FS Credit Opportunities Corp.
Unaudited Consolidated Schedule of Investments
As of March 31, 2022 (in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Rate(b) | Floor(b) | Maturity | Principal Amount(c) | Amortized Cost | Fair Value(d) | ||||||||||||||||||||||||||||||||||||||||||
| Senior Secured Loans—First Lien—80.3% | ||||||||||||||||||||||||||||||||||||||||||||||||||
| ANCILE Solutions, Inc. | (e)(r) | Software & Services | L+700, 3.0% PIK (3.0% Max PIK) | 1.0% | 6/11/26 | $ | 37,159 | $ | 37,159 | $ | 38,599 | |||||||||||||||||||||||||||||||||||||||
| Arrow Purchaser Inc. | (e) | Retailing | L+675 | 1.0% | 4/15/26 | 16,792 | 16,729 | 16,771 | ||||||||||||||||||||||||||||||||||||||||||
| Ascena Retail Group, Inc. | (e)(i)(p) | Retailing | L+450 | 0.8% | 8/21/22 | 35,525 | 12,355 | 111 | ||||||||||||||||||||||||||||||||||||||||||
| Belk, Inc. | (e) | Retailing | 5.0%, 8.0% PIK (8.0% Max PIK) | 7/31/25 | 4,471 | 2,403 | 2,919 | |||||||||||||||||||||||||||||||||||||||||||
| BridgeBio Pharma, Inc. | (r) | Pharmaceuticals, Biotechnology & Life Sciences | 6.0%, 3.0% PIK (3.0% Max PIK) | 11/17/26 | 21,082 | 20,787 | 18,473 | |||||||||||||||||||||||||||||||||||||||||||
| BusPatrol LLC | (r) | Commercial & Professional Services | L+1350 PIK (15.0% Max PIK) | 1.5% | 9/24/24 | 25,106 | 23,794 | 23,725 | ||||||||||||||||||||||||||||||||||||||||||
| BusPatrol LLC | (g)(r) | Commercial & Professional Services | L+1350 PIK (15.0% Max PIK) | 1.5% | 9/24/24 | 1,813 | 1,813 | 1,713 | ||||||||||||||||||||||||||||||||||||||||||
| CCS-CMGC Holdings, Inc. | (e) | Health Care Equipment & Services | L+550 | 10/1/25 | 24,246 | 23,897 | 23,807 | |||||||||||||||||||||||||||||||||||||||||||
| Chinos Intermediate 2, LLC | (e) | Retailing | L+800 | 1.0% | 9/10/27 | 28,860 | 29,314 | 30,505 | ||||||||||||||||||||||||||||||||||||||||||
| CITGO Holding, Inc. | (e) | Energy | L+700 | 1.0% | 8/1/23 | 11,206 | 11,168 | 11,092 | ||||||||||||||||||||||||||||||||||||||||||
| CITGO Petroleum Corp. | (e) | Energy | L+625 | 1.0% | 3/28/24 | 33,897 | 33,746 | 33,879 | ||||||||||||||||||||||||||||||||||||||||||
| Corral Petroleum Sweden AB | (e)(r) | Energy | L+925 | 8/14/24 | 35,000 | 34,956 | 35,044 | |||||||||||||||||||||||||||||||||||||||||||
| Cresco Labs, LLC | (e) | Pharmaceuticals, Biotechnology & Life Sciences | 9.5% | 8/12/26 | 51,000 | 49,434 | 53,040 | |||||||||||||||||||||||||||||||||||||||||||
| ECL Entertainment, LLC | (e) | Consumer Services | L+750 | 0.8% | 3/31/28 | 12,903 | 12,787 | 13,048 | ||||||||||||||||||||||||||||||||||||||||||
| Fairway Group Acquisition Co. | (i)(p)(r)(s) | Food & Staples Retailing | 10.0% PIK (10.0% Max PIK) | 11/27/23 | 5,658 | 4,193 | — | |||||||||||||||||||||||||||||||||||||||||||
| Fairway Group Acquisition Co. | (i)(p)(r)(s) | Food & Staples Retailing | 12.0% PIK (12.0% Max PIK) | 11/27/23 | 9,162 | 7,872 | — | |||||||||||||||||||||||||||||||||||||||||||
| First Brands Group, LLC | (e) | Automobiles & Components | L+500 | 1.0% | 3/30/27 | 24,750 | 23,273 | 24,626 | ||||||||||||||||||||||||||||||||||||||||||
| GSM Midco, LLC | (r) | Consumer Services | L+725 | 1.0% | 3/25/27 | 38,000 | 37,429 | 37,430 | ||||||||||||||||||||||||||||||||||||||||||
| Harland Clarke Holdings Corp. | (e) | Commercial & Professional Services | L+475 | 1.0% | 11/3/23 | 7,315 | 6,749 | 6,765 | ||||||||||||||||||||||||||||||||||||||||||
| LifeScan Global Corp. | (e) | Health Care Equipment & Services | L+600 | 10/1/24 | 51,425 | 49,514 | 49,240 | |||||||||||||||||||||||||||||||||||||||||||
| Maverick Gaming, LLC | (e) | Consumer Services | L+750 | 1.0% | 9/3/26 | 15,423 | 15,142 | 15,249 | ||||||||||||||||||||||||||||||||||||||||||
| Medify Air, LLC | (r) | Capital Goods | L+825 | 1.0% | 12/1/26 | 74,063 | 74,063 | 73,414 | ||||||||||||||||||||||||||||||||||||||||||
| Midas Intermediate Holdco II, LLC | (e)(f) | Consumer Services | L+375, 3.0% PIK (4.0% Max PIK) | 0.8% | 12/22/25 | 28,498 | 26,806 | 26,612 | ||||||||||||||||||||||||||||||||||||||||||
| MLN US Holdco LLC | (e) | Technology Hardware & Equipment | L+450 | 11/30/25 | 10,837 | 8,920 | 10,450 | |||||||||||||||||||||||||||||||||||||||||||
| Monitronics International, Inc. | (e) | Commercial & Professional Services | L+500 | 1.5% | 7/3/24 | 29,876 | 29,894 | 30,025 | ||||||||||||||||||||||||||||||||||||||||||
| Monitronics International, Inc. | (e) | Commercial & Professional Services | L+650 | 1.3% | 3/29/24 | 56,366 | 54,213 | 46,478 | ||||||||||||||||||||||||||||||||||||||||||
| Mountaineer Merger Corp. | (e) | Retailing | L+700 | 0.8% | 10/22/28 | 15,000 | 14,569 | 14,550 | ||||||||||||||||||||||||||||||||||||||||||
See Notes to Unaudited Consolidated Schedule of Investments.
