FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
Corporate Bonds—24.3% | ||||||||||||||||
Acrisure LLC / Acrisure Finance, Inc., 6.0%, 8/1/29 | (d) | Insurance | $ | 399 | $ | 399 | $ | 394 | ||||||||
Alliance Data Systems Corp., 4.8%, 12/15/24 | (d) | Diversified Financial Services | 948 | 911 | 972 | |||||||||||
Altice France SA, 7.4%, 5/1/26 | (d) | Telecommunications | 440 | 458 | 457 | |||||||||||
American Greetings Corp., 8.8%, 4/15/25 | (d) | Housewares | 392 | 410 | 409 | |||||||||||
AmWINS Group, Inc., 4.9%, 6/30/29 | (d) | Insurance | 47 | 47 | 48 | |||||||||||
Apollo Commercial Real Estate Finance, Inc., 4.6%, 6/15/29 | (d) | Real Estate Investment Trusts | 376 | 376 | 365 | |||||||||||
APX Group, Inc., 6.8%, 2/15/27 | (d) | Commercial Services | 235 | 251 | 250 | |||||||||||
APX Group, Inc., 5.8%, 7/15/29 | (d) | Commercial Services | 239 | 239 | 236 | |||||||||||
Aretec Escrow Issuer, Inc., 7.5%, 4/1/29 | (d) | Diversified Financial Services | 120 | 122 | 124 | |||||||||||
Ascend Learning LLC, 6.9%, 8/1/25 | (d) | Software | 220 | 224 | 224 | |||||||||||
Ascend Learning LLC, 6.9%, 8/1/25 | (d) | Software | 417 | 425 | 427 | |||||||||||
B&G Foods, Inc., 5.3%, 4/1/25 | Food | 123 | 126 | 126 | ||||||||||||
Bausch Health Companies, Inc., 6.1%, 4/15/25 | (d) | Pharmaceuticals | 806 | 823 | 824 | |||||||||||
Blackstone Mortgage Trust, Inc., 3.8%, 1/15/27 | (d) | Real Estate Investment Trusts | 144 | 144 | 143 | |||||||||||
Bombardier, Inc., 7.9%, 4/15/27 | (d) | Miscellaneous Manufacturing | 209 | 197 | 217 | |||||||||||
Caesars Resort Collection LLC / CRC Finco, Inc., 5.3%, 10/15/25 | (d) | Entertainment | 91 | 92 | 92 | |||||||||||
Carnival Corp., 11.5%, 4/1/23 | (d) | Leisure Time | 440 | 492 | 492 | |||||||||||
Carnival Corp., 4.0%, 8/1/28 | (d) | Leisure Time | 414 | 416 | 419 | |||||||||||
CITGO Petroleum Corp., 7.0%, 6/15/25 | (d) | Oil & Gas | 624 | 624 | 639 | |||||||||||
CITGO Petroleum Corp., 6.4%, 6/15/26 | (d) | Oil & Gas | 93 | 93 | 95 | |||||||||||
CommScope Finance LLC, 6.0%, 3/1/26 | (d) | Telecommunications | 264 | 275 | 274 | |||||||||||
CommScope, Inc., 4.8%, 9/1/29 | (d) | Telecommunications | 465 | 468 | 465 | |||||||||||
CoreCivic, Inc., 4.8%, 10/15/27 | Commercial Services | 236 | 210 | 207 | ||||||||||||
CoreCivic, Inc., 8.3%, 4/15/26 | Commercial Services | 133 | 134 | 136 | ||||||||||||
CP Atlas Buyer, Inc., 7.0%, 12/1/28 | (d) | Building Materials | 268 | 277 | 269 | |||||||||||
Dave & Buster's, Inc., 7.6%, 11/1/25 | (d) | Retail | 30 | 32 | 32 | |||||||||||
Dealer Tire LLC / DT Issuer LLC, 8.0%, 2/1/28 | (d) | Auto Parts & Equipment | 665 | 584 | 697 | |||||||||||
Dell International LLC / EMC Corp., 7.1%, 6/15/24 | (d) | Computers | 884 | 902 | 905 | |||||||||||
eG Global Finance Plc, 6.8%, 2/7/25 | (d) | Retail | 986 | 978 | 1,009 | |||||||||||
Five Point Operating Co. LP / Five Point Capital Corp., 7.9%, 11/15/25 | (d) | Real Estate | 832 | 812 | 871 | |||||||||||
Flex Acquisition Co., Inc., 7.9%, 7/15/26 | (d) | Packaging & Containers | 226 | 237 | 236 | |||||||||||
Fortress Transportation and Infrastructure Investors LLC, 9.8%, 8/1/27 | (d) | Trucking & Leasing | 561 | 645 | 636 | |||||||||||
Gateway Casinos & Entertainment Ltd., 8.3%, 3/1/24 | (d) | Entertainment | 434 | 445 | 442 | |||||||||||
Genesis Energy LP / Genesis Energy Finance Corp., 7.8%, 2/1/28 | Pipelines | 49 | 48 | 49 | ||||||||||||
GEO Group, Inc., 6.0%, 4/15/26 | Real Estate Investment Trusts | 203 | 177 | 160 | ||||||||||||
GEO Group, Inc., 5.1%, 4/1/23 | Real Estate Investment Trusts | 210 | 200 | 198 | ||||||||||||
H-Food Holdings LLC / Hearthside Finance Co., Inc., 8.5%, 6/1/26 | (d) | Food | 246 | 252 | 255 | |||||||||||
Hadrian Merger Sub, Inc., 8.5%, 5/1/26 | (d) | Healthcare-Services | 283 | 296 | 294 | |||||||||||
Herbalife Nutrition Ltd. / HLF Financing, Inc., 7.9%, 9/1/25 | (d) | Pharmaceuticals | 174 | 174 | 187 | |||||||||||
iStar, Inc., 5.5%, 2/15/26 | Real Estate Investment Trusts | 292 | 302 | 306 | ||||||||||||
Jacobs Entertainment, Inc., 7.9%, 2/1/24 | (d) | Entertainment | 43 | 45 | 44 | |||||||||||
KAR Auction Services, Inc., 5.1%, 6/1/25 | (d) | Distribution/Wholesale | 942 | 957 | 954 |
See notes to unaudited consolidated schedule of investments.
1
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
Kronos Acquisition Holdings, Inc., 5.0%, 12/31/26 | (d) | Household Products/Wares | $ | 110 | $ | 112 | $ | 110 | ||||||||
Kronos Acquisition Holdings, Inc., 7.0%, 12/31/27 | (d) | Household Products/Wares | 261 | 266 | 251 | |||||||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.3%, 2/1/27 | (d) | Real Estate Investment Trusts | 87 | 77 | 86 | |||||||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.8%, 6/15/29 | (d) | Real Estate Investment Trusts | 209 | 209 | 208 | |||||||||||
Lannett Co., Inc., 7.8%, 4/15/26 | (d) | Pharmaceuticals | 150 | 150 | 138 | |||||||||||
Level 3 Financing, Inc., 5.4%, 5/1/25 | Telecommunications | 245 | 250 | 251 | ||||||||||||
Life Time, Inc., 5.8%, 1/15/26 | (d) | Leisure Time | 435 | 443 | 451 | |||||||||||
LifePoint Health, Inc., 5.4%, 1/15/29 | (d) | Healthcare-Services | 141 | 140 | 137 | |||||||||||
Live Nation Entertainment, Inc., 4.9%, 11/1/24 | (d) | Entertainment | 276 | 279 | 279 | |||||||||||
Maxim Crane Works Holdings Capital LLC, 10.1%, 8/1/24 | (d) | Machinery-Diversified | 723 | 731 | 741 | |||||||||||
Metis Merger Sub LLC, 6.5%, 5/15/29 | (d) | Commercial Services | 224 | 224 | 218 | |||||||||||
Midcap Financial Issuer Trust, 5.6%, 1/15/30 | (d) | Diversified Financial Services | 209 | 207 | 207 | |||||||||||
Modulaire Global Finance 2 Plc, 10.0%, 8/15/23 | (d) | Storage/Warehousing | 130 | 133 | 133 | |||||||||||
Modulaire Global Finance Plc, 8.0%, 2/15/23 | (d) | Commercial Services | 1,481 | 1,426 | 1,514 | |||||||||||
Mohegan Gaming & Entertainment, 8.0%, 2/1/26 | (d) | Entertainment | 820 | 820 | 856 | |||||||||||
New Enterprise Stone & Lime Co., Inc., 6.3%, 3/15/26 | (d) | Engineering & Construction | 459 | 448 | 475 | |||||||||||
New Home Co., Inc., 7.3%, 10/15/25 | (d) | Home Builders | 566 | 568 | 596 | |||||||||||
Outfront Media Capital LLC / Outfront Media Capital Corp., 6.3%, 6/15/25 | (d) | Advertising | 164 | 174 | 173 | |||||||||||
Pactiv LLC, 8.0%, 12/15/25 | Packaging & Containers | 217 | 219 | 245 | ||||||||||||
Pactiv LLC, 8.4%, 4/15/27 | Packaging & Containers | 861 | 913 | 988 | ||||||||||||
Panther BF Aggregator 2 LP / Panther Finance Co., Inc., 8.5%, 5/15/27 | (d) | Auto Parts & Equipment | 764 | 822 | 814 | |||||||||||
Powdr Corp., 6.0%, 8/1/25 | (d) | Entertainment | 230 | 242 | 242 | |||||||||||
Prime Healthcare Services, Inc., 7.3%, 11/1/25 | (d) | Healthcare-Services | 264 | 272 | 284 | |||||||||||
Raptor Acquisition Corp. / Raptor Co-Issuer LLC, 4.9%, 11/1/26 | (d) | Entertainment | 208 | 210 | 213 | |||||||||||
RLJ Lodging Trust LP, 3.8%, 7/1/26 | (d) | Real Estate Investment Trusts | 294 | 294 | 296 | |||||||||||
Rockies Express Pipeline LLC, 5.0%, 7/15/29 | (d) | Pipelines | 141 | 144 | 147 | |||||||||||
RP Escrow Issuer LLC, 5.3%, 12/15/25 | (d) | Healthcare-Services | 239 | 247 | 246 | |||||||||||
SeaWorld Parks & Entertainment, Inc., 8.8%, 5/1/25 | (d) | Entertainment | 402 | 434 | 432 | |||||||||||
SeaWorld Parks & Entertainment, Inc., 5.3%, 8/15/29 | (d) | Entertainment | 40 | 40 | 41 | |||||||||||
Service Properties Trust, 7.5%, 9/15/25 | Real Estate Investment Trusts | 507 | 570 | 569 | ||||||||||||
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 8.0%, 9/20/25 | (d) | Airlines | 326 | 363 | 366 | |||||||||||
Starwood Property Trust, Inc., 3.6%, 7/15/26 | (d) | Real Estate Investment Trusts | 212 | 212 | 214 | |||||||||||
Stericycle, Inc., 5.4%, 7/15/24 | (d) | Environmental Control | 325 | 331 | 334 | |||||||||||
Sunoco LP / Sunoco Finance Corp., 6.0%, 4/15/27 | Oil & Gas | 96 | 86 | 100 | ||||||||||||
Surgery Center Holdings, Inc., 6.8%, 7/1/25 | (d) | Healthcare-Services | 275 | 280 | 280 | |||||||||||
TKC Holdings, Inc., 6.9%, 5/15/28 | (d) | Food Service | 537 | 547 | 555 | |||||||||||
TransDigm UK Holdings Plc, 6.9%, 5/15/26 | Aerospace/Defense | 352 | 371 | 371 | ||||||||||||
TransDigm, Inc., 6.4%, 6/15/26 | Aerospace/Defense | 563 | 582 | 582 | ||||||||||||
Triumph Group, Inc., 8.9%, 6/1/24 | (d) | Aerospace/Defense | 266 | 291 | 293 | |||||||||||
Trivium Packaging Finance B.V., 8.5%, 8/15/27 | (d) | Packaging & Containers | 221 | 238 | 238 | |||||||||||
US Acute Care Solutions LLC, 6.4%, 3/1/26 | (d) | Healthcare-Services | 314 | 322 | 332 | |||||||||||
Vector Group Ltd., 10.5%, 11/1/26 | (d) | Agriculture | 586 | 620 | 618 | |||||||||||
Vector Group Ltd., 5.8%, 2/1/29 | (d) | Agriculture | 709 | 710 | 710 |
See notes to unaudited consolidated schedule of investments.
2
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
Verscend Escrow Corp., 9.8%, 8/15/26 | (d) | Commercial Services | $ | 396 | $ | 419 | $ | 418 | ||||||||
WASH Multifamily Acquisition, Inc., 5.8%, 4/15/26 | (d) | Commercial Services | 229 | 231 | 239 | |||||||||||
Waste Pro USA, Inc., 5.5%, 2/15/26 | (d) | Environmental Control | 648 | 665 | 655 | |||||||||||
Total Corporate Bonds | 32,651 | 33,225 | ||||||||||||||
Convertible Bonds—0.6% | ||||||||||||||||
Apollo Commercial Real Estate Finance, Inc., 4.8%, 8/23/22 | Real Estate Investment Trusts | 109 | 108 | 110 | ||||||||||||
Apollo Commercial Real Estate Finance, Inc., 5.4%, 10/15/23 | Real Estate Investment Trusts | 434 | 430 | 439 | ||||||||||||
RWT Holdings, Inc., 5.8%, 10/1/25 | Holding Companies-Diversified | 273 | 272 | 280 | ||||||||||||
Total Convertible Bonds | 810 | 829 |
Portfolio Company(a) | Footnotes | Industry | Number of Shares | Cost(b) | Fair Value(c) | |||||||||||
Common Stocks—6.8% | ||||||||||||||||
Adobe, Inc. | (e) | Software | 210 | $ | 95 | $ | 121 | |||||||||
Alkuri Global Acquisition Corp. | (e) | Holding Companies-Diversified | 27,482 | 272 | 274 | |||||||||||
Ardagh Metal Packaging SA | (e) | Packaging & Containers | 4,797 | 52 | 48 | |||||||||||
Ball Corp. | (f) | Packaging & Containers | 7,776 | 513 | 700 | |||||||||||
Brown-Forman Corp. | Beverages | 145 | 8 | 10 | ||||||||||||
Canadian Pacific Railway Ltd. | Transportation | 3,636 | 261 | 237 | ||||||||||||
Chipotle Mexican Grill, Inc. | (e) | Retail | 129 | 183 | 234 | |||||||||||
Cintas Corp. | (f) | Commercial Services | 894 | 219 | 340 | |||||||||||
Costco Wholesale Corp. | (f) | Retail | 853 | 246 | 383 | |||||||||||
CSX Corp. | Transportation | 4,023 | 104 | 120 | ||||||||||||
CVS Health Corp. | Pharmaceuticals | 2,870 | 226 | 243 | ||||||||||||
Danaher Corp. | Healthcare-Products | 1,120 | 252 | 341 | ||||||||||||
Davide Campari-Milano N.V. | Beverages | 18,134 | 137 | 256 | ||||||||||||
Deere & Co. | Machinery-Diversified | 632 | 216 | 212 | ||||||||||||
Domino's Pizza, Inc. | Retail | 388 | 123 | 185 | ||||||||||||
Five Below, Inc. | (e)(f) | Retail | 1,118 | 121 | 198 | |||||||||||
Home Depot, Inc. | Retail | 1,333 | 265 | 438 | ||||||||||||
II-VI, Inc. | (e) | Electronics | 1,532 | 107 | 91 | |||||||||||
Intuit, Inc. | Software | 315 | 89 | 170 | ||||||||||||
Kansas City Southern | (f) | Transportation | 1,408 | 219 | 381 | |||||||||||
Mastercard, Inc. | (f) | Diversified Financial Services | 725 | 195 | 252 | |||||||||||
Mettler-Toledo International, Inc. | (e) | Electronics | 334 | 211 | 460 | |||||||||||
Microsoft Corp. | (f) | Software | 1,688 | 243 | 476 | |||||||||||
Mister Car Wash, Inc. | (e) | Commercial Services | 2,870 | 54 | 52 | |||||||||||
Moody's Corp. | Commercial Services | 623 | 137 | 221 | ||||||||||||
Pool Corp. | Distribution/Wholesale | 441 | 89 | 192 | ||||||||||||
Republic Services, Inc. | (f) | Environmental Control | 2,653 | 210 | 318 | |||||||||||
Sherwin-Williams Co. | Chemicals | 2,132 | 353 | 596 | ||||||||||||
Skyline Champion Corp. | (e) | Home Builders | 727 | 46 | 44 | |||||||||||
Stanley Black & Decker, Inc. | Hand/Machine Tools | 88 | 17 | 15 | ||||||||||||
Switchback II Corp. | (e) | Holding Companies-Diversified | 12,233 | 121 | 122 | |||||||||||
Target Corp. | Retail | 957 | 190 | 219 | ||||||||||||
Texas Instruments, Inc. | Semiconductors | 870 | 148 | 167 |
See notes to unaudited consolidated schedule of investments.
3
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Number of Shares | Cost(b) | Fair Value(c) | |||||||||||
Thermo Fisher Scientific, Inc. | Healthcare-Products | 307 | $ | 88 | $ | 175 | ||||||||||
Toro Co. | (f) | Machinery-Diversified | 1,150 | 80 | 112 | |||||||||||
Tractor Supply Co. | Retail | 869 | 134 | 176 | ||||||||||||
Union Pacific Corp. | Transportation | 2,067 | 334 | 405 | ||||||||||||
UnitedHealth Group, Inc. | Healthcare-Services | 191 | 79 | 75 | ||||||||||||
VPC Impact Acquisition Holdings III, Inc. | (e) | Holding Companies-Diversified | 10,597 | 105 | 105 | |||||||||||
Watches of Switzerland Group Plc | (d)(e) | Retail | 11,783 | 125 | 150 | |||||||||||
Total Common Stocks | 6,667 | 9,314 |
Portfolio Company(a) | Footnotes | Number of Shares | Cost | Fair Value(c) | ||||||||||||
Mutual Funds—0.1% | ||||||||||||||||
iPath Series B Bloomberg Coffee Subindex Total Return ETN | (e) | 600 | $ | 30 | $ | 32 | ||||||||||
ProShares Short VIX Short-Term Futures ETF | (e) | 800 | 42 | 44 | ||||||||||||
Total Mutual Funds | 72 | 76 |
Portfolio Company(a) | Footnotes | Yield | Number of Shares | Cost | Fair Value(c) | |||||||||||
Short-Term Investments—54.6% | ||||||||||||||||
State Street Institutional Liquid Reserves Fund - Premier Class | (g) | 0.04% | 74,616,860 | $ | 74,639 | $ | 74,632 | |||||||||
Total Short-Term Investments | 74,639 | 74,632 | ||||||||||||||
TOTAL INVESTMENTS—86.4% | $ | 114,839 | 118,076 | |||||||||||||
Other Assets in Excess of Liabilities—13.6% | 18,575 | |||||||||||||||
Net Assets—100.0% | $ | 136,651 |
Investments Sold Short
Portfolio Company(a) | Footnotes | Number of Shares | Cost | Fair Value(c) | ||||||||||||
Mutual Funds Sold Short—(0.8)% | ||||||||||||||||
Invesco QQQ Trust Series 1 | (623 | ) | $ | (230 | ) | $ | (223 | ) | ||||||||
iPath Series B Bloomberg Coffee Subindex Total Return ETN | (1,832 | ) | (93 | ) | (98 | ) | ||||||||||
iShares Russell 1000 Value ETF | (556 | ) | (89 | ) | (87 | ) | ||||||||||
ProShares Short VIX Short-Term Futures ETF | (7,822 | ) | (444 | ) | (425 | ) | ||||||||||
SPDR S&P 500 ETF Trust | (475 | ) | (208 | ) | (204 | ) | ||||||||||
SPDR S&P Retail ETF | (770 | ) | (71 | ) | (70 | ) | ||||||||||
Total Mutual Funds Sold Short | (1,135 | ) | (1,107 | ) |
Portfolio Company(a) | Footnotes | Industry | Par(b) | Cost | Fair Value(c) | |||||||||||
Corporate Bonds Sold Short—(1.7)% | ||||||||||||||||
99 Escrow Issuer, Inc., 7.5%, 1/15/26 | Retail | $ | (416 | ) | $ | (390 | ) | $ | (380 | ) | ||||||
Carnival Corp., 5.8%, 3/1/27 | Leisure Time | (418 | ) | (429 | ) | (433 | ) | |||||||||
Carrols Restaurant Group, Inc., 5.9%, 7/1/29 | Retail | (16 | ) | (15 | ) | (15 | ) | |||||||||
CommScope Technologies LLC, 5.0%, 3/15/27 | Telecommunications | (173 | ) | (170 | ) | (165 | ) | |||||||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.9%, 8/15/27 | Media Entertainment | (286 | ) | (296 | ) | (299 | ) | |||||||||
Life Time, Inc., 8.0%, 4/15/26 | Leisure Time | (435 | ) | (443 | ) | (462 | ) |
See notes to unaudited consolidated schedule of investments.
4
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Par(b) | Cost | Fair Value(c) | |||||||||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 6.0%, 12/31/30 | Pipelines | $ | (141 | ) | $ | (142 | ) | $ | (145 | ) | ||||||
Teva Pharmaceutical Finance Netherlands III B.V., 6.8%, 3/1/28 | Pharmaceuticals | (31 | ) | (33 | ) | (35 | ) | |||||||||
United Rentals North America, Inc., 4.9%, 1/15/28 | Commercial Services | (208 | ) | (215 | ) | (220 | ) | |||||||||
United Rentals North America, Inc., 3.9%, 2/15/31 | Commercial Services | (207 | ) | (213 | ) | (212 | ) | |||||||||
Total Corporate Bonds Sold Short | (2,346 | ) | (2,366 | ) |
Portfolio Company(a) | Footnotes | Industry | Number of Shares | Cost | Fair Value(c) | |||||||||||
Common Stocks Sold Short—(1.7)% | ||||||||||||||||
3M Co. | Miscellaneous Manufacturing | (384 | ) | $ | (76 | ) | $ | (67 | ) | |||||||
Albertsons Companies, Inc. | Food | (827 | ) | (25 | ) | (26 | ) | |||||||||
Allegheny Technologies, Inc. | Iron/Steel | (10 | ) | — | — | |||||||||||
AMC Entertainment Holdings, Inc. | Entertainment | (233 | ) | (16 | ) | (9 | ) | |||||||||
American Airlines Group, Inc. | Airlines | (1,396 | ) | (35 | ) | (29 | ) | |||||||||
Bank of America Corp. | Banks | (481 | ) | (22 | ) | (20 | ) | |||||||||
Boise Cascade Co. | Building Materials | (1,540 | ) | (82 | ) | (83 | ) | |||||||||
Callaway Golf Co. | Leisure Time | (947 | ) | (31 | ) | (26 | ) | |||||||||
Church & Dwight Co., Inc. | Household Products/Wares | (723 | ) | (63 | ) | (60 | ) | |||||||||
Clorox Co./The | Household Products/Wares | (144 | ) | (24 | ) | (24 | ) | |||||||||
Conagra Brands, Inc. | Food | (963 | ) | (33 | ) | (33 | ) | |||||||||
Credit Acceptance Corp. | Diversified Financial Services | (31 | ) | (15 | ) | (18 | ) | |||||||||
Darden Restaurants, Inc. | Retail | (554 | ) | (82 | ) | (84 | ) | |||||||||
Denny's Corp. | Retail | (464 | ) | (8 | ) | (8 | ) | |||||||||
Dow, Inc. | Chemicals | (497 | ) | (28 | ) | (29 | ) | |||||||||
Eastman Chemical Co. | Chemicals | (24 | ) | (2 | ) | (2 | ) | |||||||||
Ecolab, Inc. | Chemicals | (120 | ) | (26 | ) | (25 | ) | |||||||||
Elanco Animal Health, Inc. | Pharmaceuticals | (290 | ) | (9 | ) | (9 | ) | |||||||||
Emerson Electric Co. | Electrical Components & Equipment | (867 | ) | (89 | ) | (82 | ) | |||||||||
EPR Properties | Real Estate Investment Trusts | (963 | ) | (49 | ) | (48 | ) | |||||||||
FedEx Corp. | Transportation | (239 | ) | (74 | ) | (52 | ) | |||||||||
Fox Factory Holding Corp. | Auto Parts & Equipment | (204 | ) | (30 | ) | (28 | ) | |||||||||
General Electric Co. | Miscellaneous Manufacturing | (675 | ) | (73 | ) | (70 | ) | |||||||||
General Mills, Inc. | Food | (1,782 | ) | (104 | ) | (107 | ) | |||||||||
Genuine Parts Co. | Retail | (871 | ) | (109 | ) | (106 | ) | |||||||||
HB Fuller Co. | Chemicals | (626 | ) | (41 | ) | (39 | ) | |||||||||
Honest Co., Inc. | Cosmetics/Personal Care | (1,620 | ) | (24 | ) | (17 | ) | |||||||||
Kimberly-Clark Corp. | Household Products/Wares | (431 | ) | (59 | ) | (57 | ) |
See notes to unaudited consolidated schedule of investments.
