171 
           
TOTAL FLOATING RATE LOAN INTERESTS          
(Cost $295,073,000)        282,613,950 
           
COLLATERALIZED LOAN OBLIGATION SECURITIES(a) - 4.38%          
Structured Finance Obligations - 4.38%          
Babson CLO, Ltd. 2015-I 3M US L + 5.50%, 01/20/2031(b)(e)   875,000    781,922 
Canyon Capital CLO 2016-1, Ltd. 3M US L + 1.90%, 07/15/2031(b)(e)   500,000    487,400 
Carlyle Global Market Strategies CLO 2016-2, Ltd. 3M US L + 5.17%, 07/15/2027(b)(e)   1,000,000    909,736 
Dryden 40 Senior Loan Fund 3M US L + 5.75%, 08/15/2031(b)(e)   700,000    670,464 
Greywolf CLO IV, Ltd. 3M US L + 6.94%, 04/17/2030(b)(e)   500,000    500,650 
Highbridge Loan Management 6-2015, Ltd. 3M US L + 5.10%, 02/05/2031(b)(e)   833,000    748,124 
Neuberger Berman Loan Advisers CLO 27, Ltd. 3M US L + 5.20%, 01/15/2030(b)(e)   667,000    623,758 
ROMARK CLO LLC 3M US L + 3.35%, 07/25/2031(b)   250,000    247,603 
Romark CLO, Ltd. 3M US L + 2.15%, 10/23/2030(b)(e)   500,000    495,197 
Tiaa Clo III, Ltd. 3M US L + 5.90%, 01/16/2031(b)(e)   2,500,000    2,328,293 
TICP CLO X, Ltd. 3M US L + 1.90%, 04/20/2031(b)(e)   500,000    487,660 
TRESTLES CLO II, Ltd. 3M US L + 1.90%, 07/25/2031(b)(e)   500,000    483,475 
         8,764,282 
           
TOTAL COLLATERALIZED LOAN OBLIGATION SECURITIES          
(Cost $9,193,100)        8,764,282 
           
CORPORATE BONDS - 18.07%          
Automotive - 0.21%          
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. 7.875%, 10/01/2022(e)   450,000    411,890 
           
Building & Development - 2.28%          
Installed Building Products, Inc. 5.750%, 02/01/2028(e)   254,000    272,186 
Northwest Hardwoods, Inc. 7.500%, 08/01/2021(e)   289,000    147,390 
NWH Escrow Corp. 7.500%, 08/01/2021(e)   1,332,000    679,320 
PriSo Acquisition Corp. 9.000%, 05/15/2023(e)   3,477,000    3,459,615 
         4,558,511 

 

See Notes to Financial Statements.

 
Annual Report | December 31, 2019 29

 

 

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

 

December 31, 2019

 

   Principal
Amount
   Value 
Chemical & Plastics - 0.26%          
Starfruit Finco BV / Starfruit US Holdco LLC 8.000%, 10/01/2026(e)  $487,000   $517,450 
           
Containers & Glass Products - 1.87%          
ARD Finance SA 6.500%, 06/30/2027(e)(f)   700,000    725,060 
Flex Acquisition Co., Inc. 6.875%, 01/15/2025(e)   1,916,000    1,935,141 
Trident TPI Holdings, Inc. 6.625%, 11/01/2025(e)   1,200,000    1,083,498 
         3,743,699 
           
Diversified Insurance - 0.31%          
AmWINS Group, Inc. 7.750%, 07/01/2026(e)   196,000    217,164 
HUB International, Ltd. 7.000%, 05/01/2026(e)   378,000    400,689 
         617,853 
           
Drugs - 1.46%          
Avantor, Inc. 9.000%, 10/01/2025(e)   2,600,000    2,910,999 
           
Ecological Services & Equipment - 1.11%          
GFL Environmental, Inc.:          
5.375%, 03/01/2023(e)   864,000    892,080 
7.000%, 06/01/2026(e)   821,000    869,642 
8.500%, 05/01/2027(e)   419,000    461,675 
         2,223,397 
           
Electronics/Electric - 2.21%          
Banff Merger Sub, Inc. 9.750%, 09/01/2026(e)   857,000    869,876 
Global A&T Electronics, Ltd. 8.500%, 01/12/2023   1,363,502    1,259,853 
Rackspace Hosting, Inc. 8.625%, 11/15/2024(e)   824,000    807,520 
Riverbed Technology, Inc. 8.875%, 03/01/2023(e)   2,559,000    1,484,220 
         4,421,469 
           
Food/Drug Retailers - 0.36%          
eG Global Finance PLC 6.750%, 02/07/2025(e)   704,000    716,028 
           
Healthcare - 1.69%          
Envision Healthcare Corp. 8.750%, 10/15/2026(e)   1,875,000    1,167,839 
Team Health Holdings, Inc. 6.375%, 02/01/2025(e)   1,500,000    1,005,622 
Tenet Healthcare Corp. 7.000%, 08/01/2025   1,143,000    1,209,677 
         3,383,138 
           
Oil & Gas - 1.03%          
Calumet Specialty Products Partners LP / Calumet Finance Corp. 7.750%, 04/15/2023   1,600,000    1,600,664 
CSI Compressco LP / CSI Compressco Finance, Inc. 7.250%, 08/15/2022   500,000    461,406 
         2,062,070 
           
Property & Casualty Insurance - 2.09%          
AssuredPartners, Inc. 7.000%, 08/15/2025(e)   1,136,000    1,158,368 
GTCR AP Finance, Inc. 8.000%, 05/15/2027(e)   286,000    298,254 
Solera LLC / Solera Finance, Inc. 10.500%, 03/01/2024(e)   2,550,000    2,711,020 
         4,167,642 
           
Publishing - 0.25%          
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance 7.875%, 05/15/2024(e)   580,000    500,491 

 

See Notes to Financial Statements.

 
30 www.blackstone-gso.com

 

 

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

 

December 31, 2019

 

   Principal
Amount
   Value 
Radio & Television - 0.60%          
Entercom Media Corp. 6.500%, 05/01/2027(e)  $101,000   $108,358 
Univision Communications, Inc.:          
5.125%, 05/15/2023(e)   630,000    630,000 
5.125%, 02/15/2025(e)   464,000    459,940 
         1,198,298 
           
Telecommunications - 2.00%          
Connect Finco SARL / Connect US Finco LLC 6.750%, 10/01/2026(e)   1,390,000    1,482,087 
Digicel, Ltd. 6.000%, 04/15/2021(e)   750,000    587,183 
Frontier Communications Corp. 10.500%, 09/15/2022   1,250,000    612,890 
Sprint Communications, Inc. 6.000%, 11/15/2022   1,050,000    1,103,057 
Vertiv Group Corp. 9.250%, 10/15/2024(e)   204,000    219,725 
         4,004,942 
           
Utilities - 0.34%          
Calpine Corp. 5.750%, 01/15/2025   667,000    686,176 
           
TOTAL CORPORATE BONDS          
(Cost $38,890,069)        36,124,053 

 

   Shares      
COMMON STOCK - 0.27%          
Building & Development - 0.19%          
Dayton Superior LLC(b)(g)   4,295    386,507 
           
Oil & Gas - 0.08%          
SandRidge Energy, Inc.(g)   37,842    160,450 
           
TOTAL COMMON STOCK          
(Cost $2,080,637)        546,957 
           
Total Investments - 164.04%          
(Cost $345,236,806)        328,049,242 
           
Other Assets in Excess of Liabilities - 0.02%        60,661 
           
Mandatory Redeemable Preferred Shares - (10.06)%          
(liquidation preference plus distributions payable on term preferred shares)        (20,127,527)
           
Leverage Facility - (54.00)%        (108,000,000)
           
Net Assets - 100.00%       $199,982,376 

 

Amounts above are shown as a percentage of net assets as of December 31, 2019.

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

 

Libor Rates:

1M US L - 1 Month LIBOR as of December 31, 2019 was 1.76%

1W US L - 1 Week LIBOR as of December 31, 2019 was 1.63% 

2M US L - 2 Month LIBOR as of December 31, 2019 was 1.83% 

3M US L - 3 Month LIBOR as of December 31, 2019 was 1.91% 

6M US L - 6 Month LIBOR as of December 31, 2019 was 1.91%

 

See Notes to Financial Statements.

 
Annual Report | December 31, 2019 31

 

 

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

December 31, 2019

 

(a) Floating or variable rate security. The reference rate is described above. The rate in effect as of December 31, 2019 is based on the reference rate plus the displayed spread as of the security's last reset date.
(b) Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
(c) A portion of this position was not funded as of December 31, 2019. The Portfolio of Investments records only the funded portion of each position. As of December 31, 2019, the Fund has unfunded delayed draw loans in the amount of $486,414. Fair value of these unfunded delayed draws was $484,290.
(d) Security is in default as of period end and is therefore non-income producing.
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $37,707,009, which represented approximately 18.86% of net assets as of December 31, 2019. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(f) Option to convert to pay-in-kind security.
(g) Non-income producing security.

 

See Notes to Financial Statements.

 
32 www.blackstone-gso.com

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

December 31, 2019

 

  

Principal

Amount 

   Value 
FLOATING RATE LOAN INTERESTS(a) - 136.94%          
Aerospace & Defense - 1.60%          
Nordam Group LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 04/09/2026(b)  $4,764,000   $4,758,045 
Propulsion Acquisition LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 07/13/2021(b)   6,219,207    6,157,015 
         10,915,060 
           
Air Transport - 0.84%          
Air Medical Group Holdings, Inc., First Lien 2018 New Term Loan, 1M US L + 4.25%, 03/14/2025   5,895,000    5,732,887 
           
Automotive - 1.22%          
Bright Bidco B.V., First Lien 2018 Refinancing B Term Loan, 3M US L + 3.50%, 06/30/2024   4,988,627    2,968,233 
Midas Intermediate Holdco II LLC, First Lien 2017 Refinancing Term Loan, 3M US L + 2.75%, 08/18/2021   1,184,733    1,168,934 
Superior Industries International, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 05/22/2024(b)   4,298,960    4,180,739 
         8,317,906 
           
Beverage & Tobacco - 0.24%          
Winebow Holdings, Inc., Second Lien Term Loan, 1M US L + 7.50%, 01/02/2022   2,387,283    1,615,391 
           
Brokers, Dealers & Investment Houses - 1.54%          
Advisor Group Holdings, Inc., First Lien Initial B Term Loan, 1M US L + 5.00%, 07/31/2026   3,388,889    3,369,843 
Advisor Group Holdings, Inc., First Lien Initial A Term Loan, 1M US L + 4.00%, 01/31/2025   2,412,402    2,337,026 
Deerfield Dakota Holding LLC, First Lien Initial Term Loan, 1M US L + 3.25%, 02/13/2025   887,182    886,308 
Edelman Financial Center LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 07/20/2026   1,846,154    1,848,462 
Newport Group Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 09/12/2025(b)   2,078,216    2,083,412 
         10,525,051 
           
Building & Development - 8.30%          
American Bath Group LLC, Second Lien Term Loan, 1M US L + 9.75%, 09/30/2024(b)   600,000    600,000 
American Bath Group LLC, First Lien 2018 Replacement Term Loan, 1M US L + 4.25%, 09/30/2023(b)   9,867,111    9,928,780 
CPG International LLC, First Lien New Term Loan, 3M US L + 3.75%, 05/05/2024   785,858    788,153 
Dayton Superior Corp., First Lien Term Loan, 3M US L + 7.00%, 12/04/2024   894,692    887,981 
Forterra Finance LLC, First Lien Replacement Term Loan, 1M US L + 3.00%, 10/25/2023   3,725,315    3,653,920 
Hillman Group, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025   8,872,406    8,750,410 
Interior Logic Group Holdings IV LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b)   6,463,636    6,172,772 
LBM Borrower LLC, Second Lien Initial Term Loan, 1M US L + 9.25%, 08/20/2023   3,813,476    3,759,859 
LBM Borrower LLC, First Lien Tranche C Term Loan, 1M US L + 3.75%, 08/20/2022   4,642,504    4,678,785 
MI Windows and Doors LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 11/06/2026   2,440,000    2,443,050 
Ply Gem Midco, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 04/12/2025   3,714,061    3,717,515 
Road Infrastructure Investment Holdings, Inc., First Lien Term Loan, 1M US L + 3.50%, 06/13/2023   1,025,256    956,564 
SIWF Holdings, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 06/15/2025   2,364,000    2,362,026 
SRS Distribution, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 05/23/2025   7,899,229    7,852,821 
         56,552,636 
           
Business Equipment & Services - 23.91%          
Access CIG LLC, First Lien B Term Loan, 1M US L + 3.75%, 02/27/2025   2,877,514    2,879,916 
Access CIG LLC, Second Lien Initial Term Loan, 1M US L + 7.75%, 02/27/2026   326,087    325,272 
Advantage Sales & Marketing, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 07/23/2021   3,083,001    2,993,979 
Advantage Sales & Marketing, Inc., Second Lien Term Loan, 1M US L + 6.50%, 07/25/2022   11,245,389    10,055,289 
Advantage Sales & Marketing, Inc., First Lien B-2 Term Loan, 1M US L + 3.25%, 07/23/2021   2,535,000    2,459,470 
ALKU LLC, First Lien B Term Loan, 3M US L + 5.50%, 07/29/2026   6,100,000    6,028,843 

 

See Notes to Financial Statements.

 
Annual Report | December 31, 2019 33

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

December 31, 2019

 

  

Principal

Amount 

   Value 
Business Equipment & Services (continued)          
Allied Universal Holdco LLC, First Lien Delayed Draw Term Loan, 1M US L + 4.25%, 07/10/2026  $403,003   $405,941 
Allied Universal Holdco LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 07/10/2026   4,070,330    4,100,003 
APFS Staffing Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/15/2026   5,427,273    5,427,273 
AqGen Ascensus, Inc., First Lien Replacement Term Loan, 3M US L + 4.00%, 12/05/2022   8,066,002    8,103,832 
BMC Acquisition, Inc., First Lien Initial Term Loan, 3M US L + 5.25%, 12/28/2024(b)   2,786,875    2,779,908 
Cambium Learning Group, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 12/18/2025   1,330,909    1,290,982 
Capri Acquisitions BidCo, Ltd., First Lien Initial Dollar Term Loan, 3M US L + 3.00%, 11/01/2024   5,875,969    5,831,165 
Cast & Crew Payroll LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 02/09/2026   1,085,468    1,092,253 
DG Investment Intermediate Holdings 2, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 02/03/2025   993,283    990,800 
DG Investment Intermediate Holdings 2, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 02/02/2026(b)   1,422,414    1,379,741 
Dun & Bradstreet Corp., First Lien Initial Borrowing Term Loan, 1M US L + 5.00%, 02/06/2026   4,108,108    4,149,189 
Explorer Holdings, Inc., First Lien Term Loan, 3M US L + 4.50%, 11/20/2026   1,830,000    1,847,156 
Garda World Security Corp., First Lien Initial Term Loan, 3M US L + 4.75%, 10/30/2026   3,128,205    3,153,637 
GI Revelation Acquisition LLC, First Lien Initial Term Loan, 1M US L + 5.00%, 04/16/2025   5,113,085    4,838,282 
GI Revelation Acquisition LLC, Second Lien Initial Term Loan, 1M US L + 9.00%, 04/16/2026   6,000,000    5,415,000 
IG Investments Holdings LLC, First Lien Refinancing Term Loan, 1M US L + 4.00%, 05/23/2025   755,972    761,925 
Inmar, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 05/01/2024   1,250,440    1,197,296 
Inmar, Inc., Second Lien Initial Term Loan, 3M US L + 8.00%, 05/01/2025   3,786,982    3,551,489 
KUEHG Corp, Second Lien Tranche B Term Loan, 3M US L + 8.25%, 08/22/2025   6,161,780    6,174,319 
KUEHG Corp, First Lien B-3 Term Loan, 3M US L + 3.75%, 02/21/2025   4,631,391    4,653,576 
LD Intermediate Holdings, Inc., First Lien Initial Term Loan, 3M US L + 5.88%, 12/09/2022   5,731,018    5,745,346 
LegalZoom.com, Inc., First Lien 2018 Term Loan, 1M US L + 4.50%, 11/21/2024   5,091,429    5,139,161 
Minotaur Acquisition, Inc., First Lien B Term Loan, 1M US L + 5.00%, 03/27/2026   3,700,339    3,654,085 
Mitchell International, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 11/29/2024   6,065,467    6,028,528 
Mitchell International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 12/01/2025   2,303,030    2,216,667 
National Intergovernmental Purchasing Alliance Co., Second Lien Initial Term Loan, 3M US L  + 7.50%, 05/22/2026(b)   4,200,000    4,137,000 
National Intergovernmental Purchasing Alliance Co., First Lien Initial Term Loan, 3M US L + 3.75%, 05/23/2025   5,515,370    5,531,448 
Polyconcept North America Holdings, Inc., First Lien Closing Date Term Loan, 3M US L + 3.75%, 08/16/2023   1,678,427    1,678,427 
PriceWaterhouseCoopers, Second Lien Initial Term Loan, 1M US L + 8.00%, 05/01/2026(b)   1,200,000    1,182,000 
PriceWaterhouseCoopers, First Lien Initial Term Loan, 1M US L + 4.50%, 05/01/2025   4,867,645    4,840,265 
Project Boost Purchaser LLC, First Lien B Term Loan, 1M US L + 3.50%, 06/01/2026   484,323    487,275 
Revspring, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/11/2025   3,564,000    3,568,455 
Sedgwick Claims Management Services, Inc., First Lien 2019 Term Loan, 1M US L + 4.00%, 09/03/2026   3,166,696    3,199,693 
Sedgwick Claims Management Services, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 12/31/2025   3,941,751    3,949,142 
Surveymonkey, Inc., First Lien Term Loan, 1W US L + 3.75%, 10/10/2025(b)   6,737,673    6,762,940 
ThoughtWorks, Inc., First Lien Replacement Term Loan, 1M US L + 4.00%, 10/11/2024   4,165,549    4,175,962 
TRC Companies, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 06/21/2024   786,901    759,360 
Weld North Education LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 02/15/2025(b)   7,937,874    7,967,641 
         162,909,931 
           
Chemical & Plastics - 3.77%          
Ascend Performance Materials Operations LLC, First Lien Initial Term Loan, 1M US L + 5.25%, 08/27/2026   3,491,250    3,526,162 
Composite Resins Holding B.V., First Lien Initial Term Loan, 3M US L + 4.25%, 08/01/2025   7,092,000    7,127,460 
DCG Acquisition Corp., First Lien B Term Loan, 1W US L + 4.50%, 09/30/2026(b)   3,546,183    3,568,347 
Nouryon Finance B.V., First Lien Initial Dollar Term Loan, 1M US L + 3.25%, 10/01/2025   882,173    884,012 

 

See Notes to Financial Statements.

 
34 www.blackstone-gso.com

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

December 31, 2019

 

  

Principal

Amount

   Value 
Chemical & Plastics (continued)          
Peroxychem LLC, First Lien Initial Term Loan, 6M US L + 5.00%, 10/01/2024(b)  $3,972,093   $3,967,128 
Spectrum Holdings III Corp., First Lien Closing Date Term Loan, 1M US L + 3.25%, 01/31/2025   1,225,062    1,140,330 
Spectrum Holdings III Corp., Second Lien Closing Date Term Loan, 1M US L + 7.00%, 01/31/2026   1,833,333    1,485,000 
Vantage Specialty Chemicals, Inc., First Lien Closing Date Term Loan, 1M US L + 3.50%, 10/28/2024   2,378,505    2,225,888 
Vantage Specialty Chemicals, Inc., Second Lien Initial Term Loan, 3M US L + 8.25%, 10/27/2025(b)   1,995,334    1,740,929 
         25,665,256 
           
Conglomerates - 0.99%          
Genuine Financial Holdings LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 07/11/2025   2,679,783    2,667,229 
Output Services Group, Inc., First Lien B Term Loan, 1M US L + 4.50%, 03/27/2024   1,733,234    1,468,915 
Spring Education Group, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 07/30/2025   2,116,451    2,131,002 
VT Topco, Inc., First Lien Initial Term Loan, 3M US L + 3.75%, 08/01/2025   470,347    469,907 
         6,737,053 
           
Containers & Glass Products - 2.41%          
Charter NEX US, Inc., First Lien Third Amendment Incremental Term Loan, 1M US L + 3.50%, 05/16/2024   644,489    649,725 
Flex Acquisition Co., Inc., First Lien Incremental B-2018 Term Loan, 3M US L + 3.25%, 06/29/2025   3,494,708    3,477,235 
IBC Capital I, Ltd., First Lien Tranche B-1 Term Loan, 3M US L + 3.75%, 09/11/2023   2,947,500    2,954,869 
IBC Capital, Ltd., Second Lien Tranche B-1 Term Loan, 3M US L + 7.00%, 09/11/2024(b)   1,691,209    1,670,069 
ProAmpac PG Borrower LLC, First Lien Initial Term Loan, 3M US L + 3.50%, 11/20/2023   1,704,605    1,683,834 
ProAmpac PG Borrower LLC, Second Lien Initial Term Loan, 3M US L + 8.50%, 11/18/2024(b)   1,464,115    1,409,210 
Strategic Materials Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.75%, 10/31/2025(b)   4,666,667    3,220,000 
Trident TPI Holdings, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.00%, 10/17/2024   1,403,878    1,367,504 
         16,432,446 
           
Diversified Insurance - 0.75%          
Acrisure LLC, First Lien 2018-1 Additional Term Loan, 3M US L + 3.75%, 11/22/2023   1,660,112    1,664,952 
AmWINS Group, Inc., First Lien Term Loan, 1W US L + 6.75%, 01/25/2024   631,529    637,766 
CP VI Bella Midco LLC, First Lien Initial Term Loan, 1M US L + 2.75%, 12/27/2024   1,263,281    1,239,993 
CP VI Bella Midco LLC, Second Lien Initial Term Loan, 1M US L + 6.75%, 12/29/2025   1,178,571    1,167,528 
NFP Corp., First Lien B Term Loan, 1M US L + 3.00%, 01/08/2024   428,371    427,338 
         5,137,577 
           
Drugs - 2.43%          
Albany Molecular Research, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 08/30/2024   1,819,283    1,814,744 
Albany Molecular Research, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 08/30/2025   1,473,214    1,473,214 
Arbor Pharmaceuticals LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 07/05/2023   4,538,206    4,007,236 
Cambrex Corp., First Lien Initial Dollar Term Loan, 3M US L + 5.00%, 12/04/2026   3,660,000    3,657,713 
Packaging Coordinators Midco, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 06/30/2023   5,587,465    5,575,843 
         16,528,750 
           
Ecological Services & Equipment - 0.94%          
Eagle 4, Ltd., Second Lien Initial Term Loan, 3M US L + 7.75%, 07/12/2027   1,885,455    1,885,455 
Emerald 2, Ltd., First Lien Initial B-1 Term Loan, 3M US L + 3.75%, 07/10/2026   1,001,155    1,005,785 
EnergySolutions LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 05/09/2025   2,514,910    2,383,669 

 

See Notes to Financial Statements.

 
Annual Report | December 31, 2019 35

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

December 31, 2019

 

  

Principal 

Amount

   Value 
Ecological Services & Equipment (continued)          
Tunnel Hill Partners LP, First Lien Initial Term Loan, 1M US L + 3.50%, 02/06/2026  $1,106,681   $1,103,915 
         6,378,824 
           
Electronics/Electric - 27.80%          
Boxer Parent Co., Inc., First Lien Initial Dollar Term Loan, 1M US L + 4.25%, 10/02/2025   8,910,000    8,830,033 
Brave Parent Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 04/18/2025   2,369,925    2,327,965 
CommerceHub, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 05/21/2025   3,693,750    3,642,961 
ConvergeOne Holdings, Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 01/04/2026   5,955,000    5,712,542 
CPI International, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 07/28/2025(b)   1,045,752    1,006,536 
Curvature, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 10/30/2023   11,510,854    9,041,776 
DCert Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/16/2026   3,347,561    3,364,299 
DiscoverOrg LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 02/02/2026   4,962,500    4,987,313 
ECi Macola/MAX Holding LLC, First Lien Initial Term Loan, 3M US L + 4.25%, 09/27/2024   2,537,212    2,541,969 
Electronics for Imaging, Inc., First Lien Initial Term Loan, 3M US L + 5.00%, 07/23/2026   3,050,000    2,849,859 
Ellie Mae, Inc., First Lien Term Loan, 3M US L + 4.00%, 04/17/2026   11,401,425    11,494,119 
Excelitas Technologies Corp., First Lien Initial USD Term Loan, 3M US L + 3.50%, 12/02/2024   202,816    202,690 
Flexera Software LLC, Second Lien Initial Term Loan, 1M US L + 7.25%, 02/26/2026   2,299,194    2,304,942 
Gigamon, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 12/27/2024   10,100,966    10,012,583 
Help/Systems Holdings, Inc., First Lien Term Loan, 1M US L + 4.75%, 11/19/2026   3,374,468    3,360,413 
Hyland Software, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 07/07/2025   2,033,772    2,065,550 
Idera, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2024   2,580,143    2,593,057 
Imperva, Inc., Second Lien Term Loan, 3M US L + 7.75%, 01/11/2027   2,674,923    2,350,588 
Imperva, Inc., First Lien Term Loan, 3M US L + 4.00%, 01/12/2026   3,256,364    3,078,892 
Ivanti Software, Inc., Second Lien Term Loan, 1M US L + 9.00%, 01/20/2025   6,000,000    5,917,500 
Ivanti Software, Inc., First Lien Term Loan, 1M US L + 4.25%, 01/20/2024   5,898,578    5,912,706 
LI Group Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 12/20/2026(b)   2,440,000    2,446,100 
MACOM Technology Solutions Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.25%, 05/17/2024   4,465,649    4,281,441 
McAfee LLC, First Lien B USD Term Loan, 1M US L + 3.75%, 09/30/2024   7,611,763    7,654,579 
Merrill Communications LLC, First Lien Initial Term Loan, 3M US L + 5.00%, 10/05/2026   1,830,000    1,848,300 
MH Sub I LLC, First Lien Amendment No. 2 Initial Term Loan, 1M US L + 3.75%, 09/13/2024   2,804,272    2,814,984 
MLN US HoldCo LLC, First Lien B Term Loan, 1M US L + 4.50%, 11/30/2025   4,078,521    3,871,189 
MYOB US Borrower LLC, First Lien Initial U.S. Term Loan, 1M US L + 4.00%, 05/06/2026(b)   2,653,333    2,679,867 
Navex Topco, Inc., Second Lien Initial Term Loan, 1M US L + 7.00%, 09/04/2026   3,000,000    2,974,995 
Navico, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/31/2023   187,105    153,426 
Park Place Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 03/29/2025   4,807,168    4,791,160 
Perforce Software, Inc., First Lien B Term Loan, 1M US L + 4.50%, 07/01/2026   1,456,180    1,458,918 
Project Alpha Intermediate Holding, Inc., First Lien Term Loan, 3M US L + 3.50%, 04/26/2024   2,075,354    2,083,147 
Project Alpha Intermediate Holding, Inc., First Lien 2019 Incremental Term Loan, 3M US L + 4.25%, 04/26/2024   3,618,182    3,655,865 
Project Angel Parent LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/30/2025(b)   3,537,313    3,484,254 
Project Leopard Holdings, Inc., First Lien 2018 Repricing Term Loan, 1M US L + 4.50%, 07/07/2023   2,715,417    2,739,190 
Project Leopard Holdings, Inc., First Lien 2019 Incremental Term Loan, 1M US L + 4.25%, 07/07/2023   1,029,600    1,037,322 
Project Silverback Holdings Corp., First Lien New Term Loan, 3M US L + 3.50%, 08/21/2024   1,982,535    1,701,669 
Quest Software US Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 8.25%, 05/18/2026   8,885,470    8,721,089 
Quest Software US Holdings, Inc., First Lien Initial Term Loan, 3M US L + 4.25%, 05/16/2025   3,274,789    3,254,338 
Rocket Software, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 11/28/2025   5,128,969    5,003,976 
S2P Acquisition Borrower, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 08/14/2026   3,380,417    3,400,141 
SonicWall US Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 05/16/2025   3,590,728    3,511,426 
SonicWall US Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 05/18/2026   4,800,000    4,255,992 
Triton Solar US Acquisition Co., First Lien Initial Term Loan, 1M US L + 6.00%, 10/29/2024   682,489    578,979 
Veritas US, Inc., First Lien New Dollar B Term Loan, 1M US L + 4.50%, 01/27/2023   4,290,441    4,142,721 

 

See Notes to Financial Statements.