1
FS Credit Opportunities Corp.
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2022 (in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Rate(b) | Floor(b) | Maturity | Principal Amount(c) | Amortized Cost | Fair Value(d) | ||||||||||||||||||||||||||||||||||||||||||
| Nelson Global Products, Inc. | (e)(r) | Automobiles & Components | L+1025 | 1.3% | 9/23/26 | $ | 39,249 | $ | 35,805 | $ | 41,506 | |||||||||||||||||||||||||||||||||||||||
| Nelson Global Products, Inc. | (g)(r) | Automobiles & Components | L+1025 | 1.3% | 9/23/26 | 6,482 | 6,482 | 6,855 | ||||||||||||||||||||||||||||||||||||||||||
| Neovia Logistics, LP | (e) | Transportation | L+650 | 5/8/24 | 35,000 | 34,482 | 30,997 | |||||||||||||||||||||||||||||||||||||||||||
| One Call Corp. | (e) | Health Care Equipment & Services | L+550 | 0.8% | 4/22/27 | 31,740 | 31,174 | 29,836 | ||||||||||||||||||||||||||||||||||||||||||
| Powerhouse Intermediate, LLC | (r) | Commercial & Professional Services | L+1025 | 1.0% | 1/12/27 | 39,800 | 38,070 | 39,451 | ||||||||||||||||||||||||||||||||||||||||||
| Propulsion Acquisition, LLC | (e)(r) | Capital Goods | L+700 | 1.0% | 7/13/24 | 37,478 | 37,100 | 37,946 | ||||||||||||||||||||||||||||||||||||||||||
| Pyxus Holdings Inc. | (e) | Food, Beverage & Tobacco | L+800 | 1.5% | 2/24/25 | 20,105 | 19,728 | 19,514 | ||||||||||||||||||||||||||||||||||||||||||
| Quorum Health Corp. | (e) | Health Care Equipment & Services | L+775 | 1.0% | 4/29/25 | 30,532 | 30,115 | 27,174 | ||||||||||||||||||||||||||||||||||||||||||
| RDV Resources Properties, LLC | (r) | Energy | L+650, 2.0% PIK (2.0% Max PIK) | 1.0% | 3/30/24 | 2,966 | 2,966 | 2,966 | ||||||||||||||||||||||||||||||||||||||||||
| Retail Services WIS Corp. | (e) | Commercial & Professional Services | L+775 | 1.0% | 5/20/25 | 14,793 | 14,476 | 14,571 | ||||||||||||||||||||||||||||||||||||||||||
| S&S Holdings LLC | (e) | Consumer Durables & Apparel | L+500 | 0.5% | 3/10/28 | 22,238 | 21,634 | 21,487 | ||||||||||||||||||||||||||||||||||||||||||
| Salt Creek Aggregator HoldCo, LLC | (e)(r) | Energy | 8.0% PIK (8.0% Max PIK) | 7/12/26 | 16,694 | 16,853 | 18,008 | |||||||||||||||||||||||||||||||||||||||||||
| Schumacher Electric Corp. | (e)(r) | Capital Goods | L+700 | 1.0% | 6/1/27 | 39,700 | 39,343 | 40,097 | ||||||||||||||||||||||||||||||||||||||||||
| Staples Canada, ULC | (e)(r) | Retailing | L+700 | 1.0% | 9/12/24 | C$ | 19,562 | 19,066 | 19,562 | |||||||||||||||||||||||||||||||||||||||||
| Sungard AS New Holdings III, LLC | (e)(r)(s) | Software & Services | S+375, 3.8% PIK (3.8% Max PIK) | 1.0% | 7/1/24 | $ | 6,130 | 6,276 | 5,512 | |||||||||||||||||||||||||||||||||||||||||
| SuperRego, LLC | (r) | Consumer Services | 7.5%, 7.5% PIK (7.5% Max PIK) | 7/30/26 | 15,675 | 15,359 | 14,734 | |||||||||||||||||||||||||||||||||||||||||||
| Syncapay, Inc. | (e) | Software & Services | L+650 | 1.0% | 12/10/27 | 31,484 | 30,355 | 31,223 | ||||||||||||||||||||||||||||||||||||||||||
| TCFIII Owl Finance LLC | (r) | Capital Goods | 0.0% | 1/30/27 | 32,836 | 32,204 | 31,810 | |||||||||||||||||||||||||||||||||||||||||||
| Tensar Corp. | (e) | Materials | L+675 | 1.0% | 8/20/25 | 17,775 | 17,438 | 17,825 | ||||||||||||||||||||||||||||||||||||||||||
| Thryv, Inc. | (e) | Media | L+850 | 1.0% | 3/1/26 | 13,113 | 12,786 | 13,160 | ||||||||||||||||||||||||||||||||||||||||||
| United Gaming LLC | (r) | Consumer Services | L+900 | 6/9/25 | 40,740 | 40,343 | 39,670 | |||||||||||||||||||||||||||||||||||||||||||
| United Gaming LLC | (g)(r) | Consumer Services | L+900 | 6/9/25 | 8,954 | 8,954 | 8,719 | |||||||||||||||||||||||||||||||||||||||||||
| US Renal Care, Inc. | (e)(f) | Health Care Equipment & Services | L+500 | 6/26/26 | 16,929 | 15,570 | 15,617 | |||||||||||||||||||||||||||||||||||||||||||
| US Renal Care, Inc. | (e) | Health Care Equipment & Services | L+550 | 1.0% | 6/26/26 | 12,935 | 12,770 | 11,989 | ||||||||||||||||||||||||||||||||||||||||||
| Wok Holdings, Inc. | (e) | Consumer Services | L+625 | 3/1/26 | 4,439 | 4,404 | 4,386 | |||||||||||||||||||||||||||||||||||||||||||
| Total Senior Secured Loans—First Lien | 1,206,732 | 1,182,180 | ||||||||||||||||||||||||||||||||||||||||||||||||
| Unfunded Loan Commitments | (17,249) | (17,249) | ||||||||||||||||||||||||||||||||||||||||||||||||
| Net Senior Secured Loans—First Lien | 1,189,483 | 1,164,931 | ||||||||||||||||||||||||||||||||||||||||||||||||
| Senior Secured Loans—Second Lien—12.7% | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Astro One Acquisition Corp. | (e) | Consumer Durables & Apparel | L+850 | 0.8% | 10/25/29 | 10,000 | 8,831 | 9,132 | ||||||||||||||||||||||||||||||||||||||||||
| Aveanna Healthcare LLC | (e) | Health Care Equipment & Services | L+700 | 0.5% | 12/10/29 | 20,000 | 19,805 | 19,150 | ||||||||||||||||||||||||||||||||||||||||||
| Eversana Life Sciences Services, LLC | (e) | Health Care Equipment & Services | L+800 | 0.5% | 11/23/29 | 7,000 | 6,898 | 6,965 | ||||||||||||||||||||||||||||||||||||||||||
| Fairway Group Acquisition Co. | (i)(p)(r)(s) | Food & Staples Retailing | 11.0% PIK (11.0% Max PIK) | 2/24/24 | 5,113 | 3,679 | — | |||||||||||||||||||||||||||||||||||||||||||
See Notes to Unaudited Consolidated Schedule of Investments.