5
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Number of Shares | Cost | Fair Value(c) | |||||||||||
La-Z-Boy, Inc. | Retail | (46 | ) | $ | (2 | ) | $ | (1 | ) | |||||||
Lordstown Motors Corp. | Auto Manufacturers | (819 | ) | (6 | ) | (7 | ) | |||||||||
Louisiana-Pacific Corp. | Building Materials | (1,589 | ) | (93 | ) | (98 | ) | |||||||||
Mattel, Inc. | Toys/Games/Hobbies | (963 | ) | (20 | ) | (18 | ) | |||||||||
Minerals Technologies, Inc. | Chemicals | (24 | ) | (2 | ) | (2 | ) | |||||||||
Mission Produce, Inc. | Food | (289 | ) | (6 | ) | (5 | ) | |||||||||
New York Times Co. | Media Entertainment | (962 | ) | (47 | ) | (47 | ) | |||||||||
Paychex, Inc. | Software | (1,203 | ) | (127 | ) | (135 | ) | |||||||||
Peloton Interactive, Inc. | Leisure Time | (385 | ) | (43 | ) | (34 | ) | |||||||||
Pinterest, Inc. | Internet | (144 | ) | (7 | ) | (7 | ) | |||||||||
Planet Fitness, Inc. | Leisure Time | (478 | ) | (35 | ) | (38 | ) | |||||||||
PotlatchDeltic Corp. | Real Estate Investment Trusts | (326 | ) | (19 | ) | (17 | ) | |||||||||
Procter & Gamble Co. | Cosmetic/Personal Care | (770 | ) | (108 | ) | (108 | ) | |||||||||
Progressive Corp. | Insurance | (957 | ) | (93 | ) | (87 | ) | |||||||||
Shake Shack, Inc. | Retail | (289 | ) | (27 | ) | (23 | ) | |||||||||
Simon Property Group, Inc. | Real Estate Investment Trusts | (96 | ) | (12 | ) | (11 | ) | |||||||||
Snap, Inc. | Internet | (626 | ) | (47 | ) | (46 | ) | |||||||||
Sonoco Products Co. | Packaging & Containers | (433 | ) | (27 | ) | (26 | ) | |||||||||
Starbucks Corp. | Retail | (481 | ) | (58 | ) | (53 | ) | |||||||||
SunCoke Energy, Inc. | Coal | (24 | ) | — | — | |||||||||||
Swedish Match AB | Agriculture | (3,402 | ) | (29 | ) | (30 | ) | |||||||||
Sysco Corp. | Food | (392 | ) | (29 | ) | (31 | ) | |||||||||
Tempur Sealy International, Inc. | Home Furnishings | (626 | ) | (23 | ) | (29 | ) | |||||||||
Teradata Corp. | Software | (193 | ) | (9 | ) | (11 | ) | |||||||||
Textron, Inc. | Miscellaneous Manufacturing | (289 | ) | (20 | ) | (20 | ) | |||||||||
TransDigm Group, Inc. | Aerospace/Defense | (39 | ) | (23 | ) | (24 | ) | |||||||||
Trupanion, Inc. | Insurance | (432 | ) | (44 | ) | (34 | ) | |||||||||
Verisk Analytics, Inc. | Commercial Services | (48 | ) | (9 | ) | (10 | ) | |||||||||
Warby Parker, Inc. | Retail | (962 | ) | (51 | ) | (51 | ) | |||||||||
West Fraser Timber Co. Ltd. | Forest Products & Paper | (626 | ) | (49 | ) | (53 | ) | |||||||||
Weyerhaeuser Co. | Real Estate Investment Trusts | (2,167 | ) | (85 | ) | (77 | ) | |||||||||
Whirlpool Corp. | Home Furnishings | (34 | ) | (7 | ) | (7 | ) | |||||||||
Worthington Industries, Inc. | Metal Fabricate/Hardware | (24 | ) | (1 | ) | (1 | ) | |||||||||
Yum! Brands, Inc. | Retail | (385 | ) | (47 | ) | (47 | ) | |||||||||
Total Common Stocks Sold Short | (2,434 | ) | (2,346 | ) | ||||||||||||
Total Investments Sold Short | (5,915 | ) | (5,819 | ) |
See notes to unaudited consolidated schedule of investments.
6
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Forward Foreign Currency Exchange Contracts
Counterparty | Contract Settlement Date | Currency and Amount to be Received | Currency and Amount to be Delivered | Unrealized Appreciation | Unrealized Depreciation | |||||||||||
Deutsche Bank AG | 10/20/21 | AUD | 600 | JPY | 47,837 | $ | 4 | $ | — | |||||||
Deutsche Bank AG | 10/20/21 | AUD | 400 | JPY | 32,389 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 235 | GBP | 125 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 401 | EUR | 250 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 400 | JPY | 32,389 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 200 | CAD | 186 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 200 | CAD | 185 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 235 | GBP | 125 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 202 | EUR | 125 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 800 | JPY | 64,329 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 235 | GBP | 125 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 200 | NZD | 207 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 400 | JPY | 32,208 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 201 | EUR | 125 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 200 | JPY | 16,104 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 200 | JPY | 16,178 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 235 | GBP | 125 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 200 | USD | 147 | — | 3 | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 200 | USD | 147 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 100 | USD | 73 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 100 | USD | 73 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | AUD | 300 | USD | 218 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 200 | USD | 158 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 500 | USD | 395 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 600 | USD | 469 | 5 | — | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 400 | USD | 315 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | CHF | 750 | USD | 809 | — | 4 | |||||||||
Deutsche Bank AG | 10/20/21 | CHF | 125 | USD | 135 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | CHF | 375 | USD | 407 | — | 5 | |||||||||
Deutsche Bank AG | 10/20/21 | CHF | 125 | USD | 136 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | CHF | 625 | USD | 677 | — | 6 | |||||||||
Deutsche Bank AG | 10/20/21 | CHF | 125 | USD | 135 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | CHF | 125 | USD | 135 | — | — | |||||||||
Deutsche Bank AG | 10/28/21 | CLP | 80,217 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | CNH | 1,940 | USD | 300 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | CNH | 1,939 | USD | 300 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | CNH | 14,222 | USD | 2,200 | 3 | — | |||||||||
Deutsche Bank AG | 10/20/21 | CNH | 645 | USD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | CNH | 648 | USD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | CNH | 3,886 | USD | 600 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | CNH | 1,296 | USD | 200 | 1 | — | |||||||||
Deutsche Bank AG | 10/8/21 | CNH | 1,942 | USD | 300 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | COP | 384,681 | USD | 100 | 1 | — | |||||||||
Deutsche Bank AG | 10/25/21 | COP | 384,257 | USD | 100 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 125 | USD | 146 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 2,125 | USD | 2,515 | — | 53 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 125 | USD | 148 | — | 3 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 1,625 | USD | 1,921 | — | 38 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 500 | USD | 587 | — | 7 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 375 | USD | 440 | — | 5 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 250 | USD | 294 | — | 4 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 125 | USD | 146 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 125 | USD | 173 | — | 4 |
See notes to unaudited consolidated schedule of investments.
7
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Counterparty | Contract Settlement Date | Currency and Amount to be Received | Currency and Amount to be Delivered | Unrealized Appreciation | Unrealized Depreciation | |||||||||||
Deutsche Bank AG | 10/20/21 | GBP | 625 | USD | 863 | $ | — | $ | 21 | |||||||
Deutsche Bank AG | 10/20/21 | GBP | 125 | USD | 173 | — | 5 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 250 | USD | 341 | — | 4 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 688 | USD | 943 | — | 17 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 125 | USD | 171 | — | 3 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 188 | USD | 252 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | HUF | 29,718 | USD | 100 | — | 4 | |||||||||
Deutsche Bank AG | 10/20/21 | HUF | 30,111 | USD | 100 | — | 3 | |||||||||
Deutsche Bank AG | 10/20/21 | HUF | 30,479 | USD | 100 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | HUF | 31,024 | USD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | ILS | 320 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | ILS | 320 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/22/21 | INR | 7,386 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/25/21 | INR | 7,390 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/18/21 | INR | 7,383 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/4/21 | INR | 7,346 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/4/21 | INR | 7,328 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/1/21 | INR | 14,667 | USD | 200 | — | 3 | |||||||||
Deutsche Bank AG | 10/4/21 | INR | 14,673 | USD | 200 | — | 2 | |||||||||
Deutsche Bank AG | 10/7/21 | INR | 516 | USD | 7 | — | — | |||||||||
Deutsche Bank AG | 10/7/21 | INR | 973 | USD | 13 | — | — | |||||||||
Deutsche Bank AG | 10/7/21 | INR | 972 | USD | 13 | — | — | |||||||||
Deutsche Bank AG | 10/7/21 | INR | 265 | USD | 4 | — | — | |||||||||
Deutsche Bank AG | 10/7/21 | INR | 708 | USD | 10 | — | — | |||||||||
Deutsche Bank AG | 10/7/21 | INR | 973 | USD | 13 | — | — | |||||||||
Deutsche Bank AG | 10/7/21 | INR | 974 | USD | 13 | — | — | |||||||||
Deutsche Bank AG | 10/7/21 | INR | 973 | USD | 13 | — | — | |||||||||
Deutsche Bank AG | 10/7/21 | INR | 973 | USD | 13 | — | — | |||||||||
Deutsche Bank AG | 10/12/21 | INR | 14,715 | USD | 200 | — | 2 | |||||||||
Deutsche Bank AG | 10/4/21 | INR | 14,706 | USD | 200 | — | 2 | |||||||||
Deutsche Bank AG | 10/18/21 | INR | 14,773 | USD | 200 | — | 1 | |||||||||
Deutsche Bank AG | 10/12/21 | INR | 7,381 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | INR | 5,305 | USD | 72 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | INR | 2,068 | USD | 28 | — | — | |||||||||
Deutsche Bank AG | 10/29/21 | INR | 7,434 | USD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/25/21 | INR | 7,429 | USD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/1/21 | INR | 32 | USD | — | — | — | |||||||||
Deutsche Bank AG | 10/4/21 | INR | 70 | USD | 1 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 112,500 | USD | 1,022 | — | 11 | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 262,500 | USD | 2,398 | — | 39 | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 225,000 | USD | 2,058 | — | 36 | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 162,500 | USD | 1,485 | — | 25 | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 50,000 | USD | 449 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 125,000 | USD | 1,123 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 87,500 | USD | 782 | 4 | — | |||||||||
Deutsche Bank AG | 10/12/21 | KRW | 8,596 | USD | 7 | — | — | |||||||||
Deutsche Bank AG | 10/12/21 | KRW | 43,068 | USD | 37 | — | 1 | |||||||||
Deutsche Bank AG | 10/12/21 | KRW | 49,267 | USD | 43 | — | 1 | |||||||||
Deutsche Bank AG | 10/12/21 | KRW | 8,654 | USD | 7 | — | — | |||||||||
Deutsche Bank AG | 10/12/21 | KRW | 38,502 | USD | 33 | — | 1 | |||||||||
Deutsche Bank AG | 10/12/21 | KRW | 4,532 | USD | 4 | — | — | |||||||||
Deutsche Bank AG | 10/12/21 | KRW | 49,251 | USD | 43 | — | 1 | |||||||||
Deutsche Bank AG | 10/12/21 | KRW | 29,702 | USD | 26 | — | 1 | |||||||||
Deutsche Bank AG | 10/5/21 | KRW | 115,795 | USD | 100 | — | 2 | |||||||||
Deutsche Bank AG | 10/5/21 | KRW | 231,590 | USD | 200 | — | 4 | |||||||||
Deutsche Bank AG | 10/12/21 | KRW | 116,607 | USD | 100 | — | 2 |
See notes to unaudited consolidated schedule of investments.
8
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Counterparty | Contract Settlement Date | Currency and Amount to be Received | Currency and Amount to be Delivered | Unrealized Appreciation | Unrealized Depreciation | |||||||||||
Deutsche Bank AG | 10/25/21 | KRW | 116,836 | USD | 100 | $ | — | $ | 1 | |||||||
Deutsche Bank AG | 10/18/21 | KRW | 118,450 | USD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/18/21 | KRW | 236,900 | USD | 200 | — | — | |||||||||
Deutsche Bank AG | 10/25/21 | KRW | 236,586 | USD | 200 | — | — | |||||||||
Deutsche Bank AG | 10/5/21 | KRW | 477 | USD | — | — | — | |||||||||
Deutsche Bank AG | 10/5/21 | KRW | 944 | USD | 1 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | MXN | 500 | USD | 25 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | MXN | 11,500 | USD | 576 | — | 21 | |||||||||
Deutsche Bank AG | 10/20/21 | MXN | 2,000 | USD | 100 | — | 4 | |||||||||
Deutsche Bank AG | 10/20/21 | MXN | 1,500 | USD | 75 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | MXN | 2,500 | USD | 125 | — | 4 | |||||||||
Deutsche Bank AG | 10/20/21 | MXN | 1,000 | USD | 50 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | MXN | 7,500 | USD | 364 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | MXN | 500 | USD | 24 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | NOK | 868 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | NOK | 1,735 | USD | 200 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | NOK | 869 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | NOK | 866 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | NZD | 100 | USD | 70 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | NZD | 200 | USD | 142 | — | 4 | |||||||||
Deutsche Bank AG | 10/20/21 | NZD | 600 | USD | 426 | — | 12 | |||||||||
Deutsche Bank AG | 10/20/21 | NZD | 100 | USD | 71 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | NZD | 200 | USD | 142 | — | 4 | |||||||||
Deutsche Bank AG | 10/20/21 | NZD | 100 | USD | 70 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | NZD | 100 | USD | 71 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | PLN | 392 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | PLN | 770 | USD | 200 | — | 7 | |||||||||
Deutsche Bank AG | 10/20/21 | RUB | 7,318 | USD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | RUB | 29,274 | USD | 400 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | RUB | 7,333 | USD | 100 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | RUB | 7,296 | USD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | RUB | 14,582 | USD | 200 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | RUB | 7,359 | USD | 100 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | RUB | 14,626 | USD | 200 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | SEK | 865 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | SEK | 859 | USD | 100 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | SEK | 879 | USD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | SGD | 403 | USD | 300 | — | 3 | |||||||||
Deutsche Bank AG | 10/20/21 | SGD | 135 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 1,816 | USD | 200 | — | — | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 902 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 2,684 | USD | 300 | — | 4 | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 1,772 | USD | 200 | — | 5 | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 3,545 | USD | 400 | — | 10 | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 880 | USD | 100 | — | 3 | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 1,760 | USD | 200 | — | 6 | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 863 | USD | 100 | — | 5 | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 861 | USD | 100 | — | 5 | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 873 | USD | 100 | — | 4 | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 1,733 | USD | 200 | — | 9 | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 869 | USD | 100 | — | 4 | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 887 | USD | 100 | — | 2 | |||||||||
Deutsche Bank AG | 11/10/21 | TRY | 887 | USD | 100 | — | 2 | |||||||||
Deutsche Bank AG | 10/4/21 | TWD | 2,755 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/15/21 | TWD | 1,886 | USD | 68 | — | — | |||||||||
Deutsche Bank AG | 10/15/21 | TWD | 879 | USD | 32 | — | — |
See notes to unaudited consolidated schedule of investments.
9
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Counterparty | Contract Settlement Date | Currency and Amount to be Received | Currency and Amount to be Delivered | Unrealized Appreciation | Unrealized Depreciation | |||||||||||
Deutsche Bank AG | 10/12/21 | TWD | 2,765 | USD | 100 | $ | — | $ | 1 | |||||||
Deutsche Bank AG | 10/25/21 | TWD | 1,820 | USD | 66 | — | — | |||||||||
Deutsche Bank AG | 10/25/21 | TWD | 954 | USD | 34 | — | — | |||||||||
Deutsche Bank AG | 10/22/21 | TWD | 2,776 | USD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/27/21 | TWD | 2,768 | USD | 100 | — | — | |||||||||
Deutsche Bank AG | 11/1/21 | TWD | 2,776 | USD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/4/21 | TWD | 18 | USD | 1 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 147 | AUD | 200 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 73 | AUD | 100 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 217 | AUD | 300 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 73 | AUD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 146 | AUD | 200 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 72 | AUD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 218 | AUD | 300 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 316 | CAD | 400 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 156 | CAD | 200 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 78 | CAD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 315 | CAD | 400 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 79 | CAD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 631 | CAD | 800 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 136 | CHF | 125 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 136 | CHF | 125 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 271 | CHF | 250 | 3 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 135 | CHF | 125 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 945 | CHF | 875 | 6 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 402 | CHF | 375 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 406 | CHF | 375 | 3 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 271 | CHF | 250 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 135 | CHF | 125 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 268 | CHF | 250 | — | 1 | |||||||||
Deutsche Bank AG | 10/28/21 | USD | 100 | CLP | 79,246 | 2 | — | |||||||||
Deutsche Bank AG | 10/29/21 | USD | 100 | CLP | 80,280 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 200 | CNH | 1,294 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 400 | CNH | 2,584 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 900 | CNH | 5,802 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 200 | CNH | 1,296 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 300 | CNH | 1,946 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | CNH | 649 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | CNH | 647 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 200 | CNH | 1,295 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 300 | CNH | 1,944 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | COP | 382,636 | — | — | |||||||||
Deutsche Bank AG | 10/25/21 | USD | 100 | COP | 384,853 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 1,179 | EUR | 1,000 | 21 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 885 | EUR | 750 | 16 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 3,537 | EUR | 3,000 | 61 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 147 | EUR | 125 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 146 | EUR | 125 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 146 | EUR | 125 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 146 | EUR | 125 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 1,886 | EUR | 1,625 | 3 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 145 | EUR | 125 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 146 | EUR | 125 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 173 | GBP | 125 | 5 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 259 | GBP | 188 | 7 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 518 | GBP | 375 | 12 | — |
See notes to unaudited consolidated schedule of investments.
10
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Counterparty | Contract Settlement Date | Currency and Amount to be Received | Currency and Amount to be Delivered | Unrealized Appreciation | Unrealized Depreciation | |||||||||||
Deutsche Bank AG | 10/20/21 | USD | 513 | GBP | 375 | $ | 7 | $ | — | |||||||
Deutsche Bank AG | 10/20/21 | USD | 513 | GBP | 375 | 8 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 256 | GBP | 188 | 3 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 86 | GBP | 63 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 1,100 | GBP | 813 | 5 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | HUF | 29,823 | 4 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | HUF | 30,445 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | ILS | 320 | 1 | — | |||||||||
Deutsche Bank AG | 10/1/21 | USD | 49 | INR | 3,609 | 1 | — | |||||||||
Deutsche Bank AG | 10/1/21 | USD | 33 | INR | 2,412 | — | — | |||||||||
Deutsche Bank AG | 10/1/21 | USD | 16 | INR | 1,204 | — | — | |||||||||
Deutsche Bank AG | 10/1/21 | USD | 20 | INR | 1,457 | — | — | |||||||||
Deutsche Bank AG | 10/1/21 | USD | 49 | INR | 3,610 | 1 | — | |||||||||
Deutsche Bank AG | 10/1/21 | USD | 16 | INR | 1,204 | — | — | |||||||||
Deutsche Bank AG | 10/1/21 | USD | 16 | INR | 1,203 | — | — | |||||||||
Deutsche Bank AG | 10/4/21 | USD | 200 | INR | 14,710 | 2 | — | |||||||||
Deutsche Bank AG | 10/4/21 | USD | 200 | INR | 14,676 | 2 | — | |||||||||
Deutsche Bank AG | 10/12/21 | USD | 100 | INR | 7,361 | 1 | — | |||||||||
Deutsche Bank AG | 10/7/21 | USD | 100 | INR | 7,357 | 1 | — | |||||||||
Deutsche Bank AG | 10/4/21 | USD | 200 | INR | 14,706 | 2 | — | |||||||||
Deutsche Bank AG | 10/18/21 | USD | 69 | INR | 5,117 | — | — | |||||||||
Deutsche Bank AG | 10/18/21 | USD | 4 | INR | 270 | — | — | |||||||||
Deutsche Bank AG | 10/18/21 | USD | 27 | INR | 2,006 | — | — | |||||||||
Deutsche Bank AG | 10/12/21 | USD | 200 | INR | 14,761 | 1 | — | |||||||||
Deutsche Bank AG | 10/18/21 | USD | 100 | INR | 7,387 | 1 | — | |||||||||
Deutsche Bank AG | 10/22/21 | USD | 100 | INR | 7,395 | 1 | — | |||||||||
Deutsche Bank AG | 10/18/21 | USD | 100 | INR | 7,383 | 1 | — | |||||||||
Deutsche Bank AG | 10/25/21 | USD | 100 | INR | 7,390 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | INR | 7,385 | 1 | — | |||||||||
Deutsche Bank AG | 10/25/21 | USD | 100 | INR | 7,429 | — | — | |||||||||
Deutsche Bank AG | 10/29/21 | USD | 100 | INR | 7,434 | — | — | |||||||||
Deutsche Bank AG | 11/1/21 | USD | 100 | INR | 7,438 | — | — | |||||||||
Deutsche Bank AG | 10/4/21 | USD | — | INR | 30 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 227 | JPY | 25,000 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 227 | JPY | 25,000 | 3 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 2,390 | JPY | 262,500 | 31 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 2,280 | JPY | 250,000 | 33 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 5,770 | JPY | 637,500 | 41 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 1,695 | JPY | 187,500 | 10 | — | |||||||||
Deutsche Bank AG | 10/5/21 | USD | 100 | KRW | 116,272 | 2 | — | |||||||||
Deutsche Bank AG | 10/5/21 | USD | 200 | KRW | 232,534 | 4 | — | |||||||||
Deutsche Bank AG | 10/12/21 | USD | 200 | KRW | 231,632 | 4 | — | |||||||||
Deutsche Bank AG | 10/12/21 | USD | 100 | KRW | 115,816 | 2 | — | |||||||||
Deutsche Bank AG | 10/18/21 | USD | 100 | KRW | 117,303 | 1 | — | |||||||||
Deutsche Bank AG | 10/18/21 | USD | 27 | KRW | 31,466 | — | — | |||||||||
Deutsche Bank AG | 10/18/21 | USD | 26 | KRW | 30,700 | — | �� | — | ||||||||
Deutsche Bank AG | 10/18/21 | USD | 37 | KRW | 43,172 | — | — | |||||||||
Deutsche Bank AG | 10/18/21 | USD | 37 | KRW | 42,861 | — | — | |||||||||
Deutsche Bank AG | 10/18/21 | USD | 37 | KRW | 42,837 | — | — | |||||||||
Deutsche Bank AG | 10/18/21 | USD | 37 | KRW | 43,269 | — | — | |||||||||
Deutsche Bank AG | 10/25/21 | USD | 200 | KRW | 236,964 | — | — | |||||||||
Deutsche Bank AG | 10/25/21 | USD | 100 | KRW | 118,482 | — | — | |||||||||
Deutsche Bank AG | 10/29/21 | USD | 200 | KRW | 236,630 | — | — | |||||||||
Deutsche Bank AG | 10/29/21 | USD | 100 | KRW | 118,279 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 25 | MXN | 500 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 25 | MXN | 500 | 1 | — |
See notes to unaudited consolidated schedule of investments.
11
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Counterparty | Contract Settlement Date | Currency and Amount to be Received | Currency and Amount to be Delivered | Unrealized Appreciation | Unrealized Depreciation | |||||||||||
Deutsche Bank AG | 10/20/21 | USD | 200 | MXN | 4,000 | $ | 6 | $ | — | |||||||
Deutsche Bank AG | 10/20/21 | USD | 49 | MXN | 1,000 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 248 | MXN | 5,000 | 6 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 50 | MXN | 1,000 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 25 | MXN | 500 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 952 | MXN | 19,500 | 9 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 24 | MXN | 500 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | NOK | 862 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | NOK | 860 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | NOK | 858 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | NOK | 858 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 71 | NZD | 100 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 210 | NZD | 300 | 3 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 140 | NZD | 200 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 211 | NZD | 300 | 4 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 69 | NZD | 100 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | PLN | 389 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 200 | PLN | 788 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 200 | PLN | 787 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | PLN | 397 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 800 | RUB | 59,074 | — | 10 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | RUB | 7,384 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 200 | RUB | 14,639 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | RUB | 7,314 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | SEK | 865 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | SEK | 864 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | USD | 100 | SEK | 867 | 1 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 904 | 1 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 200 | TRY | 1,814 | — | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 904 | 1 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 878 | 3 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 200 | TRY | 1,770 | 5 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 896 | 1 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 905 | — | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 906 | — | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 885 | 3 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 875 | 4 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 857 | 6 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 857 | 6 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 873 | 4 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 200 | TRY | 1,746 | 8 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 869 | 4 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 500 | TRY | 4,417 | 14 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 200 | TRY | 1,778 | 4 | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 200 | TRY | 1,816 | — | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 909 | — | — | |||||||||
Deutsche Bank AG | 11/10/21 | USD | 100 | TRY | 906 | — | — | |||||||||
Deutsche Bank AG | 10/4/21 | USD | 100 | TWD | 2,772 | 1 | — | |||||||||
Deutsche Bank AG | 10/12/21 | USD | 100 | TWD | 2,754 | 1 | — | |||||||||
Deutsche Bank AG | 10/15/21 | USD | 100 | TWD | 2,765 | 1 | — | |||||||||
Deutsche Bank AG | 10/22/21 | USD | 66 | TWD | 1,829 | — | — | |||||||||
Deutsche Bank AG | 10/22/21 | USD | 34 | TWD | 933 | — | — | |||||||||
Deutsche Bank AG | 10/25/21 | USD | 100 | TWD | 2,776 | — | — | |||||||||
Deutsche Bank AG | 10/27/21 | USD | 66 | TWD | 1,819 | — | — | |||||||||
Deutsche Bank AG | 10/27/21 | USD | 34 | TWD | 955 | — | — | |||||||||
Deutsche Bank AG | 10/29/21 | USD | 100 | TWD | 2,768 | — | — |
See notes to unaudited consolidated schedule of investments.