 
36 www.blackstone-gso.com

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments

 

December 31, 2019

 

   Principal
Amount
   Value 
Electronics/Electric (continued)          
Vero Parent, Inc., First Lien 2018 Refinancing Term Loan, 3M US L + 6.25%, 08/16/2024  $1,669,014   $1,606,426 
Vero Parent, Inc., First Lien 2019 Incremental Term Loan, 3M US L + 6.00%, 08/16/2024   4,270,000    4,077,850 
Web.com Group, Inc., Second Lien Initial Term Loan, 1M US L + 7.75%, 10/09/2026   2,195,428    2,119,280 
Web.com Group, Inc., First Lien B Term Loan, 1M US L + 3.75%, 10/10/2025   5,452,055    5,455,571 
         189,402,488 
           
Financial Intermediaries - 2.08%          
ASP MCS Acquisition Corp., First Lien Initial Term Loan, 1M US L + 4.75%, 05/20/2024   6,722,695    3,200,003 
ION Trading Technologies S.A.R.L., First Lien 2018 Initial Dollar Term Loan, 3M US L + 4.00%, 11/21/2024   5,452,167    5,234,080 
NorthStar Financial Services Group LLC, First Lien Initial Term Loan, 1M US L + 3.50%, 05/25/2025   4,590,387    4,550,221 
NorthStar Financial Services Group LLC, Second Lien Initial Term Loan, 1M US L + 7.50%, 05/25/2026(b)   1,182,937    1,171,107 
         14,155,411 
           
Food Products - 3.17%          
Alphabet Holding Co., Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/26/2024   5,394,624    5,227,957 
Give & Go Prepared Foods Corp., First Lien 2017 Term Loan, 3M US L + 4.25%, 07/29/2023   3,195,693    3,055,881 
Snacking Investments Bidco Pty Limited, First Lien Term Loan, 3M US L + 4.00%, 10/16/2026   5,382,353    5,399,200 
TKC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 02/01/2023   4,548,674    4,241,638 
TKC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 8.00%, 02/01/2024   4,051,201    3,686,593 
         21,611,269 
           
Food Service - 3.37%          
CEC Entertainment, Inc., First Lien B Term Loan, 1M US L + 6.50%, 08/30/2026   4,859,149    4,681,279 
Flynn Restaurant Group LP, First Lien B Initial Term Loan, 1M US L + 3.50%, 06/27/2025   5,012,535    4,827,697 
Fogo de Chao, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.25%, 04/07/2025(b)   2,295,811    2,310,160 
K-Mac Holdings Corp., Second Lien Initial Term Loan, 1M US L + 6.75%, 03/16/2026   1,715,116    1,671,381 
NPC International, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 04/18/2025   3,424,278    411,821 
Quidditch Acquisition, Inc., First Lien B Term Loan, 1M US L + 7.00%, 03/21/2025(b)   2,950,229    2,979,732 
Tacala Investment Corp., First Lien Initial Term Loan, 1M US L + 3.25%, 01/31/2025   2,129,581    2,141,368 
Tacala Investment Corp., Second Lien Initial Term Loan, 1M US L + 7.75%, 01/30/2026   3,949,483    3,939,609 
         22,963,047 
           
Food/Drug Retailers - 0.91%          
EG Group, Ltd., First Lien Facility B Term Loan, 3M US L + 4.00%, 02/07/2025   682,292    680,944 
EG Group, Ltd., First Lien Additional Facility Term Loan, 3M US L + 4.00%, 02/07/2025   5,566,606    5,555,612 
         6,236,556 
           
Health Insurance - 1.49%          
Achilles Acquisition LLC, First Lien Closing Date Term Loan, 1M US L + 4.00%, 10/13/2025   2,286,720    2,313,875 
FHC Health Systems, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 12/23/2021   7,343,301    7,352,480 
MPH Acquisition Holdings LLC, First Lien Initial Term Loan, 3M US L + 2.75%, 06/07/2023   482,206    476,608 
         10,142,963 
           
Healthcare - 20.52%          
Alvogen Pharma US, Inc., First Lien 2018 Refinancing Term Loan, 1M US L + 4.75%, 04/01/2022   6,160,272    5,294,014 
American Renal Holdings, Inc., First Lien B Term Loan, 1M US L + 3.25%, 06/14/2024   1,216,880    1,159,407 
Auris Luxembourg III S.a r.l., First Lien Facility B2 Term Loan, 1M US L + 3.75%, 02/27/2026   2,061,348    2,075,097 
BioClinica Holding I LP, First Lien Initial Term Loan, 1M US L + 4.25%, 10/20/2023   2,432,956    2,372,899 
BioClinica Holding I LP, Second Lien Initial Term Loan, 1M US L + 8.25%, 10/21/2024   3,157,898    2,952,634 
Carestream Health, Inc., Second Lien Extended Term Loan, 1M US L + 9.50%, 06/07/2021   10,447,039    9,898,569 
Carestream Health, Inc., First Lien Extended Term Loan, 1M US L + 5.50%, 02/28/2021   418,061    412,923 

 

See Notes to Financial Statements.

 
Annual Report | December 31, 2019 37

 

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments
 
  December 31, 2019

 

   Principal
Amount
   Value 
Healthcare (continued)          
Certara Holdco, Inc., First Lien Replacement Term Loan, 3M US L + 3.50%, 08/15/2024(b)  $924,966   $923,809 
Covenant Surgical Partners, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 07/01/2026   3,802,969    3,793,461 
CPI Holdco LLC, First Lien B Term Loan, 3M US L + 4.25%, 11/04/2026(b)   3,660,000    3,676,013 
CT Technologies Intermediate Holdings, Inc., First Lien New Facility Term Loan, 1M US L + 4.25%, 12/01/2021   2,895,262    2,738,918 
Envision Healthcare Corp., First Lien Initial Term Loan, 1M US L + 3.75%, 10/10/2025   6,208,258    5,326,158 
Femur Buyer, Inc., First Lien Initial Term Loan, 3M US L + 4.50%, 03/05/2026(b)   2,016,208    1,970,843 
Greenway Health LLC, First Lien Term Loan, 3M US L + 3.75%, 02/16/2024   3,025,862    2,708,147 
Heartland Dental LLC, First Lien Incremental 2 Facility Term Loan, 1M US L + 4.50%, 04/30/2025   1,422,539    1,411,870 
Heartland Dental LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 04/30/2025   4,972,051    4,961,684 
Immucor, Inc., First Lien B-3 Term Loan, 3M US L + 5.00%, 06/15/2021   1,381,347    1,378,757 
Lanai Holdings II, Inc., First Lien Initial Term Loan, 3M US L + 4.75%, 08/29/2022   3,792,259    3,596,958 
Lifescan Global Corp., First Lien Initial Term Loan, 3M US L + 6.00%, 10/01/2024   7,622,409    7,298,456 
Maravai Intermediate Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 08/02/2025   2,723,589    2,716,780 
Navicure, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 10/22/2026   3,094,203    3,115,476 
Netsmart Technologies, Inc., First Lien D-1 Term Loan, 1M US L + 3.75%, 04/19/2023   9,867,800    9,849,298 
NMSC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 5.00%, 04/19/2023   687,698    685,119 
nThrive, Inc., First Lien Additional B-2 Term Loan, 1M US L + 4.50%, 10/20/2022   6,312,940    5,291,033 
Onex TSG Holdings II Corp., First Lien Initial Term Loan, 1M US L + 4.00%, 07/29/2022   4,966,836    4,639,025 
Ortho-Clinical Diagnostics, Inc., First Lien Second Amendment New Term Loan, 1M US L + 3.25%, 06/30/2025   1,373,955    1,361,074 
Parexel International Corp., First Lien Initial Term Loan, 1M US L + 2.75%, 09/27/2024   4,400,715    4,329,203 
PetVet Care Centers LLC, First Lien 2018 Term Loan, 1M US L + 3.25%, 02/14/2025   1,781,955    1,768,590 
PetVet Care Centers LLC, First Lien Initial Term Loan, 1M US L + 2.75%, 02/14/2025   2,036,485    2,015,174 
Phoenix Guarantor, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 03/05/2026   8,555,732    8,614,639 
Project Ruby Ultimate Parent Corp., First Lien New Term Loan, 1M US L + 3.50%, 02/09/2024   2,581,363    2,566,301 
Regionalcare Hospital Partners Holdings, Inc., First Lien B Term Loan, 1M US L + 4.50%, 11/16/2025   4,868,803    4,914,448 
Sunshine Luxembourg VII SARL, First Lien Facility B1 Term Loan, 3M US L + 4.25%, 10/01/2026   1,506,173    1,522,440 
Surgery Center Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 09/02/2024   378,977    378,109 
Team Health Holdings, Inc., First Lien Initial Term Loan, 1M US L + 2.75%, 02/06/2024   987,310    804,040 
U.S. Anesthesia Partners, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 06/23/2024   2,003,465    2,000,961 
Verscend Holding Corp., First Lien B Term Loan, 1M US L + 4.50%, 08/27/2025   3,703,125    3,737,064 
Vyaire Medical, Inc., First Lien Term Loan, 3M US L + 4.75%, 04/16/2025   8,865,000    7,712,550 
YI LLC, First Lien Initial Term Loan, 3M US L + 4.00%, 11/07/2024   3,975,411    3,723,628 
Zest Acquisition Corp., Second Lien Initial Term Loan, 1M US L + 7.50%, 03/13/2026(b)   4,357,143    4,106,607 
         139,802,176 
           
Home Furnishings - 1.51%          
AI Aqua Merger Sub, Inc., First Lien Tranche B-1 Term Loan, 1M US L + 3.25%, 12/13/2023   671,137    653,798 
AI Aqua Merger Sub, Inc., First Lien 2017 Incremental Term Loan, 1M US L + 3.25%, 12/13/2023   181,226    176,469 
AI Aqua Merger Sub, Inc., First Lien Fifth Amendment Incremental Term Loan, 3M US L + 4.25%, 12/13/2023   4,500,000    4,432,500 
Hayward Industries, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/05/2024   350,607    348,854 
Prime Security Services Borrower LLC, First Lien 2019 Refinancing B-1 Term Loan, 1M US L + 3.25%, 09/23/2026   3,221,925    3,235,827 
Serta Simmons Bedding LLC, Second Lien Initial Term Loan, 1M US L + 8.00%, 11/08/2024   4,786,804    1,475,939 
         10,323,387 
           
Industrial Equipment - 4.22%          
Apex Tool Group LLC, First Lien Third Amendment Term Loan, 1M US L + 5.50%, 08/01/2024   5,118,717    5,061,925 

 

See Notes to Financial Statements.  
 
38 www.blackstone-gso.com

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments
 
  December 31, 2019

 

   Principal
Amount
   Value 
Industrial Equipment (continued)          
Engineered Machinery Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.00%, 07/19/2024  $4,370,800   $4,335,287 
Justrite Safety Group, First Lien Initial Term Loan, 1M US L + 4.50%, 06/28/2026(b)   2,740,951    2,638,165 
Justrite Safety Group, First Lien Delayed Draw Term Loan, 3M US L + 4.50%, 06/28/2026(b)(c)   148,150    142,595 
LTI Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 09/06/2025   2,430,383    2,197,759 
LTI Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 09/06/2026   1,276,596    976,596 
Robertshaw US Holding Corp., First Lien Initial Term Loan, 1M US L + 3.25%, 02/28/2025(b)   3,764,652    3,444,657 
Tailwind Smith Cooper Intermediate Corp., First Lien Initial Term Loan, 1M US L + 5.00%, 05/28/2026   2,743,125    2,633,400 
Titan Acquisition, Ltd., First Lien Initial Term Loan, 1M US L + 3.00%, 03/28/2025   7,399,377    7,294,972 
         28,725,356 
           
Insurance - 1.39%          
APCO Holdings LLC, First Lien Initial Term Loan, 1M US L + 5.50%, 06/09/2025(b)   4,261,520    4,240,213 
Cypress Intermediate Holdings III, Inc., Second Lien Initial Term Loan, 1M US L + 6.75%, 04/28/2025   2,790,698    2,808,837 
Outcomes Group Holdings, Inc., Second Lien Term Loan, 3M US L + 7.50%, 10/26/2026(b)   1,153,846    1,148,077 
Outcomes Group Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 10/24/2025   1,296,000    1,277,635 
         9,474,762 
           
Leisure Goods/Activities/Movies - 1.44%          
Thunder Finco Pty, Ltd., First Lien Term Loan, 3M US L + 4.75%, 11/20/2026(b)   3,050,000    3,050,000 
Travelport Finance S.à r.l., First Lien Initial Term Loan, 3M US L + 5.00%, 05/29/2026   7,182,000    6,736,716 
         9,786,716 
           
Lodging & Casinos - 0.96%          
Aimbridge Acquisition Co., Inc., First Lien Initial (2019) Term Loan, 1M US L + 3.75%, 02/02/2026(b)   2,028,250    2,048,533 
Casablanca US Holdings, Inc., First Lien Amendment No. 2 Initial Term Loan, 3M US L + 4.00%, 03/29/2024   4,716,000    4,488,052 
         6,536,585 
           
Nonferrous Metals/Minerals - 1.22%          
Aleris International, Inc., First Lien Initial Term Loan, 1M US L + 4.75%, 02/27/2023   4,755,172    4,767,060 
American Rock Salt Co. LLC, First Lien Initial Term Loan, 1M US L + 3.75%, 03/21/2025(b)   2,869,777    2,891,301 
Murray Energy Corp., First Lien Superpriority B-2 Term Loan, 3M US L + 7.25%, 10/17/2022(d)   2,903,567    635,562 
         8,293,923 
           
Oil & Gas - 2.90%          
Ascent Resources - Marcellus LLC, First Lien Initial Term Loan, 1M US L + 6.50%, 03/30/2023   1,234,568    1,154,321 
BCP Raptor II LLC, First Lien Initial Term Loan, 2M US L + 4.75%, 11/03/2025   1,106,772    1,025,607 
Equitrans Midstream Corp., First Lien Holdco B Facility Term Loan, 1M US L + 4.50%, 01/31/2024   2,006,757    2,002,161 
Lower Cadence Holdings LLC, First Lien Initial Term Loan, 1M US L + 4.00%, 05/22/2026   4,249,328    4,214,823 
Lucid Energy Group II Borrower LLC, First Lien Initial Term Loan, 1M US L + 3.00%, 02/17/2025   4,420,685    4,111,237 
Petroleum GEO-Services ASA, First Lien Extended Term Loan, 3M US L + 2.50%, 03/19/2021   3,364,519    3,203,022 
Sheridan Investment Partners I LLC, First Lien Tranche B-2 Term Loan, 3M US L + 3.50%, 10/01/2019(d)   3,043,366    1,871,670 
Sheridan Production Partners I LLC, First Lien Deferred Principal Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d)   15,933    9,799 
Sheridan Production Partners I LLC, First Lien M Deferred Principal TL Term Loan, 3M US L +          
0.00%, 10/01/2019(b)(d)   9,732    5,985 
Sheridan Production Partners I LLC, First Lien Deferred Principal TL Term Loan, 3M US L + 0.00%, 10/01/2019(b)(d)   120,242    73,949 

 

See Notes to Financial Statements.  
 
Annual Report | December 31, 2019 39

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments
 
  December 31, 2019

 

   Principal
Amount
   Value 
Oil & Gas (continued)          
Sheridan Production Partners I-A LP, First Lien Tranche B-2 Term Loan, 1M US L + 3.50%, 10/01/2019(d)  $403,271   $248,012 
Sheridan Production Partners I-M LP, First Lien Tranche B-2 Term Loan, 1M US L + 3.50%, 10/01/2019(d)   246,320    151,487 
Utex Industries, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 05/20/2022   3,181,818    1,657,377 
         19,729,450 
           
Property & Casualty Insurance - 1.60%          
Applied Systems, Inc., Second Lien Initial Term Loan, 3M US L + 7.00%, 09/19/2025   303,030    309,723 
Asurion LLC, Second Lien Replacement B-2 Term Loan, 1M US L + 6.50%, 08/04/2025   9,089,314    9,222,245 
Confie Seguros Holding II Co., First Lien B Term Loan, 3M US L + 4.75%, 04/19/2022   1,387,293    1,350,883 
         10,882,851 
           
Publishing - 2.45%          
Ancestry.com Operations, Inc., First Lien Extended Term Loan, 1M US L + 4.25%, 08/27/2026   3,127,499    3,083,526 
Champ Acquisition Corp., First Lien Initial Term Loan, 3M US L + 5.50%, 12/19/2025   4,399,254    4,401,102 
Recorded Books, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 08/29/2025(b)   2,598,684    2,614,926 
Shutterfly, Inc., First Lien B Term Loan, 3M US L + 6.00%, 09/25/2026   4,880,000    4,609,550 
Southern Graphics, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 12/31/2023   4,500,000    1,242,000 
Southern Graphics, Inc., First Lien Refinancing Term Loan, 1M US L + 3.25%, 12/31/2022   1,213,353    759,322 
         16,710,426 
           
Radio & Television - 1.01%          
iHeartCommunications, Inc., First Lien Initial Term Loan, 1M US L + 4.00%, 05/01/2026   322,739    325,899 
Terrier Media Buyer, Inc., First Lien B Term Loan, 3M US L + 4.25%, 12/12/2026   6,027,668    6,095,509 
William Morris Endeavor Entertainment LLC, First Lien B-1 Term Loan, 1M US L + 2.75%, 05/18/2025   494,762    493,320 
         6,914,728 
           
Retailers (except food & drug) - 1.21%          
Ascena Retail Group, Inc., First Lien Tranche B Term Loan, 1M US L + 4.50%, 08/21/2022   2,746,719    1,881,503 
FBB Holdings III, Inc., First Lien Initial Term Loan, 3M US L + 9.00%, 02/07/2024(b)   554,161    263,227 
FBB Holdings III, Inc., Second Lien Initial Term Loan, 3M US L + 7.00%, 01/31/2025(b)(e)   194,899    18,515 
Petco Animal Supplies, Inc., First Lien Term Loan, 3M US L + 3.25%, 01/26/2023   1,549,269    1,323,657 
Pier 1 Imports , Inc., First Lien Initial Term Loan, 3M US L + 3.50%, 04/30/2021   1,968,750    511,875 
Spencer Spirit IH LLC, First Lien Initial Term Loan, 1M US L + 6.00%, 06/19/2026   4,259,325    4,226,060 
Sports Authority, Inc., First Lien B Term Loan, 3M US L + 6.00%, 11/16/2019(b)(d)   2,065,632    4,131 
         8,228,968 
           
Steel - 0.90%          
Can Am Construction, Inc., First Lien Closing Date Term Loan, 1M US L + 5.00%, 07/01/2024(b)   4,977,155    4,977,155 
Phoenix Services International LLC, First Lien B Term Loan, 1M US L + 3.75%, 03/01/2025   1,193,036    1,128,409 
         6,105,564 
           
Surface Transport - 1.19%          
Drive Chassis Holdco LLC, Second Lien B Term Loan, 3M US L + 8.25%, 04/10/2026(b)   6,000,000    5,535,000 
SMB Shipping Logistics LLC, First Lien Term Loan, 3M US L + 4.00%, 02/05/2024   2,552,698    2,552,711 
         8,087,711 
           
Telecommunications - 3.86%          
Alorica, Inc., First Lien New B Term Loan, 1M US L + 4.25%, 06/30/2022   2,697,303    2,338,561 
Avaya, Inc., First Lien Tranche B Term Loan, 1M US L + 4.25%, 12/15/2024   6,694,497    6,589,058 
Aventiv Technologies LLC, First Lien Initial Term Loan, 1M US L + 4.50%, 11/01/2024   455,485    341,307 
Cyxtera DC Holdings, Inc., Second Lien Initial Term Loan, 1M US L + 7.25%, 05/01/2025   902,256    560,400 

 

See Notes to Financial Statements.  
 
40 www.blackstone-gso.com

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments
 
  December 31, 2019

 

   Principal
Amount
   Value 
Telecommunications (continued)          
Ensono LP, First Lien Term Loan, 1M US L + 5.25%, 06/27/2025  $3,352,051   $3,361,822 
Masergy Holdings, Inc., Second Lien Initial Term Loan, 3M US L + 7.50%, 12/16/2024   1,766,917    1,731,579 
Masergy Holdings, Inc., First Lien 2017 Replacement Term Loan, 3M US L + 3.25%, 12/15/2023   1,810,253    1,788,376 
Peak 10 Holding Corp., First Lien Initial Term Loan, 3M US L + 3.50%, 08/01/2024   3,554,545    2,973,751 
Peak 10 Holding Corp., Second Lien Initial Term Loan, 3M US L + 7.25%, 08/01/2025   3,857,143    2,442,864 
Vertiv Group Corp., First Lien B Term Loan, 1M US L + 4.00%, 11/30/2023   4,201,217    4,201,217 
         26,328,935 
           
Utilities - 2.80%          
Brookfield WEC Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 08/01/2025   5,464,539    5,510,633 
Granite Acquisition, Inc., Second Lien B Term Loan, 3M US L + 7.25%, 12/19/2022   5,742,624    5,761,747 
Green Energy Partners/Stonewall LLC, First Lien B-1 Conversion Advances Term Loan, 3M US L + 5.50%, 11/13/2021   1,564,978    1,457,941 
Moxie Patriot LLC, First Lien Construction B-1 Advances Term Loan, 3M US L + 5.75%, 12/19/2020   425,793    379,488 
Panda Liberty LLC, First Lien Construction B-1 Advance Term Loan, 3M US L + 6.50%, 08/21/2020   6,674,384    5,962,427 
         19,072,236 
           
TOTAL FLOATING RATE LOAN INTERESTS          
(Cost $971,449,990)        932,964,276 
           
CORPORATE BONDS - 19.86%          
Automotive - 0.20%          
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. 7.875%, 10/01/2022(f)   1,500,000    1,372,968 
           
Building & Development - 3.59%          
Great Lakes Dredge & Dock Corp. 8.000%, 05/15/2022   4,874,000    5,167,961 
Hillman Group, Inc. 6.375%, 07/15/2022(f)   1,300,000    1,212,655 
Installed Building Products, Inc. 5.750%, 02/01/2028(f)   900,000    964,438 
Northwest Hardwoods, Inc. 7.500%, 08/01/2021(f)   3,211,000    1,637,610 
NWH Escrow Corp. 7.500%, 08/01/2021(f)   4,918,000    2,508,180 
PriSo Acquisition Corp. 9.000%, 05/15/2023(f)   13,060,000    12,994,700 
         24,485,544 
           
Chemical & Plastics - 0.55%          
Pinnacle Operating Corp. 9.000%, 11/15/2020(f)   2,000,000    2,000,000 
Starfruit Finco BV / Starfruit US Holdco LLC 8.000%, 10/01/2026(f)   1,621,000    1,722,353 
         3,722,353 
           
Containers & Glass Products - 1.18%          
ARD Finance SA 6.500%, 06/30/2027(e)(f)   2,400,000    2,485,920 
Flex Acquisition Co., Inc. 6.875%, 01/15/2025(f)   1,192,000    1,203,908 
Trident TPI Holdings, Inc. 6.625%, 11/01/2025(f)   4,800,000    4,333,992 
         8,023,820 
           
Diversified Insurance - 1.06%          
AmWINS Group, Inc. 7.750%, 07/01/2026(f)   663,000    734,589 
HUB International, Ltd. 7.000%, 05/01/2026(f)   1,281,000    1,357,892 
NFP Corp. 6.875%, 07/15/2025(f)   5,084,000    5,109,369 
         7,201,850 

 

See Notes to Financial Statements.  
 