2
FS Credit Opportunities Corp.
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2022 (in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Rate(b) | Floor(b) | Maturity | Principal Amount(c) | Amortized Cost | Fair Value(d) | ||||||||||||||||||||||||||||||||||||||||||
| First Brands Group, LLC | (e) | Automobiles & Components | L+850 | 1.0% | 3/30/28 | $ | 20,000 | $ | 19,642 | $ | 20,033 | |||||||||||||||||||||||||||||||||||||||
| Infinite Bidco LLC | (e) | Capital Goods | L+700 | 0.5% | 3/2/29 | 10,000 | 9,955 | 9,900 | ||||||||||||||||||||||||||||||||||||||||||
| LaserShip, Inc. | (e) | Transportation | L+750 | 0.8% | 4/30/29 | 27,272 | 27,103 | 27,204 | ||||||||||||||||||||||||||||||||||||||||||
| MLN US Holdco LLC | (e) | Technology Hardware & Equipment | L+875 | 11/30/26 | 16,896 | 15,736 | 15,536 | |||||||||||||||||||||||||||||||||||||||||||
| NGS US Finco, LLC | (e) | Energy | L+850 | 1.0% | 4/1/26 | 30,000 | 29,702 | 28,050 | ||||||||||||||||||||||||||||||||||||||||||
| S&S Holdings LLC | (e) | Consumer Durables & Apparel | L+875 | 0.5% | 3/9/29 | 5,000 | 5,012 | 4,875 | ||||||||||||||||||||||||||||||||||||||||||
| Salt Creek Aggregator HoldCo, LLC | (e)(i)(p)(r) | Energy | 7/12/27 | 23,486 | 18,450 | 20,286 | ||||||||||||||||||||||||||||||||||||||||||||
| Salt Creek Aggregator HoldCo, LLC | (e)(i)(p)(r) | Energy | 7/12/27 | 3,701 | 1,996 | 2,697 | ||||||||||||||||||||||||||||||||||||||||||||
| Sungard AS New Holdings III, LLC | (e)(i)(p)(r)(s) | Software & Services | S+400, 2.8% PIK (2.8% Max PIK) | 1.0% | 8/1/24 | 15,031 | 14,729 | 2,600 | ||||||||||||||||||||||||||||||||||||||||||
| TruGreen, LP | (e) | Commercial & Professional Services | L+850 | 0.8% | 10/30/28 | 10,000 | 9,825 | 10,075 | ||||||||||||||||||||||||||||||||||||||||||
| Women's Care Investments, Inc. | (e) | Health Care Equipment & Services | L+825 | 0.8% | 1/12/29 | 8,000 | 7,857 | 7,910 | ||||||||||||||||||||||||||||||||||||||||||
| Total Senior Secured Loans—Second Lien | 199,220 | 184,413 | ||||||||||||||||||||||||||||||||||||||||||||||||
| Senior Secured Bonds—30.9% | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Carnival Corp. | (n)(o) | Consumer Services | 10.5% | 2/1/26 | 7,500 | 7,678 | 8,352 | |||||||||||||||||||||||||||||||||||||||||||
| Carnival Corp. | (n)(o) | Consumer Services | 9.9% | 8/1/27 | 10,000 | 10,000 | 11,070 | |||||||||||||||||||||||||||||||||||||||||||
| CITGO Holding Inc. | (e)(n)(o) | Energy | 9.3% | 8/1/24 | 20,000 | 20,000 | 20,223 | |||||||||||||||||||||||||||||||||||||||||||
| Cleaver-Brooks Inc. | (n)(o) | Capital Goods | 7.9% | 3/1/23 | 40,514 | 40,151 | 38,646 | |||||||||||||||||||||||||||||||||||||||||||
| CSI Compressco LP | (e)(n)(o) | Energy | 7.3%, 3.5% PIK (3.5% Max PIK) | 4/1/26 | 18,567 | 10,493 | 18,258 | |||||||||||||||||||||||||||||||||||||||||||
| CSI Compressco LP | (n)(o) | Energy | 7.5% | 4/1/25 | 12,711 | 11,593 | 12,566 | |||||||||||||||||||||||||||||||||||||||||||
| CSVC Acquisition Corp. | (e)(n)(o) | Commercial & Professional Services | 7.8% | 6/15/25 | 41,897 | 36,410 | 33,518 | |||||||||||||||||||||||||||||||||||||||||||
| Diebold, Inc. | (n)(o) | Technology Hardware & Equipment | 9.4% | 7/15/25 | 10,000 | 9,929 | 10,174 | |||||||||||||||||||||||||||||||||||||||||||
| Digicel International Finance Ltd. | (e)(n)(o) | Telecommunication Services | 8.8% | 5/25/24 | 35,000 | 34,751 | 34,880 | |||||||||||||||||||||||||||||||||||||||||||
| Guitar Center, Inc. | (e)(n) | Retailing | 8.5% | 1/15/26 | 37,000 | 37,206 | 37,812 | |||||||||||||||||||||||||||||||||||||||||||
| INNOVATE Corp. | (e)(n)(o) | Capital Goods | 8.5% | 2/1/26 | 15,000 | 15,000 | 14,703 | |||||||||||||||||||||||||||||||||||||||||||
| JW Aluminum Co. | (e)(n)(o) | Materials | 10.3% | 6/1/26 | 43,500 | 44,136 | 45,544 | |||||||||||||||||||||||||||||||||||||||||||
| Kronos Acquisition Holdings Inc. | (n)(o) | Household & Personal Products | 5.0% | 12/31/26 | 13,000 | 12,380 | 12,019 | |||||||||||||||||||||||||||||||||||||||||||
| LHS, LLC | (r) | Capital Goods | 12.0% PIK (12.0% Max PIK) | 2/26/27 | 29,782 | 29,351 | 30,377 | |||||||||||||||||||||||||||||||||||||||||||
| Medicine Man Technologies, Inc. | (r) | Pharmaceuticals, Biotechnology & Life Sciences | 9.0% | 12/7/26 | 15,190 | 14,901 | 15,589 | |||||||||||||||||||||||||||||||||||||||||||
| Navios Logistics Finance, Inc. | (n)(o) | Transportation | 10.8% | 7/1/25 | 25,000 | 25,000 | 26,219 | |||||||||||||||||||||||||||||||||||||||||||
| Royal Caribbean Cruises Ltd. | (n)(o) | Consumer Services | 11.5% | 6/1/25 | 5,964 | 5,932 | 6,560 | |||||||||||||||||||||||||||||||||||||||||||
| Stonegate Pub Company Ltd. | (o) | Consumer Services | 8.3% | 7/31/25 | £ | 24,986 | 24,379 | 25,517 | ||||||||||||||||||||||||||||||||||||||||||
See Notes to Unaudited Consolidated Schedule of Investments.