12
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Counterparty | Contract Settlement Date | Currency and Amount to be Received | Currency and Amount to be Delivered | Unrealized Appreciation | Unrealized Depreciation | |||||||||||
Deutsche Bank AG | 10/20/21 | USD | 200 | ZAR | 3,025 | $ | — | $ | 1 | |||||||
Deutsche Bank AG | 10/20/21 | ZAR | 1,425 | USD | 100 | — | 6 | |||||||||
Deutsche Bank AG | 10/20/21 | ZAR | 1,501 | USD | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 374 | EUR | 250 | 5 | — | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 200 | JPY | 17,367 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 185 | AUD | 200 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 200 | JPY | 17,115 | 4 | — | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 370 | AUD | 400 | 3 | — | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 400 | JPY | 34,819 | 3 | — | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 184 | AUD | 200 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 200 | JPY | 17,542 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 200 | JPY | 17,542 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | CAD | 200 | JPY | 17,609 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 200 | PLN | 916 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 400 | GBP | 343 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 400 | GBP | 343 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 200 | JPY | 25,961 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 600 | JPY | 77,883 | — | 5 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 250 | CHF | 271 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 400 | JPY | 52,065 | — | 4 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 100 | PLN | 455 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 100 | GBP | 85 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 125 | NOK | 1,275 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 400 | GBP | 341 | 4 | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 100 | GBP | 85 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 200 | GBP | 172 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 100 | JPY | 12,842 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 125 | AUD | 202 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 100 | GBP | 86 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 200 | JPY | 25,951 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 125 | CAD | 185 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 100 | GBP | 86 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 300 | JPY | 38,889 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 3,400 | GBP | 2,932 | — | 11 | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 125 | AUD | 201 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | EUR | 400 | GBP | 345 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 38,841 | EUR | 300 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 37,508 | GBP | 250 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 17,367 | CAD | 200 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 15,653 | NZD | 200 | 3 | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 48,147 | AUD | 600 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 51,767 | EUR | 400 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 16,009 | AUD | 200 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 25,792 | EUR | 200 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 12,870 | EUR | 100 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 17,115 | CAD | 200 | — | 4 | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 31,733 | AUD | 400 | — | 4 | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 15,579 | NZD | 200 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 15,533 | NZD | 200 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 29,872 | CHF | 250 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 38,057 | GBP | 250 | 5 | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 12,991 | EUR | 100 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 15,466 | NZD | 200 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 37,665 | GBP | 250 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | JPY | 18,801 | GBP | 125 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | NZD | 828 | AUD | 800 | — | 7 |
See notes to unaudited consolidated schedule of investments.
13
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Counterparty | Contract Settlement Date | Currency and Amount to be Received | Currency and Amount to be Delivered | Unrealized Appreciation | Unrealized Depreciation | |||||||||||
Deutsche Bank AG | 10/20/21 | NZD | 200 | JPY | 15,648 | $ | — | $ | 3 | |||||||
Deutsche Bank AG | 10/20/21 | NZD | 200 | JPY | 15,560 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | NZD | 200 | JPY | 15,372 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | NOK | 500 | SEK | 498 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | NOK | 1,279 | EUR | 125 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | NOK | 500 | SEK | 500 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | NOK | 2,513 | EUR | 250 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | PLN | 461 | EUR | 100 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 257 | EUR | 300 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 342 | EUR | 400 | — | 3 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 375 | AUD | 704 | — | 4 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 342 | EUR | 400 | — | 3 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 125 | JPY | 19,001 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 85 | EUR | 100 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 125 | AUD | 236 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 125 | JPY | 18,904 | — | 1 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 125 | AUD | 235 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 172 | EUR | 200 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 625 | JPY | 94,722 | — | 9 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 1,199 | EUR | 1,400 | — | 7 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 125 | AUD | 235 | — | 2 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 375 | JPY | 56,780 | — | 5 | |||||||||
Deutsche Bank AG | 10/20/21 | GBP | 256 | EUR | 300 | — | 3 | |||||||||
Deutsche Bank AG | 10/20/21 | SEK | 500 | NOK | 500 | — | — | |||||||||
Deutsche Bank AG | 10/20/21 | SEK | 1,275 | EUR | 125 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | SEK | 505 | NOK | 500 | 1 | — | |||||||||
Deutsche Bank AG | 10/20/21 | CHF | 250 | JPY | 29,662 | 2 | — | |||||||||
Deutsche Bank AG | 10/20/21 | CHF | 157 | GBP | 125 | — | — | |||||||||
Morgan Stanley & Co. International PLC | 12/15/21 | SEK | 345 | USD | 40 | — | 1 | |||||||||
Morgan Stanley & Co. International PLC | 12/15/21 | USD | 254 | EUR | 215 | 5 | — | |||||||||
Morgan Stanley & Co. International PLC | 12/15/21 | USD | 160 | GBP | 116 | 4 | — | |||||||||
Morgan Stanley & Co. International PLC | 12/15/21 | USD | 5 | SEK | 41 | — | — | |||||||||
Morgan Stanley & Co. International PLC | 12/15/21 | USD | 7 | SEK | 61 | — | — | |||||||||
Total Forward Foreign Currency Exchange Contracts | $ | 568 | $ | 636 |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||
Long Futures—18.3% | ||||||||||||||||||||
Commodity Futures Contracts—11.9% | ||||||||||||||||||||
Aluminum | 2 | Long | 10/1/2021 | 127 | $ | 18 | $ | — | ||||||||||||
Aluminum | 1 | Long | 11/9/2021 | 65 | 6 | — | ||||||||||||||
Aluminum | 1 | Long | 11/17/2021 | 66 | 6 | — | ||||||||||||||
Aluminum | 1 | Long | 11/18/2021 | 63 | 8 | — | ||||||||||||||
Aluminum | 1 | Long | 11/19/2021 | 63 | 8 | — | ||||||||||||||
Aluminum | 1 | Long | 11/23/2021 | 65 | 6 | — | ||||||||||||||
Aluminum | 3 | Long | 11/24/2021 | 201 | 14 | — | ||||||||||||||
Aluminum | 1 | Long | 11/26/2021 | 66 | 6 | — | ||||||||||||||
Aluminum | 1 | Long | 12/6/2021 | 69 | 2 | — | ||||||||||||||
Aluminum | 1 | Long | 12/15/2021 | 73 | — | 1 | ||||||||||||||
Aluminum | 1 | Long | 12/20/2021 | 72 | — | 1 | ||||||||||||||
Aluminum | 1 | Long | 12/22/2021 | 73 | — | 2 |
See notes to unaudited consolidated schedule of investments.
14
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Aluminum | 2 | Long | 12/24/2021 | 147 | $ | — | $ | 4 | ||||||||||
Aluminum | 2 | Long | 12/29/2021 | 146 | — | 3 | ||||||||||||
Brent Crude | 6 | Long | 10/29/2021 | 459 | 11 | — | ||||||||||||
Brent Crude | 3 | Long | 10/29/2021 | 236 | — | 1 | ||||||||||||
Canola | 2 | Long | 11/12/2021 | 27 | 1 | — | ||||||||||||
Cocoa | 1 | Long | 5/16/2022 | 25 | 1 | — | ||||||||||||
Copper | 1 | Long | 12/29/2021 | 107 | — | 4 | ||||||||||||
Copper | 1 | Long | 10/5/2021 | 242 | — | 18 | ||||||||||||
Copper | 1 | Long | 10/8/2021 | 238 | — | 14 | ||||||||||||
Copper | 1 | Long | 10/13/2021 | 242 | — | 19 | ||||||||||||
Copper | 1 | Long | 10/15/2021 | 237 | — | 14 | ||||||||||||
Copper | 2 | Long | 10/19/2021 | 490 | — | 42 | ||||||||||||
Copper | 1 | Long | 10/20/2021 | 233 | — | 10 | ||||||||||||
Copper | 1 | Long | 10/21/2021 | 232 | — | 8 | ||||||||||||
Copper | 1 | Long | 10/28/2021 | 245 | — | 21 | ||||||||||||
Copper | 1 | Long | 10/29/2021 | 236 | — | 13 | ||||||||||||
Copper | 1 | Long | 11/4/2021 | 237 | — | 13 | ||||||||||||
Copper | 1 | Long | 11/9/2021 | 226 | — | 3 | ||||||||||||
Copper | 2 | Long | 11/10/2021 | 476 | — | 29 | ||||||||||||
Copper | 1 | Long | 11/12/2021 | 237 | — | 14 | ||||||||||||
Copper | 1 | Long | 11/16/2021 | 226 | — | 3 | ||||||||||||
Copper | 1 | Long | 11/18/2021 | 230 | — | 7 | ||||||||||||
Copper | 1 | Long | 11/19/2021 | 222 | 1 | — | ||||||||||||
Copper | 1 | Long | 11/23/2021 | 230 | — | 7 | ||||||||||||
Copper | 4 | Long | 11/24/2021 | 926 | — | 32 | ||||||||||||
Copper | 1 | Long | 12/6/2021 | 234 | — | 11 | ||||||||||||
Copper | 1 | Long | 12/7/2021 | 234 | — | 11 | ||||||||||||
Copper | 2 | Long | 12/10/2021 | 481 | — | 34 | ||||||||||||
Copper | 2 | Long | 12/13/2021 | 454 | — | 7 | ||||||||||||
Copper | 1 | Long | 12/17/2021 | 233 | — | 9 | ||||||||||||
Copper | 1 | Long | 12/21/2021 | 232 | — | 8 | ||||||||||||
Copper | 1 | Long | 12/22/2021 | 233 | — | 10 | ||||||||||||
Copper | 1 | Long | 12/24/2021 | 233 | — | 9 | ||||||||||||
Copper | 1 | Long | 12/29/2021 | 230 | — | 6 | ||||||||||||
Crude Palm Oil Future | 4 | Long | 12/15/2021 | 106 | 3 | — | ||||||||||||
E-Mini Crude Oil Index | 2 | Long | 10/19/2021 | 73 | 3 | — | ||||||||||||
Gold | 1 | Long | 8/26/2022 | 56 | — | — | ||||||||||||
Lead | 2 | Long | 12/15/2021 | 112 | — | 7 | ||||||||||||
Lead | 1 | Long | 10/14/2021 | 57 | — | 5 | ||||||||||||
Lead | 1 | Long | 10/27/2021 | 59 | — | 7 | ||||||||||||
Lead | 1 | Long | 11/10/2021 | 57 | — | 5 | ||||||||||||
Lead | 1 | Long | 11/19/2021 | 57 | — | 4 | ||||||||||||
Lead | 1 | Long | 11/23/2021 | 57 | — | 5 | ||||||||||||
Lead | 1 | Long | 11/26/2021 | 57 | — | 5 | ||||||||||||
Lead | 1 | Long | 12/8/2021 | 54 | — | 2 | ||||||||||||
Lead | 1 | Long | 12/9/2021 | 57 | — | 5 | ||||||||||||
Lead | 1 | Long | 12/13/2021 | 54 | — | 2 | ||||||||||||
Lead | 3 | Long | 12/14/2021 | 162 | — | 5 | ||||||||||||
Lead | 2 | Long | 12/16/2021 | 111 | — | 6 | ||||||||||||
Low Sulfur Gasoil | 2 | Long | 12/10/2021 | 133 | 1 | — | ||||||||||||
Low Sulfur Gasoil | 1 | Long | 2/10/2022 | 64 | 3 | — | ||||||||||||
Low Sulfur Gasoil | 1 | Long | 1/12/2022 | 61 | 6 | — | ||||||||||||
Low Sulfur Gasoil | 5 | Long | 11/11/2021 | 320 | 18 | — | ||||||||||||
Natural Gas | 1 | Long | 10/27/2021 | 58 | 2 | — |
See notes to unaudited consolidated schedule of investments.
15
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Nickel | 1 | Long | 10/12/2021 | 114 | $ | — | $ | 6 | ||||||||||
Nickel | 1 | Long | 10/13/2021 | 117 | — | 9 | ||||||||||||
Nickel | 1 | Long | 10/15/2021 | 112 | — | 5 | ||||||||||||
Nickel | 1 | Long | 10/19/2021 | 111 | — | 4 | ||||||||||||
Nickel | 1 | Long | 10/27/2021 | 117 | — | 9 | ||||||||||||
Nickel | 1 | Long | 10/29/2021 | 119 | — | 12 | ||||||||||||
Nickel | 1 | Long | 11/4/2021 | 116 | — | 8 | ||||||||||||
Nickel | 1 | Long | 11/12/2021 | 113 | — | 6 | ||||||||||||
Nickel | 1 | Long | 11/24/2021 | 115 | — | 8 | ||||||||||||
Nickel | 1 | Long | 11/26/2021 | 115 | — | 8 | ||||||||||||
Nickel | 1 | Long | 12/7/2021 | 114 | — | 7 | ||||||||||||
Nickel | 1 | Long | 12/14/2021 | 110 | — | 3 | ||||||||||||
Nickel | 1 | Long | 12/21/2021 | 111 | — | 4 | ||||||||||||
Nickel | 1 | Long | 12/22/2021 | 114 | — | 6 | ||||||||||||
Nickel | 1 | Long | 12/17/2021 | 110 | — | 3 | ||||||||||||
NY Harbor ULSD | 1 | Long | 10/29/2021 | 94 | 4 | — | ||||||||||||
Platinum | 1 | Long | 08/26/2022 | 16 | — | — | ||||||||||||
Sugar | 2 | Long | 2/28/2022 | 45 | 1 | — | ||||||||||||
Sugar | 1 | Long | 4/29/2022 | 22 | — | — | ||||||||||||
Tin | 1 | Long | 10/21/2021 | 167 | 7 | — | ||||||||||||
Tin | 1 | Long | 10/22/2021 | 173 | 2 | — | ||||||||||||
WTI Crude | 4 | Long | 11/19/2021 | 296 | 3 | — | ||||||||||||
WTI Crude | 1 | Long | 12/20/2021 | 72 | 2 | — | ||||||||||||
WTI Crude | 2 | Long | 10/19/2021 | 148 | 2 | — | ||||||||||||
WTI Crude | 9 | Long | 10/20/2021 | 660 | 15 | — | ||||||||||||
Zinc | 1 | Long | 10/29/2021 | 75 | — | — | ||||||||||||
Zinc | 1 | Long | 11/2/2021 | 76 | — | 2 | ||||||||||||
Zinc | 2 | Long | 11/3/2021 | 149 | — | — | ||||||||||||
Zinc | 1 | Long | 11/5/2021 | 76 | — | 1 | ||||||||||||
Zinc | 1 | Long | 11/12/2021 | 75 | — | 1 | ||||||||||||
Zinc | 1 | Long | 11/19/2021 | 75 | — | — | ||||||||||||
Zinc | 2 | Long | 11/24/2021 | 151 | — | 1 | ||||||||||||
Zinc | 2 | Long | 11/26/2021 | 150 | — | 1 | ||||||||||||
Zinc | 1 | Long | 12/1/2021 | 75 | — | — | ||||||||||||
Zinc | 1 | Long | 12/6/2021 | 75 | — | 1 | ||||||||||||
Zinc | 2 | Long | 12/8/2021 | 153 | — | 4 | ||||||||||||
Zinc | 1 | Long | 12/9/2021 | 75 | — | 1 | ||||||||||||
Zinc | 1 | Long | 12/10/2021 | 75 | — | 1 | ||||||||||||
Zinc | 1 | Long | 12/13/2021 | 75 | — | 1 | ||||||||||||
Zinc | 1 | Long | 12/16/2021 | 76 | — | — | ||||||||||||
Zinc | 1 | Long | 12/17/2021 | 78 | — | 3 | ||||||||||||
Zinc | 1 | Long | 12/20/2021 | 75 | — | — | ||||||||||||
Zinc | 1 | Long | 12/30/2021 | 76 | — | 1 | ||||||||||||
Total Commodity Futures Contracts | $ | 160 | $ | 562 | ||||||||||||||
Equity Futures Contracts—3.9% | ||||||||||||||||||
CAC40 10 Euro | 2 | Long | 10/15/2021 | 153 | $ | — | $ | 2 | ||||||||||
DJIA MICR MIN-CBOT | 2 | Long | 12/17/2021 | 34 | — | — | ||||||||||||
DJIA Mini E-CBOT | 2 | Long | 12/17/2021 | 344 | — | 6 | ||||||||||||
E-Mini S&P 500 Index | 1 | Long | 12/17/2021 | 22 | — | — | ||||||||||||
Euro-STOXX 50 Index | 13 | Long | 12/17/2021 | 616 | — | 5 | ||||||||||||
FTSE China A50 Index | 4 | Long | 10/28/2021 | 62 | — | — | ||||||||||||
FTSE Taiwan Index | 1 | Long | 10/28/2021 | 59 | — | — | ||||||||||||
FTSE/JSE TOP 40 | 1 | Long | 12/15/2021 | 39 | — | — |
See notes to unaudited consolidated schedule of investments.
16
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
FTSE/MIB Index | 2 | Long | 12/17/2021 | 298 | — | — | ||||||||||||
FTSES 100 Index | 4 | Long | 12/17/2021 | 381 | 4 | — | ||||||||||||
Hang Seng Index | 3 | Long | 10/28/2021 | 470 | 3 | — | ||||||||||||
MSCI EAFE | 1 | Long | 12/17/2021 | 113 | — | — | ||||||||||||
MSCI Singapore Index | 1 | Long | 10/28/2021 | 27 | — | — | ||||||||||||
Nikkei 225 Mini Index | 12 | Long | 12/9/2021 | 324 | — | 4 | ||||||||||||
Nikkei 225 SGX Index | 1 | Long | 12/9/2021 | 132 | 1 | — | ||||||||||||
NYSE FANG+ Index | 1 | Long | 12/17/2021 | 359 | — | 8 | ||||||||||||
OMXS30 Index | 3 | Long | 10/15/2021 | 80 | — | 2 | ||||||||||||
S&P/TSX 60 Index | 4 | Long | 12/16/2021 | 773 | — | 16 | ||||||||||||
SPI 200 Index futures | 4 | Long | 12/16/2021 | 531 | — | 2 | ||||||||||||
Topix Index | 1 | Long | 12/9/2021 | 181 | — | — | ||||||||||||
WIG 20 Index | 1 | Long | 12/17/2021 | 12 | — | — | ||||||||||||
XAV Healthcare Index | 1 | Long | 12/17/2021 | 133 | — | 5 | ||||||||||||
Total Equity Futures Contracts | $ | 8 | $ | 50 | ||||||||||||||
Foreign Currency Futures Contracts—0.3% | ||||||||||||||||||
Dollar Index | 1 | Long | 12/13/2021 | 94 | $ | — | $ | — | ||||||||||
INR/USD | 1 | Long | 10/27/2021 | 27 | — | — | ||||||||||||
Japanese Yen | 2 | Long | 12/13/2021 | 225 | — | — | ||||||||||||
TRY Dollar | 1 | Long | 10/27/2021 | 1 | — | — | ||||||||||||
Total Foreign Currency Futures Contracts | $ | — | $ | — | ||||||||||||||
Interest Rate Futures Contracts—2.2% | ||||||||||||||||||
90 Day Eurodollar | 1 | Long | 12/13/2021 | 249 | $ | — | $ | — | ||||||||||
Canada 10-Year Bond | 5 | Long | 12/20/2021 | 568 | — | 2 | ||||||||||||
Euro BTP | 3 | Long | 12/8/2021 | 528 | — | — | ||||||||||||
Euro-OAT | 4 | Long | 12/8/2021 | 780 | — | 3 | ||||||||||||
Short Euro-BTP | 3 | Long | 12/8/2021 | 400 | — | — | ||||||||||||
U.S. Treasury 10-Year Ultra Bond | 3 | Long | 12/21/2021 | 436 | — | — | ||||||||||||
Total Interest Rate Futures Contracts | $ | — | $ | 5 | ||||||||||||||
Total Long Futures | $ | 168 | $ | 617 | ||||||||||||||
Short Futures—(26.8)% | ||||||||||||||||||
Commodity Futures Contracts—(10.7)% | ||||||||||||||||||
Aluminum | (1) | Short | 12/29/2021 | (72 | ) | $ | 1 | $ | — | |||||||||
Aluminum | (1) | Short | 12/24/2021 | (73 | ) | 1 | — | |||||||||||
Aluminum | (1) | Short | 12/22/2021 | (73 | ) | 2 | — | |||||||||||
Aluminum | (1) | Short | 12/21/2021 | (72 | ) | — | — | |||||||||||
Aluminum | (1) | Short | 12/20/2021 | (71 | ) | — | — | |||||||||||
Aluminum | (1) | Short | 12/15/2021 | (72 | ) | 1 | — | |||||||||||
Aluminum | (1) | Short | 12/6/2021 | (70 | ) | — | 2 | |||||||||||
Aluminum | (1) | Short | 11/26/2021 | (65 | ) | — | 6 | |||||||||||
Aluminum | (2) | Short | 11/24/2021 | (130 | ) | — | 13 | |||||||||||
Aluminum | (1) | Short | 11/23/2021 | (64 | ) | — | 7 | |||||||||||
Aluminum | (1) | Short | 11/19/2021 | (63 | ) | — | 8 | |||||||||||
Aluminum | (1) | Short | 11/18/2021 | (64 | ) | — | 8 | |||||||||||
Aluminum | (1) | Short | 11/17/2021 | (65 | ) | — | 6 | |||||||||||
Aluminum | (1) | Short | 11/9/2021 | (64 | ) | — | 8 | |||||||||||
Aluminum | (2) | Short | 10/1/2021 | (127 | ) | — | 18 | |||||||||||
Copper | (2) | Short | 12/30/2021 | (447 | ) | — | — | |||||||||||
Copper | (1) | Short | 12/22/2021 | (232 | ) | 8 | — | |||||||||||
Copper | (1) | Short | 12/21/2021 | (221 | ) | — | 3 | |||||||||||
Copper | (1) | Short | 12/17/2021 | (227 | ) | 4 | — |
See notes to unaudited consolidated schedule of investments.
17
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Copper | (2) | Short | 12/13/2021 | (481 | ) | $ | 34 | $ | — | |||||||||
Copper | (2) | Short | 12/10/2021 | (454 | ) | 7 | — | |||||||||||
Copper | (1) | Short | 12/7/2021 | (234 | ) | 10 | — | |||||||||||
Copper | (1) | Short | 12/6/2021 | (236 | ) | 12 | — | |||||||||||
Copper | (4) | Short | 11/24/2021 | (930 | ) | 36 | — | |||||||||||
Copper | (1) | Short | 11/23/2021 | (232 | ) | 9 | — | |||||||||||
Copper | (1) | Short | 11/19/2021 | (232 | ) | 9 | — | |||||||||||
Copper | (1) | Short | 11/18/2021 | (226 | ) | 3 | — | |||||||||||
Copper | (1) | Short | 11/16/2021 | (236 | ) | 13 | — | |||||||||||
Copper | (1) | Short | 11/12/2021 | (237 | ) | 14 | — | |||||||||||
Copper | (2) | Short | 11/10/2021 | (465 | ) | 18 | — | |||||||||||
Copper | (1) | Short | 11/9/2021 | (232 | ) | 9 | — | |||||||||||
Copper | (1) | Short | 11/4/2021 | (236 | ) | 13 | — | |||||||||||
Copper | (1) | Short | 10/29/2021 | (242 | ) | 19 | — | |||||||||||
Copper | (1) | Short | 10/28/2021 | (244 | ) | 20 | — | |||||||||||
Copper | (1) | Short | 10/21/2021 | (232 | ) | 9 | — | |||||||||||
Copper | (1) | Short | 10/20/2021 | (245 | ) | 21 | — | |||||||||||
Copper | (2) | Short | 10/19/2021 | (462 | ) | 15 | — | |||||||||||
Copper | (1) | Short | 10/15/2021 | (245 | ) | 21 | — | |||||||||||
Copper | (1) | Short | 10/13/2021 | (237 | ) | 13 | — | |||||||||||
Copper | (1) | Short | 10/8/2021 | (242 | ) | 18 | — | |||||||||||
Copper | (1) | Short | 10/5/2021 | (237 | ) | 14 | — | |||||||||||
Corn | (1) | Short | 12/14/2021 | (27 | ) | — | — | |||||||||||
Gold | (1) | Short | 12/29/2021 | (177 | ) | 1 | — | |||||||||||
Lead | (2) | Short | 12/16/2021 | (108 | ) | 3 | — | |||||||||||
Lead | (2) | Short | 12/15/2021 | (108 | ) | 3 | — | |||||||||||
Lead | (3) | Short | 12/14/2021 | (170 | ) | 13 | — | |||||||||||
Lead | (1) | Short | 12/13/2021 | (57 | ) | 5 | — | |||||||||||
Lead | (1) | Short | 12/9/2021 | (54 | ) | 2 | — | |||||||||||
Lead | (1) | Short | 12/8/2021 | (57 | ) | 5 | — | |||||||||||
Lead | (1) | Short | 11/26/2021 | (57 | ) | 4 | — | |||||||||||
Lead | (1) | Short | 11/23/2021 | (57 | ) | 5 | — | |||||||||||
Lead | (1) | Short | 11/19/2021 | (57 | ) | 5 | — | |||||||||||
Lead | (1) | Short | 11/10/2021 | (57 | ) | 4 | — | |||||||||||
Lead | (1) | Short | 10/27/2021 | (59 | ) | 7 | — | |||||||||||
Lead | (1) | Short | 10/14/2021 | (59 | ) | 6 | — | |||||||||||
Live Cattle | (2) | Short | 12/31/2021 | (103 | ) | 2 | — | |||||||||||
Nickel | (1) | Short | 12/21/2021 | (110 | ) | 2 | — | |||||||||||
Nickel | (1) | Short | 12/17/2021 | (116 | ) | 8 | — | |||||||||||
Nickel | (1) | Short | 12/14/2021 | (119 | ) | 11 | — | |||||||||||
Nickel | (1) | Short | 12/7/2021 | (118 | ) | 10 | — | |||||||||||
Nickel | (1) | Short | 11/26/2021 | (114 | ) | 7 | — | |||||||||||
Nickel | (1) | Short | 11/24/2021 | (114 | ) | 6 | — | |||||||||||
Nickel | (1) | Short | 11/12/2021 | (115 | ) | 8 | — | |||||||||||
Nickel | (1) | Short | 11/4/2021 | (117 | ) | 9 | — | |||||||||||
Nickel | (1) | Short | 10/29/2021 | (117 | ) | 10 | — | |||||||||||
Nickel | (1) | Short | 10/27/2021 | (116 | ) | 8 | — | |||||||||||
Nickel | (1) | Short | 10/19/2021 | (117 | ) | 9 | — | |||||||||||
Nickel | (1) | Short | 10/15/2021 | (113 | ) | 6 | — | |||||||||||
Nickel | (1) | Short | 10/13/2021 | (112 | ) | 5 | — | |||||||||||
Nickel | (1) | Short | 10/12/2021 | (111 | ) | 4 | — | |||||||||||
Nickel | (1) | Short | 12/22/2021 | (110 | ) | 2 | — | |||||||||||
Silver | (1) | Short | 12/29/2021 | (108 | ) | — | 2 | |||||||||||
Soyabean | (1) | Short | 12/14/2021 | (33 | ) | — | — |
See notes to unaudited consolidated schedule of investments.