Annual Report | December 31, 2019 41

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments
 
  December 31, 2019

 

   Principal
Amount
   Value 
Drugs - 0.93%          
Avantor, Inc. 9.000%, 10/01/2025(f)  $5,667,000   $6,344,858 
           
Ecological Services & Equipment - 1.10%          
GFL Environmental, Inc.:          
5.375%, 03/01/2023(f)   2,884,000    2,977,730 
7.000%, 06/01/2026(f)   2,829,000    2,996,611 
8.500%, 05/01/2027(f)   1,398,000    1,540,386 
         7,514,727 
           
Electronics/Electric - 2.21%          
Banff Merger Sub, Inc. 9.750%, 09/01/2026(f)   2,816,000    2,858,310 
Global A&T Electronics, Ltd. 8.500%, 01/12/2023   5,455,007    5,040,336 
Rackspace Hosting, Inc. 8.625%, 11/15/2024(f)   2,724,000    2,669,520 
Riverbed Technology, Inc. 8.875%, 03/01/2023(f)   7,723,000    4,479,340 
         15,047,506 
           
Equipment Leasing - 0.16%          
Fly Leasing, Ltd. 6.375%, 10/15/2021   1,100,000    1,122,687 
           
Food/Drug Retailers - 0.31%          
eG Global Finance PLC 6.750%, 02/07/2025(f)   2,113,000    2,149,101 
           
Healthcare - 1.80%          
Envision Healthcare Corp. 8.750%, 10/15/2026(f)   6,250,000    3,892,797 
Team Health Holdings, Inc. 6.375%, 02/01/2025(f)   3,500,000    2,346,453 
Tenet Healthcare Corp. 7.000%, 08/01/2025   5,714,000    6,047,326 
         12,286,576 
           
Leisure Goods/Activities/Movies - 0.85%          
Mood Media Borrower LLC / Mood Media Co.-Issuer, Inc. 0.000%, 12/31/2023(b)(e)(f)   6,831,758    5,789,915 
           
Oil & Gas - 1.38%          
Calumet Specialty Products Partners LP / Calumet Finance Corp. 7.750%, 04/15/2023   6,600,000    6,602,739 
CSI Compressco LP / CSI Compressco Finance, Inc. 7.250%, 08/15/2022   800,000    738,250 
Talos Production LLC / Talos Production Finance, Inc. 11.000%, 04/03/2022   2,000,000    2,050,624 
         9,391,613 
           
Property & Casualty Insurance - 1.68%          
AssuredPartners, Inc. 7.000%, 08/15/2025(f)   4,545,000    4,634,491 
GTCR AP Finance, Inc. 8.000%, 05/15/2027(f)   955,000    995,920 
Solera LLC / Solera Finance, Inc. 10.500%, 03/01/2024(f)   5,450,000    5,794,140 
         11,424,551 
           
Publishing - 0.55%          
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance 7.875%, 05/15/2024(f)   4,320,000    3,727,793 
           
Radio & Television - 0.28%          
Entercom Media Corp. 6.500%, 05/01/2027(f)   336,000    360,477 
Univision Communications, Inc. 5.125%, 02/15/2025(f)   1,536,000    1,522,560 
         1,883,037 
           
Telecommunications - 2.03%          
Connect Finco SARL / Connect US Finco LLC 6.750%, 10/01/2026(f)   4,714,000    5,026,302 

 

See Notes to Financial Statements.  
 
42 www.blackstone-gso.com

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments
 

  December 31, 2019

 

   Principal
Amount
   Value 
Telecommunications (continued)          
Digicel, Ltd. 6.000%, 04/15/2021(f)  $2,250,000   $1,761,547 
Frontier Communications Corp.:          
10.500%, 09/15/2022   750,000    367,734 
7.125%, 01/15/2023   4,000,000    1,960,000 
Sprint Communications, Inc. 6.000%, 11/15/2022   3,450,000    3,624,329 
Vertiv Group Corp. 9.250%, 10/15/2024(f)   1,022,000    1,100,781 
         13,840,693 
           
TOTAL CORPORATE BONDS          
(Cost $146,096,299)        135,329,592 

 

   Shares     
COMMON STOCK - 1.88%          
Building & Development - 0.21%          
Baan Rock Garden PCL(b)(g)   164,832     
Dayton Superior LLC(b)(g)   15,747    1,417,192 
         1,417,192 
           
Business Equipment & Services - 0.14%          
Expanse Energy(b)(g)   169,664    933,152 
           
Leisure Goods/Activities/Movies - 0.12%          
Mood Media Corp.(b)(g)   3,709,356    778,965 
           
Oil & Gas - 1.41%          
Ascent Resources - Equity(g)   886,921    1,496,680 
Ridgeback Resources Inc.(b)(g)   1,201,345    6,605,524 
SandRidge Energy, Inc.(g)   135,154    573,053 
Templar Energy LLC(b)(g)   197,643     
Titan Energy LLC(g)   29,318    853 
Total Safety Holdings, LLC(g)   2,951    959,075 
         9,635,185 
           
TOTAL COMMON STOCK          
(Cost $43,553,468)        12,764,494 
           
PREFERRED STOCK - 0.00%          
Oil & Gas - 0.00%          
Templar Energy LLC(b)(g)   131,013     
           
TOTAL PREFERRED STOCK          
(Cost $1,310,126)         
           
WARRANTS - 0.00%(h)          
Oil & Gas - 0.00%          
Ascent Resources Marcellus LLC expires 3/30/2023 at $6.15(b)   229,630    6,889 
           
TOTAL WARRANTS          
(Cost $25,062)        6,889 

 

See Notes to Financial Statements.  
 
Annual Report | December 31, 2019 43

 

Blackstone / GSO Strategic Credit Fund Portfolio of Investments
 
  December 31, 2019

 

   Value 
Total Investments - 158.67%     
(Cost $1,162,434,945)  $1,081,065,251 
      
Other Assets in Excess of Liabilities - 0.31%   2,033,483 
      
Mandatory Redeemable Preferred Shares - (6.65)%     
(liquidation preference plus distributions payable on term preferred shares)   (45,286,937)
      
Leverage Facility - (52.33)%   (356,500,000)
      
Net Assets - 100.00%  $681,311,797 

 

Amounts above are shown as a percentage of net assets as of December 31, 2019.

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

 

Libor Rates:  

1M US L - 1 Month LIBOR as of December 31, 2019 was 1.76% 

1W US L - 1 Week LIBOR as of December 31, 2019 was 1.63% 

2M US L - 2 Month LIBOR as of December 31, 2019 was 1.83% 

3M US L - 3 Month LIBOR as of December 31, 2019 was 1.91% 

6M US L - 6 Month LIBOR as of December 31, 2019 was 1.91%

 

(a)  Floating or variable rate security. The reference rate is described above. The rate in effect as of December 31, 2019 is based on the reference rate plus the displayed spread as of the security's last reset date.
(b)  Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
(c)  A portion of this position was not funded as of December 31, 2019. The Portfolio of Investments records only the funded portion of each position. As of December 31, 2019, the Fund has unfunded delayed draw loans in the amount of $1,646,890. Fair value of these unfunded delayed draws was $1,639,722.
(d)  Security is in default as of period end and is therefore non-income producing.
(e)  Option to convert to pay-in-kind security.
(f)  Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $102,607,606, which represented approximately 15.06% of net assets as of December 31, 2019. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(g)  Non-income producing security.
(h)  Amount represents less than 0.005% of net assets.

 

See Notes to Financial Statements.  
 
44 www.blackstone-gso.com

 

Blackstone / GSO Funds Statements of Assets and Liabilities
 

December 31, 2019

 

   Senior Floating Rate
Term Fund
   Long-Short Credit
Income Fund
   Strategic Credit
Fund
 
ASSETS:            
Investments, at fair value (Cost $392,167,134, $345,236,806 and $1,162,434,945, respectively)  $371,254,665   $328,049,242   $1,081,065,251 
Cash   8,534,490    6,334,315    18,187,654 
Receivable for investment securities sold   5,471,770    3,310,615    12,077,012 
Interest receivable   1,409,195    1,667,190    6,143,620 
Receivable for dividend reinvest   28,737    12,899     
Prepaid expenses and other assets   31,114    29,759    44,697 
Total Assets   386,729,971    339,404,020    1,117,518,234 
                
LIABILITIES:               
Payable for investment securities purchased   9,176,613    8,487,084    27,105,171 
Leverage facility   123,500,000    108,000,000    356,500,000 
Interest due on leverage facility   670,805    367,903    577,404 
Distributions payable to common shareholders   1,864,696    2,071,078    5,359,726 
Accrued investment advisory fee payable   285,399    203,589    916,792 
Accrued fund accounting and administration fees payable   85,566    73,075    253,696 
Accrued trustees' fees payable   23,211    18,418    62,867 
Other payables and accrued expenses   276,153    201,081    432,094 
Mandatory redeemable preferred shares (net of deferred financing costs of: –, $(128,111) and $(288,250), respectively)(a)       19,871,889    44,711,750 
Distributions payable on mandatory redeemable preferred shares       127,527    286,937 
Total Liabilities   135,882,443    139,421,644    436,206,437 
Net Assets Attributable to Common Shareholders  $250,847,528   $199,982,376   $681,311,797 
                
COMPOSITION OF NET ASSETS ATTRIBUTABLE TO COMMON SHARES:               
Paid-in capital  $286,827,387   $236,861,304   $839,684,217 
Total distributable earnings   (35,979,859)   (36,878,928)   (158,372,420)
Net Assets Attributable to Common Shareholders  $250,847,528   $199,982,376   $681,311,797 
                
Common shares outstanding (unlimited shares authorized, par value $0.001 per share)   15,286,182    12,706,839    44,664,382 
Net Asset Value per Common Share  $16.41   $15.74   $15.25 

 

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

 

See Notes to Financial Statements.

 
Annual Report | December 31, 2019 45

 

 

Blackstone / GSO Funds Statements of Operations

 

For the Year Ended December 31, 2019

 

   Senior Floating Rate
Term Fund
   Long-Short Credit
Income Fund
   Strategic Credit
Fund
 
INVESTMENT INCOME:               
Interest  $28,786,359   $26,165,009   $87,205,296 
Facility and other fees   185,679    165,705    498,112 
Total Investment Income   28,972,038    26,330,714    87,703,408 
                
EXPENSES:               
Investment advisory fee   3,423,353    2,430,110    11,026,587 
Fund accounting and administration fees   382,644    297,444    1,218,996 
Insurance expense   93,324    99,601    57,010 
Legal and audit fees   366,146    231,961    565,341 
Custodian fees   99,735    59,651    191,785 
Trustees' fees and expenses   96,535    75,777    254,602 
Printing expense   34,988    26,308    63,063 
Transfer agent fees   18,558    30,616    28,055 
Interest on leverage facility   4,351,609    3,727,288    12,315,647 
Amortization of deferred financing costs       35,887    80,745 
Other expenses   157,168    56,252    78,414 
Distributions to mandatory redeemable preferred shares       727,970    1,637,931 
Total Expenses   9,024,060    7,798,865    27,518,176 
Net Investment Income   19,947,978    18,531,849    60,185,232 
                
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:               
Net realized gain/(loss) on:               
Investment securities   (2,062,142)   (592,820)   (4,373,097)
Net realized loss:   (2,062,142)   (592,820)   (4,373,097)
Change in unrealized appreciation/depreciation on:               
Investment securities   1,158,024    2,157,068    1,638,151 
Net unrealized gain:   1,158,024    2,157,068    1,638,151 
Net Realized and Unrealized Gain/(Loss) on Investments   (904,118)   1,564,248    (2,734,946)
                
Net Increase in Net Assets Attributable to Common Shares from Operations  $19,043,860   $20,096,097   $57,450,286 

 

See Notes to Financial Statements.

 

46 www.blackstone-gso.com

 

 

Blackstone / GSO Funds Statements of Changes in Net Assets

 

 

   Senior Floating Rate
Term Fund
   Long-Short Credit
Income Fund
   Strategic Credit
Fund
 
  

For the

Year Ended

December 31,

2019

  

For the

Year Ended

December 31,

2018

  

For the

Year Ended

December 31,

2019

  

For the

Year Ended

December 31,

2018

  

For the

Year Ended

December 31,

2019

  

For the

Year Ended

December 31,

2018

 
FROM OPERATIONS:                              
Net investment income(a)  $19,947,978   $20,209,373   $18,531,849   $18,571,028   $60,185,232   $61,697,251 
Net realized loss   (2,062,142)   (5,114,704)   (592,820)   (2,688,443)   (4,373,097)   (20,276,387)
Change in unrealized appreciation/depreciation   1,158,024    (10,111,102)   2,157,068    (14,061,219)   1,638,151    (45,020,486)
Net Increase/(Decrease) in Net Assets Attributable to Common Shares from Operations   19,043,860    4,983,567    20,096,097    1,821,366    57,450,286    (3,599,622)
                               
DISTRIBUTIONS TO COMMON SHAREHOLDERS:                              
From distributable earnings   (20,120,070)   (21,551,497)   (18,585,586)   (20,488,583)   (59,716,278)   (67,264,559)
Net Decrease in Net Assets from Distributions to Common Shareholders   (20,120,070)   (21,551,497)   (18,585,586)   (20,488,583)   (59,716,278)   (67,264,559)
                               
Net asset value of common shares issued to  shareholders from reinvestment of dividends   279,180    309,392    72,417             
Net Increase from Capital Share Transactions   279,180    309,392    72,417             
Net Increase/(Decrease) in Net Assets Attributable to Common Shares   (797,030)   (16,258,538)   1,582,928    (18,667,217)   (2,265,992)   (70,864,181)
                               
NET ASSETS ATTRIBUTABLE TO COMMON SHAREHOLDERS:                              
Beginning of period   251,644,558    267,903,096    198,399,448    217,066,665    683,577,789    754,441,970 
End of period  $250,847,528   $251,644,558   $199,982,376   $198,399,448   $681,311,797   $683,577,789 

 

(a) Includes impact of distributions to preferred shareholders from net investment income. Distributions on the Fund's mandatory redeemable preferred stock ("MRPS") are treated as an operating expense under GAAP and are included in the calculation of net investment income. See Note 9 - Leverage. The Long-Short Credit Income Fund and the Strategic Credit Fund recorded distributions of $727,970 and $1,637,931, respectively, to holders of MRPS for the fiscal year ended December 31, 2019. For the fiscal year ended December 31, 2018, the Long-Short Credit Income Fund and the Strategic Credit Fund recorded distributions of $722,671 and $1,626,010, respectively, to holders of MRPS. See Note 10 for details on tax characterization of distributions.

 

See Notes to Financial Statements.

 
Annual Report | December 31, 2019 47

 

 

Blackstone / GSO Funds Statements of Cash Flows

 

For the Year Ended December 31, 2019

 

   Senior Floating Rate
Term Fund
   Long-Short Credit
Income Fund
   Strategic Credit
Fund
 
CASH FLOWS FROM OPERATING ACTIVITIES:               
Net increase in net assets from operations  $19,043,860   $20,096,097   $57,450,286 
Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash provided by (used in) operating activities:            
Purchases of investment securities   (156,606,266)   (135,986,492)   (467,682,998)
Proceeds from disposition of investment securities   163,523,571    139,767,629    478,303,567 
Discounts (accreted)/premiums amortized   (889,290)   (658,249)   (2,582,863)
Net realized (gain)/loss on:               
Investment securities   2,062,142    592,820    4,373,097 
Net change in unrealized (appreciation)/depreciation on:               
Investment securities   (1,158,024)   (2,157,068)   (1,638,151)
Amortization of deferred financing costs       35,887    80,745 
(Increase)/Decrease in assets:               
Interest receivable   143,920    306,078    471,617 
Prepaid expenses and other assets   134,889    16,148    (44,566)
Increase/(Decrease) in liabilities:               
Distributions payable on mandatory redeemable preferred shares       5,969    13,432 
Interest due on loan facility   300,863    196,516    (195,556)
Accrued investment advisory fees payable   (13,334)   (8,804)   (50,231)
Accrued fund accounting and administration expense   24,147    28,691    58,449 
Accrued trustees' fees payable   3,182    2,378    (960)
Other payables and accrued expenses   (11,244)   (120,114)   (132,347)
Net Cash Provided by (Used in) Operating Activities   26,558,416    22,117,486    68,423,521 
                
CASH FLOWS FROM FINANCING ACTIVITIES:               
Proceeds from leverage facility   5,500,000    7,000,000    20,500,000 
Payments on leverage facility   (6,000,000)   (6,500,000)   (25,500,000)
Distributions paid - common shareholders - net of distributions reinvested   (23,120,082)   (22,374,196)   (69,810,428)
Net Cash Provided by (Used in) Financing Activities   (23,620,082)   (21,874,196)   (74,810,428)
                
Net Increase/(Decrease) in Cash   2,938,334    243,290    (6,386,907)
Cash, beginning balance  $5,596,156   $6,091,025   $24,574,561 
Cash, ending balance  $8,534,490   $6,334,315   $18,187,654 
                
Supplemental disclosure of cash flow information:               
Cash paid on interest on leverage facility  $4,050,746   $3,530,772   $12,511,203 
                
Reinvestment of distributions  $279,180   $72,417     

 

See Notes to Financial Statements.

 

48 www.blackstone-gso.com

 

 

Blackstone / GSO Senior Floating Rate Term Fund Financial Highlights

 

For a Share Outstanding Throughout the Periods Indicated

 

  

For the

Year Ended

December 31,
2019

  

For the

Year Ended

December 31,
2018

  

For the

Year Ended

December 31,
2017

  

For the

Year Ended

December 31,
2016

  

For the

Year Ended

December 31,
2015

 
PER COMMON SHARE OPERATING PERFORMANCE:                    
Net asset value - beginning of period  $16.48   $17.57   $17.61   $15.96   $18.08 
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                         
Net investment income(a)   1.31    1.32    1.26    1.24    1.22 
Net realized and unrealized gain/(loss) on investments   (0.06)   (1.00)   (0.14)   1.57    (2.17)
Total Income/(Loss) from Investment Operations   1.25    0.32    1.12    2.81    (0.95)
                          
DISTRIBUTIONS TO COMMON SHAREHOLDERS:                         
From net investment income   (1.32)   (1.41)   (1.16)   (1.16)   (1.17)
Total Distributions to Common Shareholders   (1.32)   (1.41)   (1.16)   (1.16)   (1.17)
                          
Net asset value per common share - end of period  $16.41   $16.48   $17.57   $17.61   $15.96 
Market price per common share - end of period  $16.15   $15.33   $18.00   $18.08   $14.85 
                          
Total Investment Return - Net Asset Value(b)   7.92%   1.88%   6.67%   18.44%   (5.19%)
Total Investment Return - Market Price(b)   14.17%   (7.49%)   6.44%   30.70%   (4.72%)
                          
RATIOS AND SUPPLEMENTAL DATA:                         
Net assets attributable to common shares, end of period (000s)  $250,848   $251,645   $267,903   $268,153   $242,874 
Ratio of expenses to average net assets attributable to common shares   3.54%   3.35%   3.01%   2.59%   2.48%
Ratio of net investment income to average net assets attributable to common shares   7.82%   7.49%   7.11%   7.48%   6.84%
Ratio of expenses to average managed assets(c)   2.37%   2.25%   2.02%   1.74%   1.67%
Portfolio turnover rate   40%   88%   135%   99%   65%
                          
LEVERAGE FACILITY:                         
Aggregate principal amount, end of period (000s)  $123,500   $124,000   $132,000   $131,000   $119,500 
Average borrowings outstanding during the period (000s)  $125,408   $132,067   $132,323   $122,782   $132,372 
Asset coverage, end of period per $1,000(d)  $3,031   $3,029   $3,030   $3,047   $3,032 

 

(a) Calculated using average common shares outstanding.

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

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

(d) Calculated by subtracting the Fund's total liabilities (excluding the principal amount of the Leverage Facility) from the Fund's total assets and dividing by the principal amount of the Leverage Facility and then multiplying by $1,000.

 

See Notes to Financial Statements.

 

Annual Report | December 31, 2019 49

 

 

Blackstone / GSO Long-Short Credit Income Fund Financial Highlights

 

For a Share Outstanding Throughout the Periods Indicated

 

  

For the

Year Ended

December 31,
2019

  

For the

Year Ended

December 31,
2018

  

For the

Year Ended

December 31,
2017

  

For the

Year Ended

December 31,
2016

  

For the

Year Ended

December 31,
2015

 
PER COMMON SHARE OPERATING PERFORMANCE:                    
Net asset value - beginning of period  $15.62   $17.09   $16.94   $15.37   $17.82 
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                         
Net investment income(a)(b)   1.46    1.46    1.34    1.40    1.48 
Net realized and unrealized gain/(loss) on investments   0.12    (1.32)   0.05    1.60    (2.66)
Total Income/(Loss) from Investment Operations   1.58    0.14    1.39    3.00    (1.18)
                          
DISTRIBUTIONS TO COMMON SHAREHOLDERS:                         
From net investment income   (1.46)   (1.61)   (1.24)   (1.43)   (1.27)
Total Distributions to Common Shareholders   (1.46)   (1.61)   (1.24)   (1.43)   (1.27)
                          
Net asset value per common share - end of period  $15.74   $15.62   $17.09   $16.94   $15.37 
Market price per common share - end of period  $15.64   $13.74   $15.92   $15.92   $13.48 
                          
Total Investment Return - Net Asset Value(c)   10.73%   1.25%   8.85%   21.21%   (6.04%)
Total Investment Return - Market Price(c)   25.08%   (4.40%)   7.90%   29.89%   (5.44%)
                          
RATIOS AND SUPPLEMENTAL DATA:                         
Net assets attributable to common shares, end of period (000s)  $199,982   $198,399   $217,067   $215,236   $195,204 
Ratio of expenses to average net assets attributable to common shares   3.85%   3.73%   3.03%   2.58%   2.07%
Ratio of expenses to average net assets excluding interest expense on short sales attributable to common shares   3.85%   3.73%   3.03%   2.58%   2.07%
Ratio of net investment income to average net assets attributable to common shares   9.15%   8.52%   7.82%   8.67%   8.45%
Ratio of expenses to average managed assets(d)   2.36%   2.31%   1.93%   1.73%   1.43%
Portfolio turnover rate   40%   75%   126%   103%   72%
                          
MANDATORY REDEEMABLE PREFERRED SHARES:                         
Liquidation value, end of period, including dividends payable on Mandatory Redeemable                         
Preferred Shares (000s)  $20,128   $20,122   $20,121   $20,125   $N/A 
Total shares outstanding (000s)   20    20    20    20     
Asset coverage , end of period per $1,000  $2,562(e)   $2,556(e)   $2,644(e)   $2,905(e)   $N/A 
Liquidation preference per share  $1,000   $1,000   $1,000   $1,000   $N/A 
                          
LEVERAGE FACILITY:                         
Aggregate principal amount, end of period (000s)  $108,000   $107,500   $112,000   $93,000   $96,000 
Average borrowings outstanding during the period (000s)  $109,385   $115,392   $105,633   $93,684   $100,261 
Asset coverage, end of period per $1,000(f)  $3,037   $3,032   $3,117   $3,314   $3,033 

 

(a) Calculated using average common shares outstanding.
(b) Distributions on the Company's MRPS are treated as an operating expense under GAAP and are included in the calculation of net investment income. See Note 9 - Leverage.
(c) Total investment return is calculated assuming a purchase of common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund's dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any, and are not annualized.
(d) Average managed assets represent net assets applicable to common shares plus principal value of leverage.

 

See Notes to Financial Statements.

 
50 www.blackstone-gso.com

 

 

Blackstone / GSO Long-Short Credit Income Fund Financial Highlights

 

For a Share Outstanding Throughout the Periods Indicated

 

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

 

See Notes to Financial Statements.

 

Annual Report | December 31, 2019 51

 

 

Blackstone / GSO Strategic Credit Fund Financial Highlights
 

For a Share Outstanding Throughout the Periods Indicated

 

  

For the

Year Ended

December 31,

2019

  

For the

Year Ended

December 31,

2018

  

For the

Year Ended

December 31,

2017

  

For the

Year Ended

December 31,

2016

  

For the

Year Ended

December 31,

2015

 
PER COMMON SHARE OPERATING PERFORMANCE:                    
Net asset value - beginning of period  $15.30   $16.89   $16.79   $15.20   $17.98 
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                         
Net investment income(a)(b)    1.35    1.38    1.26    1.39    1.48 
Net realized and unrealized gain/(loss) on investments   (0.06)   (1.46)   0.10    1.54    (2.89)
Total Income/(Loss) from Investment Operations   1.29    (0.08)   1.36    2.93    (1.41)
                          
DISTRIBUTIONS TO COMMON SHAREHOLDERS:                         
From net investment income   (1.34)   (1.51)   (1.26)   (1.34)   (1.37)
Total Distributions to Common Shareholders   (1.34)   (1.51)   (1.26)   (1.34)   (1.37)
                          
Net asset value per common share - end of period  $15.25   $15.30   $16.89   $16.79   $15.20 
Market price per common share - end of period  $14.38   $13.47   $15.71   $15.34   $13.37 
                          
Total Investment Return - Net Asset Value(c)    9.29%   (0.02%)   8.79%   21.02%   (7.42%)
Total Investment Return - Market Price(c)    17.05%   (5.37%)   10.75%   25.71%   (11.15%)
                          
RATIOS AND SUPPLEMENTAL DATA:                         
Net assets attributable to common shares, end of period (000s)  $681,312   $683,578   $754,442   $749,868   $679,029 
Ratio of expenses to average net assets attributable to common shares   3.97%   3.72%   3.29%   2.74%   2.33%
Ratio of net investment income to average net assets attributable to common shares   8.68%   8.20%   7.38%   8.73%   8.41%
Ratio of expenses to average managed assets(d)    2.50%   2.36%   2.10%   1.82%   1.57%
Portfolio turnover rate   40%   76%   136%   93%   74%
                          
MANDATORY REDEEMABLE PREFERRED SHARES:                         
Liquidation value, end of period, including dividends payable on Mandatory Redeemable Preferred Shares (000s)  $45,287   $45,274   $45,272   $45,281   $N/A
Total shares outstanding (000s)   45    45    45    45     
Asset coverage, end of period per $1,000  $2,697(e)   $2,682(e)   $2,796(e)   $2,777(e)   $N/A
Liquidation preference per share  $1,000   $1,000   $1,000   $1,000   $N/A
                          
LEVERAGE FACILITY:                         
Aggregate principal amount, end of period (000s)  $356,500   $361,500   $375,000   $377,000   $331,000 
Average borrowings outstanding during the period (000s)  $363,945   $387,479   $384,195   $342,331   $382,162 
Asset coverage, end of period per $1,000(f)   $3,037   $3,015   $3,132   $2,989   $3,051 

 

(a)  Calculated using average common shares outstanding.
(b)  Distributions on the Company's MRPS are treated as an operating expense under GAAP and are included in the calculation of net investment income. See Note 9 - Leverage.
(c)  Total investment return is calculated assuming a purchase of common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund's dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any, and are not annualized.
(d)  Average managed assets represent net assets applicable to common shares plus principal value of leverage.