3
FS Credit Opportunities Corp.
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2022 (in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Rate(b) | Floor(b) | Maturity | Principal Amount(c) | Amortized Cost | Fair Value(d) | ||||||||||||||||||||||||||||||||||||||||||
| StoneMor Inc. | (e)(n)(o) | Consumer Services | 8.5% | 5/15/29 | $ | 17,000 | $ | 17,000 | $ | 16,864 | ||||||||||||||||||||||||||||||||||||||||
| TKC Holdings, Inc. | (n)(o) | Food & Staples Retailing | 6.9% | 5/15/28 | 10,000 | 10,000 | 9,737 | |||||||||||||||||||||||||||||||||||||||||||
| Trulieve Cannabis Corp. | (o) | Pharmaceuticals, Biotechnology & Life Sciences | 8.0% | 10/6/26 | 20,000 | 20,000 | 19,774 | |||||||||||||||||||||||||||||||||||||||||||
| Total Senior Secured Bonds | 436,290 | 448,402 | ||||||||||||||||||||||||||||||||||||||||||||||||
| Subordinated Debt—7.1% | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Acrisure LLC | (n)(o) | Insurance | 10.1% | 8/1/26 | 27,000 | 27,000 | 28,788 | |||||||||||||||||||||||||||||||||||||||||||
| Advisor Group Holdings, Inc. | (e)(n)(o) | Diversified Financials | 10.8% | 8/1/27 | 20,200 | 19,180 | 21,664 | |||||||||||||||||||||||||||||||||||||||||||
| Carnival Corp. | (n)(o) | Consumer Services | 5.8% | 3/1/27 | 2,500 | 2,500 | 2,388 | |||||||||||||||||||||||||||||||||||||||||||
| Carnival Corp. | (n)(o) | Consumer Services | 7.6% | 3/1/26 | 3,000 | 3,000 | 3,023 | |||||||||||||||||||||||||||||||||||||||||||
| Cleanview Sponsor, LLC | (i)(r) | Diversified Financials | 6/30/22 | 125 | 125 | 125 | ||||||||||||||||||||||||||||||||||||||||||||
| EQ Health Sponsor Group, LLC | (r)(s) | Diversified Financials | P+675 | 1/28/23 | 250 | 250 | 250 | |||||||||||||||||||||||||||||||||||||||||||
| Freedom Mortgage Corp. | (n)(o) | Diversified Financials | 7.6% | 5/1/26 | 8,000 | 8,000 | 7,652 | |||||||||||||||||||||||||||||||||||||||||||
| Home Point Capital Inc. | (n)(o) | Banks | 5.0% | 2/1/26 | 13,958 | 11,803 | 11,458 | |||||||||||||||||||||||||||||||||||||||||||
| Redwood Trust Inc. | (o) | Diversified Financials | 4.8% | 8/15/23 | 11,900 | 11,532 | 11,793 | |||||||||||||||||||||||||||||||||||||||||||
| TKC Holdings, Inc. | (n)(o) | Food & Staples Retailing | 10.5% | 5/15/29 | 15,000 | 15,000 | 15,325 | |||||||||||||||||||||||||||||||||||||||||||
| Total Subordinated Debt | 98,390 | 102,466 | ||||||||||||||||||||||||||||||||||||||||||||||||
| Asset Based Finance—9.5% | ||||||||||||||||||||||||||||||||||||||||||||||||||
| BCP Great Lakes Fund LP | (r)(t) | Diversified Financials | 11.4% | 11/28/28 | 37,891 | 38,270 | 38,838 | |||||||||||||||||||||||||||||||||||||||||||
| BCP Great Lakes Fund LP | (g)(r)(t) | Diversified Financials | 11.4% | 11/28/28 | 12,109 | 12,109 | 12,412 | |||||||||||||||||||||||||||||||||||||||||||
| Bridge Street CLO I Ltd., Subordinated Notes | (m)(n)(r)(s)(u) | Diversified Financials | 16.4% | 1/20/34 | 28,200 | 25,403 | 25,068 | |||||||||||||||||||||||||||||||||||||||||||
| Bridge Street CLO II Ltd., Subordinated Notes | (m)(n)(r)(s)(u) | Diversified Financials | 16.2% | 7/20/34 | 28,560 | 25,998 | 26,610 | |||||||||||||||||||||||||||||||||||||||||||
| Bridge Street Warehouse CLO III Ltd. | (r)(s)(u) | Diversified Financials | 3.4% | 9/10/23 | 35,000 | 36,192 | 36,192 | |||||||||||||||||||||||||||||||||||||||||||
| Deutsche Bank AG Frankfurt (CRAFT 2017-1), Credit Linked Note | (e)(n)(r) | Diversified Financials | 11.2% | 10/20/26 | 12,754 | 12,562 | 11,502 | |||||||||||||||||||||||||||||||||||||||||||
| Total Asset Based Finance | 150,534 | 150,622 | ||||||||||||||||||||||||||||||||||||||||||||||||
| Unfunded Commitments | (12,109) | (12,109) | ||||||||||||||||||||||||||||||||||||||||||||||||
| Net Asset Based Finance | 138,425 | 138,513 | ||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company(a) | Footnotes | Industry | Rate(b) | Floor(b) | Shares/Units | Cost | Fair Value(d) | |||||||||||||||||||||||||||||||||||||
| Equity/Other—9.5% | ||||||||||||||||||||||||||||||||||||||||||||
| Aspect Software Parent, Inc., Warrants | (i)(r) | Software & Services | 83,829 | $ | — | $ | 130 | |||||||||||||||||||||||||||||||||||||
| Belk, Inc., Common Equity | (e)(i) | Retailing | 579 | 15 | 9 | |||||||||||||||||||||||||||||||||||||||
| Bright Pattern, Inc., Common Equity | (i)(r) | Software & Services | 599,720 | 973 | 933 | |||||||||||||||||||||||||||||||||||||||
| BusPatrol LLC, Warrants | (i)(r) | Commercial & Professional Services | 6,408 | 1,314 | 1,211 | |||||||||||||||||||||||||||||||||||||||
See Notes to Unaudited Consolidated Schedule of Investments.