18
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Soyabean | (11) | Short | 11/12/2021 | (691 | ) | $ | — | $ | — | |||||||||
Tin | (1) | Short | 10/22/2021 | (167 | ) | — | 7 | |||||||||||
Tin | (1) | Short | 10/21/2021 | (173 | ) | — | 1 | |||||||||||
Wheat | (3) | Short | 12/14/2021 | (108 | ) | — | 1 | |||||||||||
Zinc | (1) | Short | 12/30/2021 | (76 | ) | 1 | — | |||||||||||
Zinc | (1) | Short | 12/20/2021 | (75 | ) | 1 | — | |||||||||||
Zinc | (1) | Short | 12/17/2021 | (75 | ) | — | — | |||||||||||
Zinc | (1) | Short | 12/16/2021 | (77 | ) | 2 | — | |||||||||||
Zinc | (1) | Short | 12/13/2021 | (77 | ) | 3 | — | |||||||||||
Zinc | (1) | Short | 12/10/2021 | (77 | ) | 2 | — | |||||||||||
Zinc | (1) | Short | 12/9/2021 | (77 | ) | 2 | — | |||||||||||
Zinc | (2) | Short | 12/8/2021 | (151 | ) | 1 | — | |||||||||||
Zinc | (1) | Short | 12/6/2021 | (75 | ) | 1 | — | |||||||||||
Zinc | (1) | Short | 12/1/2021 | (74 | ) | — | — | |||||||||||
Zinc | (2) | Short | 11/26/2021 | (150 | ) | 1 | — | |||||||||||
Zinc | (2) | Short | 11/24/2021 | (150 | ) | 1 | — | |||||||||||
Zinc | (1) | Short | 11/19/2021 | (74 | ) | — | 1 | |||||||||||
Zinc | (1) | Short | 11/12/2021 | (75 | ) | — | — | |||||||||||
Zinc | (1) | Short | 11/5/2021 | (75 | ) | — | — | |||||||||||
Zinc | (2) | Short | 11/3/2021 | (148 | ) | — | 1 | |||||||||||
Zinc | (1) | Short | 11/2/2021 | (75 | ) | — | — | |||||||||||
Zinc | (1) | Short | 10/29/2021 | (75 | ) | 1 | — | |||||||||||
Total Commodity Futures Contracts | $ | 540 | $ | 92 | ||||||||||||||
Equity Futures Contracts—(2.4)% | ||||||||||||||||||
Amsterdam IDX Index | (1) | Short | 10/15/2021 | (183 | ) | $ | 3 | $ | — | |||||||||
BIST 30 Index | (8) | Short | 10/27/2021 | (14 | ) | — | — | |||||||||||
CBOE Volatility Index | (12) | Short | 11/17/2021 | (278 | ) | — | 6 | |||||||||||
CBOE Volatility Index | (3) | Short | 10/20/2021 | (63 | ) | — | 6 | |||||||||||
DAX Mini Index | (2) | Short | 12/17/2021 | (178 | ) | — | — | |||||||||||
E-mini Russell 2000 | (2) | Short | 12/17/2021 | (224 | ) | 4 | — | |||||||||||
HSCEI Index | (2) | Short | 10/28/2021 | (111 | ) | — | 2 | |||||||||||
MICRO E-Mini Russell 2000 Index | (1) | Short | 12/17/2021 | (11 | ) | — | — | |||||||||||
MSCI Emerging Market Index | (1) | Short | 12/17/2021 | (62 | ) | — | — | |||||||||||
NASDAQ 100 E-Mini | (5) | Short | 12/17/2021 | (1,487 | ) | 18 | — | |||||||||||
S&P 500 E-mini | (3) | Short | 12/17/2021 | (653 | ) | 9 | — | |||||||||||
SET50 Index Futures | (4) | Short | 12/29/2021 | (23 | ) | — | — | |||||||||||
SGX Iron 50 | (2) | Short | 11/30/2021 | (22 | ) | — | 1 | |||||||||||
STOXX Europe 600 Utilities Index | (1) | Short | 12/17/2021 | (22 | ) | 1 | — | |||||||||||
Total Equity Futures Contracts | $ | 35 | $ | 15 | ||||||||||||||
Foreign Currency Futures Contracts—(0.1)% | ||||||||||||||||||
AUD/USD | (1) | Short | 12/13/2021 | (72 | ) | $ | — | $ | — | |||||||||
New Zealand Dollar | (1) | Short | 12/13/2021 | (69 | ) | — | — | |||||||||||
Total Foreign Currency Futures Contracts | $ | — | $ | — | ||||||||||||||
Interest Rate Futures Contracts—(13.6)% | ||||||||||||||||||
3 Month Eurodollar | (1) | Short | 12/18/2023 | (291 | ) | $ | — | $ | — | |||||||||
3 Month Eurodollar | (2) | Short | 12/19/2022 | (584 | ) | — | — | |||||||||||
90 Day Eurodollar | (4) | Short | 12/18/2023 | (988 | ) | — | 1 | |||||||||||
90 Day Eurodollar | (1) | Short | 12/19/2022 | (249 | ) | — | — | |||||||||||
Euro BOBL | (2) | Short | 12/8/2021 | (313 | ) | — | — | |||||||||||
Euro Bund | (1) | Short | 12/8/2021 | (197 | ) | — | — | |||||||||||
Long Gilt | (2) | Short | 12/29/2021 | (337 | ) | 2 | — | |||||||||||
U.S. Treasury 10-Year Note | (58) | Short | 12/21/2021 | (7,679 | ) | 46 | — | |||||||||||
U.S. Treasury 2-Year Note | (2) | Short | 12/31/2021 | (440 | ) | — | — |
See notes to unaudited consolidated schedule of investments.
19
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
U.S. Treasury 5-Year Note | (38) | Short | 12/31/2021 | (4,669 | ) | 5 | — | |||||||||||
U.S. Treasury Long Bond | (16) | Short | 12/21/2021 | (2,583 | ) | 36 | — | |||||||||||
U.S. Treasury Ultra Bond | (2) | Short | 12/21/2021 | (384 | ) | 1 | — | |||||||||||
Total Interest Rate Futures Contracts | $ | 90 | $ | 1 | ||||||||||||||
Total Short Futures | $ | 665 | $ | 108 |
See notes to unaudited consolidated schedule of investments.
20
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Total Return Index Swaps(h)—0.8%
Counterparty | Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premium Paid (Received) | Fair Value(c) | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
Bank of America, N.A. | Fixed Rate of 0.00% | Total return on BofA Merrill Lynch Commodity Excess Return Strategy Index(i) | USD | 12,160 | 8/18/22 | Quarterly | $ | — | $ | 189 | $ | 189 | $ | — | ||||||||||||||
Bank of America, N.A. | Fixed Rate of 0.20% | Total return on BofA Merrill Lynch Sort Upside Vol Index(j) | USD | 6,628 | 2/25/22 | Quarterly | — | 17 | 17 | — | ||||||||||||||||||
Barclays Bank PLC | 3 Month LIBOR + 0.10% | Total return on Russell 2000 Index Total Return Index(k) | USD | 9,107 | 2/2/22 | Quarterly | — | (30 | ) | — | 30 | |||||||||||||||||
Barclays Bank PLC | Total return on Barclays Short Interest Short Basket Index | Federal Funds Rate - 1.05%(l) | USD | 9,193 | 2/2/22 | Quarterly | — | 208 | 208 | — | ||||||||||||||||||
Barclays Bank PLC | Fixed Rate of 0.00% | Total return on Barclays EB05 Desk Strategy Index(m) | USD | 23,813 | 6/8/22 | Quarterly | — | — | — | — | ||||||||||||||||||
BNP Paribas | Total return on BNP Equity Growth Factor Index(n) | 3 Month LIBOR + 0.10% | USD | 6,604 | 6/15/22 | Quarterly | — | 158 | 158 | — | ||||||||||||||||||
BNP Paribas | 3 Month LIBOR + 0.30% | Total return on BNP Equity Value Factor Index(o) | USD | 6,446 | 6/15/22 | Quarterly | — | (17 | ) | — | 17 | |||||||||||||||||
Credit Suisse International | Fixed Rate of 0.50% | Total return on Credit Suisse Gamma Weighted Dispersion Index ER(p) | USD | 6,163 | 5/20/22 | Monthly | — | 18 | 18 | — | ||||||||||||||||||
Goldman Sachs International | Fixed Rate of 0.15% | Total return on Goldman Sachs Calls-vs-Calls US Series 2 Excess Return Strategy Index(q) | USD | 7,922 | 11/6/21 | Quarterly | — | (119 | ) | — | 119 | |||||||||||||||||
Goldman Sachs International | Fixed Rate of 0.15% | Total return on Goldman Sachs Systematic Skew US Series 1D Excess Return Strategy Index(r) | USD | 5,040 | 11/8/21 | Quarterly | — | 72 | 72 | — |
See notes to unaudited consolidated schedule of investments.
21
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Counterparty | Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premium Paid (Received) | Fair Value(c) | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
Goldman Sachs International | Fixed Rate of 0.15% | Total return on Goldman Sachs Macro Index VA01(s) | USD | 26,172 | 5/17/22 | Quarterly | — | 806 | 806 | — | ||||||||||||||||||
JP Morgan Chase Bank, N.A. | Fixed Rate of 0.00% | Total return on JP Morgan Equity Risk Premium - Global Pure Low Vol L/S USD Index(t) | USD | 8,609 | 6/28/22 | Quarterly | — | (5 | ) | — | 5 | |||||||||||||||||
JP Morgan Chase Bank, N.A. | Fixed Rate of 0.25% | Total return on JP Morgan Correlation Spread Index(u) | USD | 7,905 | 7/29/22 | Quarterly | — | (173 | ) | — | 173 | |||||||||||||||||
JP Morgan Chase Bank, N.A. | Total return on JPM Short ERP Sector Index(v) | 3 Month LIBOR - 0.25% | USD | 8,376 | 2/18/22 | Quarterly | — | 102 | 102 | — | ||||||||||||||||||
JP Morgan Chase Bank, N.A. | Total return on iBoxx USD Liquid High Yield Index | 3 Month LIBOR | USD | 5,000 | 12/20/21 | Quarterly | — | (57 | ) | — | 57 | |||||||||||||||||
JP Morgan Chase Bank, N.A. | 3 Month LIBOR + 0.60% | Total return on JPM Long ERP Sector Index(w) | USD | 10,760 | 2/18/22 | Quarterly | — | (230 | ) | — | 230 | |||||||||||||||||
JPMorgan Chase Bank, N.A. | Fixed rate of 0.20% | Total return on JPM US Conviction Mean Reversion Index(x) | USD | 6,800 | 9/26/22 | Quarterly | — | (4 | ) | — | 4 | |||||||||||||||||
Macquarie Bank, Ltd. | Fixed Rate of 0.25% | Total return on Macquarie US Equity Overnight Mean Reversion Index(y) | USD | 6,004 | 3/9/22 | Quarterly | — | (17 | ) | — | 17 | |||||||||||||||||
Morgan Stanley Capital Services LLC | Fixed Rate of 0.20% | Total return on Morgan Stanley DXY Index(z) | USD | 19,800 | 3/2/22 | Quarterly | — | 431 | 431 | — | ||||||||||||||||||
Morgan Stanley Capital Services LLC | Federal Funds Rate + 1.07% | Total return on Morgan Stanley US Sector-Neutral Quality Basket Index(aa) | USD | 5,004 | 3/31/22 | Quarterly | — | (5 | ) | — | 5 | |||||||||||||||||
Nomura Securities Co., Ltd. | Fixed Rate of 0.15% | Total return on Nomura G10 All Currencies Mean Reversion 25x w/ no Vol Adjustment Index(ab) | USD | 10,600 | 7/29/22 | Quarterly | — | 79 | 79 | — |
See notes to unaudited consolidated schedule of investments.
22
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Counterparty | Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premium Paid (Received) | Fair Value(c) | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
Societe Generale | Fixed rate of 0.15% | Total return on Soc Gen US Delta Cap Mean Reversion Index(ac) | USD | 6,800 | 9/7/22 | Quarterly | — | 18 | 18 | — | ||||||||||||||||||
Societe Generale | Federal Funds Rate | Total return on Soc Gen Vol Roll on Rates Index(ad) | USD | 19,665 | 4/5/22 | N/A | — | (447 | ) | — | 447 | |||||||||||||||||
Societe Generale | Fixed Rate of 0.40% | Total return on Soc Gen STEP Index(ae) | USD | 3,000 | 3/14/22 | Quarterly | — | 15 | 15 | — | ||||||||||||||||||
Societe Generale | Fixed Rate of 0.40% | Total return on Soc Gen STEP Index(af) | USD | 3,281 | 3/14/22 | Quarterly | — | 16 | 16 | — | ||||||||||||||||||
Total Total Return Index Swaps | $ | — | $ | 1,025 | $ | 2,129 | $ | 1,104 |
(a) | Security may be an obligation of one or more entities affiliated with the named company. |
(b) | Denominated in U.S. dollars unless otherwise noted. |
(c) | Fair value as of September 30, 2021 is determined by the board of trustees of FS Series Trust (the “Trust’’). |
(d) | 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 $29,087, which represents approximately 21.3% of net assets as of September 30, 2021. |
(e) | Security is non-income producing. |
(f) | Security or portion thereof is pledged as collateral supporting the amounts outstanding under the prime brokerage facility with Morgan Stanley & Co. ("MSC"). Securities may be rehypothecated from time to time as permitted under Rule 15c-1(a)(1) promulgated under the Securities Exchange Act of 1934, as amended, subject to terms and conditions governing the prime brokerage facility with MSC. As of September 30, 2021, there were no securities rehypothecated by MSC. |
(g) | Rate represents the seven-day yield as of September 30, 2021. The State Street Institutional Liquid Reserves Fund’s financial statements are available on the SEC’s website at http://www.sec.gov. |
(h) | The Fund pays or receives periodic payments in accordance with the total return swap contracts depending on the performance of the reference index. On reset dates and on the expiration date of the swap contracts, the Fund will either receive from or pay to the counterparty an amount equal to the net of (i) the accrued financing fees and (ii) the percentage change in price of the reference index times the notional amount, and (iii) if applicable any dividends received into the basket since the previous reset date. Valuations may be inclusive of interest and/or dividends receivable/payable and, as a result, the notional amounts presented may not recalculate directly with the fair value presented. |
See notes to unaudited consolidated schedule of investments.
23
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(i) | Basket of three commodity strategies: Cross-Maturity Seasonal Carry, Cross-Sectional Carry/Backwardation, and Spot Price Mean Reversion Value. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Futures | ||||||||
NATURAL GAS FUTR Nov21 | -3,766 | -30.50 | % | |||||
WTI CRUDE FUTURE Jan22 | 2,556 | 20.70 | % | |||||
BRENT CRUDE FUTR Feb22 | 2,112 | 17.10 | % | |||||
BRENT CRUDE FUTR Jan22 | -2,087 | -16.90 | % | |||||
WTI CRUDE FUTURE Dec21 | 1,494 | 12.10 | % | |||||
CORN FUTURE May22 | 1,309 | 10.60 | % | |||||
LME PRI ALUM FUTR Nov21 | -1,272 | -10.30 | % | |||||
LME COPPER FUTURE Jan22 | 1,260 | 10.20 | % | |||||
LME PRI ALUM FUTR Jan22 | 1,260 | 10.20 | % | |||||
BRENT CRUDE FUTR Dec21 | 1,235 | 10.00 | % | |||||
SOYBEAN FUTURE Mar22 | 1,161 | 9.40 | % | |||||
SOYBEAN FUTURE Nov21 | -1,148 | -9.30 | % | |||||
LEAN HOGS FUTURE Dec21 | -1,074 | -8.70 | % | |||||
LIVE CATTLE FUTR Dec21 | 1,074 | 8.70 | % | |||||
SUGAR #11 (WORLD) May22 | 889 | 7.20 | % | |||||
Low Su Gasoil G Jan22 | 852 | 6.90 | % | |||||
LME ZINC FUTURE Jan22 | 716 | 5.80 | % | |||||
LME ZINC FUTURE Nov21 | -716 | -5.80 | % | |||||
GASOLINE RBOB FUT Jan22 | 692 | 5.60 | % | |||||
WHEAT FUTURE(CBT) Mar22 | 692 | 5.60 | % | |||||
NY Harb ULSD Fut Jan22 | 679 | 5.50 | % | |||||
NY Harb ULSD Fut Nov21 | -679 | -5.50 | % | |||||
LME NICKEL FUTURE Jan22 | 580 | 4.70 | % | |||||
LME NICKEL FUTURE Nov21 | -580 | -4.70 | % | |||||
SUGAR #11 (WORLD) Oct22 | 580 | 4.70 | % | |||||
COCOA FUTURE Dec21 | 543 | 4.40 | % | |||||
COFFEE 'C' FUTURE Dec21 | -543 | -4.40 | % | |||||
COTTON NO.2 FUTR Dec21 | 543 | 4.40 | % | |||||
SUGAR #11 (WORLD) Mar22 | -543 | -4.40 | % | |||||
SOYBEAN OIL FUTR Jan22 | 531 | 4.30 | % | |||||
Low Su Gasoil G Dec21 | 506 | 4.10 | % | |||||
LEAN HOGS FUTURE Apr22 | 469 | 3.80 | % | |||||
GASOLINE RBOB FUT Dec21 | 408 | 3.30 | % | |||||
KC HRW WHEAT FUT Mar22 | 408 | 3.30 | % | |||||
WHEAT FUTURE(CBT) Jul22 | 408 | 3.30 | % | |||||
NY Harb ULSD Fut Dec21 | 395 | 3.20 | % | |||||
CORN FUTURE Dec21 | -358 | -2.90 | % | |||||
KC HRW WHEAT FUT Dec21 | -358 | -2.90 | % | |||||
SOYBEAN MEAL FUTR Dec21 | 358 | 2.90 | % | |||||
WHEAT FUTURE(CBT) Dec21 | 358 | 2.90 | % | |||||
COTTON NO.2 FUTR Mar22 | 296 | 2.40 | % | |||||
LEAN HOGS FUTURE Feb22 | 296 | 2.40 | % | |||||
WTI CRUDE FUTURE Dec22 | 296 | 2.40 | % | |||||
BRENT CRUDE FUTR Dec22 | 235 | 1.90 | % | |||||
CORN FUTURE Dec22 | 161 | 1.30 | % | |||||
LME COPPER FUTURE Dec22 | 161 | 1.30 | % | |||||
SOYBEAN FUTURE Nov22 | 148 | 1.20 | % | |||||
Low Su Gasoil G Dec22 | 99 | 0.80 | % | |||||
GASOLINE RBOB FUT Jun22 | 86 | 0.70 | % | |||||
NY Harb ULSD Fut Dec22 | 74 | 0.60 | % |
See notes to unaudited consolidated schedule of investments.
24
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(j) | Seeks to monetize SPX upside implied-to-realized volatility by selling and delta hedging the upside wing of the strip. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Cash | ||||||||
United States Dollar | 6,647 | 100.00 | % | |||||
Index | ||||||||
SPX Index | 4 | 0.06 | % | |||||
Options | ||||||||
SPX US 10/15/21 C4890 Index | -1 | -0.02 | % | |||||
SPX US 10/15/21 C4455 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4460 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4465 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4510 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4515 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4470 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4475 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4565 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4520 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4570 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4480 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4525 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4505 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4575 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4590 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4585 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4545 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4595 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4530 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4580 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4485 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4560 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4550 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4535 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4600 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4490 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4605 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4555 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4610 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4625 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4540 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4495 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4620 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4615 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4650 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4630 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4500 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4640 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4645 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4635 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4660 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4665 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4655 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4680 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4750 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4760 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4705 Index | 0 | 0.00 | % |
(k) | Long exposure in a stock market index of the 2,000 smallest market cap stocks in the Russell 3000 Index, which seeks to be a benchmark of the entire US stock market. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
Russell 2000 Total Return Index | 9,080 | 100.00 | % |
See notes to unaudited consolidated schedule of investments.
25
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(l) | A basket of stocks with the highest short interest based on public short interest filings. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
PBF Energy Inc | -3,186 | -41 | -0.46 | % | ||||||||
Avis Budget Group Inc | -354 | -41 | -0.46 | % | ||||||||
Callon Petroleum Co | -839 | -41 | -0.46 | % | ||||||||
Dynavax Technologies Corp | -2,134 | -41 | -0.46 | % | ||||||||
Laredo Petroleum Inc | -504 | -41 | -0.45 | % | ||||||||
Matador Resources Co | -1,071 | -41 | -0.45 | % | ||||||||
Stitch Fix Inc | -1,012 | -40 | -0.45 | % | ||||||||
QuantumScape Corp | -1,643 | -40 | -0.45 | % | ||||||||
Citi Trends Inc | -551 | -40 | -0.45 | % | ||||||||
Macy's Inc | -1,777 | -40 | -0.45 | % | ||||||||
Centennial Resource Development Inc | -5,994 | -40 | -0.45 | % | ||||||||
Range Resources Corp | -1,772 | -40 | -0.45 | % | ||||||||
Dave & Buster's Entertainment Inc | -1,038 | -40 | -0.44 | % | ||||||||
Atlas Air Worldwide Holdings Inc | -487 | -40 | -0.44 | % | ||||||||
Innoviva Inc | -2,377 | -40 | -0.44 | % | ||||||||
FuelCell Energy Inc | -5,936 | -40 | -0.44 | % | ||||||||
Eventbrite Inc | -2,100 | -40 | -0.44 | % | ||||||||
Sleep Number Corp | -425 | -40 | -0.44 | % | ||||||||
Opendoor Technologies Inc | -1,933 | -40 | -0.44 | % | ||||||||
Norwegian Cruise Line Holdings Ltd | -1,485 | -40 | -0.44 | % | ||||||||
American Airlines Group Inc | -1,930 | -40 | -0.44 | % | ||||||||
Ironwood Pharmaceuticals Inc | -3,029 | -40 | -0.44 | % | ||||||||
Atara Biotherapeutics Inc | -2,210 | -40 | -0.44 | % | ||||||||
Red Robin Gourmet Burgers Inc | -1,715 | -40 | -0.44 | % | ||||||||
Bonanza Creek Energy Inc | -825 | -40 | -0.44 | % | ||||||||
Groupon Inc | -1,732 | -40 | -0.44 | % | ||||||||
eHealth Inc | -976 | -40 | -0.44 | % | ||||||||
Arch Coal Inc | -426 | -40 | -0.44 | % | ||||||||
SL Green Realty Corp | -557 | -39 | -0.44 | % | ||||||||
Vornado Realty Trust | -939 | -39 | -0.44 | % | ||||||||
CNX Resources Corp | -3,124 | -39 | -0.44 | % | ||||||||
ViaSat Inc | -716 | -39 | -0.44 | % | ||||||||
Hostess Brands Inc | -2,269 | -39 | -0.44 | % | ||||||||
Retrophin Inc | -1,624 | -39 | -0.44 | % | ||||||||
Empire State Realty Trust Inc | -3,926 | -39 | -0.44 | % | ||||||||
Camping World Holdings Inc | -1,013 | -39 | -0.44 | % | ||||||||
Sabre Corp | -3,319 | -39 | -0.44 | % | ||||||||
The GEO Group Inc | -5,260 | -39 | -0.44 | % | ||||||||
Cinemark Holdings Inc | -2,045 | -39 | -0.44 | % | ||||||||
Haverty Furniture Cos Inc | -1,165 | -39 | -0.44 | % | ||||||||
BancorpSouth Bank | -1,318 | -39 | -0.44 | % | ||||||||
Hexcel Corp | -660 | -39 | -0.44 | % | ||||||||
The Greenbrier Cos Inc | -912 | -39 | -0.44 | % | ||||||||
Bloomin' Brands Inc | -1,568 | -39 | -0.44 | % | ||||||||
Trinity Industries Inc | -1,442 | -39 | -0.44 | % | ||||||||
TimkenSteel Corp | -2,996 | -39 | -0.44 | % | ||||||||
Realogy Holdings Corp | -2,234 | -39 | -0.44 | % | ||||||||
Host Hotels & Resorts Inc | -2,398 | -39 | -0.44 | % | ||||||||
Aerojet Rocketdyne Holdings Inc | -898 | -39 | -0.44 | % | ||||||||
GATX Corp | -436 | -39 | -0.43 | % |
See notes to unaudited consolidated schedule of investments.