 

See Notes to Financial Statements.

 
52 www.blackstone-gso.com
 
 
Blackstone / GSO Strategic Credit Fund Financial Highlights
 

For a Share Outstanding Throughout the Periods Indicated

 

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

 

See Notes to Financial Statements.

 

Annual Report | December 31, 2019 53
 
 
Blackstone / GSO Funds Notes to Financial Statements

 

December 31, 2019

 

NOTE 1. ORGANIZATION

 

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

 

Absent shareholder approval to extend the term of BSL, BSL was initially scheduled to dissolve on or about May 31, 2020. On November 17, 2017, BSL’s shareholders approved extending the term of BSL by two years by changing BSL’s scheduled dissolution date from May 31, 2020 to May 31, 2022. Upon dissolution, BSL will distribute substantially all of its net assets to shareholders, after making appropriate provision for any liabilities. Pursuant to BSL’s Amended and Restated Agreement and Declaration of Trust, prior to the date of dissolution a majority of the Board of Trustees, with the approval of a majority of the shareholders entitled to vote (as defined in the 1940 Act), may extend the life of BSL by a period of two years or such shorter time as may be determined. The dissolution date of BSL may be extended an unlimited number of times. On March 31, 2017, BSL announced an extension of BSL’s reinvestment period. The extension will allow BSL to continue to reinvest proceeds generated by maturities, prepayments and sales of investments until one year prior to BSL’s scheduled dissolution date, which is currently May 31, 2022. On November 18, 2019, the Board of Trustees of BSL (the "BSL Board") approved a proposal to amend BSL's charter to allow an extension greater than two years in length (the "Charter Amendment"). The Board also approved a proposal to extend the term of BSL by five years by changing BSL's scheduled dissolution date from May 31, 2022 to May 31, 2027 (the "Term Extension"). The Charter Amendment and the Term Extension were subject to shareholder approval, which was obtained at a special shareholder meeting held on February 19, 2020.

 

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

 

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

 

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

 

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

 

BSL’s primary investment objective is to seek high current income, with a secondary objective to seek preservation of capital, consistent with its primary goal of high current income. Under normal market conditions, at least 80% of BSL’s Managed Assets (defined below) will be invested in senior secured, floating rate loans (“Senior Loans”).

 

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

 

 
54 www.blackstone-gso.com

 

 

Blackstone / GSO Funds Notes to Financial Statements

 

December 31, 2019

 

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

 

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

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

 

Basis of Presentation: The Funds' financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars. Each Fund is considered an Investment Company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.

 

The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statement. Actual results could differ from these estimates.

 

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

 

Loans are primarily valued by using a composite loan price from a nationally recognized loan pricing service. The methodology used by the Funds’ nationally recognized loan pricing provider for composite loan prices is to value loans at the mean of the bid and ask prices from one or more brokers or dealers. Collateralized Loan Obligation securities (“CLOs”) are valued at the price provided by a nationally recognized pricing service. The prices provided by the nationally recognized pricing service are typically based on the evaluated mid-price of each of the CLOs. Corporate bonds and convertible bonds, other than short-term investments, are valued at the price provided by a nationally recognized pricing service. The prices provided by the nationally recognized pricing service are typically based on the mean of bid and ask prices for each corporate bond security. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrices, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments. Equity securities for which market quotations are available are generally valued at the last sale price or official closing price on the primary market or exchange on which they trade. Futures contracts are ordinarily valued at the last sales price on the securities or commodities exchange on which they are traded. Written and purchased options are ordinarily valued at the closing price on the securities or commodities exchange on which they are traded. Short-term debt investments, if any, having a remaining maturity of 60 days or less when purchased would be valued at cost adjusted for amortization of premiums and accretion of discounts. Any investments and other assets for which such current market quotations are not readily available are valued at fair value (“Fair Valued Assets”) as determined in good faith by a committee of the Adviser (“Fair Valued Asset Committee”) under procedures established by, and under the general supervision and responsibility of, the Funds’ Boards of Trustees. Such methods may include, but are not limited to, the use of a market comparable and/or income approach methodologies. A Fair Valued Asset Committee meeting may be called at any time by any member of the Fair Valued Asset Committee. The pricing of all Fair Valued Assets and determinations thereof shall be reported by the Fair Valued Asset Committee to the Board at each regularly scheduled quarterly meeting. The Funds have procedures to identify and investigate potentially stale or missing prices for investments which are valued using a nationally recognized pricing service, exchange price or broker-dealer quotations. After performing such procedures, any prices which are deemed to be stale are reviewed by the Fair Valued Asset Committee and an alternative pricing source is determined.

 

 

Annual Report | December 31, 2019 55

 

 

Blackstone / GSO Funds Notes to Financial Statements

 

December 31, 2019

 

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

 

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

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

Level 3— Significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

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

 

The following tables summarize valuation of the Funds’ investments under the fair value hierarchy levels as of December 31, 2019:

 

Blackstone / GSO Senior Floating Rate Term Fund

 

Investments in Securities at Value*  Level 1 - Quoted Prices   Level 2 - Significant Observable Inputs   Level 3 - Significant Unobservable Inputs   Total 
Floating Rate Loan Interests                    
Aerospace & Defense  $   $   $3,855,914   $3,855,914 
Automotive       1,470,406    1,254,222    2,724,628 
Brokers, Dealers & Investment Houses       3,512,704    763,918    4,276,622 
Building & Development       14,365,924    5,716,919    20,082,843 
Business Equipment & Services       50,084,648    8,981,419    59,066,067 
Chemical & Plastics       9,370,123    3,226,839    12,596,962 
Containers & Glass Products       3,538,309    2,048,094    5,586,403 
Electronics/Electric       66,915,276    3,404,239    70,319,515 
Financial Intermediaries       2,969,476    429,406    3,398,882 
Food Service       5,969,839    3,147,962    9,117,801 
Healthcare       50,893,295    3,616,485    54,509,780 
Industrial Equipment       8,270,164    2,220,352    10,490,516 
Insurance       468,466    1,975,707    2,444,173 
Leisure Goods/Activities/Movies       4,419,880    1,050,000    5,469,880 
Lodging & Casinos       1,645,619    705,233    2,350,852 
Nonferrous Metals/Minerals       1,959,776    974,701    2,934,477 
Oil & Gas       8,505,560    81,751    8,587,311 
Publishing       6,101,445    958,806    7,060,251 
Retailers (except food & drug)       2,754,468    102,096    2,856,564 
Steel       338,523    1,493,146    1,831,669 
Surface Transport       863,445    2,029,500    2,892,945 
Other       60,590,579        60,590,579 
Collateralized Loan Obligation Securities                    
Structured Finance Obligations           6,043,785    6,043,785 
Corporate Bonds       11,350,191        11,350,191 
Common Stock                    
Building & Development           515,342    515,342 
Oil & Gas       299,335        299,335 
Preferred Stocks                    
Oil & Gas                
Warrants                    
Oil & Gas           1,378    1,378 
Total       316,657,451    54,597,214    371,254,665 

 

 
56 www.blackstone-gso.com

 

 

Blackstone / GSO Funds Notes to Financial Statements
 

December 31, 2019

 

Blackstone / GSO Long-Short Credit Income Fund

 

Investments in Securities at Value*  Level 1 - Quoted Prices   Level 2 - Significant Observable Inputs   Level 3 - Significant Unobservable Inputs   Total 
Floating Rate Loan Interests                    
Aerospace & Defense  $   $   $3,274,518   $3,274,518 
Automotive       1,203,115    836,148    2,039,263 
Brokers, Dealers & Investment Houses       2,950,576    625,024    3,575,600 
Building & Development       11,968,870    4,679,715    16,648,585 
Business Equipment & Services       40,272,153    6,861,261    47,133,414 
Chemical & Plastics       7,345,945    2,737,340    10,083,285 
Containers & Glass Products       2,897,180    1,497,324    4,394,504 
Electronics/Electric       52,008,730    2,772,343    54,781,073 
Financial Intermediaries       2,826,534    351,332    3,177,866 
Food Service       4,706,980    2,202,408    6,909,388 
Healthcare       42,265,931    3,044,344    45,310,275 
Industrial Equipment       6,632,500    1,853,949    8,486,449 
Insurance       1,202,535    1,616,487    2,819,022 
Leisure Goods/Activities/Movies       3,134,317    900,000    4,034,317 
Lodging & Casinos       1,346,416    604,485    1,950,901 
Nonferrous Metals/Minerals       1,589,008    820,061    2,409,069 
Oil & Gas       6,167,975    25,377    6,193,352 
Publishing       4,194,249    784,478    4,978,727 
Retailers (except food & drug)       2,190,178    76,961    2,267,139 
Steel       225,682    995,431    1,221,113 
Surface Transport       719,875    1,660,500    2,380,375 
Other       48,545,715        48,545,715 
Collateralized Loan Obligation Securities                    
Structured Finance Obligations           8,764,282    8,764,282 
Corporate Bonds       36,124,053        36,124,053 
Common Stock                    
Building & Development           386,507    386,507 
Other   160,450            160,450 
Total   160,450    280,518,517    47,370,275    328,049,242 

 

Blackstone / GSO Strategic Credit Fund

 

Investments in Securities at Value*  Level 1 - Quoted Prices   Level 2 - Significant Observable Inputs   Level 3 - Significant Unobservable Inputs   Total 
Floating Rate Loan Interests                    
Aerospace & Defense  $   $   $10,915,060   $10,915,060 
Automotive       4,137,167    4,180,739    8,317,906 
Brokers, Dealers & Investment Houses       8,441,639    2,083,412    10,525,051 
Building & Development       39,851,084    16,701,552    56,552,636 
Business Equipment & Services       138,700,701    24,209,230    162,909,931 
Chemical & Plastics       16,388,852    9,276,404    25,665,256 
Containers & Glass Products       10,133,167    6,299,279    16,432,446 
Electronics/Electric       179,785,731    9,616,757    189,402,488 
Financial Intermediaries       12,984,304    1,171,107    14,155,411 
Food Service       17,673,155    5,289,892    22,963,047 
Healthcare       129,124,904    10,677,272    139,802,176 
Industrial Equipment       22,499,939    6,225,417    28,725,356 
Insurance       4,086,472    5,388,290    9,474,762 
Leisure Goods/Activities/Movies       6,736,716    3,050,000    9,786,716 
Lodging & Casinos       4,488,052    2,048,533    6,536,585 
Nonferrous Metals/Minerals       5,402,622    2,891,301    8,293,923 
Oil & Gas       19,639,717    89,733    19,729,450 
Publishing       14,095,500    2,614,926    16,710,426 
Retailers (except food & drug)       7,943,095    285,873    8,228,968 
Steel       1,128,409    4,977,155    6,105,564 
Surface Transport       2,552,711    5,535,000    8,087,711 

 

 

Annual Report | December 31, 2019 57

 

 

Blackstone / GSO Funds Notes to Financial Statements

 

December 31, 2019

 

Blackstone / GSO Strategic Credit Fund (continued)

 

Investments in Securities at Value*  Level 1 - Quoted Prices   Level 2 - Significant Observable Inputs   Level 3 - Significant Unobservable Inputs   Total 
Other  $   $153,643,407   $   $153,643,407 
Corporate Bonds                    
Leisure Goods/Activities/Movies           5,789,915    5,789,915 
Other       129,539,677        129,539,677 
Common Stock                    
Building & Development           1,417,192    1,417,192 
Business Equipment & Services           933,152    933,152 
Leisure Goods/Activities/Movies           778,965    778,965 
Oil & Gas   573,906    2,455,755    6,605,524    9,635,185 
Preferred Stocks                    
Oil & Gas                
Warrants                    
Oil & Gas           6,889    6,889 
Total   573,906    931,432,776    149,058,569    1,081,065,251 

 

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

 

 
58 www.blackstone-gso.com

 

 

Blackstone / GSO Funds Notes to Financial Statements
 
  December 31, 2019

 

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

 

Blackstone/GSO Senior Floating Rate Term Fund  Floating Rate
Loan Interests
   Collateralized
Loan Obligation
Securities
   Common
Stock
   Preferred
Stock
   Warrants   Total 
Balance as of December 31, 2018  $77,368,725   $5,338,520   $554,675   $144,745   $1,378   $83,408,043 
Accrued discount/ premium   136,287    1,599                137,886 
Realized Gain/(Loss)   (8,173)   (109,497)               (117,670)
Change in Unrealized Appreciation/(Depreciation)   (1,248,816)   259,922    (180,852)   (144,745)       (1,314,491)
Purchases   14,260,014    2,158,998    440,854            16,859,866 
Sales Proceeds   (19,663,080)   (1,605,757)               (21,268,837)
Transfer into Level 3   10,239,522                    10,239,522 
Transfer out of Level 3   (33,047,771)       (299,335)           (33,347,106)
Balance as of December 31, 2019  $48,036,709   $6,043,785   $515,342   $   $1,378   $54,597,214 
Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at December 31, 2019  $(7,114)  $96,382   $74,488   $   $   $163,756 

 

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

Collateralized

Loan Obligation

Securities

   Common
Stock
   Total 
Balance as of December 31, 2018  $66,097,334   $6,630,969   $   $72,728,303 
Accrued discount/ premium   115,536    1,533        117,069 
Realized Gain/(Loss)   75,930    (64,344)       11,586 
Change in Unrealized Appreciation/(Depreciation)   (1,213,597)   219,570    55,867    (938,160)
Purchases   11,820,238    2,637,210    330,640    14,788,088 
Sales Proceeds   (17,249,770)   (660,656)       (17,910,426)
Transfer into Level 3   7,420,079            7,420,079 
Transfer out of Level 3   (28,846,264)           (28,846,264)
Balance as of December 31, 2019  $38,219,486   $8,764,282   $386,507   $47,370,275 
Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at December 31, 2019  $(6,384)  $121,075   $55,867   $170,558 

 

Blackstone/GSO Strategic Credit Fund  Floating Rate
Loan Interests
   Corporate
Bonds
   Common
Stock
   Preferred
Stock
   Warrants   Total 
Balance as of December 31, 2018  $229,511,149   $   $13,989,703   $393,038   $6,889   $243,900,779 
Accrued discount/ premium   409,624    55,876                465,500 
Realized Gain/(Loss)   (91,829)                   (91,829)
Change in Unrealized Appreciation/(Depreciation)   (4,271,728)   (292,501)   (3,970,537)   (393,038)       (8,927,804)
Purchases   41,540,742    6,026,540    1,212,347            48,779,629 
Sales Proceeds   (59,847,484)                   (59,847,484)
Transfer into Level 3   25,485,514                    25,485,514 
Transfer out of Level 3   (99,209,056)       (1,496,680)           (100,705,736)
Balance as of December 31, 2019  $133,526,932   $5,789,915   $9,734,833   $   $6,889   $149,058,569 
Net change in unrealized appreciation/ (depreciation) included in the Statements of Operations attributable to Level 3 investments held at December 31, 2019  $(707,061)  $(292,501)  $(2,806,083)  $   $   $(3,805,645)

  

 
Annual Report | December 31, 2019 59

 

Blackstone / GSO Funds Notes to Financial Statements
 
  December 31, 2019

 

Blackstone / GSO Senior Floating Rate Term Fund  Fair Value   Valuation Technique(s)  Unobservable Input(s)  Value/Range
(Weighted Average)
 
Floating Rate Loan Interests  $48,036,709   Third-party vendor pricing service  Broker quotes   N/A 
Collateralized Loan Obligation Securities   6,043,785   Third-party vendor pricing service  Broker quotes   N/A 
Common Stock   515,342   Third-party vendor pricing service  Broker quotes   N/A 
Warrants   1,378   Third-party vendor pricing service  Broker quotes   N/A 

 

Blackstone / GSO Long-Short Credit Income Fund  Fair Value   Valuation Technique(s)  Unobservable Input(s)  Value/Range
(Weighted Average)
 
Floating Rate Loan Interests  $38,219,486   Third-party vendor pricing service  Broker quotes   N/A 
Collateralized Loan Obligation Securities   8,764,282   Third-party vendor pricing service  Broker quotes   N/A 
Common Stock   386,507   Third-party vendor pricing service  Broker quotes   N/A 

 

Blackstone / GSO Strategic Credit Fund  Fair Value   Valuation Technique(s)  Unobservable Input(s)  Value/Range
(Weighted Average)
 
Floating Rate Loan Interests  $133,526,932   Third-party vendor pricing service  Broker quote   N/A 
Corporate Bonds   5,789,915   Discounted Cash Flow Methodology  Discount Rate   20.35%
Common Stock   2,350,344   Third-party vendor pricing service  Broker quote   N/A 
    778,965   Performance Multiple Methodology  EBITDA Multiple(a)   7.25x
    6,605,524   Performance Multiple Methodology  EBITDA Multiple(a)   4.07x
           Proved & Probable PV-10(a)   0.46x
           Daily Production (BOE/D)(a)  $36.3 
           Proved & Probable Reserves (MMboe)(a)  $8.5 
       Performance Multiple Methodology  EBITDA Multiple(a)   7.38x
Warrants   6,889   Third-party vendor pricing service  Broker quotes   N/A 

 

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

 

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

 

Securities Transactions and Investment Income: Securities transactions are recorded on trade date for financial reporting purposes and amounts payable or receivable for trades not settled at the time of period end are reflected as liabilities and assets, respectively. Interest Income is recognized on an accrual basis from the date of settlement. Accretion of discount and amortization of premium, which are included in interest income, are accreted or amortized daily using the accrual basis interest method. Dividend income is recorded on the ex-dividend date. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statement of Operations.

 

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

 

Federal Income Taxes: It is the policy of the Funds to continue to qualify as regulated investment companies by complying with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended. For the year ended December 31, 2019, Management has analyzed the tax positions taken by the Funds and has concluded that no income tax provisions are required.

 

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

 

 

60 www.blackstone-gso.com

 

Blackstone / GSO Funds Notes to Financial Statements
 
  December 31, 2019

 

As of, and during, the year ended December 31, 2019, the Funds did not incur a liability arising from any unrecognized tax benefits. The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return for federal purposes and four years after the filing of most state and local returns for state and local purposes. Tax returns for any open years have not required and as such not incorporated any uncertain tax positions that result in a provision for income taxes.

 

Distributions to Shareholders: The Funds make monthly cash distributions of all or a portion of their net investment income to common shareholders. The Funds will distribute to common shareholders at least annually all or substantially all of their net investment income determined after the payment of dividends and/or interest, if any, owed with respect to any outstanding preferred shares and/or borrowings. The Funds intend to pay any capital gain distributions at least annually, if any. The Funds utilize a "dynamic" distribution strategy that is based on the net investment income earned by the Funds. The Funds declare a set of monthly distributions each quarter in amounts closely tied to the Funds' recent average monthly net investment income. As a result, the monthly distribution amounts for the Funds typically vary when compared quarter over quarter.

 

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

 

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

 

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

 

In 2019, the Funds and the Blackstone / GSO Floating Rate Enhanced Income Fund (the “GSO Closed-End Funds”) paid every Trustee who is not a director, officer, employee, or affiliate of GSO or ALPS (the “Unaffiliated Trustee”), a retainer fee of $130,000 per annum. The Chairman of the Audit Committee and the Chairman of the Nominating and Governance Committee also each received a retainer fee of $10,000 per annum and the Lead Independent Trustee also received a retainer fee of $14,000 per annum. Effective January 1, 2020, the GSO Closed-End Funds will pay a retainer fee of $145,000 per annum to each Unaffiliated Trustee. The Chairman of the Audit Committee and the Chairman of the Nominating and Governance Committee will each also receive a retainer fee of $12,000 per annum and the Lead Independent Trustee will receive a retainer fee of $16,000 per annum.

 

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

 

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

 

NOTE 4. SECURITIES TRANSACTIONS

 

Investment transactions for the year ended December 31, 2019, excluding temporary short-term investments, were as follows:

 

Fund  Cost of Investments
Purchased
   Proceeds from
Investments Sold
 
Blackstone / GSO Senior Floating Rate Term Fund  $153,019,675   $164,093,850 
Blackstone / GSO Long-Short Credit Income Fund   132,265,707    138,349,560 
Blackstone / GSO Strategic Credit Fund   446,078,758    471,815,256 

 

 
Annual Report | December 31, 2019 61

 

Blackstone / GSO Funds Notes to Financial Statements
 
  December 31, 2019

 

NOTE 5. RELATED PARTY TRANSACTIONS

 

The Adviser is a related party. Fee arrangements with related parties are disclosed in Note 3 and amounts incurred are disclosed in the Statement of Operations.

 

During the year ended December 31, 2019, none of the Funds engaged in cross trades with an affiliate pursuant to Rule 17a-7 under the 1940 Act.

 

Blackstone Holdings Finance Co. L.L.C ("FINCO"), an affiliate of the investment adviser, pays expenses on behalf of the Funds from time to time. The Funds reimburse FINCO for such expenses paid on behalf of the Funds. FINCO does not charge any fees for providing such services. The amounts of $77,051, $96,470, and $126,256 for BSL, BGX, and BGB, respectively, as of the year ended December 31, 2019 is recorded as other payables and accrued expenses on the Funds' Statements of Assets and Liabilities.

 

NOTE 6. CAPITAL

 

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

 

Transactions in shares were as follows:

 

Blackstone / GSO Senior Floating Rate Term Fund  For the
Year Ended
December 31, 2019
   For the
Year Ended
December 31, 2018
 
Common shares outstanding - beginning of period   15,269,106    15,251,298 
Common shares issued as reinvestment of dividends   17,076    17,808 
Common shares outstanding - end of period   15,286,182    15,269,106 

 

Blackstone / GSO Long-Short Credit Income Fund  For the
Year Ended
December 31, 2019
   For the
Year Ended
December 31, 2018
 
Common shares outstanding - beginning of period   12,702,160    12,702,160 
Common shares issued as reinvestment of dividends   4,679     
Common shares outstanding - end of period   12,706,839    12,702,160 

 

Blackstone / GSO Strategic Credit Fund  For the
Year Ended
December 31, 2019
   For the
Year Ended
December 31, 2018
 
Common shares outstanding - beginning of period   44,664,382    44,664,382 
Common shares issued as reinvestment of dividends        
Common shares outstanding - end of period   44,664,382    44,664,382 

 

NOTE 7. LOANS AND OTHER INVESTMENTS

 

BSL defines “Senior Loans” as first lien senior secured, floating rate loans that are made to U.S. and, to a limited extent, non-U.S. corporations, partnerships and other business entities (“Borrowers”), which operate in various industries and geographical regions. BGX includes first and second lien secured, floating rate loans in its definition of “Secured Loans.” Under normal market conditions, at least 80% of BSL’s Managed Assets will be invested in Senior Loans and 70% of BGX’s Managed Assets (defined below) will be invested in Secured Loans. BGX defines its managed assets as net assets plus any borrowings for investment purposes, which includes effective leverage obtained through securities lending, swap contract arrangements, and short selling or other derivative transactions (“BGX Managed Assets”). BGB defines its managed assets as net assets plus any borrowings for investment purposes, which includes effective leverage obtained through total return swaps, securities lending arrangements, credit default swaps or other derivative transactions ("BGB Managed Assets"). Under normal market conditions, at least 80% of BGB's Managed Assets will be invested in credit investments comprised of corporate fixed income instruments and other investments (including derivatives) with similar economic characteristics. At December 31, 2019, 82.25% of BSL’s Managed Assets were held in Senior Loans, 86.17% of BGX's Managed Assets were held in Secured Loans, and 98.67% of BGB’s Managed Assets were held in corporate fixed income instruments including Senior Secured Loans.

 

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

 

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

 

 

62 www.blackstone-gso.com

 

Blackstone / GSO Funds Notes to Financial Statements
 
  December 31, 2019

 

Instruments in which the Funds invest may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. The Funds and issuers of instruments in which the Funds invest may also obtain financing at floating rates based on LIBOR. The underlying collateral of CLOs in which the Funds invest may pay interest at floating rates based on LIBOR. Derivative instruments utilized by the Funds and/or issuers of instruments in which the Trust may invest may also reference LIBOR. Regulators and law-enforcement agencies from a number of governments, including entities in the United States, Japan, Canada and the United Kingdom, have conducted or are conducting civil and criminal investigations into whether the banks that contribute to the British Bankers’ Association, or the “BBA,” in connection with the calculation of daily LIBOR may have been manipulating or attempting to manipulate LIBOR. Several financial institutions have reached settlements with the CFTC, the U.S. Department of Justice Fraud Section and the United Kingdom Financial Conduct Authority in connection with investigations by such authorities into submissions made by such financial institutions to the bodies that set LIBOR and other interbank offered rates. Additional investigations remain ongoing with respect to other major banks. There can be no assurance that there will not be additional admissions or findings of rate-setting manipulation or that manipulations of LIBOR or other similar interbank offered rates will not be shown to have occurred. ICE Benchmark Administration Limited assumed the role of LIBOR administrator from the BBA on February 1, 2014. Any new administrator of LIBOR may make methodological changes to the way in which LIBOR is calculated or may alter, discontinue or suspend calculation or dissemination of LIBOR. Additional findings of manipulation may decrease the confidence of the market in LIBOR and lead market participants to look for alternative, non-LIBOR based types of financing, such as fixed rate loans or bonds or floating rate loans based on non-LIBOR indices.