4
FS Credit Opportunities Corp.
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2022 (in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Rate(b) | Floor(b) | Shares/Units | Cost | Fair Value(d) | |||||||||||||||||||||||||||||||||||||
| Chinos Holdings, Inc., Common Equity | (i) | Retailing | 878,252 | $ | 9,892 | $ | 10,575 | |||||||||||||||||||||||||||||||||||||
| Chinos Holdings, Inc., Warrants | (i) | Retailing | 412,738 | 1,447 | 1,754 | |||||||||||||||||||||||||||||||||||||||
| Copper Property CTL Pass Through Trust, Common Equity | (i) | Retailing | 159,498 | 2,632 | 2,585 | |||||||||||||||||||||||||||||||||||||||
| EQ Health Sponsor Group, LLC, Common Equity | (i)(r)(s) | Diversified Financials | 766,055 | 5 | 1,004 | |||||||||||||||||||||||||||||||||||||||
| EQ Health Sponsor Group, LLC, Warrants | (i)(r)(s) | Diversified Financials | 900,000 | 900 | 189 | |||||||||||||||||||||||||||||||||||||||
| Fairway Group Holdings Corp., Common Equity | (i)(r)(s) | Food & Staples Retailing | 76,517 | 2,458 | — | |||||||||||||||||||||||||||||||||||||||
| Ginkgo Bioworks Holdings, Inc., Warrants | (i) | Pharmaceuticals, Biotechnology & Life Sciences | 2,000 | — | 2 | |||||||||||||||||||||||||||||||||||||||
| Guitar Center, Inc., Preferred Equity | (e)(r) | Retailing | 15.0% | 61,250 | 6,125 | 6,125 | ||||||||||||||||||||||||||||||||||||||
| Nelson Global Products, Inc., Common Equity | (i)(r) | Automobiles & Components | 43,998 | 1,231 | 1,231 | |||||||||||||||||||||||||||||||||||||||
| Nelson Global Products, Inc., Preferred Equity, 3/31/23 | (i)(r) | Automobiles & Components | 1,268 | 1,268 | 1,268 | |||||||||||||||||||||||||||||||||||||||
| Penn Foster Inc., Preferred Equity, 11/17/28 | (e)(r) | Consumer Services | L+975 | 1.0% | 582,161 | 57,184 | 57,925 | |||||||||||||||||||||||||||||||||||||
| Penney Borrower, LLC, Earnouts | (i) | Retailing | 21,267 | 170 | 255 | |||||||||||||||||||||||||||||||||||||||
| Planet Labs PBC | (i) | Commercial & Professional Services | 5,000 | — | 7 | |||||||||||||||||||||||||||||||||||||||
| RDV Resources Oil & Gas, Inc., Common Equity | (i)(r) | Energy | 457,704 | 5,109 | 6,713 | |||||||||||||||||||||||||||||||||||||||
| Ridgeback Resources Inc., Common Equity | (i)(r) | Energy | 1,960,162 | 12,044 | 11,776 | |||||||||||||||||||||||||||||||||||||||
| Rosecliff Acquisition Corp., Warrants | (i) | Diversified Financials | 33,333 | — | 7 | |||||||||||||||||||||||||||||||||||||||
| SCM EPIC, LLC, Common Equity | (i)(q)(r)(t) | Energy | 34,800 | 35,861 | 26,969 | |||||||||||||||||||||||||||||||||||||||
| SCM Topco, LLC, Series B Preferred Equity, 7/13/28 | (i)(p)(q)(r) | Energy | 27,398 | 2,449 | 6,764 | |||||||||||||||||||||||||||||||||||||||
| SCM Topco, LLC, Series C Common Equity | (i)(q)(r) | Energy | 196 | — | — | |||||||||||||||||||||||||||||||||||||||
| SCM Topco, LLC, Warrants, 7/10/28, Strike: $75,000 | (i)(q)(r) | Energy | 1 | — | — | |||||||||||||||||||||||||||||||||||||||
| Selecta Group B.V., Contingent Value Notes | (h)(i)(r) | Retailing | 190 | 3 | — | |||||||||||||||||||||||||||||||||||||||
| Selecta Group B.V., Warrants | (h)(i)(r) | Retailing | 98 | 2 | — | |||||||||||||||||||||||||||||||||||||||
| Sungard AS New Holdings, LLC, Common Equity | (i)(r)(s) | Software & Services | 272,014 | 19,011 | — | |||||||||||||||||||||||||||||||||||||||
| SuperRego, LLC, Warrants | (i)(r) | Consumer Services | 139,285 | 56 | 355 | |||||||||||||||||||||||||||||||||||||||
| Total Equity/Other | 160,149 | 137,787 | ||||||||||||||||||||||||||||||||||||||||||
| TOTAL INVESTMENTS—150.0% | $ | 2,221,957 | 2,176,512 | |||||||||||||||||||||||||||||||||||||||||
| Credit Facilities Payable—(33.4)% | (484,997) | |||||||||||||||||||||||||||||||||||||||||||
| Term Preferred Shares, at Liquidation Value, Net—(27.4)% | (397,166) | |||||||||||||||||||||||||||||||||||||||||||
| Other Assets in Excess of Liabilities—10.8% | (j) | 156,599 | ||||||||||||||||||||||||||||||||||||||||||
| NET ASSETS—100.0% | $ | 1,450,948 | ||||||||||||||||||||||||||||||||||||||||||
| Shares Outstanding | 197,119,536 | |||||||||||||||||||||||||||||||||||||||||||
| Net Asset Value per Common Share at End of Period | $ | 7.36 | ||||||||||||||||||||||||||||||||||||||||||
See Notes to Unaudited Consolidated Schedule of Investments.
5
FS Credit Opportunities Corp.
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2022 (in thousands, except share and per share amounts)
_________________
C$ – Canadian Dollar.
£ – British Pound.
| Investments Sold Short | Number of Shares | Proceeds | Fair Value(d) | |||||||||||||||||||||||||||||
Portfolio Company(a) | Footnotes | Industry | ||||||||||||||||||||||||||||||
| Investments Sold Short—(1.8)% | ||||||||||||||||||||||||||||||||
| Invesco Senior Loan ETF, Common Equity | (i) | Diversified Financials | (1,200,000) | $ | (26,223) | $ | (26,124) | |||||||||||||||||||||||||
| Total | $ | (26,223) | $ | (26,124) | ||||||||||||||||||||||||||||
| Forward Foreign Currency Exchange Contracts | Contract Settlement Date | Currency to be Received | Value | Currency to be Delivered | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||||||
| Counterparty | ||||||||||||||||||||||||||||||||||||||
| JPMorgan Chase Bank, N.A. | 4/11/22 | USD | 28,282 | CAD | 36,250 | $ | (754) | |||||||||||||||||||||||||||||||
| JPMorgan Chase Bank, N.A. | 4/11/22 | USD | 3,603 | EUR | 3,250 | (3) | ||||||||||||||||||||||||||||||||
| JPMorgan Chase Bank, N.A. | 4/11/22 | USD | 25,704 | GBP | 19,500 | 62 | ||||||||||||||||||||||||||||||||
| Total | $ | (695) | ||||||||||||||||||||||||||||||||||||
_________________
CAD – Canadian Dollar.