26
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(m) | Seeks to capture intraday momentum in global equity markets. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
Barclays EB05 strategy | 23,813 | 100.00 | % |
(n) | Seeks to provide directional exposure that is short the most expensive names in the Russell 3000 as determined by the Wilshire Value model. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
National CineMedia Inc | -11,298 | -40 | -0.62 | % | ||||||||
Gogo Inc | -2,050 | -35 | -0.55 | % | ||||||||
Priority Technology Holdings Inc | -4,749 | -32 | -0.49 | % | ||||||||
Clear Channel Outdoor Holdings Inc | -10,900 | -30 | -0.46 | % | ||||||||
Liberty Media Corp-Liberty Braves | -1,085 | -29 | -0.45 | % | ||||||||
Ambarella Inc | -186 | -29 | -0.45 | % | ||||||||
Digimarc Corp | -840 | -29 | -0.45 | % | ||||||||
Avid Technology Inc | -993 | -29 | -0.45 | % | ||||||||
Asana Inc | -272 | -28 | -0.44 | % | ||||||||
Anterix Inc | -464 | -28 | -0.44 | % | ||||||||
Veritone Inc | -1,178 | -28 | -0.44 | % | ||||||||
Napco Security Technologies Inc | -649 | -28 | -0.43 | % | ||||||||
Sabre Corp | -2,353 | -28 | -0.43 | % | ||||||||
Loral Space & Communications Inc | -644 | -28 | -0.43 | % | ||||||||
Calix Inc | -551 | -27 | -0.42 | % | ||||||||
Chicken Soup For The Soul Entertainment Inc | -1,184 | -27 | -0.42 | % | ||||||||
Entegris Inc | -210 | -26 | -0.41 | % | ||||||||
Analog Devices Inc | -157 | -26 | -0.41 | % | ||||||||
Identiv Inc | -1,398 | -26 | -0.41 | % | ||||||||
Cogent Communications Holdings Inc | -372 | -26 | -0.41 | % | ||||||||
Allegro MicroSystems Inc | -823 | -26 | -0.41 | % | ||||||||
WideOpenWest Inc | -1,338 | -26 | -0.41 | % | ||||||||
Tucows Inc | -333 | -26 | -0.41 | % | ||||||||
Lattice Semiconductor Corp | -405 | -26 | -0.41 | % | ||||||||
Mastercard Inc | -75 | -26 | -0.41 | % | ||||||||
T-Mobile US Inc | -204 | -26 | -0.41 | % | ||||||||
Arlo Technologies Inc | -4,062 | -26 | -0.40 | % | ||||||||
Novanta Inc | -167 | -26 | -0.40 | % | ||||||||
Domo Inc | -302 | -26 | -0.40 | % | ||||||||
nLight Inc | -904 | -25 | -0.40 | % | ||||||||
TechTarget Inc | -307 | -25 | -0.39 | % | ||||||||
Coherent Inc | -101 | -25 | -0.39 | % | ||||||||
Liberty Broadband Corp | -146 | -25 | -0.39 | % | ||||||||
Impinj Inc | -439 | -25 | -0.39 | % | ||||||||
Marvell Technology Group Ltd | -415 | -25 | -0.39 | % | ||||||||
Snowflake Inc | -82 | -25 | -0.39 | % | ||||||||
Grid Dynamics Holdings Inc | -852 | -25 | -0.39 | % | ||||||||
Magnite Inc | -881 | -25 | -0.38 | % | ||||||||
Monolithic Power Systems Inc | -51 | -25 | -0.38 | % | ||||||||
Clearfield Inc | -556 | -25 | -0.38 | % | ||||||||
Badger Meter Inc | -242 | -24 | -0.38 | % | ||||||||
FARO Technologies Inc | -370 | -24 | -0.38 | % | ||||||||
Amphenol Corp | -332 | -24 | -0.38 | % | ||||||||
Pure Storage Inc | -965 | -24 | -0.38 | % | ||||||||
Motorola Solutions Inc | -104 | -24 | -0.38 | % | ||||||||
Arista Networks Inc | -70 | -24 | -0.38 | % | ||||||||
Cable One Inc | -13 | -24 | -0.37 | % | ||||||||
Iridium Communications Inc | -605 | -24 | -0.37 | % | ||||||||
Cree Inc | -298 | -24 | -0.37 | % | ||||||||
Akoustis Technologies Inc | -2,466 | -24 | -0.37 | % |
See notes to unaudited consolidated schedule of investments.
27
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(o) | Seeks to provide directional exposure that is long undervalued names in the Russell 3000 as determined by the Wilshire Value model. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
Meredith Corp | 684 | 38 | 0.59 | % | ||||||||
GreenSky Inc | 3,093 | 35 | 0.54 | % | ||||||||
Lions Gate Entertainment Corp | 2,220 | 32 | 0.49 | % | ||||||||
Entercom Communications Corp | 8,402 | 31 | 0.48 | % | ||||||||
Scholastic Corp | 852 | 30 | 0.47 | % | ||||||||
Gannett Co Inc | 4,437 | 30 | 0.46 | % | ||||||||
AMC Networks Inc | 626 | 29 | 0.45 | % | ||||||||
Gray Television Inc | 1,276 | 29 | 0.45 | % | ||||||||
CenturyLink Inc | 2,348 | 29 | 0.45 | % | ||||||||
The EW Scripps Co | 1,605 | 29 | 0.45 | % | ||||||||
Cars.com Inc | 2,262 | 29 | 0.45 | % | ||||||||
TrueCar Inc | 6,830 | 28 | 0.44 | % | ||||||||
United States Cellular Corp | 878 | 28 | 0.44 | % | ||||||||
AT&T Inc | 1,033 | 28 | 0.43 | % | ||||||||
Thryv Holdings Inc | 905 | 27 | 0.42 | % | ||||||||
Telephone & Data Systems Inc | 1,381 | 27 | 0.42 | % | ||||||||
Vonage Holdings Corp | 1,650 | 27 | 0.41 | % | ||||||||
Alpha & Omega Semiconductor Ltd | 840 | 26 | 0.41 | % | ||||||||
Liberty Latin America Ltd | 1,993 | 26 | 0.41 | % | ||||||||
Alliance Data Systems Corp | 256 | 26 | 0.40 | % | ||||||||
Progress Software Corp | 519 | 26 | 0.40 | % | ||||||||
Discovery Inc | 1,006 | 26 | 0.40 | % | ||||||||
Citrix Systems Inc | 236 | 25 | 0.39 | % | ||||||||
CDK Global Inc | 590 | 25 | 0.39 | % | ||||||||
VMware Inc | 167 | 25 | 0.39 | % | ||||||||
MKS Instruments Inc | 164 | 25 | 0.38 | % | ||||||||
First Solar Inc | 258 | 25 | 0.38 | % | ||||||||
Sapiens International Corp NV | 852 | 25 | 0.38 | % | ||||||||
Teradata Corp | 426 | 24 | 0.38 | % | ||||||||
Zynga Inc | 3,237 | 24 | 0.38 | % | ||||||||
j2 Global Inc | 178 | 24 | 0.38 | % | ||||||||
Belden Inc | 415 | 24 | 0.38 | % | ||||||||
Intel Corp | 454 | 24 | 0.38 | % | ||||||||
CSG Systems International Inc | 501 | 24 | 0.38 | % | ||||||||
Verint Systems Inc | 539 | 24 | 0.38 | % | ||||||||
Rackspace Technology Inc | 1,692 | 24 | 0.37 | % | ||||||||
Blackbaud Inc | 340 | 24 | 0.37 | % | ||||||||
Sanmina Corp | 617 | 24 | 0.37 | % | ||||||||
Benchmark Electronics Inc | 890 | 24 | 0.37 | % | ||||||||
A10 Networks Inc | 1,757 | 24 | 0.37 | % | ||||||||
Liberty TripAdvisor Holdings Inc | 7,657 | 24 | 0.37 | % | ||||||||
EchoStar Corp | 924 | 24 | 0.37 | % | ||||||||
Oracle Corp | 270 | 24 | 0.37 | % | ||||||||
Avaya Holdings Corp | 1,184 | 23 | 0.36 | % | ||||||||
Daktronics Inc | 4,313 | 23 | 0.36 | % | ||||||||
Rimini Street Inc | 2,423 | 23 | 0.36 | % | ||||||||
Micron Technology Inc | 329 | 23 | 0.36 | % | ||||||||
SolarWinds Corp | 1,390 | 23 | 0.36 | % | ||||||||
Arrow Electronics Inc | 207 | 23 | 0.36 | % | ||||||||
InterDigital Inc | 342 | 23 | 0.36 | % |
See notes to unaudited consolidated schedule of investments.
28
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(p) | Defensive S&P 500 vs. Top 50 dispersion strategy, combining a short position in index volatility with a long position in single stock volatility. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Options | ||||||||
SPY US 11/19/2021 P345 Equity | -740 | -11.97 | % | |||||
SPY US 11/19/2021 P350 Equity | -729 | -11.80 | % | |||||
SPY US 11/19/2021 P355 Equity | -719 | -11.63 | % | |||||
SPY US 11/19/2021 P360 Equity | -709 | -11.47 | % | |||||
SPY US 11/19/2021 P340 Equity | -450 | -7.29 | % | |||||
SPY US 11/19/2021 P365 Equity | -420 | -6.79 | % | |||||
AAPL US 10/15/2021 P125 Equity | 310 | 5.01 | % | |||||
AAPL US 10/15/2021 P130 Equity | 298 | 4.82 | % | |||||
AAPL US 10/15/2021 P135 Equity | 287 | 4.64 | % | |||||
AAPL US 10/15/2021 P140 Equity | 277 | 4.47 | % | |||||
AAPL US 10/15/2021 P145 Equity | 267 | 4.32 | % | |||||
AAPL US 10/15/2021 C155 Equity | 250 | 4.04 | % | |||||
AAPL US 10/15/2021 C160 Equity | 242 | 3.91 | % | |||||
AAPL US 10/15/2021 C165 Equity | 235 | 3.80 | % | |||||
AAPL US 11/19/2021 P115 Equity | 229 | 3.70 | % | |||||
AAPL US 10/15/2021 C170 Equity | 228 | 3.68 | % | |||||
AAPL US 11/19/2021 P120 Equity | 219 | 3.55 | % | |||||
AAPL US 11/19/2021 P125 Equity | 211 | 3.41 | % | |||||
AAPL US 11/19/2021 P130 Equity | 203 | 3.28 | % | |||||
SPY US 10/15/2021 P371 Equity | -201 | -3.25 | % | |||||
SPY US 10/15/2021 P372 Equity | -201 | -3.25 | % | |||||
SPY US 10/15/2021 P373 Equity | -200 | -3.24 | % | |||||
SPY US 10/15/2021 P374 Equity | -200 | -3.23 | % | |||||
SPY US 10/15/2021 P375 Equity | -199 | -3.22 | % | |||||
SPY US 10/15/2021 P376 Equity | -198 | -3.21 | % | |||||
SPY US 10/15/2021 P377 Equity | -198 | -3.20 | % | |||||
SPY US 10/15/2021 P378 Equity | -197 | -3.19 | % | |||||
SPY US 10/15/2021 P379 Equity | -197 | -3.19 | % | |||||
SPY US 10/15/2021 P380 Equity | -196 | -3.18 | % | |||||
SPY US 10/15/2021 P381 Equity | -196 | -3.17 | % | |||||
SPY US 10/15/2021 P382 Equity | -195 | -3.16 | % | |||||
AAPL US 11/19/2021 P135 Equity | 195 | 3.16 | % | |||||
SPY US 10/15/2021 P383 Equity | -195 | -3.15 | % | |||||
SPY US 10/15/2021 P384 Equity | -194 | -3.14 | % | |||||
SPY US 10/15/2021 P385 Equity | -194 | -3.14 | % | |||||
SPY US 10/15/2021 P386 Equity | -193 | -3.13 | % | |||||
SPY US 10/15/2021 P387 Equity | -193 | -3.12 | % | |||||
SPY US 10/15/2021 P388 Equity | -192 | -3.11 | % | |||||
SPY US 10/15/2021 P389 Equity | -192 | -3.10 | % | |||||
SPY US 10/15/2021 P390 Equity | -191 | -3.10 | % | |||||
SPY US 10/15/2021 P391 Equity | -191 | -3.09 | % | |||||
SPY US 10/15/2021 P392 Equity | -190 | -3.08 | % | |||||
SPY US 10/15/2021 P393 Equity | -190 | -3.07 | % | |||||
SPY US 10/15/2021 P394 Equity | -189 | -3.06 | % | |||||
SPY US 10/15/2021 P395 Equity | -189 | -3.06 | % | |||||
SPY US 10/15/2021 P396 Equity | -188 | -3.05 | % | |||||
AAPL US 11/19/2021 P140 Equity | 188 | 3.04 | % | |||||
SPY US 10/15/2021 P397 Equity | -188 | -3.04 | % | |||||
SPY US 10/15/2021 P398 Equity | -188 | -3.03 | % | |||||
SPY US 10/15/2021 P399 Equity | -187 | -3.03 | % |
See notes to unaudited consolidated schedule of investments.
29
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(q) | Attempts to generate income by selling dislocated single stock calls while offsetting the market risk with a long S&P call. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Options | ||||||||
SPX European Call Option | 18,593 | 238.27 | % | |||||
AAPL American Call Option | -766 | -9.81 | % | |||||
PFE American Call Option | -574 | -7.35 | % | |||||
ACN American Call Option | -553 | -7.09 | % | |||||
AMZN American Call Option | -543 | -6.96 | % | |||||
PEP American Call Option | -538 | -6.90 | % | |||||
TJX American Call Option | -501 | -6.43 | % | |||||
NKE American Call Option | -494 | -6.33 | % | |||||
SCHW American Call Option | -493 | -6.32 | % | |||||
UNH American Call Option | -486 | -6.23 | % | |||||
ORCL American Call Option | -468 | -6.00 | % | |||||
GOOG American Call Option | -458 | -5.87 | % | |||||
ADBE American Call Option | -411 | -5.27 | % | |||||
BLK American Call Option | -389 | -4.98 | % | |||||
MSFT American Call Option | -384 | -4.92 | % | |||||
WFC American Call Option | -374 | -4.79 | % | |||||
USB American Call Option | -356 | -4.56 | % | |||||
MU American Call Option | -329 | -4.21 | % | |||||
XOM American Call Option | -316 | -4.06 | % | |||||
UPS American Call Option | -311 | -3.99 | % | |||||
AMAT American Call Option | -299 | -3.83 | % | |||||
MS American Call Option | -298 | -3.82 | % | |||||
DIS American Call Option | -297 | -3.81 | % | |||||
NVDA American Call Option | -296 | -3.80 | % | |||||
CCI American Call Option | -284 | -3.64 | % | |||||
FB American Call Option | -255 | -3.27 | % | |||||
AMT American Call Option | -242 | -3.11 | % | |||||
PLD American Call Option | -240 | -3.07 | % | |||||
COST American Call Option | -224 | -2.87 | % | |||||
DHR American Call Option | -223 | -2.86 | % | |||||
MA American Call Option | -199 | -2.55 | % | |||||
BAC American Call Option | -196 | -2.51 | % | |||||
TMO American Call Option | -191 | -2.45 | % | |||||
ZTS American Call Option | -190 | -2.43 | % | |||||
CAT American Call Option | -189 | -2.42 | % | |||||
BKNG American Call Option | -189 | -2.42 | % | |||||
ABBV American Call Option | -185 | -2.37 | % | |||||
AMD American Call Option | -183 | -2.35 | % | |||||
CRM American Call Option | -176 | -2.25 | % | |||||
COP American Call Option | -175 | -2.25 | % | |||||
CMCSA American Call Option | -175 | -2.24 | % | |||||
RTX American Call Option | -175 | -2.24 | % | |||||
LRCX American Call Option | -169 | -2.17 | % | |||||
TGT American Call Option | -167 | -2.14 | % | |||||
SHW American Call Option | -163 | -2.09 | % | |||||
CVX American Call Option | -160 | -2.05 | % | |||||
SPGI American Call Option | -160 | -2.05 | % | |||||
SYK American Call Option | -155 | -1.99 | % | |||||
MDLZ American Call Option | -154 | -1.97 | % | |||||
Cash | ||||||||
United States Dollar | 275 | 3.53 | % |
See notes to unaudited consolidated schedule of investments.
30
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(r) | Seeks to capture the risk premium associated with selling equity puts while buying equity calls. Delta and gamma hedges daily to reduce market and volatility premium exposures. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Options | ||||||||
SPX European Call Option | 26,882 | 525.80 | % | |||||
SPX EQ Forward | -20,129 | -393.70 | % | |||||
Cash | ||||||||
United States Dollar | 461 | 9.02 | % |
(s) | Aims to take advantage of the convergence in the performance of bonds with higher vs. lower real yields across G8 government bonds. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Futures | ||||||||
LONG GILT FUTURE Dec21 | -18,594 | -68.92 | % | |||||
EURO-BUND FUTURE Dec21 | -15,458 | -57.30 | % | |||||
US 10YR NOTE (CBT)Dec21 | -10,262 | -38.04 | % | |||||
AUST 10Y BOND FUT Dec21 | 5,022 | 18.62 | % | |||||
Euro-BTP Future Dec21 | 1,287 | 4.77 | % | |||||
CAN 10YR BOND FUT Dec21 | 1,104 | 4.09 | % | |||||
JPN 10Y BOND(OSE) Dec21 | 0 | 0.00 | % | |||||
Euro-OAT Future Dec21 | 0 | 0.00 | % |
See notes to unaudited consolidated schedule of investments.
31
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(t) | Market neutral strategy that seeks to provide exposure to Low Volatility risk premium. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
Rolls-Royce Holdings PLC | -28,563 | -54 | -0.63 | % | ||||||||
Uber Technologies Inc | -1,097 | -49 | -0.57 | % | ||||||||
Cheniere Energy Inc | 498 | 49 | 0.57 | % | ||||||||
Occidental Petroleum Corp | -1,618 | -48 | -0.56 | % | ||||||||
Seattle Genetics Inc | -279 | -47 | -0.55 | % | ||||||||
M&T Bank Corp | -317 | -47 | -0.55 | % | ||||||||
EOG Resources Inc | -587 | -47 | -0.55 | % | ||||||||
Valero Energy Corp | -665 | -47 | -0.55 | % | ||||||||
Vail Resorts Inc | 140 | 47 | 0.54 | % | ||||||||
Citizens Financial Group Inc | -998 | -47 | -0.54 | % | ||||||||
Regions Financial Corp | -2,198 | -47 | -0.54 | % | ||||||||
The Mosaic Co | -1,297 | -46 | -0.54 | % | ||||||||
Carnival Corp | -1,850 | -46 | -0.54 | % | ||||||||
ABN AMRO Group NV | -3,196 | -46 | -0.54 | % | ||||||||
Electronic Arts Inc | 323 | 46 | 0.53 | % | ||||||||
News Corp | 1,937 | 46 | 0.53 | % | ||||||||
Hewlett Packard Enterprise Co | 3,195 | 46 | 0.53 | % | ||||||||
Live Nation Entertainment Inc | 499 | 45 | 0.53 | % | ||||||||
Chevron Corp | 447 | 45 | 0.53 | % | ||||||||
KeyCorp | -2,099 | -45 | -0.53 | % | ||||||||
Kinder Morgan Inc | 2,712 | 45 | 0.53 | % | ||||||||
Merck & Co Inc | 604 | 45 | 0.53 | % | ||||||||
Commerzbank AG | -6,792 | -45 | -0.53 | % | ||||||||
Huntington Bancshares Inc | -2,915 | -45 | -0.52 | % | ||||||||
Sysco Corp | -573 | -45 | -0.52 | % | ||||||||
MGM Resorts International | 1,042 | 45 | 0.52 | % | ||||||||
Liberty Media Corp-Liberty Formula One | 874 | 45 | 0.52 | % | ||||||||
Liberty Global PLC | 1,506 | 45 | 0.52 | % | ||||||||
United Rentals Inc | -128 | -45 | -0.52 | % | ||||||||
Dell Technologies Inc | 431 | 45 | 0.52 | % | ||||||||
Lyft Inc | -835 | -45 | -0.52 | % | ||||||||
Paychex Inc | 398 | 45 | 0.52 | % | ||||||||
American Express Co | -266 | -45 | -0.52 | % | ||||||||
Marriott International Inc | 301 | 45 | 0.52 | % | ||||||||
Assicurazioni Generali SpA | 2,086 | 44 | 0.52 | % | ||||||||
Lincoln National Corp | -645 | -44 | -0.52 | % | ||||||||
Ricoh Co Ltd | -4,310 | -44 | -0.52 | % | ||||||||
Vornado Realty Trust | -1,055 | -44 | -0.52 | % | ||||||||
Aramark | 1,348 | 44 | 0.51 | % | ||||||||
Lear Corp | 283 | 44 | 0.51 | % | ||||||||
Booking Holdings Inc | 19 | 44 | 0.51 | % | ||||||||
Molson Coors Brewing Co | -952 | -44 | -0.51 | % | ||||||||
Aptiv PLC | 296 | 44 | 0.51 | % | ||||||||
Hartford Financial Services Group Inc | -626 | -44 | -0.51 | % | ||||||||
WiseTech Global Ltd | -1,135 | -44 | -0.51 | % | ||||||||
Electricite de France SA | -3,485 | -44 | -0.51 | % | ||||||||
Synchrony Financial | -900 | -44 | -0.51 | % | ||||||||
Teledyne Technologies Inc | 102 | 44 | 0.51 | % | ||||||||
Autoliv Inc | 512 | 44 | 0.51 | % | ||||||||
Host Hotels & Resorts Inc | -2,680 | -44 | -0.51 | % |
(u) | Aims to capture the spread of realized correlation between US Equity and US Equity volatility. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
S&P 500 Index | -3,167 | -40.95 | % | |||||
iPath Series B S&P 500 VIX Short-Term Futures ETN | -803 | -10.39 | % |
See notes to unaudited consolidated schedule of investments.
32
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(v) | Uses factor-based stock selection to provide short exposure to the equity of natural resource, real estate, equipment and industrial, and infrastructure companies. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
Range Resources Corp | -9,542 | -216 | -2.61 | % | ||||||||
Occidental Petroleum Corp | -6,489 | -192 | -2.32 | % | ||||||||
Cheniere Energy Inc | -1,923 | -188 | -2.27 | % | ||||||||
Lyft Inc | -3,504 | -188 | -2.27 | % | ||||||||
Uber Technologies Inc | -4,173 | -187 | -2.26 | % | ||||||||
Apache Corp | -8,686 | -186 | -2.25 | % | ||||||||
Halliburton Co | -8,418 | -182 | -2.20 | % | ||||||||
Alcoa Corp | -3,685 | -180 | -2.18 | % | ||||||||
Delta Air Lines Inc | -4,233 | -180 | -2.18 | % | ||||||||
American Airlines Group Inc | -8,749 | -180 | -2.17 | % | ||||||||
PG&E Corp | -18,614 | -179 | -2.16 | % | ||||||||
Southwest Airlines Co | -3,475 | -179 | -2.16 | % | ||||||||
EQT Corp | -8,693 | -178 | -2.15 | % | ||||||||
Jones Lang LaSalle Inc | -710 | -176 | -2.13 | % | ||||||||
The Boeing Co | -782 | -172 | -2.08 | % | ||||||||
Host Hotels & Resorts Inc | -10,436 | -170 | -2.06 | % | ||||||||
PBF Energy Inc | -13,012 | -169 | -2.04 | % | ||||||||
Axalta Coating Systems Ltd | -5,753 | -168 | -2.03 | % | ||||||||
Transocean Ltd | -42,784 | -162 | -1.96 | % | ||||||||
Colfax Corp | -3,515 | -161 | -1.95 | % | ||||||||
Continental Resources Inc | -3,496 | -161 | -1.95 | % | ||||||||
Weyerhaeuser Co | -4,535 | -161 | -1.95 | % | ||||||||
Sunrun Inc | -3,648 | -160 | -1.94 | % | ||||||||
Ball Corp | -1,765 | -159 | -1.92 | % | ||||||||
Ecolab Inc | -761 | -159 | -1.92 | % | ||||||||
Roper Technologies Inc | -354 | -158 | -1.91 | % | ||||||||
American Water Works Co Inc | -925 | -156 | -1.89 | % | ||||||||
Equinix Inc | -198 | -156 | -1.89 | % | ||||||||
NextEra Energy Inc | -1,991 | -156 | -1.89 | % | ||||||||
Park Hotels & Resorts Inc | -8,169 | -156 | -1.89 | % | ||||||||
Prologis Inc | -1,247 | -156 | -1.89 | % | ||||||||
The Sherwin-Williams Co | -559 | -156 | -1.89 | % | ||||||||
Generac Holdings Inc | -381 | -156 | -1.88 | % | ||||||||
SBA Communications Corp | -470 | -156 | -1.88 | % | ||||||||
XPO Logistics Inc | -1,954 | -156 | -1.88 | % | ||||||||
American Homes 4 Rent | -4,058 | -155 | -1.87 | % | ||||||||
American Tower Corp | -574 | -152 | -1.84 | % | ||||||||
National Oilwell Varco Inc | -11,611 | -152 | -1.84 | % | ||||||||
Trex Co Inc | -1,485 | -151 | -1.83 | % | ||||||||
CACI International Inc | -543 | -142 | -1.72 | % | ||||||||
JetBlue Airways Corp | -8,765 | -134 | -1.62 | % | ||||||||
Berry Global Group Inc | -2,093 | -127 | -1.54 | % | ||||||||
Spirit AeroSystems Holdings Inc | -2,846 | -126 | -1.52 | % | ||||||||
Eagle Materials Inc | -934 | -122 | -1.48 | % | ||||||||
Xcel Energy Inc | -1,933 | -121 | -1.46 | % | ||||||||
HEICO Corp | -891 | -117 | -1.42 | % | ||||||||
Evoqua Water Technologies Corp | -2,996 | -113 | -1.36 | % | ||||||||
Sensata Technologies Holding PLC | -2,026 | -111 | -1.34 | % | ||||||||
TransUnion | -906 | -102 | -1.23 | % | ||||||||
Old Dominion Freight Line Inc | -301 | -86 | -1.04 | % |
See notes to unaudited consolidated schedule of investments.