 

On July 27, 2017, the United Kingdom’s Financial Conduct Authority, which regulates LIBOR, announced that it intends to phase out LIBOR by the end of 2021. It is expected that a number of private-sector banks currently reporting information used to set LIBOR will stop doing so after 2021 when their current reporting commitment ends, which could either cause LIBOR to stop publication immediately or cause LIBOR’s regulator to determine that its quality has degraded to the degree that it is no longer representative of its underlying market. The U.S. Federal Reserve, in conjunction with the Alternative Reference Rates Committee, a steering committee comprised of large U.S. financial institutions, is considering replacing U.S. dollar LIBOR with a new index calculated by short-term repurchase agreements, backed by Treasury securities. Abandonment of or modifications to LIBOR could have adverse impacts and represent a significant risk on newly issued financial instruments and existing financial instruments which reference LIBOR. While some instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate setting methodology, not all instruments may have such provisions and there are significant uncertainty regarding the effectiveness of any such alternative methodologies. Abandonment of or modifications to LIBOR could lead to significant short-term and long-term uncertainty and market instability and the extent to which that may impact the Funds may vary depending on various factors, which include, but are not limited to: (i) existing fallback or termination provisions in individual contracts and (ii) whether, how, and when industry participants develop and adopt new successor reference rates and/or fallbacks for both legacy and new instruments. In addition, the transition to a successor rate could potentially cause (i) increased volatility or illiquidity in markets for instruments that currently rely on LIBOR, (ii) a reduction in the value of certain instruments held by the Funds, or (iii) reduced effectiveness of related Fund transactions, such as hedging. It remains uncertain how such changes would be implemented and the effects such changes would have on the Funds, issuers of instruments in which the Funds invest and financial markets generally.

 

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

 

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 December 31, 2019, BSL, BGX and BGB had invested $44,976,482, $44,767,554 and $150,757,586, respectively, in second lien secured loans. Second lien secured loans are considered Secured Loans for BGX and Senior Secured Loans for BGB, but are not considered Senior Loans for BSL.

 

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

 

 

Annual Report | December 31, 2019 63

 

Blackstone / GSO Funds Notes to Financial Statements
 
  December 31, 2019

 

The Funds may acquire Loans through assignments or participations. The Funds typically acquire these Loans through assignment, and if a Fund acquires a Loan through participation, it will seek to elevate a participation interest into an assignment as soon as practicably possible. The purchaser of an assignment typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation. A participation typically results in a contractual relationship only with the institution participating out the interest, not with the Borrower. Sellers of participations typically include banks, broker-dealers, other financial institutions and lending institutions. The Adviser has adopted best execution procedures and guidelines which seek to mitigate credit and counterparty risk in the atypical situation when the Funds must acquire a Loan through a participation.

 

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

 

NOTE 8. CREDIT DEFAULT SWAPS

 

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

 

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

 

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

 

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

 

 

64 www.blackstone-gso.com

 

Blackstone / GSO Funds Notes to Financial Statements
 
  December 31, 2019

 

During the year ended December 31, 2019, BGX did not enter into any credit default swaps.

 

NOTE 9. LEVERAGE

 

On July 27, 2016 BGX and BGB issued 7-year Mandatory Redeemable Preferred Shares (“MRPS”). BGX issued 20,000 MRPS with a total liquidation value of $20,000,000 and BGB issued 45,000 MRPS with a total liquidation value of $45,000,000, rated “AA” by Fitch Ratings. BGB and BGX used the proceeds of the offerings to make additional investments for their portfolios. The final redemption date of the MRPS is July 27, 2023. BGB and BGX make quarterly dividend payments on the MRPS at an annual dividend rate of 3.61%. Due to the terms of the MRPS, face value approximates fair value at December 31, 2019. This fair value is based on Level 2 inputs under the three-tier fair valuation hierarchy (see Note 2).

 

In connection with BGB and BGX’s issuance of MRPS, certain costs were incurred by BGB and BGX and have been recorded net against the outstanding liability. These costs are being amortized over the period beginning July 27, 2016 (day of issuance) through July 27, 2023, the final redemption date. The net deferred financing costs as of December 31, 2019 are shown on BGB’s and BGX’s Statements of Assets and Liabilities. The amount of expense amortized during the year ended December 31, 2019 is shown on BGB’s and BGX’s Statements of Operations under amortization of deferred financing costs.

 

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

 

Each Fund has entered into a separate Credit Agreement (each, an “Agreement”) with a bank to borrow money pursuant to a two-year revolving line of credit (“Leverage Facility”) for BSL, BGX and BGB. BSL entered into an agreement dated October 8, 2014, as amended on October 7, 2015, October 5, 2016, and October 4, 2017, and as further amended and restated on June 20, 2018 and as further amended and restated on October 4, 2019, to borrow up to a limit of $142 million, with $48 million for tranche A loans ("BSL Tranche A Loans") and $94 million for tranche B loans ("BSL Tranche B Loans"). BGX entered into an agreement dated July 29, 2014, as amended on January 26, 2015, July 28, 2015, July 26, 2016, July 25, 2017, and February 23, 2018 and as further amended and restated on June 20, 2018, and as further amended and restated on July 25, 2019 to borrow up to a limit of $122 million, with $41 million for tranche A loans (“BGX Tranche A Loans”) and $81 million for tranche B loans (“BGX Tranche B Loans”). BGB entered into an agreement dated December 21, 2012, as amended at December 20, 2013, December 19, 2014, December 18, 2015, July 26, 2016, December 16, 2016, December 20, 2017, as amended and restated on June 20, 2018, as amended on December 4, 2018 and as further amended and restated on January 11, 2019 to borrow up to a limit of $415 million, with $145 million for tranche A loans (“BGB Tranche A Loans” and collectively with BGX Tranche A Loans and BSL Tranche A Loans, the “Tranche A Loans”) and $270 million for tranche B loans (“BGB Tranche B Loans” and collectively with BGX Tranche B Loans and BSL Tranche B Loans, the “Tranche B Loans”). Borrowings under each Agreement are secured by the assets of each Fund.

 

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

 

Under the terms of the applicable Agreement, each Fund must pay a commitment fee on any undrawn amounts. The commitment fee payable in BSL, BGB and BGX, for each of Tranche A and Tranche B Loans is 0.15% on the undrawn amounts when drawn amounts exceed 75% of the borrowing limit and 0.25% on the undrawn amounts at any other time. Interest and fees are payable quarterly. Each Fund may elect to extend the applicable Agreement for a further period with the consent of the lending bank. At December 31, 2019, BSL, BGX, and BGB had borrowings outstanding under its respective Leverage Facility of $123,500,000, $108,000,000, and $356,500,000, at an interest rate of 2.86%, 2.83%, and 2.76%, respectively. Due to the short term nature of each Agreement, face value approximates fair value at December 31, 2019. This fair value is based on Level 2 inputs under the three-tier fair valuation hierarchy (see Note 2). For the year ended December 31, 2019, the average borrowings under BSL’s, BGX’s and BGB’s Leverage Facility and the average interest rates were $125,408,219, and 3.38%, $109,384,932, and 3.35%, and $363,945,205, and 3.31%, respectively.

 

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

 

 

Annual Report | December 31, 2019 65

 

Blackstone / GSO Funds Notes to Financial Statements
 
  December 31, 2019

 

The use of borrowings to leverage the common shares of the Funds can create risks. Changes in the value of the Funds’ portfolios, including securities bought with the proceeds of leverage, are borne entirely by the holders of common shares of the Funds. All costs and expenses related to any form of leverage used by the Funds are borne entirely by common shareholders. If there is a net decrease or increase in the value of the Funds’ investment portfolios, the leverage may decrease or increase, as the case may be, the net asset value per common share to a greater extent than if the Funds did not utilize leverage. During periods when BSL and BGB are using leverage, the fees paid to the Adviser for advisory services and to ALPS for administrative services are higher than if BSL and BGB did not use leverage because the fees paid are calculated on the basis of BSL and BGB’s Managed Assets, which include the assets purchased through leverage. As of December 31, 2019, BSL’s, BGX’s, and BGB’s leverage represented 32.99%, 39.02% and 37.08% of each Fund’s Managed Assets, respectively. The leverage amounts in BGX and BGB include 6.10% and 4.16% of Managed Assets attributable to the MRPS, respectively.

 

NOTE 10. INCOME TAX

 

Ordinary income, which as determined on a tax basis includes net short-term capital gains, if any, are allocated to common stockholders after the consideration of any payments due on outstanding term preferred shares. To the extent that the amount distributed to common stockholders exceeds the amount of available ordinary income these distributions may be treated as a return of capital on a tax basis. Additionally, to the extent that the amount distributed on any outstanding term preferred shares exceeds the amount of available ordinary income, these distributions may also be treated as a return of capital on a tax basis.

 

Amounts paid from net long-term capital gains of the Funds, if any, will be designated as such by the Funds and are determined after the consideration of any payments due on outstanding preferred shares.

 

The Funds may make certain adjustments to the classification of net assets as a result of significant permanent book-to-tax differences, which include differences in the book and tax basis of certain assets and liabilities, and nondeductible federal taxes or losses, among other items. These differences may be charged or credited to paid-in capital and distributable earnings as a result. For the year ended December 31, 2019 permanent differences were as follows:

 

Fund  Increase/(Decrease)
Paid-in capital
   Increase/(Decrease)
Total Distributable Earnings
 
Blackstone / GSO Senior Floating Rate Term Fund  $(94,375)  $94,375 
Blackstone / GSO Long-Short Credit Income Fund  $(16,763)  $16,763 
Blackstone / GSO Strategic Credit Fund  $(76,633)  $76,633 

 

The tax character of distributions paid by the Funds during the fiscal year ended December 31, 2019 and December 31, 2018 were as follows:

 

2019  Blackstone / GSO Senior
Floating Rate Term Fund
   Blackstone / GSO Long-Short Credit Income Fund   Blackstone / GSO Strategic
Credit Fund
 
Distributions Paid From:               
Ordinary Income  $20,120,070   $19,313,556(a)  $61,354,209(a)
Total  $20,120,070   $19,313,556   $61,354,209 

 

2018  Blackstone / GSO Senior
Floating Rate Term Fund
   Blackstone / GSO Long-Short Credit Income Fund   Blackstone / GSO Strategic
Credit Fund
 
Distributions Paid From:               
Ordinary Income  $21,551,497   $21,211,254(a)  $68,890,569(a)
Total  $21,551,497   $21,211,254   $68,890,569 

 

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

 

 
66 www.blackstone-gso.com

 

Blackstone / GSO Funds Notes to Financial Statements
 
  December 31, 2019

 

Under the Regulated Investment Company Modernization Act of 2010 (the "RIC Mod Act"), net capital losses recognized by the Fund may get carried forward indefinitely, and retain their character as short-term and/or long-term losses. Any such losses will be deemed to arise on the first day of the next taxable year. Losses for the year ended December 31, 2019, and as such will be deemed to arise on the first day of the year ended December 31, 2020, were as follows:

 

Fund  Short Term   Long Term 
Blackstone / GSO Senior Floating Rate Term Fund  $   $15,255,488 
Blackstone / GSO Long-Short Credit Income Fund  $463,965   $19,389,546 
Blackstone / GSO Strategic Credit Fund  $400,602   $77,248,655 

 

Capital losses arising in the post-October period of the current taxable year may be deferred to the next taxable year to the extent that the fund makes an election to do so. Any post-October losses elected to be deferred in the current year are treated as arising on the first day of the next taxable year. For the year ended December 31, 2019 there were no post-October losses deferred by the Funds. The table below shows any post-October losses elected to be deferred for the year ended December 31, 2018, and as such were treated as arising on the first day of the tax year ended December 31, 2019.

 

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

 

At December 31, 2019, the components of distributable earnings on a tax basis for the Funds were as follows:

 

   Blackstone / GSO Senior
Floating Rate Term Fund
   Blackstone / GSO Long-Short Credit Income Fund   Blackstone / GSO Strategic
Credit Fund
 
Undistributed ordinary income  $309,944   $479,090   $1,477,075 
Accumulated capital losses   (15,255,488)   (19,853,511)   (77,649,257)
Unrealized depreciation   (21,034,315)   (17,376,980)   (81,913,301)
Other Cumulative effect of timing differences       (127,527)   (286,937)
Total  $(35,979,859)  $(36,878,928)  $(158,372,420)

 

At December 31, 2019, the amount of net tax unrealized appreciation/(depreciation) and the tax cost of investment securities, including short-term securities, were as follows:

 

   Blackstone / GSO Senior
Floating Rate Term Fund
   Blackstone / GSO Long-Short Credit Income Fund   Blackstone / GSO Strategic
Credit Fund
 
Cost of investments for income tax purposes  $392,288,980   $345,426,222   $1,162,978,552 
Gross appreciation (excess of value over tax cost)  $3,042,390   $3,217,554   $10,937,947 
Gross depreciation (excess of tax cost over value)   (24,076,705)   (20,594,534)   (92,851,248)
Net unrealized depreciation  $(21,034,315)  $(17,376,980)  $(81,913,301)

 

NOTE 11. RECENT ACCOUNTING PRONOUNCEMENT

 

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

 

NOTE 12. SUBSEQUENT EVENTS

 

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

 

 

Annual Report | December 31, 2019 67

 

Blackstone / GSO Funds Notes to Financial Statements
 
  December 31, 2019

 

Shareholder Distributions for BSL: On December 10, 2019, a monthly distribution of $0.101 per share was declared to common shareholders, payable on January 31, 2020 to common shareholders of record on December 31, 2019. On December 10, 2019, a monthly distribution of $0.101 per share was declared to common shareholders, payable February 28, 2020 to common shareholders of record on February 21, 2020. On December 18, 2019, a special distribution of $0.021 per share was declared to common shareholders, payable on January 31, 2020 to common shareholders of record on December 31, 2019.

 

Shareholder Distributions for BGX: On December 10, 2019, a monthly distribution of $0.115 per share was declared to common shareholders, payable on January 31, 2020 to common shareholders of record on December 31, 2019. On December 10, 2019, a monthly distribution of $0.115 per share was declared to common shareholders, payable February 28, 2020 to common shareholders of record on February 21, 2020. On December 18, 2019, a special distribution of $0.048 per share was declared to common shareholders, payable on January 31, 2020 to common shareholders of record on December 31, 2019.

 

Shareholder Distributions for BGB: On December 10, 2019, a monthly distribution of $0.105 per share was declared to common shareholders, payable on January 31, 2020 to common shareholders of record on December 31, 2019. On December 10, 2019, a monthly distribution of $0.105 per share was declared to common shareholders, payable February 28, 2020 to common shareholders of record on February 21, 2020. On December 18, 2019, a special distribution of $0.015 per share was declared to common shareholders, payable on January 31, 2020 to common shareholders of record on December 31, 2019.

 

Proposals for BSL's Charter Amendment and Term Extension: On November 18, 2019, the Board of Trustees of BSL (the "BSL Board") approved a proposal to amend BSL's charter to allow an extension greater than two years in length (the "Charter Amendment"). The Board also approved a proposal to extend the term of BSL by five years by changing BSL's scheduled dissolution date from May 31, 2022 to May 31, 2027 (the "Term Extension"). The Charter Amendment and the Term Extension were subject to shareholder approval, which was obtained at a special shareholder meeting held on February 19, 2020. In connection with the Term Extension, the Fund would implement a program to repurchase up to 15% of outstanding shares of the Fund in the open market under certain circumstances as described in the proxy statement filed on December 27, 2019.

 

 

68 www.blackstone-gso.com

 

Blackstone / GSO Funds Report of Independent Registered
Public Accounting Firm

 

 

To the Board of Trustees and Shareholders of Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund and Blackstone / GSO Strategic Credit Fund:

 

Opinion on the Financial Statements and Financial Highlights 

We have audited the accompanying statements of assets and liabilities of Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund and Blackstone / GSO Strategic Credit Fund (the "Funds"), including the portfolios of investments, as of December 31, 2019, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, and the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian, brokers and agent banks; when replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

 

DELOITTE & TOUCHE LLP

 

Denver, Colorado

February 27, 2020

 

We have served as the auditor of one or more investment companies advised by Blackstone / GSO since 2010.

 

 

Annual Report | December 31, 2019 69

 

Blackstone / GSO Funds Summary of Dividend Reinvestment Plan
 
  December 31, 2019 (Unaudited)

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

 

70 www.blackstone-gso.com

 

Blackstone / GSO Funds Additional Information
 
  December 31, 2019 (Unaudited)

 

Portfolio Information. The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year as an exhibit on Form N-PORT within 60 days after the end of the Funds’ fiscal quarter. The Funds' portfolio holdings information for the third month of each fiscal quarter on Form N-PORT is available (1) on the Funds’ website located at http://www.blackstone-gso.com or (2) on the SEC’s website at http://www.sec.gov. Holdings and allocations shown on any Form N-PORT are as of the date indicated in the filing and may not be representative of future investments. Holdings and allocations should not be considered research or investment advice and should not be relied upon in making investment decisions.

 

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

 

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

 

Tax Information. The portion of distributions paid, or otherwise includable in taxable income, that can be attributed to qualified interest income for the year ended December 31, 2019 are as follows:

 

Fund Name Percentage
Blackstone / GSO Senior Floating Rate Term Fund 92.36%
Blackstone / GSO Long Short Credit Income Fund 92.01%
Blackstone / GSO Strategic Credit Fund 94.15%

 

In early 2020, if applicable, shareholders of record will receive information regarding any distributions paid to them by the Funds during the calendar year 2019 via Forms 1099 and 1042-S.

 

 

Annual Report | December 31, 2019 71

 

Blackstone / GSO Funds Privacy Procedures

 

December 31, 2019 (Unaudited)

 

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

 

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

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

●   Social Security number and income

●   Assets and investment experience

●   Risk tolerance and transaction history

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

 

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

 

Questions? Email us at [email protected]

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

 

 

72 www.blackstone-gso.com

 

 

Blackstone / GSO Funds Privacy Procedures

 

December 31, 2019 (Unaudited)

 

How do Blackstone Registered Funds collect my personal information?

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

●   open an account or give us your income information

●   provide employment information or give us your contact information

●   tell us about your investment or retirement portfolio

 

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

Why can't I limit all sharing?

Federal law gives you the right to limit only:

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

●   affiliates from using your information to market to you

●   sharing for nonaffiliates to market to you

 

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

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

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

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

Nonaffiliates

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

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

Joint marketing

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

●   Our joint marketing partners include financial services companies.

Other Important Information

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

 

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

 

 

 

Annual Report  |  December 31, 2019 73

 

 

Blackstone / GSO Funds Privacy Procedures

 

December 31, 2019 (Unaudited)

 

INVESTOR DATA PRIVACY NOTICE

 

1.  Why are you seeing this notice?

 

You may need to provide Personal Data to us as part of your investment into a fund or other investment vehicle (collectively, each a Fund) managed or advised by investment advisers that are subsidiaries of The Blackstone Group Inc. or its affiliates (and, where applicable, the general partner of the relevant Fund) (collectively, Blackstone).

We want you to understand how and why we use, store and otherwise process your Personal Data when you deal with us or our relevant affiliates (including under applicable data protection laws). If this notice (the “Data Privacy Notice”) has been made available to you, you may have certain rights with respect to your Personal Data under applicable data protection laws (including as described in this Data Privacy Notice).

"Personal Data" has the meaning given to it under data protection laws that apply to our processing of your personal information, and includes any information that relates to, describes, identifies or can be used, directly or indirectly, to identify an individual (such as name, address, date of birth, personal identification numbers, sensitive personal information, and economic information).

We ask that investors promptly provide the information contained in this Data Privacy Notice to any individuals whose Personal Data they provide to the Fund or its affiliates in connection with ‘know your client’/anti-money laundering requests or otherwise.

 

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

 

2.  Who is providing this notice?

 

Blackstone is committed to protecting and respecting your privacy. Blackstone is a global financial services firm with offices, operations and entities globally, including as described at this link: https://www.blackstone.com/privacy#appendixA.

 

For transparency, the Blackstone entities on whose behalf this privacy statement is made are: (i) the Fund; and (ii) where applicable, the Blackstone general partner and/or investment adviser of the relevant Fund, in each case, with which you contract, transact or otherwise share Personal Data (together, the Fund Parties).
Where we use the terms "we", "us" and "our" in this Data Privacy Notice, we are referring to the Fund and the Fund Parties.
Please consult your subscription documents, private placement memorandum or other offering documentation provided to you by or on behalf of the Fund Parties which will further specify the entities and contact details of the Fund Parties relevant to our relationship with you.
We welcome investors and their representatives to contact us if they have any queries with respect to the Fund Parties (in particular, which Fund Parties are relevant to their relationship with Blackstone). If you have any queries, our contact details are below.

 

When you provide us with your Personal Data, each Fund Party that decides how and why Personal Data is processed acts as a "data controller". In simple terms, this means that the Fund Party makes certain decisions on how to use and protect your Personal Data – but only to the extent that we have informed you about the use or are otherwise permitted by law.

 

Where your Personal Data is processed by an entity controlled by, or under common control with, the Blackstone entity/ies managing a Fund for its own purposes, this entity will also be a data controller.

 

3.  What Personal Data do we collect about you?

 

The types of Personal Data that we collect and share depends on the product or service you have with us and the nature of your investment. The Personal Data collected about you will help us to provide you with a better service and facilitate our business relationship.

 

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

 

As a result of our relationship with you as an investor, in the past 12 months we may have collected Personal Data concerning you in the following categories:

 

Identifiers (e.g., real name, alias, postal address, email address, social security or driver's license number, government ID, signature, telephone number, education, employment, employment history, financial information, including tax-related information/codes and bank account details, information used for monitoring and background checks to comply with laws and regulations, including 'know your client', anti-money laundering, and sanctions checks, and other contact information);

 

 

74 www.blackstone-gso.com

 

 

Blackstone / GSO Funds Privacy Procedures

 

December 31, 2019 (Unaudited)

 

Sensitive/protected characteristic information (e.g., age/date of birth, nationality, citizenship, country of residence, gender, and other information used to comply with laws and regulations);
Commercial information (e.g., assets, income, transaction and investment history, accounts at other institutions, information concerning source of funds and any applicable restrictions on your investment such as political exposure or sanctions);
Internet or other network activity (e.g., browsing or search history, information regarding interaction with an internet website, application, or advertisement, online identifiers such as cookies);
Sensory and surveillance data (e.g., recordings of telephone calls where permitted or required by law, video surveillance recordings, and other records of your interactions with us or our service providers, including electronic communications);
Professional or employment-related information (e.g., current or past job history); and
Inferences drawn from other personal information (e.g., profiles reflecting preferences and trends, based on information such as assets, investment experience, risk tolerance, investment activity, and transaction history).

  

4. Where do we obtain your Personal Data?

 

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

 

WHAT HOW

Personal Data

that you give us

 

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

●   when you provide it to us in correspondence and conversations, including electronic communications such as email and telephone calls

●   when you make transactions with respect to the Fund

●   when you interact with our online platforms and websites (such as bxaccess.com)

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

●   from cookies, web beacons, and similar interactions when you or your devices access our sites

Personal Data that

we obtain from others

 

We obtain Personal data from: 

●   publicly available and accessible directories and sources 

●   bankruptcy registers 

●   tax authorities, including those that are based outside the territory in which you are located or domiciled, including the Cayman Islands, the United Kingdom (UK) and the European Economic Area (EEA), if you are subject to tax in another jurisdiction 

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

●   credit agencies 

●   fraud prevention and detection agencies/organisations

●   transaction counterparties

 

5. Why do we process your Personal Data?

 

We may process or disclose your Personal Data for the following reasons:

 

WHY HOW
Contract

It is necessary to perform our contract with you to: 

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

●   meet the resulting contractual obligations we have to you

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

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

 

 
Annual Report | December 31, 2019 75

 

 

Blackstone / GSO Funds Privacy Procedures

 

December 31, 2019 (Unaudited)

 

Compliance with law

 

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

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

●   carry out verification, ‘know your client’, terrorist financing, sanctions, and anti-money laundering checks 

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

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

●   carry out surveillance and investigations 

●   carry out audit checks 

●   maintain statutory registers 

●   prevent and detect fraud 

●   comply with sanctions requirements

Legitimate interests

 

For our legitimate interests or those of a third party (such as a transaction counterparty or lender) to: 

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

●   assess and process any applications or requests made by you 

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

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

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

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

●   monitor and improve our relationships with investors 

●   comply with applicable regulatory obligations, including anti-money laundering, sanctions and 'know your client' checks 

●   assist our transaction counterparties to comply with their regulatory and legal obligations (including anti-money laundering, 'know your client' and sanctions checks) 

●   manage our risk and operations 

●   comply with our accounting and tax reporting requirements 

●   comply with our audit requirements 

●   assist with internal compliance with our policies and processes 

●   ensure appropriate group management and governance 

●   keep our internal records 

●   prepare reports on incidents / accidents 

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

●   analyse and manage commercial risks 

●   seek professional advice, including legal advice 

●   enable any actual or proposed assignee or transferee, participant or sub-participant of the partnership's or Fund vehicles' rights or obligations to evaluate proposed transactions 

●   facilitate business asset transactions involving the Fund partnership or Fund-related vehicles 

●   monitor communications to/from us using our systems 

●   protect the security and integrity of our information technology systems 

●   manage our financing arrangements with our financiers and financing transaction counterparties, including payment providers, intermediaries, and correspondent/agent banks

 

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

 

 
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Monitoring as described at (3) above

 

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

 

6. Who we share your Personal Data with

 

Your Personal Data will be shared with:

 

WHO WHY
Fund associates

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

●    to manage our relationship with you 

●    for the legitimate interests of a third party in carrying out anti-money laundering and compliance checks required of them under applicable laws and regulations 

●    for the purposes set out in this Data Privacy Notice 

Fund Managers, Depositories, Administrators, Custodians, Investment Advisers

●    delivering the services you require 

●    managing your investment 

●    supporting and administering investment-related activities 

●    complying with applicable investment, anti-money laundering and other laws and regulations

Tax Authorities

●    to comply with applicable laws and regulations 

●    where required or requested by tax authorities in the territory in which you are located or domiciled (in particular, Cayman Island or UK/EEA tax authorities) who, in turn, may share your Personal Data with foreign tax authorities 

●    where required or requested by foreign tax authorities, including outside of the territory in which you are located or domiciled (including outside the Cayman Islands or UK/EEA)

Service Providers

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

●    supporting and administering investment-related activities 

●    where disclosure to the service provider is considered necessary to support Blackstone with the purposes described in section 5 of this Data Privacy Notice

Financing Counterparties, Lenders, Correspondent and Agent Banks

●    assisting these transaction counterparties with regulatory checks, such as ‘know your client’ and anti-money laundering procedures 

●    sourcing credit for Fund-related entities in the course of our transactions and fund life cycles

Our Lawyers, Auditors and other Professional Advisors

●    providing you with investment-related services 

●    to comply with applicable legal and regulatory requirements

 

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

 

competent regulatory, prosecuting and other governmental agencies or litigation counterparties, in any country or territory; and
other organisations and agencies – where we are required to do so by law.