EUR – Euro.
GBP – British Pound.
USD – U.S. Dollar.
| Credit Default Swaps on Corporate Issues—Buy Protection | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Reference Entity | Counterparty | Implied Credit Spread at March 31, 2022(k) | Industry | Fixed Deal Pay Rate | Periodic Payment Frequency | Maturity | Notional(l) | Fair Value(d) | Unamortized Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| United Rentals North America, Inc. | Credit Suisse International | 0.7% | Capital Goods | 5.0% | Quarterly | 12/20/24 | $ | (5,000) | $ | (555) | $ | (440) | $ | (115) | ||||||||||||||||||||||||||||||||||||||||||||||||
| United Rentals North America, Inc. | JPMorgan Chase Bank, N.A. | 0.7% | Capital Goods | 5.0% | Quarterly | 12/20/24 | $ | (3,000) | (333) | (264) | (69) | |||||||||||||||||||||||||||||||||||||||||||||||||||
| United Rentals North America, Inc. | Barclays Bank PLC | 0.7% | Capital Goods | 5.0% | Quarterly | 12/20/24 | $ | (2,000) | (222) | (176) | (46) | |||||||||||||||||||||||||||||||||||||||||||||||||||
| Total | $ | (1,110) | $ | (880) | $ | (230) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
_________________
| (a) | Security may be an obligation of one or more entities affiliated with the named company. | ||||
| (b) | Certain variable rate securities in the FS Credit Opportunities Corp. (the “Fund”) portfolio bear interest at a rate determined by a publicly disclosed base rate plus a basis point spread. As of March 31, 2022, the three-month London Interbank Offered Rate, or LIBOR, or “L”, was 0.96%, the U.S. Prime Lending Rate, or Prime, or “P”, was 3.50% and the Term Secured Overnight Financing Rate, or Term SOFR, or “S”, was 0.68%. PIK means paid-in-kind. PIK income accruals may be adjusted based on the fair value of the underlying investment. Variable rate securities with no floor rate use the respective benchmark rate in all cases. | ||||
| (c) | Denominated in U.S. dollars, unless otherwise noted. | ||||
See Notes to Unaudited Consolidated Schedule of Investments.
6
FS Credit Opportunities Corp.
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2022 (in thousands, except share and per share amounts)
| (d) | Fair value is determined by the Fund’s board of directors. For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the Fund’s most recent annual financial statements. | ||||
| (e) | Security or portion thereof held by Blair Funding LLC (“Blair Funding”), a wholly-owned subsidiary of the Fund, and is pledged as collateral supporting the amounts outstanding under Blair Funding’s credit facility with Barclays Bank PLC, as administrative agent and Wells Fargo Bank, National Association, as collateral agent. | ||||
| (f) | Position or portion thereof unsettled as of March 31, 2022. | ||||
| (g) | Security is an unfunded loan commitment. | ||||
| (h) | Security or portion thereof held by FS Global Credit Opportunities (Luxembourg) S.à r.l., a wholly-owned subsidiary of the Fund. | ||||
| (i) | Security is non-income producing. | ||||
| (j) | Includes the effect of investments sold short, forward foreign currency exchange contracts and swap contracts. | ||||
| (k) | Implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap agreements as of period end serves as an indicator of the current status of the payment/performance risk and represents the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required in connection with the entrance into the agreement. Wider credit spreads generally represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring, as defined under the terms of the applicable agreement. | ||||
| (l) | The maximum potential amount the Fund could receive/pay as a buyer/seller of credit protection if a credit event occurs, as defined under the terms of the applicable agreement. | ||||
| (m) | Securities of collateralized loan obligations (“CLOs”) where an affiliate of the Fund’s investment adviser serves as collateral manager and administrator. The fair value of the investment is inclusive of the present value of future senior management fee and subordinated management fee cash flows from the collateral manager and administrator of the CLOs to the Fund. | ||||
| (n) | Exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $510,623, which represents approximately 35.2% of net assets as of March 31, 2022. | ||||
| (o) | Security or portion thereof held by Bucks Funding, a wholly-owned subsidiary of the Fund, and is pledged as collateral supporting the amounts outstanding under Bucks Funding’s prime brokerage facility with BNP Paribas Prime Brokerage International, Ltd. (“BNP PBIL”). Securities held by Bucks Funding may be rehypothecated from time to time as permitted by Rule 15c-1(a)(1) promulgated under the Securities Exchange Act of 1934, as amended, subject to the terms and conditions governing Bucks Funding’s prime brokerage facility with BNP PBIL. As of March 31, 2022, fifteen securities with a total fair value of $237,218 were rehypothecated by BNP PBIL. The Fund earned $5 of income from rehypothecated securities during the three months ended March 31, 2022. | ||||
| (p) | Security was on non-accrual status as of March 31, 2022. | ||||
| (q) | Security held within FS Global Investments, Inc., a wholly-owned subsidiary of the Fund. | ||||
| (r) | Security is classified as Level 3 in the Fund’s fair value hierarchy. | ||||
See Notes to Unaudited Consolidated Schedule of Investments.
7
FS Credit Opportunities Corp.