33
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(w) | Uses factor-based stock selection to provide long exposure to the equity of natural resource, real estate, equipment and industrial, and infrastructure companies. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
Callon Petroleum Co | 5,903 | 290 | 2.75 | % | ||||||||
Avis Budget Group Inc | 2,459 | 287 | 2.72 | % | ||||||||
Antero Resources Corp | 15,122 | 284 | 2.70 | % | ||||||||
Huntsman Corp | 8,687 | 257 | 2.44 | % | ||||||||
ONEOK Inc | 4,378 | 254 | 2.41 | % | ||||||||
The Williams Cos Inc | 9,300 | 241 | 2.29 | % | ||||||||
Kinder Morgan Inc | 14,231 | 238 | 2.26 | % | ||||||||
United Technologies Corp | 2,757 | 237 | 2.25 | % | ||||||||
General Dynamics Corp | 1,155 | 226 | 2.15 | % | ||||||||
LyondellBasell Industries NV | 2,402 | 225 | 2.14 | % | ||||||||
Lockheed Martin Corp | 650 | 224 | 2.13 | % | ||||||||
CH Robinson Worldwide Inc | 2,567 | 223 | 2.12 | % | ||||||||
Cummins Inc | 985 | 221 | 2.10 | % | ||||||||
Edison International | 3,950 | 219 | 2.08 | % | ||||||||
PACCAR Inc | 2,777 | 219 | 2.08 | % | ||||||||
Medical Properties Trust Inc | 10,813 | 217 | 2.06 | % | ||||||||
International Paper Co | 3,862 | 216 | 2.05 | % | ||||||||
Newmont Mining Corp | 3,977 | 216 | 2.05 | % | ||||||||
SL Green Realty Corp | 3,049 | 216 | 2.05 | % | ||||||||
Dow Inc | 3,734 | 215 | 2.04 | % | ||||||||
PPL Corp | 7,671 | 214 | 2.03 | % | ||||||||
Amcor PLC | 18,270 | 212 | 2.01 | % | ||||||||
3M Co | 1,195 | 210 | 1.99 | % | ||||||||
Packaging Corp of America | 1,525 | 210 | 1.99 | % | ||||||||
WP Carey Inc | 2,870 | 210 | 1.99 | % | ||||||||
FirstEnergy Corp | 5,856 | 209 | 1.98 | % | ||||||||
Omega Healthcare Investors Inc | 6,892 | 206 | 1.96 | % | ||||||||
MGM Growth Properties LLC | 5,199 | 199 | 1.89 | % | ||||||||
Iron Mountain Inc | 4,292 | 186 | 1.77 | % | ||||||||
Gevo Inc | 26,972 | 179 | 1.70 | % | ||||||||
FuelCell Energy Inc | 24,408 | 163 | 1.55 | % | ||||||||
SM Energy Co | 6,030 | 159 | 1.51 | % | ||||||||
ManpowerGroup Inc | 1,459 | 158 | 1.50 | % | ||||||||
Centennial Resource Development Inc | 23,428 | 157 | 1.49 | % | ||||||||
OGE Energy Corp | 4,539 | 150 | 1.42 | % | ||||||||
AGCO Corp | 1,212 | 149 | 1.41 | % | ||||||||
Hubbell Inc | 805 | 145 | 1.38 | % | ||||||||
Vornado Realty Trust | 3,185 | 134 | 1.27 | % | ||||||||
Huntington Ingalls Industries Inc | 688 | 133 | 1.26 | % | ||||||||
Spirit Realty Capital Inc | 2,883 | 133 | 1.26 | % | ||||||||
The Southern Co | 2,023 | 125 | 1.19 | % | ||||||||
Equitrans Midstream Corp | 12,156 | 123 | 1.17 | % | ||||||||
Fastenal Co | 2,368 | 122 | 1.16 | % | ||||||||
Tanger Factory Outlet Centers Inc | 7,433 | 121 | 1.15 | % | ||||||||
MSC Industrial Direct Co Inc | 1,485 | 119 | 1.13 | % | ||||||||
Antero Midstream Corp | 11,020 | 115 | 1.09 | % | ||||||||
EnLink Midstream LLC | 15,910 | 109 | 1.03 | % | ||||||||
The Chemours Co | 3,698 | 107 | 1.02 | % | ||||||||
Gaming and Leisure Properties Inc | 2,320 | 107 | 1.02 | % | ||||||||
Ryder System Inc | 1,274 | 105 | 1.00 | % |
See notes to unaudited consolidated schedule of investments.
34
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(x) | Seeks to monetize the tendency for the equity market to mean revert over short periods of time |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
JPM US Conviction Mean Reversion Index | 5,411 | 79.62 | % |
(y) | Seeks to monetize the tendency for the equity market to mean revert over short periods of time. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
S&P500 EMINI FUT Sep21 | 0 | 0.00 | % |
(z) | Provides exposure to the US Dollar Index. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Cash | ||||||||
Euro | -11,654 | -57.61 | % | |||||
Japanese Yen | -2,752 | -13.60 | % | |||||
British Pound | -2,408 | -11.90 | % | |||||
Canadian Dollar | -1,841 | -9.10 | % | |||||
Swedish Krona | -850 | -4.20 | % | |||||
Swiss Franc | -728 | -3.60 | % |
(aa) | Market neutral strategy that seeks to provide exposure to the quality risk premium. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
salesforce.com Inc | 190 | 52 | 1.03 | % | ||||||||
ON Semiconductor Corp | -1,117 | -51 | -1.02 | % | ||||||||
Intel Corp | 934 | 50 | 1.00 | % | ||||||||
Medallia Inc | -1,468 | -50 | -0.99 | % | ||||||||
Oracle Corp | 567 | 49 | 0.99 | % | ||||||||
Pure Storage Inc | -1,919 | -48 | -0.97 | % | ||||||||
Intuit Inc | 89 | 48 | 0.96 | % | ||||||||
Accenture PLC | 150 | 48 | 0.96 | % | ||||||||
Microsoft Corp | 167 | 47 | 0.94 | % | ||||||||
Cree Inc | -583 | -47 | -0.94 | % | ||||||||
Apple Inc | 333 | 47 | 0.94 | % | ||||||||
Advanced Micro Devices Inc | 456 | 47 | 0.94 | % | ||||||||
Splunk Inc | -324 | -47 | -0.94 | % | ||||||||
Fortinet Inc | 160 | 47 | 0.94 | % | ||||||||
NVIDIA Corp | 226 | 47 | 0.93 | % | ||||||||
Zscaler Inc | -178 | -47 | -0.93 | % | ||||||||
Cisco Systems Inc | 856 | 47 | 0.93 | % | ||||||||
Autodesk Inc | 163 | 46 | 0.93 | % | ||||||||
Elastic NV | -311 | -46 | -0.93 | % | ||||||||
Cloudflare Inc | -411 | -46 | -0.93 | % | ||||||||
Zoom Video Communications Inc | 174 | 46 | 0.91 | % | ||||||||
PayPal Holdings Inc | 175 | 46 | 0.91 | % | ||||||||
3D Systems Corp | -1,628 | -45 | -0.90 | % | ||||||||
QUALCOMM Inc | 344 | 44 | 0.89 | % | ||||||||
Western Digital Corp | -784 | -44 | -0.89 | % | ||||||||
Adobe Inc | 76 | 44 | 0.88 | % | ||||||||
Wix.com Ltd | -223 | -44 | -0.87 | % | ||||||||
Cognizant Technology Solutions Corp | 589 | 44 | 0.87 | % | ||||||||
Crowdstrike Holdings Inc | -176 | -43 | -0.87 | % | ||||||||
DocuSign Inc | -167 | -43 | -0.86 | % | ||||||||
Match Group Inc | -274 | -43 | -0.86 | % | ||||||||
RingCentral Inc | -196 | -43 | -0.85 | % | ||||||||
Anaplan Inc | -698 | -43 | -0.85 | % | ||||||||
Synopsys Inc | 139 | 42 | 0.83 | % | ||||||||
MicroStrategy Inc | -71 | -41 | -0.83 | % | ||||||||
Netflix Inc | 67 | 41 | 0.82 | % | ||||||||
Marathon Digital Holdings Inc | -1,221 | -39 | -0.77 | % | ||||||||
Skyworks Solutions Inc | 229 | 38 | 0.75 | % | ||||||||
Verizon Communications Inc | 698 | 38 | 0.75 | % | ||||||||
Paycom Software Inc | 75 | 37 | 0.75 | % | ||||||||
AT&T Inc | -1,374 | -37 | -0.74 | % | ||||||||
Shift4 Payments Inc | -472 | -37 | -0.73 | % | ||||||||
Live Nation Entertainment Inc | -396 | -36 | -0.72 | % | ||||||||
Activision Blizzard Inc | 466 | 36 | 0.72 | % | ||||||||
ViacomCBS Inc | -909 | -36 | -0.72 | % | ||||||||
EPAM Systems Inc | 62 | 36 | 0.71 | % | ||||||||
Alphabet Inc | 13 | 35 | 0.71 | % | ||||||||
Comcast Corp | 633 | 35 | 0.71 | % | ||||||||
T-Mobile US Inc | 276 | 35 | 0.71 | % | ||||||||
The Walt Disney Co | -208 | -35 | -0.70 | % |
See notes to unaudited consolidated schedule of investments.
35
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(ab) | Currency selection strategy using mean reversion signals. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Cash | ||||||||
Canadian Dollar | -1,239 | -11.60 | % | |||||
Norwegian Krone | -1,011 | -9.46 | % | |||||
British Pound | 968 | 9.07 | % | |||||
New Zealand Dollar | 810 | 7.59 | % | |||||
Euro | 656 | 6.14 | % | |||||
Japanese Yen | 514 | 4.81 | % | |||||
Swiss Franc | 506 | 4.74 | % | |||||
Australian Dollar | -81 | -0.76 | % | |||||
Swedish Krona | 6 | 0.06 | % |
(ac) | Seeks to monetize the tendency for the equity market to mean revert over short periods of time. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
S&P 500 Index | 4,835 | 70.91 | % |
(ad) | Systematic strategy that takes advantage of the volatility curve to generate positive carry. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Derivatives | ||||||||
1y Forward 5y20y Straddle | 9,613 | 50.02 | % | |||||
1y Forward 3y7y Straddle | 4,806 | 25.01 | % | |||||
1y Forward 1y7y Straddle | 2,588 | 13.47 | % | |||||
1y Forward 10y20y Straddle | 2,218 | 11.54 | % |
See notes to unaudited consolidated schedule of investments.
36
FS Multi-Strategy Alternatives Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(ae) | Systematic strategy seeks to monetize the implied-to-realized volatility risk premium by selling short-dated OTM puts. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Options | ||||||||
SPXW US 10/01/21 P4215 Index | 566 | 18.76 | % | |||||
SPXW US 10/01/21 P4145 Index | 283 | 9.38 | % | |||||
SPXW US 10/04/21 P4155 Index | 283 | 9.38 | % | |||||
SPXW US 10/04/21 P4095 Index | 189 | 6.25 | % | |||||
SPXW US 10/06/21 P4060 Index | 189 | 6.25 | % | |||||
SPXW US 10/01/21 P4200 Index | 184 | 6.12 | % |
(af) | Systematic strategy seeks to monetize the implied-to-realized volatility risk premium by selling short-dated OTM puts. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Options | ||||||||
SPXW US 10/01/21 P4215 Index | 619 | 18.76 | % | |||||
SPXW US 10/01/21 P4145 Index | 309 | 9.38 | % | |||||
SPXW US 10/04/21 P4155 Index | 309 | 9.38 | % | |||||
SPXW US 10/04/21 P4095 Index | 206 | 6.25 | % | |||||
SPXW US 10/06/21 P4060 Index | 206 | 6.25 | % | |||||
SPXW US 10/01/21 P4200 Index | 202 | 6.12 | % |
AUD | - Australian Dollar |
CAD | - Canadian Dollar |
CHF | - Swiss Franc |
CLP | - Chilean Peso |
COP | - Colombian Peso |
CNH | - Chinese Yuan |
EUR | - Euro |
GBP | - British Pound |
HUF | - Hungarian Forint |
ILS | - Israeli New Shekel |
INR | - India Rupee |
JPY | - Japanese Yen |
KRW | - Korean Won |
LIBOR | - London Interbank Offered Rate |
L/S | - Long/Short |
MXN | - Mexican Peso |
NOK | - Norwegian Krone |
NZD | - New Zealand Dollar |
PLN | - Polish Zloty |
RUB | - Russian Ruble |
SEK | - Swedish Krona |
SGD | - Singapore Dollar |
TRY | - Turkish Lira |
TWD | - Taiwan Dollar |
USD | - U.S. Dollar |
ZAR | - South African Rand |
See notes to unaudited consolidated schedule of investments.
37
FS Managed Futures Fund
Unaudited Consolidated Schedule of Investments
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Yield | Number of Shares | Cost | Fair Value(b) | |||||||||||||||
Short-Term Investments—102.1% | ||||||||||||||||||||
State Street Institutional Liquid Reserves Fund - Premier Class | (c) | 0.04% | 2,182,129 | $ | 2,183 | $ | 2,183 | |||||||||||||
Total Short-Term Investments | $ | 2,183 | $ | 2,183 | ||||||||||||||||
TOTAL INVESTMENTS—102.1% | $ | 2,183 | $ | 2,183 | ||||||||||||||||
Other Assets in Excess of Liabilities—(2.1)% | (46 | ) | ||||||||||||||||||
Net Assets—100.0% | $ | 2,137 |
Total Return Index Swaps(d)—1.8% |
Counterparty | Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premium Paid (Received) | Fair Value(b) | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Bank of America, N.A. | 3 Month LIBOR + 0.55% | Total return on iShares S&P GSCI Commodity-Indexed Trust | USD | 319 | 3/18/22 | N/A | $ | — | $ | 63 | $ | 63 | $ | — | |||||||||||||
Barclays Bank PLC | 0.00% | Total return on Barclays EB05 Desk Strategy (Asia/SPX IDMO basket) Index(e) | USD | 780 | 7/8/22 | N/A | — | (3 | ) | — | 3 | ||||||||||||||||
BNP Paribas | Fixed Rate of 0.10% | Total return on BNP Paribas Artificial Intelligence Trend ex-Como USD 2021 Index(f) | USD | 530 | 5/6/22 | N/A | — | 17 | 17 | — | |||||||||||||||||
Deutsche Bank AG | 0.00% | Total return on Deutsche Bank Diversified Rates Strategy Index 008(g) | USD | 444 | 7/7/22 | N/A | — | 3 | 3 | — | |||||||||||||||||
Goldman Sachs International | Fixed Rate of 0.15% | Total return on Goldman Sachs Cross Asset Trend Basket Series 11 Excess Return Strategy Index(h) | USD | 1,110 | 2/4/22 | N/A | — | (86 | ) | — | 86 | ||||||||||||||||
JP Morgan Chase Bank, N.A. | Fixed Rate of 0.20% | Total return JPM Bi-Weekly 1 Month Variance US Conviction Mean Reversion Index(i) | USD | 448 | 2/4/22 | N/A | — | 26 | 26 | — | |||||||||||||||||
JP Morgan Chase Bank, N.A. | 0.00% | Total return on JPM FX Momentum Index(j) | USD | 264 | 2/4/22 | N/A | — | 2 | 2 | — |
See notes to unaudited consolidated schedule of investments.
38
FS Managed Futures Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Counterparty | Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premium Paid (Received) | Fair Value(b) | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
JP Morgan Chase Bank, N.A. | Fixed Rate of 0.25% | Total return on JP Morgan Correlation Spread Index(k) | USD | 222 | 7/28/22 | N/A | — | (3 | ) | — | 3 | ||||||||||||||||
JP Morgan Chase Bank, N.A. | 0.00% | Total return on JP Morgan Equity Risk Premium - Global Pure Low Vol L/S USD Index(l) | USD | 286 | 7/28/22 | N/A | $ | — | $ | 13 | $ | 13 | $ | — | |||||||||||||
Macquarie Bank, Ltd. | Fixed Rate of 0.25% | Total return on Macquarie US Equity Overnight Mean Reversion Index(m) | USD | 200 | 3/9/22 | Quarterly | — | (1 | ) | — | 1 | ||||||||||||||||
Nomura Securities Co., Ltd. | Fixed Rate of 0.15% | Total return on Nomura G10 All Currencies Mean Reversion 25xw/ no Vol Adjustment Index(n) | USD | 300 | 2/4/22 | N/A | — | 7 | 7 | — | |||||||||||||||||
Total Total Return Index Swaps | $ | — | $ | 38 | $ | 131 | $ | 93 |
(a) | Security may be an obligation of one or more entities affiliated with the named company. |
(b) | Fair value as of September 30, 2021 is determined by the board of trustees of FS Series Trust (the “Trust’’). |
(c) | Rate represents the seven-day yield as of September 30, 2021. The State Street Institutional Liquid Reserves Fund’s financial statements are available on the SEC’s website at http://www.sec.gov. |
(d) | The Fund pays or receives periodic payments in accordance with the total return swap contracts depending on the performance of the reference index. On reset dates and on the expiration date of the swap contracts, the Fund will either receive from or pay to the counterparty an amount equal to the net of (i) the accrued financing fees and (ii) the percentage change in price of the reference index times the notional amount, and (iii) if applicable any dividends received into the basket since the previous reset date. Valuations may be inclusive of interest and/or dividends receivable/payable and, as a result, the notional amounts presented may not recalculate directly with the fair value presented. |
(e) | Seeks to capture intraday momentum in global equity markets. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
Barclays EB05 strategy | 777 | 100.00 | % |
See notes to unaudited consolidated schedule of investments.
39
FS Managed Futures Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(f) | Futures-based liquid strategy that is composed of BNP proprietary trend strategies across Equity and Fixed Income markets. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
BNP Paribas EUR 10Y Futures Index | 379 | 69.18 | % | |||||
BNP Paribas USD 10Y Futures Index | 352 | 64.35 | % | |||||
BNP Paribas JPY 10Y Futures Index | 301 | 54.93 | % | |||||
BNP Paribas US Equity Futures Index | 178 | 32.58 | % | |||||
BNP Paribas Eurozone Equity Futures Index | 127 | 23.19 | % | |||||
BNP Paribas Japan Equity Futures Index | 108 | 19.81 | % | |||||
BNP Paribas Emerging Equities Index | -28 | -5.20 | % | |||||
BNP Paribas China Equity Futures Index | 12 | 2.14 | % | |||||
Cash | ||||||||
Euro | -506 | -92.38 | % | |||||
Japanese Yen | -409 | -74.74 | % | |||||
United States Dollar | 46 | 8.33 | % | |||||
Hong Kong Dollar | -12 | -2.14 | % |
(g) | Seeks to monetize short-term interest rate momentum by taking long or short positions in US and European rates markets. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
Deutsche Bank Duration Bias EUR | -47 | -10.45 | % | |||||
Deutsche Bank Duration Bias USD | -20 | -4.51 | % |
(h) | Future and forward based liquid and fully transparent strategy that is composed of Goldman Sachs' proprietary strategies across three asset classes - FX Trend, Rates & Bonds Trend, and Equity Trend. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Futures | ||||||||
90DAY EURO$ FUTR Mar22 | 1,359 | 132.69 | % | |||||
90DAY EURO$ FUTR Jun22 | 1,358 | 132.64 | % | |||||
3MO EURO EURIBOR Mar22 | 1,342 | 131.06 | % | |||||
90DAY STERLING FU Jun22 | -1,330 | -129.92 | % | |||||
90DAY STERLING FU Dec22 | -1,329 | -129.78 | % | |||||
90DAY STERLING FU Mar23 | -1,328 | -129.72 | % | |||||
EURO-SCHATZ FUT Dec21 | -1,272 | -124.22 | % | |||||
3MO EURO EURIBOR Mar23 | -1,228 | -119.92 | % | |||||
3MO EURO EURIBOR Dec22 | -856 | -83.65 | % | |||||
US 2YR NOTE (CBT) Dec21 | 816 | 79.68 | % | |||||
90DAY EURO$ FUTR Dec22 | 734 | 71.74 | % | |||||
3MO EURO EURIBOR Jun22 | -727 | -71.05 | % | |||||
90DAY STERLING FU Mar22 | -610 | -59.53 | % | |||||
90DAY EURO$ FUTR Mar23 | 375 | 36.63 | % | |||||
JPN 10Y BOND(OSE) Dec21 | 332 | 32.47 | % | |||||
EURO-BOBL FUTURE Dec21 | 251 | 24.56 | % | |||||
LONG GILT FUTURE Dec21 | -189 | -18.45 | % | |||||
US LONG BOND(CBT) Dec21 | 161 | 15.71 | % | |||||
US 10YR NOTE (CBT)Dec21 | 160 | 15.66 | % | |||||
US 5YR NOTE (CBT) Dec21 | 128 | 12.51 | % | |||||
EURO-BUND FUTURE Dec21 | 126 | 12.30 | % | |||||
S&P/TSX 60 IX FUT Dec21 | 46 | 4.47 | % | |||||
SWISS MKT IX FUTR Dec21 | 45 | 4.44 | % | |||||
SPI 200 FUTURES Oct21 | 45 | 4.43 | % | |||||
S&P500 EMINI FUT Dec21 | 45 | 4.35 | % | |||||
NASDAQ 100 E-MINI Dec21 | 42 | 4.10 | % | |||||
FTSE 100 IDX FUT Dec21 | 39 | 3.79 | % | |||||
AMSTERDAM IDX FUT Oct21 | 36 | 3.55 | % | |||||
SET50 FUTURES Dec21 | 36 | 3.54 | % | |||||
DAX INDEX FUTURE Dec21 | 36 | 3.47 | % | |||||
KOSPI2 INX FUT Dec21 | 34 | 3.34 | % | |||||
OMXS30 IND FUTURE Oct21 | 34 | 3.29 | % | |||||
South African Rand | 33 | 3.24 | % | |||||
EURO STOXX 50 Dec21 | 33 | 3.19 | % | |||||
Cash | ||||||||
China Offshore Spot | 152 | 14.83 | % | |||||
Indonesian Rupiah | 129 | 12.60 | % | |||||
Indian Rupee | 125 | 12.23 | % | |||||
Israeli Shekel | 123 | 12.04 | % | |||||
Taiwan Dollar | 106 | 10.38 | % | |||||
South Korean Won | -99 | -9.64 | % | |||||
Philippines Peso | -95 | -9.27 | % | |||||
Mexican Peso | 66 | 6.48 | % | |||||
Russian Ruble | 66 | 6.48 | % | |||||
Australian Dollar | -56 | -5.42 | % | |||||
Czech Koruna | 52 | 5.09 | % | |||||
Chilean Peso | -47 | -4.63 | % | |||||
Swedish Krona | -43 | -4.17 | % | |||||
Canadian Dollar | -38 | -3.75 | % | |||||
Polish Zloty | -38 | -3.70 | % | |||||
New Zealand Dollar | 34 | 3.34 | % |
See notes to unaudited consolidated schedule of investments.
40
FS Managed Futures Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(i) | Seeks to monetize the tendency for the equity market to mean revert over short periods of time. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
JPM US Conviction Mean Reversion Index | 377 | 79.73 | % |
(j) | Currency selection strategy based on equity market performance. Anticipates flows driven by hedging activities. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Cash | ||||||||
South African Rand | -4 | -1.68 | % | |||||
Russian Ruble | 4 | 1.66 | % | |||||
Hungarian Forint | 4 | 1.64 | % | |||||
Turkish Lira | -4 | -1.42 | % | |||||
Japanese Yen | 2 | 0.78 | % | |||||
British Pound | -2 | -0.77 | % | |||||
Swedish Krona | -2 | -0.73 | % | |||||
Polish Zloty | 2 | 0.57 | % | |||||
New Zealand Dollar | 1 | 0.33 | % | |||||
Mexican Peso | 0 | -0.11 | % | |||||
Euro | 0 | -0.11 | % | |||||
Norwegian Krone | 0 | -0.11 | % | |||||
Australian Dollar | 0 | -0.11 | % |
(k) | Aims to capture the spread of realized correlation between US Equity and US Equity volatility. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
S&P 500 Index | -90 | -40.94 | % | |||||
iPath Series B S&P 500 VIX Short-Term Futures ETN | -23 | -10.38 | % |
See notes to unaudited consolidated schedule of investments.