 

For California residents, in the preceding 12 months, we may have disclosed Personal Data listed in any of the categories in section 3 above for a business purpose (in particular, as described in this section).

 

 
Annual Report | December 31, 2019 77

 

 

Blackstone / GSO Funds Privacy Procedures

 

December 31, 2019 (Unaudited)

 

We have not sold Personal Data in the 12 months preceding the date of this Data Privacy Notice.

 

7. Do you have to provide us with this Personal Data?

 

Where we collect Personal Data from you, we will indicate if:

 

provision of the Personal Data is necessary for our compliance with a legal obligation; or

it is purely voluntary and there are no implications for you if you do not wish to provide us with it.

 

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

 

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

 

8.  Sending your Personal Data internationally

 

We will transfer your Personal Data between different countries to our affiliates and group members, members of the Fund's partnership, transaction counterparties, and third party service providers. These countries may not have similarly strict data protection and privacy laws and will include those countries in which our affiliates and service providers operate (and may include, for example, transfers from the UK/EEA or Cayman Islands to a jurisdiction outside of such territory).

 

Where we transfer Personal Data to other members of our group, our service providers or another third party recipient from one country to another, we will ensure that our arrangements with them are governed by data transfer agreements or appropriate safeguards, designed to ensure that your Personal Data is protected as required under applicable data protection law (including, where appropriate, under an agreement on terms approved for this purpose by the European Commission or by obtaining your consent).

 

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

 

9. Consent – and your right to withdraw it

 

We do not generally rely on obtaining your consent to process your Personal Data. If we do, you have the right to withdraw this consent at any time. Please contact us or send us an email at [email protected] at any time if you wish to do so.

 

10. Retention and deletion of your Personal Data

 

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

 

We will generally:

 

retain Personal Data about you throughout the life cycle of any investment you are involved in; and
retain some Personal Data after your relationship with us ends.

 

As a general principle, we do not retain your Personal Data for longer than we need it.

 

We will usually delete your Personal Data (at the latest) after you cease to be an investor in any fund and there is no longer any legal/regulatory requirement, or business purpose, for retaining your Personal Data.

 

11. Your rights

 

You may, subject to certain limitations, have data protection rights depending on the data protection laws that apply to our processing of your Personal Data, including the right to:

 

access your Personal Data, and some related information, including the purpose for processing the Personal Data, the categories of recipients of that Personal Data to the extent that it has been transferred internationally, and, where the Personal Data has not been collected directly from you, the source (the “category information”)

 

 

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restrict the use of your Personal Data in certain circumstances
have incomplete or inaccurate Personal Data corrected
ask us to stop processing your Personal Data
require us to delete your Personal Data in some limited circumstances

 

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

 

California residents may also request certain information about our disclosure of Personal Data during the prior year, including category information (as defined above).

 

We review and verify requests to protect your Personal Data, and will action data protection requests fairly and in accordance with applicable data protection laws and principles.

 

If you wish to exercise any of these rights, please contact us (details below).

 

12. Concerns or queries

 

We take your concerns very seriously. We encourage you to bring it to our attention if you have any concerns about our processing of your Personal Data. This Data Privacy Notice was drafted with simplicity and clarity in mind. We are, of course, happy to provide any further information or explanation needed. Our contact details are below.

 

Please also contact us via any of the below contact methods if you have a disability and require an alternative format of this Data Privacy Notice.

 

If you want to make a complaint, you can also contact the body regulating data protection in your country, where you live or work, or the location where the data protection issue arose. In particular:

 

Country Supervisory Authority
Cayman Islands Cayman Islands Ombudsman (available at: https://ombudsman.ky)
European Union

A list of the EU data protection authorities and contact details is available by clicking this link:

http://ec.europa.eu/newsroom/article29/item-detail.cfm?item_id=612080

United Kingdom Information Commissioner's Office (available at: https://ico.org.uk/global/contact-us/)

 

13. Contact us

 

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

 

Contact us by email or access our web form at [email protected].

 

Contact us in writing using this address:

 

Address

For EU/UK related queries:

40 Berkeley Square, London, W1J 5AL, United Kingdom

All other queries:

345 Park Avenue, New York, NY 10154

 

14. Changes to this Data Privacy Notice

 

We keep this Data Privacy Notice under regular review. Please check regularly for any updates at our investor portal (www.bxaccess.com).

 

This Data Privacy Notice was last updated in January 2020.

 

 

Annual Report | December 31, 2019 79

 

Blackstone / GSO Funds Trustees & Officers

 

December 31, 2019 (Unaudited)

 

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

 

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

 

NON-INTERESTED TRUSTEES

Name, Address and

Year of Birth(1)

Position(s) Held

with the Funds

Term of Office

and Length of

Time Served

Principal Occupation(s)

During Past Five Years

Number of

Portfolios in Fund

Complex

Overseen by

Trustee(2)

Other Directorships

Held by the Trustee

During the Past

Five Years

Edward H. D'Alelio

Birth Year: 1952

Lead Independent

Trustee and member

of Audit and

Nominating and

Governance

Committees

Trustee Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term Expires:

BSL: 2020

BGX: 2020

BGB: 2020

Mr D'Alelio was formerly a Managing Director and CIO for Fixed Income at Putnam Investments, Boston where he retired in 2002. He currently is an Executive in Residence with the School of Management, Univ. of Mass Boston.

7

Owl Rock Capital

Corp. business

development

companies (3

portfolios overseen in

Fund Complex)

Michael F. Holland

Birth Year: 1944

Trustee and member

of Audit and

Nominating and

Governance

Committees

Trustee Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term Expires:

BSL: 2022

BGX: 2022

BGB: 2022

Mr. Holland is the Chairman of Holland & Company, a private investment firm he founded in 1995.

He is also President and Founder of the Holland Balanced Fund.

7

State Street Master

Funds; Reaves Utility

Income Fund; The

China Fund, Inc. (until

2019); The Taiwan

Fund (through 2017)

Thomas W. Jasper

Birth Year: 1948

Trustee, Chairman of

Audit Committee and

member of

Nominating and

Governance

Committee

Trustee Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term Expires:

BSL: 2021

BGX: 2021

BGB: 2021

Mr. Jasper is the Managing Partner of Manursing Partners LLC, a consulting firm.

7

Ciner Resources LP

(master limited

partnership)

Gary S. Schpero

Birth Year: 1953

Trustee, Chairman of

Nominating and

Governance

Committee and

member of Audit

Committee

Trustee Since:

BSL: May 2012

BGX: May 2012

BGB: May 2012

 

Term Expires:

BSL: 2021

BGX: 2021

BGB: 2021

Mr. Schpero is retired. Prior to January 2000, he was a partner at the law firm of Simpson Thacher & Bartlett LLP where he served as managing partner of the Investment Management and Investment Company Practice Group.

4

AXA Premier VIP

Trust; EQ Advisors

Trust; 1290 Funds

 

 

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Blackstone / GSO Funds Trustees & Officers

 

December 31, 2019 (Unaudited)

 

INTERESTED TRUSTEE(3)

Name, Address and

Year of Birth(1)

Position(s) Held

with the Funds

Term of Office

and Length of

Time Served

Principal Occupation(s)

During Past Five Years

Number of

Portfolios in Fund

Complex

Overseen by

Trustee(2)

Other Directorships

Held by the Trustee

During the Past

Five Years

Daniel H. Smith, Jr.

Birth Year: 1963

Chairman of the

Board, President,

Chief Executive

Officer, Trustee

Trustee Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term Expires:

BSL: 2022

BGX: 2022

BGB: 2022

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

5 None

 

OFFICERS

Name, Address and

Year of Birth(1)

Position(s) Held

with the Funds

Term of Office

and Length of

Time Served

Principal Occupation During the Past Five Years

Daniel H. Smith, Jr.

Birth Year: 1963

Trustee, Chairman

of the Board,

President, Chief

Executive Officer

Officer Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term of Office:

Indefinite

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

Robert W. Busch

Birth Year: 1982

Chief Financial

Officer and

Treasurer

Officer Since:

BSL: March 2019

BGX: March 2019

BGB: March 2019

 

Term of Office:

Indefinite

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

Robert Zable

Birth Year: 1972

Executive Vice

President and

Assistant Secretary

Officer Since:

BSL: September 2015

BGX: September 2015

BGB: September 2015

 

Term of Office:

Indefinite

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

 

 

Annual Report | December 31, 2019 81

 

Blackstone / GSO Funds Trustees & Officers

 

December 31, 2019 (Unaudited)

 

OFFICERS (continued)

Name, Address and

Year of Birth(1)

Position(s) Held

with the Funds

Term of Office

and Length of

Time Served

Principal Occupation During the Past Five Years

Marisa Beeney

Birth Year: 1970

Chief Compliance

Officer, Chief Legal

Officer and

Secretary

Officer Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term of Office:

Indefinite

Ms. Beeney is a Senior Managing Director of GSO and General Counsel of GSO. Before joining GSO, she was with the finance group of DLA Piper. Ms. Beeney began her career at Latham & Watkins LLP working primarily on project finance and development transactions, as well as other structured credit products.

Jane Lee

Birth Year: 1972

Public Relations

Officer

Officer Since:

BSL: November 2010

BGX: November 2010

BGB: May 2012

 

Term of Office:

Indefinite

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

 

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

(2)The “Fund Complex” consists of the Funds, Blackstone / GSO Floating Rate Enhanced Income Fund, Blackstone / GSO Secured Lending Fund, the “Blackstone Real Estate Funds,” (Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II and Blackstone Real Estate Income Master Fund), the “Blackstone Alternative Alpha Funds” (Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II and Blackstone Alternative Alpha Master Fund) and Blackstone Alternative Multi-Strategy Fund.

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

 

 
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Page Intentionally Left Blank

 

 

 

 

 

Item 2.Code of Ethics.

 

(a)The registrant, as of the end of the period covered by the report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or any persons performing similar functions on behalf of the registrant.

 

(b)Not applicable.

 

(c)During the period covered by this report, no amendments were made to the provisions of the code of ethics adopted in Item 2(a) above.

 

(d)During the period covered by this report, no implicit or explicit waivers to the provision of the code of ethics adopted in Item 2(a) above were granted.

 

(e)Not applicable.

 

(f)The registrant’s Code of Ethics is attached as Exhibit 13.A.1 hereto.

 

Item 3.Audit Committee Financial Expert.

 

The registrant’s Board of Trustees has determined that the registrant has at least one audit committee financial expert serving on its audit committee. The Board of Trustees has designated Thomas W. Jasper as the registrant’s “audit committee financial expert.” Mr. Jasper is “independent” as defined in paragraph (a)(2) of Item 3 to Form N-CSR.

 

Item 4.Principal Accountant Fees and Services.

 

(a)Audit Fees: The aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the fiscal years ended December 31, 2019 and December 31, 2018 were $87,900 and $87,900, respectively.

 

(b)Audit-Related Fees: The aggregate fees billed for the fiscal years ended December 31, 2019 and December 31, 2018 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 and $0, respectively.

 

(c)Tax Fees: The aggregate fees billed for the fiscal years ended December 31, 2019 and December 31, 2018 for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $10,931 and $7,750, respectively.

 

(d)All Other Fees: The aggregate fees billed for the fiscal years ended December 31, 2019 and December 31, 2018 for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 and $0, respectively.

 

(e)(1)Audit Committee Pre-Approval Policies and Procedures: All services to be performed by the registrant's principal auditors must be pre-approved by the registrant's audit committee.

 

(e)(2)There were no non-audit services approved or required to be approved by the registrant’s audit committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

(f)Not applicable.

 

(g)The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the fiscal years ended December 31, 2019 and December 31, 2018 were $10,931 and $7,750, respectively.

 

(h)Not applicable.

 

Item 5.Audit Committee of Listed Registrant.

 

The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act and is comprised of the following members:

 

Thomas W. Jasper, Chairman

Edward H. D'Alelio

Michael Holland

Gary S. Schpero

 

Item 6.Investments.

 

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

 

(b)Not applicable.

 

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

 

Attached, as Exhibit 99.7, is a copy of the registrant’s policies and procedures.

 

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

 

(a)(1) As of: March 1, 2020

 

The lead portfolio manager for the registrant (also referred to as the “Fund”) is Robert Zable, who is primarily responsible for the day-to-day management of the Fund and is a member of the U.S. Syndicated Credit Investment Committee (the “Investment Committee”) of GSO / Blackstone Debt Funds Management LLC (the “Adviser”). Gordon McKemie is also a portfolio manager for the Fund and sits on the Investment Committee. The Investment Committee approves core investments made by the Fund, but is not primarily responsible for the Fund’s day-to-day management.

 

Portfolio Managers Name Title Length of Service Business Experience During Past  5 Years
Robert Zable Portfolio Manager Since September 2015 Mr. Zable is a Senior Managing Director and Senior Portfolio Manager of the U.S. CLOs and closed-end funds in GSO’s Liquid Credit Strategies (“LCS”) unit. He is also a member of GSO’s LCS Management Committee and sits on LCS’s U.S. Syndicated Credit Investment Committee, Global Structured Credit Investment Committee, LCS Global Asset Allocation Committee, and CLO Origination Committee. Before joining GSO, Mr. Zable was a Vice President at FriedbergMilstein LLC, where he was responsible for credit opportunity investments and junior capital origination and execution. Prior to that, Mr. Zable was a Principal with Abacus Advisors Group, a boutique restructuring and distressed investment firm. Mr. Zable began his career at JP Morgan Securities Inc., where he focused on leveraged finance in New York and London.
Gordon McKemie Portfolio Manager Since April 2015 Mr. McKemie is a Principal and Portfolio Manager of the closed-end and exchange-traded funds in LCS. He is also a U.S. credit research analyst involved with the ongoing analysis and evaluation of primary and secondary fixed income investments. He sits on LCS’s U.S. Syndicated Credit Investment Committee. Prior to joining GSO, Mr. McKemie was an Associate in Leveraged Finance at Citigroup and an Assistant Vice President in high yield research at Barclays Capital. He began his career at Lehman Brothers.

 

(a)(2) As of December 31, 2019, the Portfolio Managers listed above are also responsible for the day-to-day management of the following:

 

      Advisory Fee Based on Performance  
Type of Accounts Number of Accounts Total Assets ($mm) Number of Accounts Total Assets ($mm) Material Conflicts if Any
Robert Zable         See below(1)
Registered Investment Companies 4 $2,367 0 $0  
Other Pooled Accounts 34 $20,321 34 $20,321  
Other Accounts 1 $157 0 $0  
           
Gordon McKemie         See below(1)
Registered Investment Companies 5 $4,932 0 $0  
Other Pooled Accounts 0 $0 0 $0  
Other Accounts 0 $0 0 $0  

 

*Including the registrant.

 

(1)Potential Conflicts of Interest

 

The purchase of common shares of beneficial interest (“Common Shares”) in the Fund involves a number of significant risks that should be considered before making any investment. The Fund and holders of Common Shares (“Common Shareholders”) will be subject to a number of actual and potential conflicts of interest involving the Firm (defined below). In addition, as a consequence of The Blackstone Group Inc. (collectively with its affiliates as the context requires, “Blackstone” and together with GSO, the “Firm”) holding a controlling interest in GSO and Blackstone’s status as a public company, the officers, directors, members, managers and employees of GSO will take into account certain additional considerations and other factors in connection with the management of the business and affairs of the Fund that would not necessarily be taken into account if Blackstone were not a public company. The following discussion enumerates certain, but not all, potential conflicts of interest that should be carefully evaluated before making an investment in the Fund, but is not intended to be an exclusive list of all such conflicts. The Firm and its personnel may in the future engage in further activities that may result in additional conflicts of interest not addressed below. Any references to the Firm, GSO, Blackstone or the Adviser in this section will be deemed to include their respective affiliates, partners, members, shareholders, officers, directors and employees, except that portfolio companies of managed clients shall only be included to the extent the context shall require and references to GSO affiliates shall only be to affiliates operating as a part of Blackstone’s credit focused business group.

 

 

Broad and Wide-Ranging Activities. The Firm engages in a broad spectrum of activities. In the ordinary course of its business activities, the Firm will engage in activities where the interests of certain divisions of the Firm or the interests of its clients will conflict with the interests of the Common Shareholders in the Fund. Other present and future activities of the Firm will give rise to additional conflicts of interest. In the event that a conflict of interest arises, the Adviser will attempt to resolve such conflict in a fair and equitable manner, subject to the limitations of the 1940 Act. Common Shareholders should be aware that conflicts will not necessarily be resolved in favor of the Fund’s interests.

 

The Firm’s Policies and ProceduresCertain policies and procedures implemented by the Firm to mitigate potential conflicts of interest and address certain regulatory requirements and contractual restrictions will from time to time reduce the synergies across the Firm’s various businesses that the Fund expects to draw on for purposes of pursuing attractive investment opportunities. Because the Firm has many different asset management and advisory businesses, which GSO investment teams and portfolio companies may engage to advise on and to execute debt and equity financings, it is subject to a number of actual and potential conflicts of interest, greater regulatory oversight and more legal and contractual restrictions than that to which it would otherwise be subject if it had just one line of business. In addressing these conflicts and regulatory, legal and contractual requirements across its various businesses, the Firm has implemented certain policies and procedures (e.g., information walls) that reduce the positive synergies that GSO may utilize for purposes of managing the Fund. For example, the Firm will from time to time come into possession of material non-public information with respect to companies, including portfolio companies, in which the Fund may be considering making an investment or companies that are the Firm’s advisory clients. The information, which could be of benefit to the Fund, is likely to be restricted to those other businesses of the Firm and otherwise be unavailable to the Fund, and will also restrict the Fund’s investment opportunities. Additionally, the operations of the Firm’s policies may restrict or otherwise limit the Fund from entering into agreements with, or related to, companies that either are advisory clients of the Firm or in which any Other Clients have invested or have considered making an investment. Furthermore, there will be circumstances in which affiliates of the Firm (including Other Clients) may refrain from taking certain confidential information in order to avoid trading restrictions. Finally, the Firm has and will enter into one or more strategic relationships in certain regions or with respect to certain types of investments that, although possibly intended to provide greater opportunities for the Fund, may require the Fund to share such opportunities or otherwise limit the amount of an opportunity the Fund can otherwise take.

 

Other Firm Businesses, Activities and RelationshipsAs part of its regular business, Blackstone provides a broad range of investment banking, advisory and other services. In addition, Blackstone and its affiliates may provide services in the future beyond those currently provided. Common Shareholders will not receive any benefit from any fees received by Blackstone. In the regular course of its capital markets, investment banking, real estate, advisory and other businesses, Blackstone represents potential purchasers, sellers and other involved parties, including corporations, financial buyers, management, shareholders and institutions, with respect to transactions that could give rise to investments that are suitable for the Fund. In such a case, a Blackstone advisory client would typically require Blackstone to act exclusively on its behalf. Such advisory client requests may preclude all Blackstone-affiliated clients, including the Fund, from participating in related transactions that would otherwise be suitable. Blackstone will be under no obligation to decline any such engagements in order to make an investment opportunity available to the Fund. In connection with its capital markets, investment banking, real estate, advisory and other businesses, Blackstone will from time to time determine that there are conflicts of interest or come into possession of information that limits its ability to engage in potential transactions. The Fund’s activities are expected to be constrained as a result of such conflicts of interest and the inability of Blackstone personnel to use such information. For example, employees of Blackstone from time to time are prohibited by law or contract from sharing information with members of the Fund’s investment team. Additionally, there are expected to be circumstances in which one or more of certain individuals associated with Blackstone affiliates (including clients) will be precluded from providing services related to the Fund’s activities because of certain confidential information available to those individuals or to other parts of Blackstone (e.g., trading may be restricted). Where Blackstone affiliates are engaged to find buyers or financing sources for potential sellers of assets, the seller may permit the Fund to act as a participant in such transactions (as a buyer or financing partner), which would raise certain conflicts of interest inherent in such a situation (including as to the negotiation of the purchase price). The Firm has long-term relationships with a significant number of corporations and their senior management. In determining whether to invest in a particular transaction on behalf of the Fund, the Adviser will consider those relationships and may decline to participate in a transaction as a result of one or more of such relationships. The Firm is under no obligation to decline any engagements or investments in order to make an investment opportunity available to the Fund. The Fund may be forced to sell or hold existing investments as a result of investment banking relationships or other relationships that the Firm may have or transactions or investments the Firm may make or have made. Subject to the 1940 Act, the Fund may also co-invest with clients of the Firm in particular investment opportunities, and the relationship with such clients could influence the decisions made by the Adviser with respect to such investments. There can be no assurance that all potentially suitable investment opportunities that come to the attention of the Firm will be made available to the Fund.

 

The Fund may invest in securities of the same issuers as Other Clients or other investment vehicles, accounts and clients of the Firm and the Adviser. To the extent that the Fund holds interests that are different (or more senior or junior) than those held by such Other Clients, GSO may be presented with decisions involving circumstances where the interests of such Other Clients are in conflict with those of the Fund. Furthermore, it is possible the Fund’s interest may be subordinated or otherwise adversely affected by virtue of such Other Clients’ involvement and actions relating to its investment.

 

Blackstone, its affiliates and their related parties and personnel will from time to time participate in underwriting or lending syndicates with respect to current or potential portfolio companies, or may otherwise be involved in and/or act as arrangers of financing, including with respect to the public offering and/or private placement of debt or equity securities issued by, or loan proceeds borrowed by, such portfolio companies, or otherwise in arranging financing (including loans) for such portfolio companies or advise on such transactions. Such underwritings or engagements may be on a firm commitment basis or may be on an uncommitted “best efforts” basis or on an uncommitted, or “best efforts”, basis, and the underwriting or financing parties are under no duty to provide any commitment unless specifically set forth in the relevant contract. Blackstone may also provide placement or other similar services to purchasers or sellers of securities, including loans or instruments issued by portfolio companies. There may also be circumstances in which the Fund commits to purchase any portion of such issuance from its portfolio company, some or all of which portion a Blackstone broker-dealer intends to syndicate to third parties and, in connection therewith and as a result thereof, subject to the limitations of the 1940 Act, Blackstone may receive commissions or other compensation, thereby creating a potential conflict of interest. This could include, by way of example, fees and/or commissions for equity syndications to co-investment vehicles. In certain cases, subject to the limitations of the 1940 Act, a Blackstone broker-dealer will from time to time act as the managing underwriter or a member of the underwriting syndicate or broker for the Fund or portfolio companies, or as dealer, broker or advisor to a counterparty to the Fund or a portfolio company and purchase securities from or sell securities to the Fund, Other Clients or portfolio companies or Other Clients or advise on such transactions.

 

Blackstone will also from time to time, on behalf of the Fund or other parties to a transaction involving the Fund, effect transactions, including transactions in the secondary markets, where it will nonetheless have a potential conflict of interest regarding the Fund and the other parties to those transactions to the extent it receives commissions or other compensation from the Fund and/or such other parties. Subject to applicable law, Blackstone will from time to time receive underwriting fees, discounts, placement commissions, lending arrangement and syndication fees (or, in each case, rebates of any such fees, whether in the form of purchase price discounts or otherwise, even in cases where Blackstone or an Other Client or account is purchasing debt) or other compensation with respect to the foregoing activities, none of which are required to be shared with the Fund or its Common Shareholders. In addition, the advisory fee generally will not be reduced by such amounts. Therefore, Blackstone will have a potential conflict of interest regarding the Fund and the other parties to those transactions to the extent it receives commissions, discounts or such other compensation from such other parties. Subject to applicable law, the Fund may approve any transactions in which a Blackstone broker-dealer acts as an underwriter, as broker for the Fund, or as dealer, broker or advisor, on the other side of a transaction with the Fund. Firm employees, including employees of GSO, are generally permitted to invest in alternative investment funds, private equity funds, real estate funds, hedge funds or other investment vehicles, including potential competitors of the Fund. Common Shareholders will not receive any benefit from any such investments. Additionally, it can be expected that GSO and/or Blackstone will, from time to time, enter into arrangements or strategic relationships with third parties, including other asset managers, financial firms or other businesses or companies, which, among other things, provide for referral, sourcing or sharing of investment opportunities. Blackstone or GSO may pay management fees and performance-based compensation in connection with such arrangements. Blackstone or GSO may also provide for or receive reimbursement of certain expenses incurred or received in connection with these arrangements, including diligence expenses and general overhead, administrative, deal sourcing and related corporate expenses. The amount of these rebates may relate to allocations of co-investment opportunities and increase if certain co-investment allocations are not made. While it is possible that the Fund will, along with GSO and/or Blackstone itself, benefit from the existence of those arrangements and/or relationships, it is also possible that investment opportunities that would otherwise would be presented to or made by the Fund would instead be referred (in whole or in part) to such third party, or, as indicated above, to other third parties. For example, a firm with which GSO and/or Blackstone has entered into a strategic relationship may be afforded with “first-call” rights on a particular category of investment opportunities, although there is not expected to be substantial overlap in the investment strategies and/or objectives between the Fund and any such firm.