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2022 (in thousands, except share and per share amounts)
| (s) | Under the Investment Company Act of 1940, as amended, the Fund generally is deemed to be an “affiliated person” of a portfolio company if it owns 5% or more of the portfolio company’s voting securities and generally is deemed to “control” a portfolio company if it owns more than 25% of the portfolio company’s voting securities or it has the power to exercise control over the management or policies of such portfolio company. As of March 31, 2022, the Fund held investments in portfolio companies of which it is deemed to be an “affiliated person” but is not deemed to “control.” The following table presents certain information with respect to investments in portfolio companies of which the Fund was deemed to be an affiliated person as of March 31, 2022: | ||||
| Portfolio Company | Fair Value at December 31, 2021 | Gross Additions(1) | Gross Reductions(2) | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Fair Value at March 31, 2022 | Interest Income(3) | PIK Income(3) | ||||||||||||||||||||||||||||||||||||||||||||||||
| Senior Secured Loans—First Lien | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Fairway Group Acquisition Co. | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||||||||||||
| Fairway Group Acquisition Co. | 538 | — | — | — | (538) | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
| Sungard AS New Holdings III, LLC | 6,298 | 44 | — | — | (830) | 5,512 | 55 | 59 | ||||||||||||||||||||||||||||||||||||||||||||||||
| Senior Secured Loans—Second Lien | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Fairway Group Acquisition Co. | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
| Sungard AS New Holdings III, LLC | 8,488 | — | (195) | — | (5,693) | 2,600 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
| Subordinated Debt | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| EQ Health Sponsor Group, Promissory Note | — | 250 | — | — | — | 250 | 3 | — | ||||||||||||||||||||||||||||||||||||||||||||||||
| Asset Based Finance | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Bridge Street CLO I Ltd., Subordinated Notes | 26,103 | 1,718 | (1,242) | — | (1,511) | 25,068 | 228 | — | ||||||||||||||||||||||||||||||||||||||||||||||||
| Bridge Street CLO II Ltd., Subordinated Notes | 28,338 | 331 | (471) | — | (1,588) | 26,610 | 1,876 | — | ||||||||||||||||||||||||||||||||||||||||||||||||
| Bridge Street Warehouse CLO III Ltd. | 25,297 | 10,895 | — | — | — | 36,192 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
| Equity/Other | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| EQ Health Sponsor Group, LLC, Common Equity | 973 | — | — | — | 31 | 1,004 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
| EQ Health Sponsor Group, LLC, Warrants | 450 | — | — | — | (261) | 189 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
| Fairway Group Holdings Corp., Common Equity | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
| Sungard AS New Holdings, LLC, Common Equity | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
| Total | $ | 96,485 | $ | 13,238 | $ | (1,908) | $ | — | $ | (10,390) | $ | 97,425 | $ | 2,162 | $ | 59 | ||||||||||||||||||||||||||||||||||||||||
_________________
(1)Gross additions include increases in the cost basis of investments resulting from new portfolio investments, PIK interest, the amortization of unearned income, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company into this category from a different category.
(2)Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company out of this category into a different category.
(3)Interest and PIK income are presented for the full three months ended March 31, 2022.
See Notes to Unaudited Consolidated Schedule of Investments.
8
FS Credit Opportunities Corp.
Unaudited Consolidated Schedule of Investments (continued)
As of March 31, 2022 (in thousands, except share and per share amounts)
| (t) | Under the Investment Company Act of 1940, as amended, the Fund generally is deemed to “control” a portfolio company if it owns more than 25% of the portfolio company’s voting securities or it has the power to exercise control over the management or policies of such portfolio company. As of March 31, 2022, the Fund held investments in portfolio companies of which it is deemed to be an “affiliated person” and deemed to “control.” The following table presents certain information with respect to investments in portfolio companies of which the Fund was deemed to be an affiliated person and deemed to control as of March 31, 2022: | ||||
| Portfolio Company | Fair Value at December 31, 2021 | Gross Additions(1) | Gross Reductions(2) | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Fair Value at March 31, 2022 | Interest Income(3) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Asset Based Finance | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
BCP Great Lakes Fund LP(4) | $ | 37,763 | $ | 926 | $ | — | $ | — | $ | 452 | $ | 39,141 | $ | 829 | ||||||||||||||||||||||||||||||||||||||||||||||||
| Equity/Other | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| SCM EPIC, LLC, Common Equity | 39,718 | — | — | — | (12,749) | 26,969 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Total | $ | 77,481 | $ | 926 | $ | — | $ | — | $ | (12,297) | $ | 66,110 | $ | 829 | ||||||||||||||||||||||||||||||||||||||||||||||||
_________________
(1)Gross additions include increases in the cost basis of investments resulting from new portfolio investments, PIK interest, the amortization of unearned income, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company into this category from a different category.
(2)Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company out of this category into a different category.
(3)Interest income presented for the full three months ended March 31, 2022.
(4)Security includes a partially unfunded commitment with amortized cost of $12,109 and fair value of $12,412.
| (u) | Security of collateralized loan obligations where an affiliate of the Fund’s investment adviser serves as collateral manager and administrator. | ||||
See Notes to Unaudited Consolidated Schedule of Investments.
9
FS Credit Opportunities Corp.
Notes to Unaudited Consolidated Schedule of Investments
As of March 31, 2022 (in thousands)
Investment Portfolio
On March 23, 2022, FS Global Credit Opportunities Fund, a Delaware statutory trust, completed its conversion into a Maryland corporation and changed its name to FS Credit Opportunities Corp. The information contained in this section should be read in conjunction with the Fund’s audited consolidated financial statements contained in its annual report for the fiscal year ended December 31, 2021.
The following table summarizes the composition of the Fund’s investment portfolio at cost and fair value as of March 31, 2022:
Amortized Cost(1) | Fair Value | Percentage of Portfolio | ||||||||||||||||||
| Senior Secured Loans—First Lien | $ | 1,189,483 | $ | 1,164,931 | 54 | % | ||||||||||||||
| Senior Secured Loans—Second Lien | 199,220 | 184,413 | 8 | % | ||||||||||||||||
| Senior Secured Bonds | 436,290 | 448,402 | 21 | % | ||||||||||||||||
| Subordinated Debt | 98,390 | 102,466 | 5 | % | ||||||||||||||||
| Asset Based Finance | 138,425 | 138,513 | 6 | % | ||||||||||||||||
| Equity/Other | 160,149 | 137,787 | 6 | % | ||||||||||||||||
| Total | $ | 2,221,957 | $ | 2,176,512 | 100 | % | ||||||||||||||
| Investments Sold Short | $ | (26,223) | $ | (26,124) | ||||||||||||||||
__________________________
(1) Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, on investments.
In general, under the 1940 Act, the Fund would be presumed to “control” a portfolio company if it owned more than 25% of its voting securities or had the power to exercise control over the management or policies of a portfolio company, and would be an “affiliated person” of a portfolio company if it owned 5% or more of its voting securities.
As of March 31, 2022, the Fund held investments in six portfolio companies of which it is deemed to be an “affiliated person” but is not deemed to “control,” and held investments in two portfolio companies of which it is deemed to “control.” For additional information with respect to such portfolio companies, see footnotes (s) and (t) to the unaudited consolidated schedule of investments as of March 31, 2022 included herein.
The Fund’s investment portfolio may contain loans that are in the form of lines of credit or revolving credit facilities, which require the Fund to provide funding when requested by portfolio companies in accordance with the terms of the underlying loan agreements. As of March 31, 2022, the Fund had three senior secured loan investments with aggregate unfunded commitments of $17,249 and one asset based finance investment with an unfunded commitment of $12,109. The Fund maintains sufficient cash on hand and/or available borrowings to fund such unfunded commitments should the need arise.