41
FS Managed Futures Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(l) | Market neutral strategy that seeks to provide exposure to Low Volatility risk premium. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
Rolls-Royce Holdings PLC | -992 | -2 | -0.63 | % | ||||||||
Uber Technologies Inc | -38 | -2 | -0.57 | % | ||||||||
Cheniere Energy Inc | 17 | 2 | 0.57 | % | ||||||||
Occidental Petroleum Corp | -56 | -2 | -0.56 | % | ||||||||
Seattle Genetics Inc | -10 | -2 | -0.55 | % | ||||||||
M&T Bank Corp | -11 | -2 | -0.55 | % | ||||||||
EOG Resources Inc | -20 | -2 | -0.55 | % | ||||||||
Valero Energy Corp | -23 | -2 | -0.54 | % | ||||||||
Vail Resorts Inc | 5 | 2 | 0.54 | % | ||||||||
Citizens Financial Group Inc | -35 | -2 | -0.54 | % | ||||||||
Regions Financial Corp | -76 | -2 | -0.54 | % | ||||||||
The Mosaic Co | -45 | -2 | -0.54 | % | ||||||||
Carnival Corp | -64 | -2 | -0.54 | % | ||||||||
ABN AMRO Group NV | -111 | -2 | -0.54 | % | ||||||||
Electronic Arts Inc | 11 | 2 | 0.53 | % | ||||||||
News Corp | 67 | 2 | 0.53 | % | ||||||||
Hewlett Packard Enterprise Co | 111 | 2 | 0.53 | % | ||||||||
Live Nation Entertainment Inc | 17 | 2 | 0.53 | % | ||||||||
Chevron Corp | 16 | 2 | 0.53 | % | ||||||||
KeyCorp | -73 | -2 | -0.53 | % | ||||||||
Kinder Morgan Inc | 94 | 2 | 0.53 | % | ||||||||
Merck & Co Inc | 21 | 2 | 0.53 | % | ||||||||
Commerzbank AG | -236 | -2 | -0.53 | % | ||||||||
Huntington Bancshares Inc | -101 | -2 | -0.52 | % | ||||||||
Sysco Corp | -20 | -2 | -0.52 | % | ||||||||
MGM Resorts International | 36 | 2 | 0.52 | % | ||||||||
Liberty Media Corp-Liberty Formula One | 30 | 2 | 0.52 | % | ||||||||
Liberty Global PLC | 52 | 2 | 0.52 | % | ||||||||
United Rentals Inc | -4 | -2 | -0.52 | % | ||||||||
Dell Technologies Inc | 15 | 2 | 0.52 | % | ||||||||
Lyft Inc | -29 | -2 | -0.52 | % | ||||||||
Paychex Inc | 14 | 2 | 0.52 | % | ||||||||
American Express Co | -9 | -2 | -0.52 | % | ||||||||
Marriott International Inc | 10 | 2 | 0.52 | % | ||||||||
Assicurazioni Generali SpA | 72 | 2 | 0.52 | % | ||||||||
Lincoln National Corp | -22 | -2 | -0.52 | % | ||||||||
Ricoh Co Ltd | -150 | -2 | -0.52 | % | ||||||||
Vornado Realty Trust | -37 | -2 | -0.51 | % | ||||||||
Aramark | 47 | 2 | 0.51 | % | ||||||||
Lear Corp | 10 | 2 | 0.51 | % | ||||||||
Booking Holdings Inc | 1 | 2 | 0.51 | % | ||||||||
Molson Coors Brewing Co | -33 | -2 | -0.51 | % | ||||||||
Aptiv PLC | 10 | 2 | 0.51 | % | ||||||||
Hartford Financial Services Group Inc | -22 | -2 | -0.51 | % | ||||||||
WiseTech Global Ltd | -39 | -2 | -0.51 | % | ||||||||
Electricite de France SA | -121 | -2 | -0.51 | % | ||||||||
Synchrony Financial | -31 | -2 | -0.51 | % | ||||||||
Teledyne Technologies Inc | 4 | 2 | 0.51 | % | ||||||||
Autoliv Inc | 18 | 2 | 0.51 | % | ||||||||
Host Hotels & Resorts Inc | -93 | -2 | -0.51 | % |
See notes to unaudited consolidated schedule of investments.
42
FS Managed Futures Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(m) | Seeks to monetize the tendency for the equity market to mean revert over short periods of time. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
S&P500 EMINI FUT Sep21 | 0 | 0.00 | % |
(n) | Currency selection strategy using mean reversion signals. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Cash | ||||||||
Canadian Dollar | -36 | -11.61 | % | |||||
Norwegian Krone | -29 | -9.47 | % | |||||
British Pound | 28 | 9.07 | % | |||||
New Zealand Dollar | 23 | 7.59 | % | |||||
Euro | 19 | 6.14 | % | |||||
Japanese Yen | 15 | 4.81 | % | |||||
Swiss Franc | 15 | 4.75 | % | |||||
Australian Dollar | -2 | -0.76 | % | |||||
Swedish Krona | 0 | 0.06 | % |
See notes to unaudited consolidated schedule of investments.
43
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments
As of September 30, 2021
(in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
Corporate Bonds—62.5% | ||||||||||||||||
Alliance Data Systems Corp., 4.8%, 12/15/24 | (d) | Diversified Financial Services | $ | 214 | $ | 220 | $ | 219 | ||||||||
B&G Foods, Inc., 5.3%, 4/1/25 | Food | 27 | 28 | 28 | ||||||||||||
Bausch Health Companies, Inc., 6.1%, 4/15/25 | (d) | Pharmaceuticals | 146 | 149 | 149 | |||||||||||
Boxer Parent Companies, Inc., 9.1%, 3/1/26 | (d) | Software | 40 | 42 | 42 | |||||||||||
Cincinnati Bell, Inc., 8.0%, 10/15/25 | (d) | Telecommunications | 100 | 106 | 104 | |||||||||||
CITGO Petroleum Corp., 7.0%, 6/15/25 | (d) | Oil & Gas | 92 | 93 | 94 | |||||||||||
CoreCivic, Inc., 8.3%, 4/15/26 | Commercial Services | 31 | 31 | 32 | ||||||||||||
Dave & Buster's, Inc., 7.6%, 11/1/25 | (d) | Retail | 7 | 8 | 8 | |||||||||||
eG Global Finance Plc, 6.8%, 2/7/25 | (d) | Retail | 194 | 200 | 199 | |||||||||||
Five Point Operating Co. LP / Five Point Capital Corp., 7.9%, 11/15/25 | (d) | Real Estate | 165 | 173 | 173 | |||||||||||
Flex Acquisition Co., Inc., 7.9%, 7/15/26 | (d) | Packaging & Containers | 51 | 54 | 53 | |||||||||||
Ford Motor Credit Co. LLC, 5.1%, 6/16/25 | Auto Manufacturers | 150 | 161 | 163 | ||||||||||||
Fortress Transportation and Infrastructure Investors LLC, 9.8%, 8/1/27 | (d) | Trucking & Leasing | 133 | 151 | 151 | |||||||||||
Gateway Casinos & Entertainment Ltd., 8.3%, 3/1/24 | (d) | Entertainment | 75 | 71 | 76 | |||||||||||
H-Food Holdings LLC / Hearthside Finance Co., Inc., 8.5%, 6/1/26 | (d) | Food | 61 | 63 | 63 | |||||||||||
HUB International Ltd., 7.0%, 5/1/26 | (d) | Insurance | 100 | 104 | 104 | |||||||||||
Intelsat Jackson Holdings SA, 8.0%, 2/15/24 | (d) (e) | Telecommunications | 50 | 51 | 51 | |||||||||||
Jacobs Entertainment, Inc., 7.9%, 2/1/24 | (d) | Entertainment | 10 | 10 | 10 | |||||||||||
KAR Auction Services, Inc., 5.1%, 6/1/25 | (d) | Distribution/Wholesale | 214 | 218 | 217 | |||||||||||
Lannett Co., Inc., 7.8%, 4/15/26 | (d) | Pharmaceuticals | 35 | 35 | 32 | |||||||||||
Maxim Crane Works Holdings Capital LLC, 10.1%, 8/1/24 | (d) | Machinery-Diversified | 91 | 94 | 93 | |||||||||||
Modulaire Global Finance 2 Plc, 10.0%, 8/15/23 | (d) | Storage/Warehousing | 19 | 19 | 20 | |||||||||||
Modulaire Global Finance Plc, 8.0%, 2/15/23 | (d) | Commercial Services | 222 | 226 | 227 | |||||||||||
Mohegan Gaming & Entertainment, 8.0%, 2/1/26 | (d) | Entertainment | 119 | 125 | 124 | |||||||||||
New Enterprise Stone & Lime Co., Inc., 6.3%, 3/15/26 | (d) | Engineering & Construction | 55 | 57 | 57 | |||||||||||
New Home Co., Inc., 7.3%, 10/15/25 | (d) | Home Builders | 177 | 184 | 186 | |||||||||||
Pactiv LLC, 8.0%, 12/15/25 | Packaging & Containers | 160 | 178 | 180 | ||||||||||||
Prime Healthcare Services, Inc., 7.3%, 11/1/25 | (d) | Healthcare-Services | 51 | 53 | 55 | |||||||||||
RLJ Lodging Trust LP, 3.8%, 7/1/26 | (d) | Real Estate Investment Trusts | 124 | 125 | 125 | |||||||||||
RP Escrow Issuer LLC, 5.3%, 12/15/25 | (d) | Healthcare-Services | 122 | 126 | 126 | |||||||||||
SeaWorld Parks & Entertainment, Inc., 8.8%, 5/1/25 | (d) | Entertainment | 65 | 70 | 70 | |||||||||||
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 8.0%, 9/20/25 | (d) | Airlines | 73 | 81 | 82 | |||||||||||
Starwood Property Trust, Inc., 3.6%, 7/15/26 | (d) | Real Estate Investment Trusts | 187 | 190 | 189 | |||||||||||
Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc., 5.6%, 3/1/24 | (d) | Home Builders | 150 | 159 | 162 | |||||||||||
Triumph Group, Inc., 8.9%, 6/1/24 | (d) | Aerospace/Defense | 142 | 156 | 156 | |||||||||||
US Acute Care Solutions LLC, 6.4%, 3/1/26 | (d) | Healthcare-Services | 120 | 124 | 127 | |||||||||||
WASH Multifamily Acquisition, Inc., 5.8%, 4/15/26 | (d) | Home Furnishings | 150 | 155 | 157 | |||||||||||
Waste Pro USA, Inc., 5.5%, 2/15/26 | (d) | Environmental Control | 155 | 158 | 157 | |||||||||||
Total Corporate Bonds | 4,248 | 4,261 | ||||||||||||||
Convertible Bonds—2.4% | ||||||||||||||||
Apollo Commercial Real Estate Finance, Inc., 4.8%, 8/23/22 | Real Estate Investment Trusts | $ | 24 | $ | 23 | $ | 24 | |||||||||
Apollo Commercial Real Estate Finance, Inc., 5.4%, 10/15/23 | Real Estate Investment Trusts | 76 | 75 | 77 |
See notes to unaudited consolidated financial statements.
44
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Principal Amount(b) | Amortized Cost | Fair Value(c) | |||||||||||
RWT Holdings, Inc., 5.8%, 10/1/25 | Holding Companies-Diversified | $ | 65 | $ | 65 | $ | 67 | |||||||||
Total Convertible Bonds | 163 | 168 |
Portfolio Company(a) | Footnotes | Yield | Number of Shares | Cost | Fair Value(c) | |||||||||||
Short-Term Investments—34.3% | ||||||||||||||||
State Street Institutional Liquid Reserves Fund - Premier Class | (f) | 0.04% | 2,336,055 | $ | 2,337 | $ | 2,336 | |||||||||
Total Short-Term Investments | 2,337 | 2,336 | ||||||||||||||
TOTAL INVESTMENTS—99.2% | $ | 6,748 | 6,765 | |||||||||||||
Other Assets in Excess of Liabilities—0.8% | 53 | |||||||||||||||
Net Assets—100.0% | $ | 6,818 | ||||||||||||||
Total Return Index Swaps(g)—(0.2)% |
Counterparty | Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premium Paid (Received) | Fair Value(c) | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
Bank of America, N.A. | Fixed Rate of 0.20% | Total return on BofA Merrill Lynch Short Upside Vol Index(h) | USD | 352 | 2/25/22 | Quarterly | $ | — | $ | 1 | $ | 1 | $ | — | ||||||||||||||
Barclays Bank PLC | Fixed Rate of 0.35% | Total return on Barclays Equity Intraday Momentum Index(i) | USD | 546 | 2/23/22 | Quarterly | — | (2 | ) | — | 2 | |||||||||||||||||
Deutsche Bank AG | 0.00% | Total return on Deutsche Bank Cross Asset Carry USD Index Ex Commodities Index(j) | USD | 1,790 | 12/31/21 | Quarterly | — | — | — | — | ||||||||||||||||||
Goldman Sachs International | Fixed Rate of 0.15% | Total return on Goldman Sachs RP Equity Carry Series 01 Excess Return Strategy Index(k) | USD | 694 | 1/4/22 | Quarterly | — | (17 | ) | — | 17 | |||||||||||||||||
Goldman Sachs International | Fixed Rate of 0.15% | Total return on Goldman Sachs Macro Index VA01(l) | USD | 1,386 | 2/22/22 | Quarterly | — | 44 | 44 | — | ||||||||||||||||||
Goldman Sachs International | Fixed Rate of 0.15% | Total return on Goldman Sachs Calls-vs-Calls US Series 2 Excess Return Strategy Index(m) | USD | 733 | 11/13/21 | Quarterly | — | (12 | ) | — | 12 |
See notes to unaudited consolidated financial statements.
45
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(in thousands, except share and per share amounts)
Counterparty | Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premium Paid (Received) | Fair Value(c) | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
Goldman Sachs International | Fixed Rate of 0.15% | Total return on Goldman Sachs Systematic Skew US Series 1D Excess Return Strategy Index(n) | USD | 380 | 11/13/21 | Quarterly | $ | — | $ | 5 | $ | 5 | $ | — | ||||||||||||||
JPMorgan Chase Bank, N.A. | Total return on JPM Short ERP Sector Index | 3 Month LIBOR - 0.25%(o) | USD | 579 | 11/16/21 | Quarterly | — | 7 | 7 | — | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3 Month LIBOR + 0.60% | Total return on JPM Long ERP Sector Index(p) | USD | 691 | 11/16/21 | Quarterly | — | (15 | ) | — | 15 | |||||||||||||||||
Morgan Stanley Capital Services LLC | 1 Month LIBOR + 0.50% | Total return on Morgan Stanley Sustainable Div Non-US Index(q) | USD | 1,007 | 3/31/22 | Quarterly | — | (1 | ) | — | 1 | |||||||||||||||||
Nomura Securities Co., Ltd. | 0.00% | Total return on Nomura Bespoke Transaction Interest Rate Risk Premia Basket(r) | USD | 7,000 | 1/4/22 | Quarterly | — | (33 | ) | — | 33 | |||||||||||||||||
Nomura Securities Co., Ltd. | 1 Month LIBOR + 0.40% | Total return on Wolfe Neutralized Div Yield Long Basket Index(s) | USD | 2,136 | 3/11/22 | Quarterly | — | (60 | ) | — | 60 | |||||||||||||||||
Nomura Securities Co., Ltd. | Total return on Wolfe Neutralized Div Yield Short Basket Index | 1 Month LIBOR - 0.10%(t) | USD | 2,249 | 3/11/22 | Quarterly | — | 56 | 56 | — | ||||||||||||||||||
Societe Generale | Fed Funds Rate | Total return on Soc Gen Vol Roll on Rates Index(u) | USD | 1,050 | 2/18/22 | N/A | — | 12 | 12 | — | ||||||||||||||||||
Societe Generale | Fixed Rate of 0.40% | Total return on Soc Gen STEP Index(v) | USD | 350 | 2/24/22 | Quarterly | — | 2 | 2 | — | ||||||||||||||||||
Total Total Return Index Swaps | $ | — | $ | (13 | ) | $ | 127 | $ | 140 |
(a) | Security may be an obligation of one or more entities affiliated with the named company. |
(b) | Denominated in U.S. dollars unless otherwise noted. |
(c) | Fair value as of September 30, 2021 is determined by the board of trustees of FS Series Trust (the “Trust’’). |
(d) | 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 $3,858, which represents approximately 56.5% of net assets as of September 30, 2021. |
See notes to unaudited consolidated financial statements.
46
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(in thousands, except share and per share amounts)
(e) | Security is in default. |
(f) | Rate represents the seven-day yield as of September 30, 2021. The State Street Institutional Liquid Reserves Fund’s financial statements are available on the SEC’s website at http://www.sec.gov. |
(g) | The Fund pays or receives periodic payments in accordance with the total return swap contracts depending on the performance of the reference index. On reset dates and on the expiration date of the swap contracts, the Fund will either receive from or pay to the counterparty an amount equal to the net of (i) the accrued financing fees and (ii) the percentage change in price of the reference index times the notional amount, and (iii) if applicable any dividends received into the basket since the previous reset date. Valuations may be inclusive of interest and/or dividends receivable/payable and, as a result, the notional amounts presented may not recalculate directly with the fair value presented. |
(h) | Seeks to monetize SPX upside implied-to-realized volatility by selling and delta hedging the upside wing of the strip. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Cash | ||||||||
United States Dollar | 353 | 100.00 | % | |||||
Index | ||||||||
SPX Index | 0 | 0.06 | % | |||||
Options | ||||||||
SPX US 10/15/21 C4890 Index | 0 | -0.02 | % | |||||
SPX US 10/15/21 C4455 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4460 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4465 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4510 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4515 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4470 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4475 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4565 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4520 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4570 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4480 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4525 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4505 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4575 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4590 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4585 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4545 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4595 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4530 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4580 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4485 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4560 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4550 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4535 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4600 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4490 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4605 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4555 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4610 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4625 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4540 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4495 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4620 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4615 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4650 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4630 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4500 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4640 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4645 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4635 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4660 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4665 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4655 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4680 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4750 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4760 Index | 0 | 0.00 | % | |||||
SPX US 10/15/21 C4705 Index | 0 | 0.00 | % |
See notes to unaudited consolidated financial statements.
47
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(in thousands, except share and per share amounts)
(i) | Aims to capture intraday trends and momentum in the S&P 500. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
Barclays Equity Intraday Momentum Index | 544 | 100.00 | % |
(j) | Cross Asset carry strategy excluding commodities. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
Deutsche Bank Duration Bias USD | 167 | 9.32 | % | |||||
CDX.NA.HY 5Y Long Excess Return | 162 | 9.07 | % | |||||
Deutsche Bank Duration Bias EUR | 162 | 9.05 | % | |||||
ITRX XOVER CDSI S34 5Y Corp | 157 | 8.76 | % | |||||
Deutsche Bank Duration Bias JPY | 93 | 5.19 | % | |||||
Deutsche Bank Duration Bias GBP | 71 | 3.94 | % | |||||
EONIA Total Return Index | 0 | -0.01 | % | |||||
Fed Funds Effective Rate Total Return Index | 0 | -0.01 | % | |||||
Futures | ||||||||
FTSE 100 IDX FUT Dec21 | 116 | 6.49 | % | |||||
NIKKEI 225 (OSE) Dec21 | 90 | 5.03 | % | |||||
EURO STOXX 50 Dec21 | 46 | 2.56 | % | |||||
S&P500 EMINI FUT Dec21 | 42 | 2.34 | % | |||||
MSCI EmgMkt Dec21 | 17 | 0.97 | % | |||||
Currency | ||||||||
Euro | -60 | -3.34 | % | |||||
Brazil Real | 30 | 1.65 | % | |||||
China Offshore Spot | 30 | 1.65 | % | |||||
Hungarian Forint | 30 | 1.65 | % | |||||
Mexican Peso | 30 | 1.65 | % | |||||
Polish Zloty | 30 | 1.65 | % | |||||
Russian Ruble | 30 | 1.65 | % | |||||
Singapore Dollar | 30 | 1.65 | % | |||||
South African Rand | 30 | 1.65 | % | |||||
South Korean Won | 30 | 1.65 | % | |||||
Taiwan Dollar | 30 | 1.65 | % | |||||
Turkish Lira | 30 | 1.65 | % | |||||
Japanese Yen | -25 | -1.37 | % | |||||
Australian Dollar | -9 | -0.51 | % |
See notes to unaudited consolidated financial statements.
48
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(in thousands, except share and per share amounts)
(k) | Market neutral strategy based on futures versus spot differentials across equity markets. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Futures | ||||||||
BIST 30 FUTURES Oct21 | -126 | -18.61 | % | |||||
FTSE/MIB IDX FUT Dec21 | 117 | 17.26 | % | |||||
FTSE/JSE TOP 40 Dec21 | -113 | -16.71 | % | |||||
AMSTERDAM IDX FUT Oct21 | 101 | 14.96 | % | |||||
SET50 FUTURES Dec21 | 77 | 11.30 | % | |||||
SWISS MKT IX FUTR Dec21 | -75 | -11.07 | % | |||||
NASDAQ 100 E-MINI Dec21 | -74 | -10.90 | % | |||||
HSCEI Futures Oct21 | -70 | -10.27 | % | |||||
S&P/TSX 60 IX FUT Dec21 | 69 | 10.22 | % | |||||
TOPIX INDX FUTR Dec21 | 51 | 7.55 | % | |||||
E-Mini Russ 2000 Dec21 | -46 | -6.86 | % | |||||
EURO STOXX 50 Dec21 | 40 | 5.84 | % | |||||
IBEX 35 INDX FUTR Oct21 | 38 | 5.56 | % | |||||
KOSPI2 INX FUT Dec21 | -37 | -5.49 | % | |||||
FTSE 100 IDX FUT Dec21 | 23 | 3.35 | % | |||||
S&P500 EMINI FUT Dec21 | -22 | -3.28 | % | |||||
FTSE Taiwan Index Oct21 | 17 | 2.47 | % | |||||
MSCI EmgMkt Dec21 | 15 | 2.21 | % | |||||
SPI 200 FUTURES Oct21 | -10 | -1.52 | % | |||||
HANG SENG IDX FUT Oct21 | 8 | 1.11 | % | |||||
CAC40 10 EURO FUT Oct21 | 5 | 0.71 | % | |||||
Currency | ||||||||
Japanese Yen | 0 | 0.00 | % | |||||
Swiss Franc | 0 | 0.00 | % | |||||
British Pound | 0 | 0.00 | % | |||||
United States Dollar | 0 | 0.00 | % | |||||
Euro | 0 | 0.00 | % |
(l) | Aims to take advantage of the convergence in the performance of bonds with higher vs. lower real yields across G8 government bonds. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Futures | ||||||||
LONG GILT FUTURE Dec21 | -985 | -68.91 | % | |||||
EURO-BUND FUTURE Dec21 | -819 | -57.29 | % | |||||
US 10YR NOTE (CBT)Dec21 | -544 | -38.03 | % | |||||
AUST 10Y BOND FUT Dec21 | 266 | 18.61 | % | |||||
Euro-BTP Future Dec21 | 68 | 4.77 | % | |||||
CAN 10YR BOND FUT Dec21 | 58 | 4.09 | % | |||||
JPN 10Y BOND(OSE) Dec21 | 0 | 0.00 | % | |||||
Euro-OAT Future Dec21 | 0 | 0.00 | % |
See notes to unaudited consolidated financial statements.
49
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(in thousands, except share and per share amounts)
(m) | Attempts to generate income by selling dislocated single stock calls while offsetting the market risk with a long S&P call. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Options | ||||||||
SPX European Call Option | 1,718 | 238.26 | % | |||||
AAPL American Call Option | -71 | -9.81 | % | |||||
PFE American Call Option | -53 | -7.35 | % | |||||
ACN American Call Option | -51 | -7.09 | % | |||||
AMZN American Call Option | -50 | -6.96 | % | |||||
PEP American Call Option | -50 | -6.90 | % | |||||
TJX American Call Option | -46 | -6.43 | % | |||||
NKE American Call Option | -46 | -6.33 | % | |||||
SCHW American Call Option | -46 | -6.32 | % | |||||
UNH American Call Option | -45 | -6.23 | % | |||||
ORCL American Call Option | -43 | -6.00 | % | |||||
GOOG American Call Option | -42 | -5.87 | % | |||||
ADBE American Call Option | -38 | -5.27 | % | |||||
BLK American Call Option | -36 | -4.98 | % | |||||
MSFT American Call Option | -35 | -4.92 | % | |||||
WFC American Call Option | -35 | -4.79 | % | |||||
USB American Call Option | -33 | -4.56 | % | |||||
MU American Call Option | -30 | -4.21 | % | |||||
XOM American Call Option | -29 | -4.06 | % | |||||
UPS American Call Option | -29 | -3.99 | % | |||||
AMAT American Call Option | -28 | -3.83 | % | |||||
MS American Call Option | -28 | -3.82 | % | |||||
DIS American Call Option | -27 | -3.81 | % | |||||
NVDA American Call Option | -27 | -3.80 | % | |||||
CCI American Call Option | -26 | -3.64 | % | |||||
FB American Call Option | -24 | -3.27 | % | |||||
AMT American Call Option | -22 | -3.11 | % | |||||
PLD American Call Option | -22 | -3.07 | % | |||||
COST American Call Option | -21 | -2.87 | % | |||||
DHR American Call Option | -21 | -2.86 | % | |||||
MA American Call Option | -18 | -2.55 | % | |||||
BAC American Call Option | -18 | -2.51 | % | |||||
TMO American Call Option | -18 | -2.45 | % | |||||
ZTS American Call Option | -18 | -2.43 | % | |||||
CAT American Call Option | -17 | -2.42 | % | |||||
BKNG American Call Option | -17 | -2.42 | % | |||||
ABBV American Call Option | -17 | -2.37 | % | |||||
AMD American Call Option | -17 | -2.35 | % | |||||
CRM American Call Option | -16 | -2.25 | % | |||||
COP American Call Option | -16 | -2.25 | % | |||||
CMCSA American Call Option | -16 | -2.24 | % | |||||
RTX American Call Option | -16 | -2.24 | % | |||||
LRCX American Call Option | -16 | -2.17 | % | |||||
TGT American Call Option | -15 | -2.14 | % | |||||
SHW American Call Option | -15 | -2.09 | % | |||||
CVX American Call Option | -15 | -2.05 | % | |||||
SPGI American Call Option | -15 | -2.05 | % | |||||
SYK American Call Option | -14 | -1.99 | % | |||||
MDLZ American Call Option | -14 | -1.97 | % | |||||
Cash | ||||||||
United States Dollar | 25 | 3.53 | % |
See notes to unaudited consolidated financial statements.