 

On October 1, 2015, Blackstone spun-off its financial and strategic advisory services, restructuring and reorganization advisory services, and its Park Hill fund placement businesses and combined these businesses with PJT Partners (“PJT”), an independent financial advisory firm founded by Paul J. Taubman. While the new combined business operates independently from Blackstone and is not an affiliate thereof, nevertheless conflicts may arise in connection with transactions between or involving the Fund and the entities in which it invests on the one hand and PJT on the other. Specifically, given that PJT is not an affiliate of Blackstone, there may be fewer or no restrictions or limitations placed on transactions or relationships engaged in by PJT’s new advisory business as compared to the limitations or restrictions that might apply to transactions engaged in by an affiliate of Blackstone. It is expected that there will be substantial overlapping ownership between Blackstone and PJT for a considerable period of time going forward. Therefore, conflicts of interest in doing transactions involving PJT will still arise. The pre-existing relationship between Blackstone and its former personnel involved in such financial and strategic advisory services, the overlapping ownership, co-investment and other continuing arrangements, may influence GSO in deciding to select or recommend PJT to perform such services for the Fund (the cost of which will generally be borne directly or indirectly by the Fund). Nonetheless, the Adviser and GSO will be free to cause the Fund to transact with PJT generally without restriction under the applicable governing documents notwithstanding such overlapping interests in, and relationships with, PJT. See also “Service Providers and Counterparties” below.

 

In addition, other present and future activities of the Firm and its affiliates (including GSO and the Adviser) will from time to time give rise to additional conflicts of interest relating to the Firm and its investment activities. In the event that any such conflict of interest arises, the Adviser will attempt to resolve such conflict in a fair and equitable manner. Common Shareholders should be aware that, subject to applicable law, conflicts will not necessarily be resolved in favor of the Fund’s interests.

 

Other Affiliate Transactions and Investments in Different Levels of Capital StructureFrom time to time, the Fund and the Other Clients may make investments at different levels of an issuer’s capital structure or otherwise in different classes of an issuer’s securities, subject to the limitations of the 1940 Act. In addition, the Fund may invest in securities of the same issuers as Other Clients. Such investments may inherently give rise to conflicts of interest or perceived conflicts of interest between or among the various classes of securities that may be held by such entities. To the extent the Fund holds securities that are different (including with respect to their relative seniority) from those held by an Other Client, the Adviser and its affiliates may be presented with decisions when the interests of the Fund and Other Clients are in conflict. For example, conflicts could arise where the Fund lends funds to a portfolio company while an Other Client invests in equity securities of such portfolio company. In this circumstance, for example, if such portfolio company goes into bankruptcy, becomes insolvent or is otherwise unable to meet its payment obligations or comply with its debt covenants, conflicts of interest could arise between the holders of different types of securities as to what actions the portfolio company should take. In addition, purchases or sales of securities for the account of the Fund (particularly marketable securities) will be bunched or aggregated with orders for Other Clients, including other funds. It is frequently not possible to receive the same price or execution on the entire volume of securities sold, and the various prices may be averaged, which may be disadvantageous to the Fund. In addition, the 1940 Act may limit the Fund’s ability to undertake certain transactions with its affiliates that are registered under the 1940 Act or regulated as business development companies under the 1940 Act. As a result of these restrictions, the Fund may be prohibited from executing “joint” transactions with such affiliates, which could include investments in the same portfolio company (whether at the same or different times). These limitations may limit the scope of investment opportunities that would otherwise be available to the Fund. Further conflicts could arise after the Fund and other affiliates have made their respective initial investments. For example, if additional financing is necessary as a result of financial or other difficulties, it may not be in the best interests of the Fund to provide such additional financing. If the other affiliates were to lose their respective investments as a result of such difficulties, the ability of the Adviser to recommend actions in the best interests of the Fund might be impaired. GSO may in its discretion take steps to reduce the potential for adversity between the Fund and the Other Clients, including causing the Fund and/or such Other Clients to take certain actions that, in the absence of such conflict, it would not take, including selling Fund assets (possibly at disadvantageous times or disadvantageous conditions) or taking other actions in order to comply with the 1940 Act. In addition, there may be circumstances where GSO agrees to implement certain procedures to ameliorate conflicts of interest that may involve a forbearance of rights relating to the Fund or Other Clients, such as where GSO may cause Other Clients to decline to exercise certain control- and/or foreclosure-related rights with respect to a portfolio company. In addition, conflicts may arise in determining the amount of an investment, if any, to be allocated among potential investors and the respective terms thereof. There can be no assurance that any conflict will be resolved in favor of the Fund and a decision by GSO to take any particular action could have the effect of benefiting an Other Client (and, incidentally, may also have the effect of benefiting GSO) and therefore may not have been in the best interests of, and may be adverse to, the Fund. There can be no assurance that the return on the Fund’s investment will be equivalent to or better than the returns obtained by the Other Clients participating in the transaction. The Common Shareholders will not receive any benefit from fees paid to any affiliate of the Adviser from a portfolio company in which an Other Client also has an interest, to the extent permitted by the 1940 Act.

 

Other Blackstone and GSO Clients; Allocation of Investment OpportunitiesCertain inherent conflicts of interest arise from the fact that GSO and Blackstone provide investment management and sub-advisory services to the Fund and Other Clients.

 

The respective investment programs of the Fund and the Other Clients may or may not be substantially similar. GSO and/or Blackstone may give advice to, and recommend securities for, Other Clients that may differ from advice given to, or securities recommended or bought for, the Fund, even though their investment objectives may be the same as or similar to those of the Fund. While GSO will seek to manage potential conflicts of interest in a fair and equitable manner, the portfolio strategies employed by GSO and Blackstone in managing their respective Other Clients could conflict with the transactions and strategies employed by GSO in managing the Fund and may affect the prices and availability of the securities and instruments in which the Fund invests. Conversely, participation in specific investment opportunities may be appropriate, at times, for both the Fund and Other Clients. In addition, certain exceptions exist that allow specified types of investment opportunities that fall within the Fund’s investment objectives or strategy to be allocated in whole or in part to Blackstone or GSO itself or Other Clients, such as strategic investments made by Blackstone or GSO itself (whether in financial institutions or otherwise) and the exception for Other Clients that have investment objectives or guidelines similar to or overlapping with those of the Fund. In any event, it is the policy of GSO to allocate investment opportunities and sale opportunities on a basis deemed by GSO, in its sole discretion, to be fair and equitable over time.

 

Allocation Methodology Considerations

 

GSO will share appropriate investment opportunities (and sale opportunities) with Other Clients and the Fund in accordance with the Investment Advisers Act of 1940, as amended (the “Advisers Act”), and Firm-wide allocation policies, which generally provide for sharing pro rata based on targeted acquisition size (generally based on available capacity) or targeted sale size (or, in some sales cases, the aggregate positions), taking into account capital commitments, available cash and the relative capital of the respective funds and accounts and such other factors as the Adviser determines in good faith to be appropriate.

 

Notwithstanding the foregoing, GSO may also consider the following factors in making any allocation determinations (which determinations shall be on a basis that GSO believes in good faith to be fair and reasonable), and such factors may result in a different allocation of investment and/or sale opportunities:

 

(a) the risk-return and target return profile of the proposed investment relative to the Fund’s and the Other Clients’ current risk profiles;

 

(b) the Fund’s and/or the Other Clients’ investment objectives, policies, guidelines, restrictions and terms, including whether such objectives are considered solely in light of the specific investment under consideration or in the context of the respective portfolios’ overall holdings;

 

(c) the need to re-size risk in the Fund’s or the Other Clients’ portfolios (including the potential for the proposed investment to create an industry, sector or issuer imbalance in the Fund’s and Other Clients’ portfolios, as applicable) and taking into account any existing non-pro rata investment positions in the portfolio of the Fund and Other Clients;

 

(d) liquidity considerations of the Fund and the Other Clients, including during a ramp-up of the Fund or such Other Clients or wind-down of Other Clients, proximity to the end of the Other Clients’ specified term or investment period, any redemption/withdrawal/repurchase requests, anticipated future contributions and available cash;

 

(e) legal, tax, accounting and other consequences;

 

(f) regulatory or contractual restrictions or consequences;

 

(g) avoiding a de minimis or odd lot allocation;

 

(h) availability and degree of leverage and any requirements or other terms of any existing leverage facilities;

 

(i) the Fund’s or Other Clients’ investment focus on a classification attributable to an investment or issuer of an investment, including, without limitation, investment strategy, geography, industry or business sector;

 

(j) the nature and extent of involvement in the transaction on the part of the respective teams of investment professionals dedicated to the Fund or such Other Clients;

 

(k) the management of any actual or potential conflict of interest;

 

(l) with respect to investments that are made available to GSO by counterparties pursuant to negotiated trading platforms (e.g., ISDA contracts), the absence of such relationships that may not be available for the Fund and all Other Clients; and

 

(m) any other considerations deemed relevant by GSO in good faith.

 

GSO shall not have any obligation to present any investment opportunity to the Fund if GSO determines in good faith that such opportunity should not be presented to the Fund for any one or a combination of the reasons specified above, or if GSO is otherwise restricted from presenting such investment opportunity to the Fund. Subject to the Advisers Act and as further set forth herein, certain Other Clients may receive certain priority or other allocation rights with respect to certain investments, subject to various conditions set forth in such Other Clients’ respective governing agreements, provided, however, the Adviser does not anticipate that such priority or other allocation rights will impact the investments available to the Fund in the ordinary course. It should be noted that investment opportunities originated by business units of the Firm other than GSO will be allocated in accordance with such business units’ allocation policies, which will result in such investment opportunities being allocated, in whole or in part, away from GSO. Additionally, investment opportunities originated by GSO will be allocated in accordance with GSO’s allocation policy, which may provide that investment opportunities will be allocated in part to other business units of the Firm on a basis that GSO believes in good faith to be fair and reasonable, based on various factors, including the involvement of the respective teams from GSO and such other units. Furthermore, for the avoidance of doubt, any investment opportunity that is allocated to the Fund may be allocated to co-investors in GSO’s discretion to the extent that an amount of such investment opportunity remains after the Fund has received its target allocation in respect of such investment opportunity. Moreover, with respect to GSO’s ability to allocate investment opportunities, including where such opportunities are within the common objectives and guidelines of the Fund and an Other Client (which allocations are to be made on a basis that GSO believes in good faith to be fair and reasonable), GSO and Blackstone have established general guidelines and policies, which it may update from time to time, for determining how such allocations are to be made, which, among other things, set forth priorities and presumptions regarding what constitutes “debt” investments, ranges of rates of returns for defining “core” investments, presumptions regarding allocation for certain types of investments (e.g., distressed investments) and other matters. The application of those guidelines may result in the Fund not participating (and/or not participating to the same extent) in certain investment opportunities in which it would have otherwise participated had the related allocations been determined without regard to such guidelines and/or based only on the circumstances of those particular investments.

 

 

When GSO determines not to pursue some or all of an investment opportunity for the Fund that would otherwise be within the Fund’s objectives and strategies, and Blackstone or GSO provides the opportunity or offers the opportunity to Other Clients, Blackstone or GSO, including their personnel (including GSO personnel), may receive compensation from the Other Clients, whether or not in respect of a particular investment, including an allocation of referral fees, and any such compensation could be greater than amounts paid by the Fund to GSO. As a result, GSO (including GSO personnel who receive such compensation) could be incentivized to allocate investment opportunities away from the Fund to or source investment opportunities for Other Clients. In addition, in some cases Blackstone or GSO may earn greater fees when Other Clients participate alongside or instead of the Fund in an Investment.

 

GSO makes good faith determinations for allocation decisions based on expectations that may prove inaccurate. Information unavailable to GSO, or circumstances not foreseen by GSO at the time of allocation, may cause an investment opportunity to yield a different return than expected. Conversely, an investment that GSO expects to be consistent with the Fund’s return objectives may fail to achieve them.

 

Orders may be combined for the Fund and all other participating Other Clients, and if any order is not filled at the same price, they may be allocated on an average price basis. Similarly, if an order on behalf of more than one account cannot be fully executed under prevailing market conditions, securities may be allocated among the different accounts on a basis that GSO or its affiliates consider equitable.

 

Co-Investment OpportunitiesAs a registered investment company under the 1940 Act, the Fund is subject to certain limitations relating to co-investments and joint transactions with affiliates, which likely will in certain circumstances limit the Fund’s ability to make investments or enter into other transactions alongside the Other Clients. There can be no assurance that such regulatory restrictions will not adversely affect the Fund’s ability to capitalize on attractive investment opportunities. However, subject to the 1940 Act, the Fund may co-invest with Other Clients (including co-investment or other vehicles in which the Firm or its personnel invest and that co-invest with such Other Clients) in investments that are suitable for the Fund and one or more of such Other Clients. Even if the Fund and any such Other Clients and/or co-investment or other vehicles invest in the same securities, conflicts of interest may still arise.

 

The Fund has received an exemptive order from the SEC that permits it, among other things, to co-invest with certain affiliates of the Adviser and certain funds managed and controlled by the Adviser and its affiliates, subject to certain terms and conditions. Such order may restrict the Fund’s ability to enter into follow-on investments or other transactions. Pursuant to such order, the Fund may co-invest in a negotiated deal with certain affiliates of the Adviser or certain funds managed and controlled by the Adviser and its affiliates, subject to certain terms and conditions. The Fund may also receive an allocation in such a deal alongside affiliates pursuant to other mechanisms to the extent permitted by the 1940 Act.

 

Debt Financings in connection with Acquisitions and Dispositions. To the extent permitted by the 1940 Act, the Fund may from time to time provide financing (i) as part of a third party purchaser’s bid for, or acquisition of, a portfolio entity or the underlying assets thereof owned by one or more Other Clients and/or (ii) in connection with a proposed acquisition or investment by one or more Other Clients or affiliates of a portfolio company and/or its underlying assets. This generally would include the circumstance where the Fund is making commitments to provide financing at or prior to the time such third-party purchaser commits to purchase such investments or assets from one or more Other Clients. While the terms and conditions of any such arrangements will generally be at arms’ length terms negotiated on a case by case basis, the involvement of the Fund and/or such Other Clients or affiliates may affect the terms of such transactions or arrangements and/or may otherwise influence the Adviser’s decisions with respect to the management of the Fund and/or such Other Clients or the relevant portfolio company, which may give rise to potential or actual conflicts of interest and which could adversely impact the Fund.

 

The Fund may from time to time dispose of all or a portion of an investment where the Firm or one or more Other Clients is providing financing to repay debt issued to the Fund. Such involvement may give rise to potential or actual conflicts of interest.

 

Activities of Principals and Employees. Certain of the principals and employees of the Adviser may be subject to a variety of conflicts of interest relating to their responsibilities to the Fund and the management of the Fund’s investment portfolio. Such individuals may serve in an advisory capacity to other managed accounts or investment vehicles. Such positions may create a conflict between the services and advice provided to such entities and the responsibilities owed to the Fund. The other managed accounts and/or investment funds in which such individuals may become involved may have investment objectives that overlap with the Fund. Furthermore, certain principals and employees of the Adviser may have a greater financial interest in the performance of such other funds or accounts than the performance of the Fund. Such involvement may create conflicts of interest in making investments on behalf of the Fund and such other funds and accounts. Such principals and employees will seek to limit any such conflicts in a manner that is in accordance with their fiduciary duties to the Fund.

 

Multiple Firm Business Lines. The Firm has multiple business lines, including the Blackstone Capital Markets Group, which Blackstone, GSO, the Fund, Other Clients, portfolio entities of the Fund and Other Clients and third parties may engage for debt and equity financings and to provide other investment banking, brokerage, investment advisory or other services. As a result of these activities, the Firm is subject to a number of actual and potential conflicts of interest, greater regulatory oversight and more legal and contractual restrictions than if it had one line of business. For example, the Firm may come into possession of information that limits the Fund’s ability to engage in potential transactions. Similarly, other Firm businesses and their personnel may be prohibited by law or contract from sharing information with GSO that would be relevant to monitoring the Fund’s investments and other activities. Additionally, Blackstone, GSO or Other Clients can be expected to enter into covenants that restrict or otherwise limit the ability of the Fund or its portfolio entities and their affiliates to make investments in, or otherwise engage in, certain businesses or activities. For example, Other Clients could have granted exclusivity to a joint venture partner that limits the Fund and Other Clients from owning assets within a certain distance of any of the joint venture’s assets, or Blackstone, GSO or an Other Client could have entered into a non-compete in connection with a sale or other transaction. These types of restrictions may negatively impact the ability of the Fund to implement its investment program. (See also “Other Blackstone and GSO Clients; Allocation of Investment Opportunities”). Finally, Blackstone and GSO personnel who are members of the investment team or investment committee may be excluded from participating in certain investment decisions due to conflicts involving other Firm businesses or for other reasons, in which case the Fund will not benefit from their experience. The shareholders will not receive a benefit from any fees earned by the Firm or their personnel from these other businesses.

 

Service Providers and CounterpartiesCertain of the Fund’s, the Firm’s and/or portfolio companies’ advisors and other service providers or their affiliates (including accountants, administrators, lenders, bankers, brokers, attorneys, consultants, and investment or commercial banking firms) also provide goods or services to, or have business, personal, financial or other relationships with, the Firm, its affiliates and portfolio companies. Such advisors and service providers (or their affiliates) may be investors in the Fund, sources of investment opportunities, co-investors, commercial counterparties and/or portfolio companies in which the Firm and/or the Fund has an investment. Accordingly, payments by the Fund and/or such entities may indirectly benefit the Fund and/or its affiliates. In addition, the retention of such entities as advisors or service providers may give rise to actual or potential conflicts of interest. Additionally, certain employees and other professionals of the Firm may have family members or relatives employed by such advisors and service providers (or their affiliates) or otherwise actively involved in (or have business, financial or other relationships with) relevant industries. For example, such family members or relatives might be employees, officers, directors or owners of companies or assets that are actual or potential investments of the Fund or other counterparties of the Fund and its portfolio companies and/or assets. Moreover, in certain instances, the Fund or its portfolio companies may issue loans to or acquire securities from, or otherwise transact with, companies that are owned by such family members or relatives or in respect of which such family members or relatives have other involvement. These relationships may influence GSO and/or the Adviser in deciding whether to select or recommend such advisors or service providers to perform services for the Fund or portfolio companies (the cost of which will generally be borne directly or indirectly by the Fund or such portfolio companies, as applicable). Notwithstanding the foregoing, investment transactions relating to the Fund that require the use of a service provider will generally be allocated to service providers on the basis of best execution, the evaluation of which includes, among other considerations, such service provider’s provision of certain investment-related services and research that the Adviser believes to be of benefit to the Fund.

 

Certain Blackstone-affiliated service providers and their respective personnel will receive a management promote, an incentive fee and other performance-based compensation in respect of investments. Furthermore, Blackstone-affiliated service providers may charge costs and expenses based on allocable overhead associated with personnel working on relevant matters (including salaries, benefits and other similar expenses), provided that these amounts will not exceed market rates as determined by Blackstone or GSO to be appropriate under the circumstances.

 

Portfolio company service providers described in this section are generally owned by an Other Client. In certain instances a similar company could be owned by Blackstone directly. Blackstone could cause a transfer of ownership of one of these service providers from an Other Client to a Fund. The transfer of a portfolio company service provider between a Fund and an Other Client will generally be consummated for minimal or no consideration, and without obtaining any consent from a limited partner advisory committee. In such instances, GSO may, but is not required to, obtain a third party valuation confirming the same, and if it does, GSO may rely on such valuation.

 

Advisers and service providers, or their affiliates, often charge different rates (including below-market or no fee) or have different arrangements for different types of services. With respect to service providers, for example, the fee for a given type of work may vary depending on the complexity of the matter as well as the expertise required and demands placed on the service provider. Therefore, to the extent the types of services used by the Fund and/or portfolio companies are different from those used by the Firm and its affiliates (including personnel), GSO or its affiliates (including personnel) may pay different amounts or rates than those paid by the Fund and/or portfolio companies. However, GSO and its affiliates have a longstanding practice of not entering into any arrangements with advisors or service providers that could provide for lower rates or discounts than those available to the Fund, Other Clients and/or portfolio companies for the same services. In addition, the Firm and its affiliates, including without limitation, the Fund, the Other Clients and/or their portfolio companies, may enter into agreements or other arrangements with vendors and other similar counterparties (whether such counterparties are affiliated or unaffiliated with the Firm) from time to time whereby such counterparty may charge lower rates (or no fee) and/or provide discounts or rebates for such counterparty’s products and/or services depending on certain factors, including without limitation, volume of transactions entered into with such counterparty by the Firm, its affiliates, the Fund, the Other Clients and their portfolio companies in the aggregate. Furthermore, advisors and service providers may provide services exclusively to GSO and/or Blackstone, including Other Clients and their portfolio companies, although such advisors and service providers will not be considered employees of Blackstone or GSO.

 

In addition, certain advisors and service providers (including law firms) may temporarily provide their personnel to GSO and/or Blackstone pursuant to various arrangements including at cost or at no cost. While often the Fund is the beneficiary of these types of arrangements, GSO and/or Blackstone are from time to time the beneficiaries of these arrangements as well, including in circumstances where the advisor or service provider also provides services to the Fund in the ordinary course. Such personnel may provide services in respect of multiple matters, including in respect of matters related to GSO and/or Blackstone, their affiliates and/or portfolio companies and any costs of such personnel may be allocated accordingly.

 

In addition, investment banks or other financial institutions, as well as Blackstone employees, may also be Fund investors. These institutions and employees are a potential source of information and ideas that could benefit the Fund. Blackstone has procedures in place reasonably designed to prevent the inappropriate use of such information by the Fund.

 

Blackstone may, from time to time, encourage service providers to funds and investments to use, at market rates and/or on arm’s length terms, Blackstone-affiliated service providers in connection with the business of the Fund, portfolio companies, and unaffiliated entities. This practice provides an indirect benefit to Blackstone in the form of added business for Blackstone-affiliated service providers.

 

Blackstone-affiliated service providers are generally expected to receive competitive market rate fees (as determined by the Adviser or its affiliates) with respect to certain Investments, include:

 

  COE. The Blackstone Center of Excellence, located in Gurgaon, India (the “COE”) is a captive center of resources administered by Blackstone and ThoughtFocus Technologies LLC (“ThoughtFocus”), an independent firm in which Blackstone holds a minority position and participates as a member of the board. The COE is expected to perform services for certain funds that may have historically been performed by Blackstone personnel, such as funds’ administrative services, data collection and management services, and technology implementation and support services, which may be paid for by the funds that receive such services on a similar basis as a third party providing such services. Blackstone, through its interest in ThoughtFocus, receives an indirect benefit resulting from the funds’ payments for such services. These fees do not offset management fees payable by the shareholders.

 

  Equity Healthcare. Equity Healthcare LLC (“Equity Healthcare”) is a Blackstone affiliate that negotiates with providers of standard administrative services for health benefit plans and other related services for cost discounts, quality of service monitoring, data services and clinical consulting. Because of the combined purchasing power of its client participants, which include unaffiliated third parties, Equity Healthcare is able to negotiate pricing terms that are believed to be more favorable than those that the portfolio companies could obtain on an individual basis. The fees received by Equity Healthcare in connection with services provided to investments will not offset the management fee payable by shareholders.

 

  Optiv. Optiv is a portfolio company held by certain Blackstone private equity funds that provides a full slate of information security services and solutions and may provide goods and services for the Blackstone funds and their portfolio companies.

 

  BTIG. In December 2016, certain funds made a strategic minority investment in BTIG. BTIG is a global financial services firm that provides institutional trading, investment banking, research and related brokerage services and may provide goods and services for the Fund, Other Clients or any of their portfolio companies and the Blackstone Tactical Opportunities Program.

 

  Refinitiv. In October 2018, a consortium led by Blackstone acquired a 55% equity stake of Refinitiv, formerly the Financial & Risk division of Thomson Reuters, which includes the Evaluated Pricing Service (formerly known as Thomson Reuters Pricing Service). From time to time, Refinitiv is expected to provide valuation and other services to the Fund on an arms-length basis.

 

Allocation of Personnel. The Adviser and their respective members, partners, officers and employees will devote as much of their time to the activities of the Fund as they deem necessary to conduct its business affairs in an appropriate manner. By the terms of the Investment Advisory Agreement, the Adviser is not restricted from forming additional investment funds, from entering into other investment advisory relationships or from engaging in other business activities, even though such activities may be in competition with the Fund and/or may involve substantial time and resources of the Adviser. These activities could be viewed as creating a conflict of interest in that the time and effort of the members of the Adviser and GSO, and their officers and employees will not be devoted exclusively to the business of the Fund, but will be allocated between the business of the Fund and the management of the monies of such other advisees of the Adviser and GSO. Time spent on these other initiatives diverts attention from the activities of the Fund, which could negatively impact the Fund and Common Shareholders. Furthermore, GSO and GSO personnel derive financial benefit from these other activities, including fees and performance-based compensation. Firm personnel outside of GSO may share in the fees and performance-based compensation from the Fund; similarly, GSO personnel may share in the fees and performance-based compensation generated by Other Clients. These and other factors create conflicts of interest in the allocation of time by Firm personnel. GSO’s determination of the amount of time necessary to conduct the Fund’s activities will be conclusive, and Common Shareholders rely on GSO’s judgment in this regard.

 

Portfolio Company Data. The Firm receives or obtains various kinds of data and information from the Fund, Other Clients and their portfolio companies, including data and information relating to business operations, trends, budgets, customers and other metrics, some of which are sometimes referred to as “big data.” The Firm can be expected to be better able to anticipate macroeconomic and other trends, and otherwise develop investment themes, as a result of its access to (and rights regarding) this data and information from the Fund, Other Clients and their portfolio companies. The Firm has entered and will continue to enter into information sharing and use arrangements with the Fund, Other Clients and their portfolio companies, related parties and service providers, which may give the Firm access to (and rights regarding) data that it would not otherwise obtain in the ordinary course. Although the Firm believes that these activities improve the Firm’s investment management activities on behalf of the Fund and Other Clients, information obtained from the Fund and portfolio companies also provides material benefits to Blackstone, GSO or Other Clients without compensation or other benefit accruing to the Fund or Common Shareholders. For example, information from a portfolio company in which the Fund holds an interest can be expected to enable the Firm to better understand a particular industry and execute trading and investment strategies in reliance on that understanding for Blackstone, GSO and Other Clients that do not own an interest in the portfolio company, without compensation or benefit to the Fund or portfolio companies.