The table below describes investments by industry classification and enumerates the percentage, by fair value, of the total portfolio assets in such industries as of March 31, 2022:
| Industry Classification | Fair Value | Percentage of Portfolio | ||||||||||||
| Automobiles & Components | $ | 89,037 | 4% | |||||||||||
| Banks | 11,458 | 0% | ||||||||||||
| Capital Goods | 203,479 | 9% | ||||||||||||
| Commercial & Professional Services | 172,208 | 8% | ||||||||||||
| Consumer Durables & Apparel | 14,007 | 1% | ||||||||||||
| Consumer Services | 269,900 | 12% | ||||||||||||
| Diversified Financials | 214,715 | 10% | ||||||||||||
| Energy | 255,291 | 12% | ||||||||||||
| Food, Beverage & Tobacco | 19,514 | 1% | ||||||||||||
| Health Care Equipment & Services | 184,723 | 8% | ||||||||||||
| Household & Personal Products | 85,433 | 4% | ||||||||||||
| Insurance | 28,788 | 1% | ||||||||||||
| Materials | 63,369 | 3% | ||||||||||||
| Media | 26,208 | 1% | ||||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences | 113,843 | 5% | ||||||||||||
| Retailing | 190,082 | 9% | ||||||||||||
| Software & Services | 78,997 | 4% | ||||||||||||
| Technology Hardware & Equipment | 36,160 | 2% | ||||||||||||
| Telecommunication Services | 34,880 | 2% | ||||||||||||
| Transportation | 84,420 | 4% | ||||||||||||
| Total | $ | 2,176,512 | 100% | |||||||||||
The table below describes the geographic concentration of the Fund’s investment portfolio and enumerates the percentage, by fair value, of the total portfolio assets in such geographic locations as of March 31, 2022:
Geographic Locations(1) | Fair Value | Percentage of Portfolio | ||||||||||||
| United States | $ | 1,999,993 | 92% | |||||||||||
| Europe | 72,063 | 3% | ||||||||||||
| Other | 104,456 | 5% | ||||||||||||
| Total | $ | 2,176,512 | 100% | |||||||||||
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(1)Geographic location based on the portfolio company’s headquarters or principal place of business.
Under existing accounting guidance, fair value is defined as the price that the Fund would receive upon selling an asset or pay to transfer a liability in an orderly transaction to a market participant in the principal or most advantageous market for the investment. This accounting guidance emphasizes valuation techniques that maximize the use of observable market inputs and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would use in pricing an asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the Fund. Unobservable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances. The Fund classifies the inputs used to measure these fair values into the following hierarchy as defined by current accounting guidance:
Level 1: Inputs that are quoted prices (unadjusted) in active markets for identical assets or liabilities.
Level 2: Inputs that are quoted prices for similar assets or liabilities in active markets.
Level 3: Inputs that are unobservable for an asset or liability.
A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement.
As of March 31, 2022, the Fund’s investments and derivatives were categorized as follows in the fair value hierarchy:
| Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
| Senior Secured Loans—First Lien | $ | — | $ | 646,946 | $ | 517,985 | $ | 1,164,931 | ||||||||||||||||||
| Senior Secured Loans—Second Lien | — | 158,830 | 25,583 | 184,413 | ||||||||||||||||||||||
| Senior Secured Bonds | — | 402,436 | 45,966 | 448,402 | ||||||||||||||||||||||
| Subordinated Debt | — | 102,091 | 375 | 102,466 | ||||||||||||||||||||||
| Asset Based Finance | — | — | 138,513 | 138,513 | ||||||||||||||||||||||
| Equity/Other | 16 | 15,178 | 122,593 | 137,787 | ||||||||||||||||||||||
| Total Investments | 16 | 1,325,481 | 851,015 | 2,176,512 | ||||||||||||||||||||||
| Forward Foreign Currency Exchange Contracts | — | 62 | — | 62 | ||||||||||||||||||||||
| Total Assets | $ | 16 | $ | 1,325,543 | $ | 851,015 | $ | 2,176,574 | ||||||||||||||||||
| Liability Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
| Investments Sold Short | $ | 26,124 | $ | — | $ | — | $ | 26,124 | ||||||||||||||||||
| Forward Foreign Currency Exchange Contracts | — | 757 | — | 757 | ||||||||||||||||||||||
| Credit Default Swaps—Buy Protection | — | 1,110 | — | 1,110 | ||||||||||||||||||||||
| Total Liabilities | $ | 26,124 | $ | 1,867 | $ | — | $ | 27,991 | ||||||||||||||||||
The following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value for the three months ended March 31, 2022:
| Senior Secured Loans—First Lien | Senior Secured Loans—Second Lien | Senior Secured Bonds | Subordinated Debt | Asset Based Finance | Equity/Other | Total | ||||||||||||||||||||||||||||||||||||||||||||
| Fair value at beginning of period | $ | 415,471 | $ | 31,626 | $ | 43,096 | $ | 125 | $ | 132,823 | $ | 127,563 | $ | 750,704 | ||||||||||||||||||||||||||||||||||||
| Accretion of discount (amortization of premium) | 391 | — | 31 | — | (14) | 25 | 433 | |||||||||||||||||||||||||||||||||||||||||||
| Net realized gain (loss) | 26 | — | — | (452) | — | — | (426) | |||||||||||||||||||||||||||||||||||||||||||
| Net change in unrealized appreciation (depreciation) | 1,864 | (5,848) | 963 | 452 | (2,811) | (8,997) | (14,377) | |||||||||||||||||||||||||||||||||||||||||||
| Purchases | 130,602 | — | — | 250 | 14,181 | 3,813 | 148,846 | |||||||||||||||||||||||||||||||||||||||||||
| Paid-in-kind interest | 1,673 | — | 1,876 | — | (297) | 1,503 | 4,755 | |||||||||||||||||||||||||||||||||||||||||||
| Sales and repayments | (32,042) | (195) | — | — | (5,369) | (1,314) | (38,920) | |||||||||||||||||||||||||||||||||||||||||||
| Transfers into Level 3 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||
| Transfers out of Level 3 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||
| Fair value at end of period | $ | 517,985 | $ | 25,583 | $ | 45,966 | $ | 375 | $ | 138,513 | $ | 122,593 | $ | 851,015 | ||||||||||||||||||||||||||||||||||||
| The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to investments still held at the reporting date | $ | 1,765 | $ | (5,848) | $ | 963 | $ | — | $ | (2,811) | $ | (8,997) | $ | (14,928) | ||||||||||||||||||||||||||||||||||||
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