 

 

Furthermore, except for contractual obligations to third parties to maintain confidentiality of certain information, and regulatory limitations on the use of material nonpublic information, the Firm is generally free to use data and information from the Fund’s activities to assist in the pursuit of the Firm’s various other activities, including to trade for the benefit of the Firm and/or an Other Client in the securities of unaffiliated issuers while using or otherwise being in possession of such information. Any confidentiality obligations in the investment sub-advisory agreement do not limit the Firm’s ability to do so. For example, the Firm’s ability to trade in securities of an issuer relating to a specific industry may, subject to applicable law, be enhanced by information of a portfolio company and/or entity in the same or related industry. Such trading can be expected to provide a material benefit to the Firm without compensation or other benefit to the Fund or Common Shareholders.

 

The Firm believes that access to this information furthers the interests of the Common Shareholders by providing opportunities for operational improvements across portfolio companies and/or entities and in connection with the Fund’s investment management activities. Subject to appropriate contractual arrangements, the Firm may also utilize such information outside of the Fund’s activities in a manner that provides a material benefit to the Firm and/or its affiliates, but not the Fund. The sharing and use of “big data” and other information presents potential conflicts of interest and investors acknowledge and agree that any benefits received by the Firm or its personnel (including fees (in cash or in kind), costs and expenses) will not be subject to management fee offset provisions or otherwise shared with the Fund or Common Shareholders. As a result, the Adviser may have an incentive to pursue investments that have data and information that can be utilized in a manner that benefits the Firm or Other Clients.

 

Material, Non-Public InformationGSO may come into possession of material non-public information with respect to an issuer. Should this occur, GSO would be restricted from buying, originating or selling securities, loans of, or derivatives with respect to, the issuer on behalf of the Fund until such time as the information becomes public or is no longer deemed material such that it would preclude the Fund from participating in an investment. Disclosure of such information to the Adviser’s personnel responsible for the affairs of the Fund will be on a need-to-know basis only, and the Fund may not be free to act for the Fund upon any such information. Therefore, the Fund may not have access to material non-public information in the possession of GSO that might be relevant to an investment decision to be made for the Fund. In addition, GSO, in an effort to avoid buying or selling restrictions on behalf of the Fund or Other Clients, may choose to forgo an opportunity to receive (or elect not to receive) information that other market participants or counterparties, including those with the same positions in the issuer as the Fund, are eligible to receive or have received, even if possession of such information would otherwise be advantageous to the Fund.

 

In addition, affiliates of GSO within Blackstone may come into possession of material non-public information with respect to an issuer. Should this occur, GSO may be restricted from buying, originating or selling securities, loans of, or derivatives with respect to, the issuer on behalf of the Fund if the Firm deemed such restriction appropriate. Disclosure of such information to the Adviser’s personnel responsible for the affairs of the Fund will be on a need-to-know basis only, and the Fund may not be free to act upon any such information. Therefore, the Fund may not have access to material non-public information in the possession of the Firm that might be relevant to an investment decision to be made by the Fund. Accordingly, the Fund may not be able to initiate a transaction that it otherwise might have initiated and may not be able to sell an investment that it otherwise might have sold.

 

Other Trading and Investing ActivitiesCertain Other Clients may invest in securities of publicly traded companies that are actual or potential investments of the Fund. The trading activities of those vehicles may differ from or be inconsistent with activities that are undertaken for the account of the Fund in such securities or related securities. In addition, the Fund might not pursue an investment in an issuer as a result of such trading activities by Other Clients.

 

Possible Future ActivitiesThe Firm and its affiliates may expand the range of services that it provides over time. Except as provided herein, the Firm and its affiliates will not be restricted in the scope of its business or in the performance of any such services (whether now offered or undertaken in the future) even if such activities could give rise to conflicts of interest, and whether or not such conflicts are described herein. The Firm and its affiliates have, and will continue to develop, relationships with a significant number of companies, financial sponsors and their senior managers, including relationships with clients who may hold or may have held investments similar to those intended to be made by the Fund. These clients may themselves represent appropriate investment opportunities for the Fund or may compete with the Fund for investment opportunities.

 

Regulatory Inquiries. Blackstone is subject to extensive regulation, including periodic examinations, by governmental agencies and self-regulatory organizations in the jurisdictions in which it operates around the world. These authorities have regulatory powers dealing with many aspects of financial services, including the authority to grant, and in specific circumstances to cancel, permissions to carry on particular activities. Many of these regulators, including U.S. and foreign government agencies and self-regulatory organizations, as well as state securities commissions in the United States, are also empowered to conduct investigations and administrative proceedings that can result in fines, suspensions of personnel, changes in policies, procedures or disclosure or other sanctions, including censure, the issuance of cease-and-desist orders, the suspension or expulsion of a broker-dealer or investment adviser from registration or memberships or the commencement of a civil or criminal lawsuit against Blackstone or its personnel. Blackstone is regularly subject to requests for information and informal or formal investigations by the SEC and other regulatory authorities, with which Blackstone routinely cooperates and even historical practices that have been previously examined are being revisited. Even if an investigation or proceeding did not result in a sanction or the sanction imposed against Blackstone or its personnel by a regulator were small in monetary amount, the adverse publicity relating to the investigation, proceeding or imposition of these sanctions could harm Blackstone, GSO, the Adviser and the Fund. While it is difficult to predict what impact, if any, the foregoing may have, there can be no assurance that any of the foregoing, whether applicable to Blackstone or GSO specifically or the underlying funds in which Blackstone or GSO invests generally, would not have a material adverse effect on the Fund and its ability to achieve its investment objective. As a result, there can be no assurance that any of the foregoing will not have an adverse impact on Blackstone, GSO or the Adviser or otherwise impede the Fund’s ability to effectively achieve its investment objective.

 

Restrictions Arising under the Securities Laws. The Firm’s activities and the activities of Other Clients (including, without limitation, the holding of securities positions or having one of its employees on the board of directors of a portfolio company) could result in securities law restrictions (including under the 1940 Act) on transactions in securities held by the Fund, affect the prices of such securities or the ability of such entities to purchase, retain or dispose of such investments, or otherwise create conflicts of interest, any of which could have an adverse impact on the performance of the Fund and thus the return to the Common Shareholders.

 

In addition, the 1940 Act limits the Fund’s ability to enter into certain transactions with certain of the Fund’s affiliates. As a result of these restrictions, the Fund may be prohibited from buying or selling any security directly from or to any portfolio company of a fund or account managed by the Firm. However, the Fund may under certain circumstances purchase any such portfolio company’s securities in the secondary market, which could create a conflict for the Adviser between its interests in the Fund and the portfolio company, in that the ability of the Adviser to act in the Fund’s best interest might be restricted by applicable law. The 1940 Act also prohibits certain “joint” transactions with certain of the Fund’s affiliates, which could include investments in the same portfolio company (whether at the same or different times) or buying investments from, or selling them to, Other Clients. These limitations may limit the scope of investment opportunities that would otherwise be available to the Fund.

 

Additional Potential Conflicts. The officers, directors, members, managers, and employees of the Adviser and GSO may trade in securities for their own accounts, subject to restrictions and reporting requirements as may be required by law or the Firm’s policies, or otherwise determined from time to time by the Adviser or GSO, as applicable. In addition, certain Other Clients may be subject to the 1940 Act or other regulations that, due to the role of the Firm, could restrict the ability of the Fund to buy investments from, to sell investments to or to invest in the same securities as, such Other Clients. Such regulations may have the effect of limiting the investment opportunities available to the Fund.

 

Transactions with Clients of Blackstone Insurance Solutions. Blackstone Insurance Solutions (“BIS”) is a business unit of Blackstone that is comprised of two affiliated registered investment advisers. BIS provides investment advisory services to insurers (including insurance companies that are owned, directly or indirectly, by Blackstone or Other Clients, in whole or in part). Actual or potential conflicts of interest may arise with respect to the relationship of the Fund and portfolio companies with the funds, vehicles or accounts BIS advises or sub-advises, including accounts where an insurer participates in investments directly and there is no separate vehicle controlled by Blackstone (collectively, “BIS Clients”). BIS Clients may have investment objectives that overlap with those of the Fund or portfolio companies, and such BIS Clients may invest alongside the Fund or such portfolio companies in certain investments, which will reduce the investment opportunities otherwise available to the Fund or such portfolio companies. BIS Clients will also participate in transactions related to the Fund and/or portfolio companies (e.g., as originators, co-originators, counterparties or otherwise). Other transactions in which BIS Clients will participate include, without limitation, investments in debt or other securities issued by portfolio companies or other forms of financing to portfolio companies (including special purpose vehicles established by the Fund or such portfolio companies). When investing alongside the Fund or portfolio companies or in other transactions related to the Fund or portfolio companies (to the extent permitted by the 1940 Act or exemptive relief from the SEC), BIS Clients may or may not invest or divest at the same time or on the same terms as the Fund or the applicable portfolio companies. BIS Clients will also from time to time acquire investments and portfolio companies directly or indirectly from the Fund, including one or more royalty streams, which may be securitized along with other royalty streams. In circumstances where GSO determines in good faith that the conflict of interest is mitigated in whole or in part through various measures that Blackstone, GSO or GSO / Blackstone implements, GSO / Blackstone will not be required to seek approval of the Board or the shareholders. In order to seek to mitigate any potential conflicts of interest with respect to such transactions (or other transactions involving BIS Clients), Blackstone may, in its discretion, involve independent members of the board of a portfolio company or a third party stakeholder in the transaction to negotiate price and terms on behalf of the BIS Clients or otherwise cause the BIS Clients to “follow the vote” thereof, and/or cause an independent client representative or other third party to approve the investment or otherwise represent the interests of one or more of the parties to the transaction. In addition, Blackstone or GSO / Blackstone may limit the percentage interest of the BIS Clients participating in such transaction, or obtain appropriate price quotes or other benchmarks, or, alternatively, a third-party price opinion or other document to support the reasonableness of the price and terms of the transaction. BIS will also from time to time require the applicable BIS Clients participating in a transaction to consent thereto (including in circumstances where GSO / Blackstone does not seek the consent of the Board or the shareholders). There can be no assurance that any such measures or other measures that may be implemented by Blackstone will be effective at mitigating any actual or potential conflicts of interest.

 

(a)(3) Portfolio Manager Compensation as of September 30, 2019

 

The Adviser’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary and a discretionary bonus.

 

Base Compensation. Generally, portfolio managers receive base compensation and employee benefits based on their individual seniority and/or their position with the firm.

 

Discretionary Compensation. In addition to base compensation, portfolio managers may receive discretionary compensation. Discretionary compensation is based on individual seniority, contributions to the Adviser and performance of the client assets that the portfolio manager has primary responsibility for. The discretionary compensation is not based on a precise formula, benchmark or other metric. These compensation guidelines are structured to closely align the interests of employees with those of the Adviser and its clients.

 

(a)(4) Dollar Range of Securities Owned as of December 31, 2019.

 

Portfolio Managers Dollar Range of the Registrant’s Securities Owned by the Portfolio Managers
Robert Zable  $50,001 - $100,000
Gordon McKemie  $100,001 - $500,000

 

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

 

None

 

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

 

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

 

Item 11.Controls and Procedures.

 

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

 

(b)There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

 

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

 

Not applicable.

 

Item 13.Exhibits.

 

(a)(1) The Code of Ethics that applies to the registrant’s principal executive officer and principal financial officer is attached hereto as Exhibit 13.A.1.

 

(a)(2) The certifications required by Rule 30a-2(a) under the 1940 Act, and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.Cert.

 

(a)(3) Not applicable.

 

(a)(4) Not applicable.

 

(b) The certifications by the registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act, and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.906Cert.

 

(c) The Proxy Voting Policies and Procedures are attached hereto as Exhibit 99.7.

 

SIGNATURES

 

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

 

Blackstone / GSO Senior Floating Rate Term Fund  
     
By: /s/ Daniel H. Smith, Jr.
  Daniel H. Smith, Jr. (Principal Executive Officer)  
  Chief Executive Officer and President  
     
Date: March 6, 2020

 

By: /s/ Robert W. Busch  
Robert W. Busch (Principal Financial Officer)  
Treasurer and Chief Financial Officer  
     
Date: March 6, 2020  

 

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

 

Blackstone / GSO Senior Floating Rate Term Fund  
     
By: /s/ Daniel H. Smith, Jr.  
Daniel H. Smith, Jr. (Principal Executive Officer)  
Chief Executive Officer and President  
     
Date: March 6, 2020  
     
By: /s/ Robert W. Busch  
Robert W. Busch (Principal Financial Officer)  
Treasurer and Chief Financial Officer  
     
Date: March 6, 2020  

 

Exhibit 13.A.1

 

CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND
SENIOR FINANCIAL OFFICERS ADOPTED PURSUANT TO RULES PROMULGATED UNDER SECTION 406 OF THE SARBANES-OXLEY ACT OF 2002

 

I.Covered Officers/Purpose of the Code

 

This code of ethics (the “Code”) of Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund, Blackstone / GSO Strategic Credit Fund and Blackstone / GSO Floating Rate Enhanced Income Fund (the “Funds” and each a “Fund”), applies to each Fund's principal executive officer and principal financial officer (the “Covered Officers”) for the purpose of promoting:

 

honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

 

full, fair, accurate, timely and understandable disclosure in reports and documents that each Fund files with, or submits to, the Securities and Exchange Commission (“SEC”) and in other public communications made by the Fund;

 

compliance with applicable laws and governmental rules and regulations;

 

the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

 

accountability for adherence to the Code.

 

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

 

II.Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest

 

Overview. A “conflict of interest” occurs when a Covered Officer's private interest interferes with the interests of, or the Covered Officer's service to, the Funds. For example, a conflict of interest would arise if a Covered Officer, or a member of the Covered Officer's family, receives improper personal benefits as a result of the Covered Officer's position with the a Fund.

 

Certain conflicts of interest arise out of the relationships between Covered Officers and the Funds and already are subject to conflict of interest provisions in the 1940 Act, and the Advisers Act. For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Funds because of their status as “affiliated persons” of the Funds. The Funds’ and their investment adviser's compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code. Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Funds and their investment adviser or a third party service provider of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Funds or for the Adviser or a third party service provider, or for one or more of them), be involved in establishing policies and implementing decisions that will have different effects on the Adviser, third party service provider and the Funds. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Funds and the Adviser or third party service provider and is consistent with the performance by the Covered Officers of their duties as officers of the Funds. Thus, if performed in conformity with the provisions of the 1940 Act and the Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Boards that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes.

 

 

 

Exhibit 13.A.1

 

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the 1940 Act and the Advisers Act.

 

III.Disclosure and Compliance

 

Each Covered Officer of the Funds should become familiar with the disclosure requirements generally applicable to the Funds;

 

each Covered Officer of the Funds should not knowingly misrepresent, or cause others to misrepresent, facts about the Funds to others, whether within or outside the Funds, including to the Funds’ Trustees and auditors, and to governmental regulators and self-regulatory organizations;

 

each Covered Officer of the Funds should, to the extent appropriate within the Covered Officer's area of responsibility, consult with other officers and employees of the Funds and its investment adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents each Fund files with, or submits to, the SEC and in other public communications made by the Funds; and

 

it is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

 

IV.Reporting and Accountability

 

Each Covered Officer of the Funds must:

 

upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Boards that the Covered Officer has received, read and understands the Code;

 

annually thereafter affirm to the Boards that the Covered Officer has complied with the requirements of the Code;

 

 

 

Exhibit 13.A.1

 

not retaliate against any other Covered Officer or any employee of the Funds or its affiliated persons for reports of potential violations that are made in good faith; and

 

notify the Chief Compliance Officer of the Funds promptly if the Covered Officer knows of any violation of this Code. Failure to do so is itself a violation of this Code.

 

The Chief Compliance Officer of the Funds is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. The Chief Compliance Officer of the Funds is authorized to consult, as appropriate, with counsel to the Funds and counsel to the Trustees of the Funds who are not “interested persons,” as defined by Section 2(a)(19) of the 1940 Act, of the Funds (the “Independent Trustees”), and is encouraged to do so. However, any approvals or waivers1 will be considered by Independent Trustees.

 

The Funds will follow these procedures in investigating and enforcing this Code:

 

the Chief Compliance Officer will take all appropriate action to investigate any reported potential violations;

 

if, after such investigation, the Chief Compliance Officer believes that no violation has occurred, the Chief Compliance Officer is not required to take any further action;

 

any matter that the Chief Compliance Officer believes is a violation will be reported to the Independent Trustees;

 

if the Independent Trustees concur that a violation has occurred, it will inform and make a recommendation to the Board, which will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel Adviser or Board; or a recommendation to dismiss the Covered Officer; and

 

any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

 

V.Other Policies and Procedures

 

This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds, the Adviser, principal underwriter (if applicable), or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The codes of ethics under Rule 17j-1 under the 1940 Act of the Funds, the Adviser and principal underwriter are separate requirements applying to the Covered Officers and others, and are not part of this Code.

 

 
1For this purpose, the term “waiver” includes the approval by the Fund of a material departure from a provision of the Code or the Fund's failure to take action within a reasonable period of time regarding a material departure from a provision of the Code that has been made known to Fund management.

 

 

Exhibit 13.A.1

 

VI.Amendments

 

Any amendments to this Code, other than amendments to Attachments A or B, must be approved or ratified by a majority vote of the Board, including a majority of the Independent Trustees.

 

VII.Confidentiality

 

All reports and records relating to the Funds prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Adviser or the Boards, counsel to the Funds and counsel to the Independent Trustees.

 

VIII.Internal Use

 

The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion.

 

 

Exhibit 99.Cert

 

I, Daniel H. Smith, Jr., President and Chief Executive Officer of the Blackstone / GSO Senior Floating Rate Term Fund (the “Registrant”), certify that:

 

1.I have reviewed this report on Form N-CSR of the Registrant;

 

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

 

4.The Registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

 

a.Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

b.Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

c.Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

d.Disclosed in the report any change in the Registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

 

5.The Registrant’s other certifying officer and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

 

a.All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

 

b.Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

 

By: /s/ Daniel H. Smith, Jr.  
Daniel H. Smith, Jr. (Principal Executive Officer)  
President and Chief Executive Officer  
Date: March 6, 2020  

 

I, Robert W. Busch, Treasurer and Chief Financial Officer of the Blackstone / GSO Senior Floating Rate Term Fund (the “Registrant”), certify that:

 

1.I have reviewed this report on Form N-CSR of the Registrant;

 

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

 

4.The Registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

 

a.Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

b.Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

c.Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

d.Disclosed in the report any change in the Registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

 

5.The Registrant’s other certifying officer and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

 

a.all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

 

b.any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

 

By: /s/ Robert W. Busch  
Robert W. Busch (Principal Financial Officer)  
Treasurer and Chief Financial Officer  
Date: March 6, 2020  

 

Exhibit 99.906Cert

 

This certification is furnished pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended December 31, 2019 (the “Report”) of the Blackstone / GSO Senior Floating Rate Term Fund (the “Registrant”).

 

I, Daniel H. Smith, Jr., the President and Chief Executive Officer of the Registrant, certify that:

 

(i)the Report fully complies with the requirements of Section 13(a) or Section 15(d), as applicable, of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

 

(ii)the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

 

Dated: March 6, 2020  
     
By: /s/ Daniel H. Smith, Jr.  
Daniel H. Smith, Jr. (Principal Executive Officer)  
President and Chief Executive Officer  

 

This certification is furnished pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended December 31, 2019 (the “Report”) of the Blackstone / GSO Senior Floating Rate Term Fund (the “Registrant”).

 

I, Robert W. Busch, the Treasurer and Chief Financial Officer of the Registrant, certify that:

 

(i)the Report fully complies with the requirements of Section 13(a) or Section 15(d), as applicable of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

 

(ii)the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

 

Dated: March 6, 2020  
     
By: /s/ Robert W. Busch  
Robert W. Busch (Principal Financial Officer)  
Treasurer and Chief Financial Officer  

 

PROXY VOTING POLICIES AND PROCEDURES OF THE ADVISER

 

The Fund has delegated the voting of proxies for Fund securities to the Adviser pursuant to the Adviser’s proxy voting guidelines. Under these guidelines, the Adviser will vote proxies related to Fund securities in the best interests of the Fund and common shareholders. Set forth below is a copy of the Adviser's proxy voting policy.

 

Information on how the Fund voted proxies (if any) relating to portfolio securities during the most recent 12-month period ended June 30 will be reported on Form N-PX.

 

Adviser Proxy Voting Policies and Procedures

 

By virtue of GSO’s relationship as general partner or investment manager of funds, collateralized loan obligation vehicles, separately managed accounts, and registered funds (“Clients”), the Firm has proxy voting authority with respect to Client securities. When voting proxies on behalf of Clients, GSO’s overall objective is to vote proxies in the best interest of the Clients and, in so doing, to maximize the value of the investments made by the Clients taking into consideration the Clients’ investment horizons and other relevant factors.

 

This document sets forth GSO’s policies and procedures that are designed to meet these overall objectives. As described below, the Firm’s policies and procedures address the following areas:

 

The personnel responsible for monitoring corporate actions, deciding how to vote proxies and confirming that proxies are submitted in a timely manner;

 

The basis on which decisions are made regarding whether and how to vote proxies depending on the nature of the matter at issue;

 

The approach to addressing material conflicts of interest that may arise between GSO and the Clients when voting proxies and how the Firm resolves those conflicts in the best interest of the Clients;

 

The means by which the Clients and their investors may obtain information about proxy voting; and

 

The books and records that GSO retains in connection with proxy voting.

 

While GSO endeavors to follow these policies and procedures in all situations, special circumstances may arise from time to time that warrant a deviation. In addition, GSO will apply its proxy voting policies and procedures to votes cast with respect to publicly traded companies and, to the extent applicable, to analogous actions taken with respect to investments made in private companies.

 

General Procedures

 

Monitoring Corporate Actions

 

The Clients that GSO manages generally make a limited number of investments in equity securities. When the Firm receives proxy voting materials (or similar voting/solicitation notices), they are initially transmitted by the company’s corporate secretary or transfer agent to the Employee who is designated to receive notices in the definitive documentation governing the relevant Client’s investment, if any (the “Proxy Recipient”). The Proxy Recipient must inform the Head of Middle Office and Operations (“Head of MOOG”) of such receipt and review the materials, determine which Client(s) hold the securities and confirm the number of securities with the Head Trader and the Head of MOOG. The Proxy Recipient will also consult the relevant Portfolio Manager(s) of each Client that holds the securities that are the subject of the proxy vote. The Proxy Recipient will monitor the voting deadline to confirm that the deadline for the response is met.

 

 

 

Determination of Voting Decisions

 

Decisions on how to vote a proxy generally are made by the relevant Portfolio Manager. The Portfolio Manager and the members of the investment team covering the applicable security often have the most intimate knowledge of both a company’s operations and the potential impact of a proxy vote’s outcome. Where appropriate, the Portfolio Manager or a member of the investment team may consult with the Chief Compliance Officer or Chief Legal Officer and the members of the applicable Investment Committee regarding decisions and completion of the proxy material. Decisions are based on a number of factors that may vary depending on a proxy’s subject matter, but are guided by the general policies described in this document. In addition, GSO may determine not to vote a proxy after consideration of the vote’s expected benefit to Clients and the cost of voting the proxy.1

 

Communication of Decision

 

After making a decision to vote a proxy and determining how to vote the proxy, the Portfolio Manager or a member of the investment team covering the security will then submit the vote. The Portfolio Manager or such investment team member will send completed copies of the proxy materials to the Proxy Recipient and the Head of MOOG. The procedures for voting proxies may vary, and can include electronic voting, forwarding voting instructions to the custodian or voting proxies forwarded by the custodian.

 

Providing Proxy Voting Information to Clients

 

GSO acknowledges that its investors have a right to information about how the Firm votes Client proxies, and GSO will make information available on request. The Firm also will make a copy of these policies and procedures available on request. When an investor makes a request about a particular vote, GSO usually will provide the following information: (1) the date of the vote; (2) a brief description of the matter voted on; (3) how (or whether) GSO cast the vote on the matter; and (4) any other reasonable information a limited partner might request. Proxy voting information and the procedure for obtaining such information is included in GSO’s Form ADV, which is available to each investor.

 

Books and Records

 

GSO must maintain the following additional records relating to proxy voting, which must be maintained by MOOG, or other applicable individual or group, as indicated, in an easily accessible place for five years from the end of the fiscal year during which the last entry was made on such record, the first two years of which in GSO’s offices.

 

A copy of these proxy voting policies and procedures (maintained by the GSO Legal Compliance Department);

 

A copy of each proxy statement received by GSO regarding Client securities;

 

A record of each vote cast by GSO on behalf of a Client;

 

A copy of all memoranda or similar documents created by GSO that were material to making a decision on the voting of Client securities or that memorialize the basis for that decision (maintained by relevant deal team members); and

 

A copy of each written request by an investor for information on how GSO voted proxies on behalf of a Client, and a copy of any written response by GSO to any request (written or oral) by an investor for information on how GSO voted proxies on behalf of the Client (maintained by the Investor Relations & Business Development group, “IRBD”).

 

 

1 In determining whether the cost of voting a proxy outweighs its expected benefit to Clients, the relevant Portfolio Manager may consider factors such as (1) the subject matter of the vote; (2) the additional length of time that GSO anticipates holding the investment; and (3) logistical issues associated with voting proxies for foreign companies.

 

 

GSO may satisfy the requirement to maintain copies of proxy statements received and a record of votes cast on behalf of the Clients by relying on third parties to make and retain, on behalf of GSO, a copy of such proxy statements and voting records, provided that GSO has obtained an undertaking from the third party to provide a copy of the proxy statements and voting records promptly upon request. GSO also may satisfy the requirement to maintain copies of proxy statements by relying on its ability to obtain a copy of a proxy statement from the SEC’s EDGAR system (to the extent that such proxy statements are available through the EDGAR system).

 



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