50
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(in thousands, except share and per share amounts)
(n) | Seeks to capture the risk premium associated with selling equity puts while buying equity calls. Delta and gamma hedges daily to reduce market and volatility premium exposures. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Options | ||||||||
SPX European Call Option | 1,062 | 276.03 | % | |||||
SPX EQ Forward | -795 | -206.68 | % | |||||
Cash | ||||||||
United States Dollar | 18 | 4.74 | % |
(o) | Uses factor-based stock selection to provide short exposure to the equity of natural resource, real estate, equipment and industrial, and infrastructure companies. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
Range Resources Corp | -659 | -15 | -2.61 | % | ||||||||
Occidental Petroleum Corp | -448 | -13 | -2.32 | % | ||||||||
Cheniere Energy Inc | -133 | -13 | -2.27 | % | ||||||||
Lyft Inc | -242 | -13 | -2.27 | % | ||||||||
Uber Technologies Inc | -288 | -13 | -2.26 | % | ||||||||
Apache Corp | -600 | -13 | -2.25 | % | ||||||||
Halliburton Co | -582 | -13 | -2.20 | % | ||||||||
Alcoa Corp | -255 | -12 | -2.18 | % | ||||||||
Delta Air Lines Inc | -292 | -12 | -2.18 | % | ||||||||
American Airlines Group Inc | -604 | -12 | -2.17 | % | ||||||||
PG&E Corp | -1,286 | -12 | -2.16 | % | ||||||||
Southwest Airlines Co | -240 | -12 | -2.16 | % | ||||||||
EQT Corp | -601 | -12 | -2.15 | % | ||||||||
Jones Lang LaSalle Inc | -49 | -12 | -2.13 | % | ||||||||
The Boeing Co | -54 | -12 | -2.08 | % | ||||||||
Host Hotels & Resorts Inc | -721 | -12 | -2.06 | % | ||||||||
PBF Energy Inc | -899 | -12 | -2.04 | % | ||||||||
Axalta Coating Systems Ltd | -397 | -12 | -2.03 | % | ||||||||
Transocean Ltd | -2,956 | -11 | -1.96 | % | ||||||||
Colfax Corp | -243 | -11 | -1.95 | % | ||||||||
Continental Resources Inc | -241 | -11 | -1.95 | % | ||||||||
Weyerhaeuser Co | -313 | -11 | -1.95 | % | ||||||||
Sunrun Inc | -252 | -11 | -1.94 | % | ||||||||
Ball Corp | -122 | -11 | -1.92 | % | ||||||||
Ecolab Inc | -53 | -11 | -1.92 | % | ||||||||
Roper Technologies Inc | -24 | -11 | -1.91 | % | ||||||||
American Water Works Co Inc | -64 | -11 | -1.89 | % | ||||||||
Equinix Inc | -14 | -11 | -1.89 | % | ||||||||
NextEra Energy Inc | -138 | -11 | -1.89 | % | ||||||||
Park Hotels & Resorts Inc | -564 | -11 | -1.89 | % | ||||||||
Prologis Inc | -86 | -11 | -1.89 | % | ||||||||
The Sherwin-Williams Co | -39 | -11 | -1.89 | % | ||||||||
Generac Holdings Inc | -26 | -11 | -1.88 | % | ||||||||
SBA Communications Corp | -33 | -11 | -1.88 | % | ||||||||
XPO Logistics Inc | -135 | -11 | -1.88 | % | ||||||||
American Homes 4 Rent | -280 | -11 | -1.87 | % | ||||||||
American Tower Corp | -40 | -11 | -1.84 | % | ||||||||
National Oilwell Varco Inc | -802 | -11 | -1.84 | % | ||||||||
Trex Co Inc | -103 | -10 | -1.83 | % | ||||||||
CACI International Inc | -38 | -10 | -1.72 | % | ||||||||
JetBlue Airways Corp | -606 | -9 | -1.62 | % | ||||||||
Berry Global Group Inc | -145 | -9 | -1.54 | % | ||||||||
Spirit AeroSystems Holdings Inc | -197 | -9 | -1.52 | % | ||||||||
Eagle Materials Inc | -64 | -8 | -1.48 | % | ||||||||
Xcel Energy Inc | -134 | -8 | -1.46 | % | ||||||||
HEICO Corp | -62 | -8 | -1.42 | % | ||||||||
Evoqua Water Technologies Corp | -207 | -8 | -1.36 | % | ||||||||
Sensata Technologies Holding PLC | -140 | -8 | -1.34 | % | ||||||||
TransUnion | -63 | -7 | -1.23 | % | ||||||||
Old Dominion Freight Line Inc | -21 | -6 | -1.04 | % |
See notes to unaudited consolidated financial statements.
51
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(in thousands, except share and per share amounts)
(p) | Uses factor-based stock selection to provide long exposure to the equity of natural resource, real estate, equipment and industrial, and infrastructure companies. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
Callon Petroleum Co | 379 | 19 | 2.75 | % | ||||||||
Avis Budget Group Inc | 158 | 18 | 2.72 | % | ||||||||
Antero Resources Corp | 971 | 18 | 2.70 | % | ||||||||
Huntsman Corp | 558 | 17 | 2.44 | % | ||||||||
ONEOK Inc | 281 | 16 | 2.41 | % | ||||||||
The Williams Cos Inc | 597 | 15 | 2.29 | % | ||||||||
Kinder Morgan Inc | 914 | 15 | 2.26 | % | ||||||||
United Technologies Corp | 177 | 15 | 2.25 | % | ||||||||
General Dynamics Corp | 74 | 15 | 2.15 | % | ||||||||
LyondellBasell Industries NV | 154 | 14 | 2.14 | % | ||||||||
Lockheed Martin Corp | 42 | 14 | 2.13 | % | ||||||||
CH Robinson Worldwide Inc | 165 | 14 | 2.12 | % | ||||||||
Cummins Inc | 63 | 14 | 2.10 | % | ||||||||
Edison International | 254 | 14 | 2.08 | % | ||||||||
PACCAR Inc | 178 | 14 | 2.08 | % | ||||||||
Medical Properties Trust Inc | 694 | 14 | 2.06 | % | ||||||||
International Paper Co | 248 | 14 | 2.05 | % | ||||||||
Newmont Mining Corp | 255 | 14 | 2.05 | % | ||||||||
SL Green Realty Corp | 196 | 14 | 2.05 | % | ||||||||
Dow Inc | 240 | 14 | 2.04 | % | ||||||||
PPL Corp | 493 | 14 | 2.03 | % | ||||||||
Amcor PLC | 1,173 | 14 | 2.01 | % | ||||||||
3M Co | 77 | 13 | 1.99 | % | ||||||||
Packaging Corp of America | 98 | 13 | 1.99 | % | ||||||||
WP Carey Inc | 184 | 13 | 1.99 | % | ||||||||
FirstEnergy Corp | 376 | 13 | 1.98 | % | ||||||||
Omega Healthcare Investors Inc | 443 | 13 | 1.96 | % | ||||||||
MGM Growth Properties LLC | 334 | 13 | 1.89 | % | ||||||||
Iron Mountain Inc | 276 | 12 | 1.77 | % | ||||||||
Gevo Inc | 1,732 | 12 | 1.70 | % | ||||||||
FuelCell Energy Inc | 1,567 | 10 | 1.55 | % | ||||||||
SM Energy Co | 387 | 10 | 1.51 | % | ||||||||
ManpowerGroup Inc | 94 | 10 | 1.50 | % | ||||||||
Centennial Resource Development Inc | 1,504 | 10 | 1.49 | % | ||||||||
OGE Energy Corp | 291 | 10 | 1.42 | % | ||||||||
AGCO Corp | 78 | 10 | 1.41 | % | ||||||||
Hubbell Inc | 52 | 9 | 1.38 | % | ||||||||
Vornado Realty Trust | 205 | 9 | 1.27 | % | ||||||||
Huntington Ingalls Industries Inc | 44 | 9 | 1.26 | % | ||||||||
Spirit Realty Capital Inc | 185 | 9 | 1.26 | % | ||||||||
The Southern Co | 130 | 8 | 1.19 | % | ||||||||
Equitrans Midstream Corp | 781 | 8 | 1.17 | % | ||||||||
Fastenal Co | 152 | 8 | 1.16 | % | ||||||||
Tanger Factory Outlet Centers Inc | 477 | 8 | 1.15 | % | ||||||||
MSC Industrial Direct Co Inc | 95 | 8 | 1.13 | % | ||||||||
Antero Midstream Corp | 708 | 7 | 1.09 | % | ||||||||
EnLink Midstream LLC | 1,022 | 7 | 1.03 | % | ||||||||
The Chemours Co | 237 | 7 | 1.02 | % | ||||||||
Gaming and Leisure Properties Inc | 149 | 7 | 1.02 | % | ||||||||
Ryder System Inc | 82 | 7 | 1.00 | % |
See notes to unaudited consolidated financial statements.
52
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(in thousands, except share and per share amounts)
(q) | Long basket of stocks most likely to continue paying dividends. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
Nordea Bank Abp | 535 | 7 | 0.69 | % | ||||||||
KBC Group NV | 76 | 7 | 0.68 | % | ||||||||
DNB Bank ASA | 298 | 7 | 0.68 | % | ||||||||
Raiffeisen Bank International AG | 258 | 7 | 0.67 | % | ||||||||
Industria de Diseno Textil SA | 184 | 7 | 0.67 | % | ||||||||
Atos SE | 125 | 7 | 0.66 | % | ||||||||
AstraZeneca PLC | 55 | 7 | 0.66 | % | ||||||||
Swedbank AB | 326 | 7 | 0.66 | % | ||||||||
Skandinaviska Enskilda Banken AB | 463 | 7 | 0.66 | % | ||||||||
GEA Group AG | 142 | 7 | 0.65 | % | ||||||||
Telefonica Deutschland Holding AG | 2,273 | 6 | 0.64 | % | ||||||||
Koninklijke Ahold Delhaize NV | 194 | 6 | 0.64 | % | ||||||||
Daimler AG | 73 | 6 | 0.64 | % | ||||||||
BNP Paribas SA | 100 | 6 | 0.64 | % | ||||||||
Barclays PLC | 2,517 | 6 | 0.64 | % | ||||||||
Evraz PLC | 799 | 6 | 0.64 | % | ||||||||
Koninklijke Philips NV | 144 | 6 | 0.63 | % | ||||||||
ACS Actividades de Construccion y Servicios SA | 233 | 6 | 0.63 | % | ||||||||
Tele2 AB | 427 | 6 | 0.63 | % | ||||||||
Eiffage SA | 62 | 6 | 0.63 | % | ||||||||
Siemens AG | 38 | 6 | 0.63 | % | ||||||||
DCC PLC | 76 | 6 | 0.63 | % | ||||||||
Suez | 277 | 6 | 0.63 | % | ||||||||
Telefonaktiebolaget LM Ericsson | 555 | 6 | 0.63 | % | ||||||||
Ferguson PLC | 45 | 6 | 0.62 | % | ||||||||
Yara International ASA | 125 | 6 | 0.62 | % | ||||||||
Diageo PLC | 128 | 6 | 0.62 | % | ||||||||
Koninklijke KPN NV | 1,975 | 6 | 0.62 | % | ||||||||
RELX PLC | 214 | 6 | 0.62 | % | ||||||||
Orion Oyj | 156 | 6 | 0.62 | % | ||||||||
Faurecia SA | 131 | 6 | 0.62 | % | ||||||||
Volvo AB | 270 | 6 | 0.62 | % | ||||||||
Essity AB | 199 | 6 | 0.61 | % | ||||||||
Nestle SA | 51 | 6 | 0.61 | % | ||||||||
Svenska Handelsbanken AB | 548 | 6 | 0.61 | % | ||||||||
Swisscom AG | 11 | 6 | 0.61 | % | ||||||||
Proximus SADP | 310 | 6 | 0.61 | % | ||||||||
The Sage Group PLC | 642 | 6 | 0.61 | % | ||||||||
Volvo AB | 269 | 6 | 0.61 | % | ||||||||
Imperial Brands PLC | 41 | 6 | 0.61 | % | ||||||||
Elisa OYJ | 98 | 6 | 0.61 | % | ||||||||
Thales SA | 62 | 6 | 0.60 | % | ||||||||
BAE Systems PLC | 798 | 6 | 0.60 | % | ||||||||
SSE PLC | 287 | 6 | 0.60 | % | ||||||||
Securitas AB | 382 | 6 | 0.60 | % | ||||||||
Telenor ASA | 360 | 6 | 0.60 | % | ||||||||
BASF SE | 79 | 6 | 0.60 | % | ||||||||
Unilever PLC | 112 | 6 | 0.60 | % | ||||||||
Henkel AG & Co KGaA | 70 | 6 | 0.60 | % | ||||||||
SGS SA | 2 | 6 | 0.60 | % |
See notes to unaudited consolidated financial statements.
53
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(in thousands, except share and per share amounts)
(r) | Basket of indices comprised of Interest Rate Swaps in G11 currencies based on value and momentum characteristics. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Interest Rate Swaps | ||||||||
IRS Rec 5Y in USD | 2,620 | 37.61 | % | |||||
IRS Rec 1Y in USD | 2,495 | 35.82 | % | |||||
IRS 2Y NZD S 1-0 | -1,812 | -26.01 | % | |||||
IRS 2Y NOK S 1-0 | -1,629 | -23.39 | % | |||||
IRS Rec 10Y in USD | 952 | 13.66 | % | |||||
IRS Rec 2Y in GBP | -717 | -10.29 | % | |||||
IRS 10Y SEK S 1-0 | -714 | -10.26 | % | |||||
IRS 5Y DKK S 1-0 | -609 | -8.74 | % | |||||
IRS 10Y DKK S 1-0 | -532 | -7.63 | % | |||||
IRS 2Y CHF S 1-0 | 528 | 7.58 | % | |||||
IRS Rec 20Y in EUR | -522 | -7.49 | % | |||||
IRS Rec 30Y in EUR | -446 | -6.40 | % | |||||
IRS Rec 1Y in JPY | 356 | 5.11 | % | |||||
IRS Rec 1Y in EUR | 354 | 5.08 | % | |||||
IRS Rec 20Y in USD | 222 | 3.18 | % | |||||
IRS Rec 10Y in EUR | -191 | -2.74 | % | |||||
IRS Rec 2Y in USD | 179 | 2.56 | % | |||||
IRS Rec 2Y in EUR | 176 | 2.53 | % | |||||
Currency | ||||||||
New Zealand Dollar | 1,961 | 28.14 | % | |||||
Norwegian Krone | 1,777 | 25.51 | % | |||||
Danish Krone | 1,140 | 16.37 | % | |||||
British Pound | 1,007 | 14.45 | % | |||||
Swiss Franc | -669 | -9.60 | % | |||||
Swedish Krona | 605 | 8.68 | % | |||||
Japanese Yen | -534 | -7.67 | % | |||||
Australian Dollar | -339 | -4.86 | % | |||||
Euro | 277 | 3.98 | % | |||||
Canadian Dollar | 70 | 1.00 | % |
See notes to unaudited consolidated financial statements.
54
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(in thousands, except share and per share amounts)
(s) | Long basket of US stocks that pay high dividends. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
Gilead Sciences Inc | 461 | 32 | 1.55 | % | ||||||||
ONEOK Inc | 531 | 31 | 1.48 | % | ||||||||
The Progressive Corp | 305 | 28 | 1.33 | % | ||||||||
Philip Morris International Inc | 290 | 27 | 1.32 | % | ||||||||
LyondellBasell Industries NV | 280 | 26 | 1.26 | % | ||||||||
The Southern Co | 392 | 24 | 1.17 | % | ||||||||
CSX Corp | 811 | 24 | 1.16 | % | ||||||||
Iron Mountain Inc | 534 | 23 | 1.12 | % | ||||||||
3M Co | 132 | 23 | 1.12 | % | ||||||||
International Business Machine Corp | 165 | 23 | 1.11 | % | ||||||||
People's United Financial Inc | 1,308 | 23 | 1.10 | % | ||||||||
Simon Property Group Inc | 174 | 23 | 1.09 | % | ||||||||
CME Group Inc | 114 | 22 | 1.06 | % | ||||||||
AbbVie Inc | 204 | 22 | 1.06 | % | ||||||||
Analog Devices Inc | 131 | 22 | 1.06 | % | ||||||||
Regency Centers Corp | 323 | 22 | 1.05 | % | ||||||||
Prudential Financial Inc | 207 | 22 | 1.05 | % | ||||||||
Altria Group Inc | 439 | 20 | 0.96 | % | ||||||||
Lockheed Martin Corp | 57 | 20 | 0.95 | % | ||||||||
United Technologies Corp | 223 | 19 | 0.92 | % | ||||||||
Newell Brands Inc | 849 | 19 | 0.91 | % | ||||||||
Broadcom Inc | 38 | 18 | 0.89 | % | ||||||||
Paychex Inc | 163 | 18 | 0.88 | % | ||||||||
Newmont Mining Corp | 336 | 18 | 0.88 | % | ||||||||
Dow Inc | 313 | 18 | 0.87 | % | ||||||||
Vornado Realty Trust | 427 | 18 | 0.87 | % | ||||||||
Regions Financial Corp | 836 | 18 | 0.86 | % | ||||||||
Darden Restaurants Inc | 115 | 17 | 0.84 | % | ||||||||
PPL Corp | 624 | 17 | 0.84 | % | ||||||||
Garmin Ltd | 111 | 17 | 0.83 | % | ||||||||
Federal Realty Investment Trust | 145 | 17 | 0.83 | % | ||||||||
HP Inc | 625 | 17 | 0.82 | % | ||||||||
NetApp Inc | 187 | 17 | 0.81 | % | ||||||||
Huntington Bancshares Inc | 1,082 | 17 | 0.81 | % | ||||||||
CF Industries Holdings Inc | 297 | 17 | 0.80 | % | ||||||||
General Dynamics Corp | 84 | 16 | 0.79 | % | ||||||||
Pinnacle West Capital Corp | 223 | 16 | 0.78 | % | ||||||||
Comerica Inc | 197 | 16 | 0.76 | % | ||||||||
Hewlett Packard Enterprise Co | 1,100 | 16 | 0.76 | % | ||||||||
Edison International | 278 | 15 | 0.74 | % | ||||||||
Kinder Morgan Inc | 917 | 15 | 0.74 | % | ||||||||
The Williams Cos Inc | 587 | 15 | 0.73 | % | ||||||||
Principal Financial Group Inc | 236 | 15 | 0.73 | % | ||||||||
Merck & Co Inc | 200 | 15 | 0.72 | % | ||||||||
Duke Energy Corp | 154 | 15 | 0.72 | % | ||||||||
Pfizer Inc | 349 | 15 | 0.72 | % | ||||||||
Tapestry Inc | 402 | 15 | 0.72 | % | ||||||||
Eaton Corp PLC | 98 | 15 | 0.71 | % | ||||||||
United Parcel Service Inc | 80 | 15 | 0.71 | % | ||||||||
Consolidated Edison Inc | 201 | 15 | 0.70 | % |
See notes to unaudited consolidated financial statements.
55
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(in thousands, except share and per share amounts)
(t) | Short basket of US stocks that neutralize market and factor risk of the long basket. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
National Oilwell Varco Inc | -2,563 | -34 | -1.53 | % | ||||||||
MGM Resorts International | -772 | -33 | -1.52 | % | ||||||||
Apache Corp | -1,497 | -32 | -1.46 | % | ||||||||
Loews Corp | -552 | -30 | -1.36 | % | ||||||||
First Republic Bank | -151 | -29 | -1.33 | % | ||||||||
Halliburton Co | -1,330 | -29 | -1.31 | % | ||||||||
Occidental Petroleum Corp | -964 | -29 | -1.30 | % | ||||||||
Southwest Airlines Co | -537 | -28 | -1.26 | % | ||||||||
Fortive Corp | -339 | -24 | -1.09 | % | ||||||||
Textron Inc | -338 | -24 | -1.08 | % | ||||||||
Torchmark Corp | -253 | -23 | -1.03 | % | ||||||||
PerkinElmer Inc | -125 | -22 | -0.99 | % | ||||||||
SBA Communications Corp | -64 | -21 | -0.97 | % | ||||||||
Host Hotels & Resorts Inc | -1,302 | -21 | -0.97 | % | ||||||||
Wabtec Corp | -246 | -21 | -0.97 | % | ||||||||
Thermo Fisher Scientific Inc | -37 | -21 | -0.95 | % | ||||||||
Wynn Resorts Ltd | -245 | -21 | -0.95 | % | ||||||||
The Kroger Co | -504 | -20 | -0.93 | % | ||||||||
Marriott International Inc | -133 | -20 | -0.90 | % | ||||||||
Wells Fargo & Co | -422 | -20 | -0.89 | % | ||||||||
Atmos Energy Corp | -222 | -20 | -0.89 | % | ||||||||
Hilton Worldwide Holdings Inc | -148 | -19 | -0.89 | % | ||||||||
General Electric Co | -188 | -19 | -0.88 | % | ||||||||
Equinix Inc | -23 | -18 | -0.84 | % | ||||||||
Domino's Pizza Inc | -38 | -18 | -0.83 | % | ||||||||
Church & Dwight Co Inc | -218 | -18 | -0.82 | % | ||||||||
Fox Corp | -449 | -18 | -0.82 | % | ||||||||
MSCI Inc | -29 | -18 | -0.81 | % | ||||||||
Arconic Inc | -570 | -18 | -0.81 | % | ||||||||
Moody's Corp | -49 | -17 | -0.79 | % | ||||||||
DXC Technology Co | -515 | -17 | -0.79 | % | ||||||||
Global Payments Inc | -109 | -17 | -0.78 | % | ||||||||
WR Berkley Corp | -230 | -17 | -0.77 | % | ||||||||
CenterPoint Energy Inc | -681 | -17 | -0.76 | % | ||||||||
PVH Corp | -161 | -17 | -0.76 | % | ||||||||
Ball Corp | -183 | -17 | -0.75 | % | ||||||||
The Charles Schwab Corp | -226 | -16 | -0.75 | % | ||||||||
Xcel Energy Inc | -260 | -16 | -0.74 | % | ||||||||
Roper Technologies Inc | -36 | -16 | -0.74 | % | ||||||||
Activision Blizzard Inc | -207 | -16 | -0.73 | % | ||||||||
Fox Corp | -428 | -16 | -0.72 | % | ||||||||
Qorvo Inc | -94 | -16 | -0.72 | % | ||||||||
Bank of America Corp | -368 | -16 | -0.71 | % | ||||||||
Ameren Corp | -193 | -16 | -0.71 | % | ||||||||
American Tower Corp | -58 | -15 | -0.71 | % | ||||||||
McCormick & Co Inc | -190 | -15 | -0.70 | % | ||||||||
The Cooper Cos Inc | -37 | -15 | -0.70 | % | ||||||||
Eversource Energy | -183 | -15 | -0.68 | % | ||||||||
American Water Works Co Inc | -89 | -15 | -0.68 | % | ||||||||
Aon PLC | -52 | -15 | -0.68 | % |
See notes to unaudited consolidated financial statements.
56
FS Alternative Income Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(in thousands, except share and per share amounts)
(u) | Systematic strategy that takes advantage of the volatility curve to generate positive carry. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Derivatives | ||||||||
1y Forward 5y20y Straddle | 531 | 50.02 | % | |||||
1y Forward 3y7y Straddle | 266 | 25.01 | % | |||||
1y Forward 1y7y Straddle | 143 | 13.47 | % | |||||
1y Forward 10y20y Straddle | 123 | 11.54 | % |
(v) | Systematic strategy seeks to monetize the implied-to-realized volatility risk premium by selling short-dated OTM puts. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Options | ||||||||
SPXW US 10/01/21 P4215 Index | 66 | 6.22 | % | |||||
SPXW US 10/01/21 P4145 Index | 33 | 3.11 | % | |||||
SPXW US 10/04/21 P4155 Index | 33 | 3.11 | % | |||||
SPXW US 10/04/21 P4095 Index | 22 | 2.08 | % | |||||
SPXW US 10/06/21 P4060 Index | 22 | 2.07 | % | |||||
SPXW US 10/01/21 P4200 Index | 22 | 2.03 | % |
See notes to unaudited consolidated financial statements.
57
FS Chiron Real Asset Fund
Unaudited Consolidated Schedule of Investments
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Number of Shares | Cost | Fair Value(b) | |||||||||||
Common Stocks—56.6% | ||||||||||||||||
AGCO Corp. | Machinery-Diversified | 1,976 | $ | 243 | $ | 242 | ||||||||||
Aker Carbon Capture ASA | (c) | Energy-Alternate Sources | 73,305 | 204 | 231 | |||||||||||
ANDRITZ AG | Machinery-Diversified | 4,474 | 251 | 245 | ||||||||||||
Anglo American Plc | Mining | 7,835 | 273 | 277 | ||||||||||||
Applied Materials, Inc. | Semiconductors | 1,819 | 247 | 234 | ||||||||||||
ASML Holding N.V. | Semiconductors | 289 | 246 | 216 | ||||||||||||
Assicurazioni Generali SpA | Insurance | 12,259 | 253 | 261 | ||||||||||||
Aurizon Holdings Ltd. | Transportation | 92,350 | 251 | 253 | ||||||||||||
Avantor, Inc. | (c) | Healthcare-Products | 4,668 | 198 | 191 | |||||||||||
Baker Hughes Co. | Oil & Gas Services | 13,406 | 315 | 332 | ||||||||||||
Barrick Gold Corp. | Mining | 24,065 | 449 | 434 | ||||||||||||
British American Tobacco Plc | Agriculture | 8,910 | 327 | 313 | ||||||||||||
Broadcom, Inc. | Semiconductors | 498 | 246 | 241 | ||||||||||||
Bunge Ltd. | Agriculture | 4,569 | 371 | 372 | ||||||||||||
Capgemini SE | Computers | 1,132 | 253 | 236 | ||||||||||||
Chubu Electric Power Co., Inc. | Electric | 26,906 | 332 | 319 | ||||||||||||
CME Group, Inc. | Diversified Financial Services | 2,038 | 383 | 394 | ||||||||||||
Constellation Brands, Inc. | Beverages | 2,430 | 514 | 512 | ||||||||||||
Corning, Inc. | Telecommunications | 6,627 | 251 | 242 | ||||||||||||
Deere & Co. | Machinery-Diversified | 914 | 317 | 306 | ||||||||||||
Deutsche Boerse AG | Diversified Financial Services | 1,518 | 251 | 247 | ||||||||||||
EOG Resources, Inc. | Oil & Gas | 5,129 | 367 | 412 | ||||||||||||
Ferrari N.V. | Auto Manufacturers | 1,230 | 262 | 258 | ||||||||||||
Fomento Economico Mexicano SAB de CV | Beverages | 28,228 | 245 | 245 | ||||||||||||
Fortinet, Inc. | (c) | Computers | 841 | 251 | 246 | |||||||||||
Glencore Plc | (c) | Mining | 71,575 | 313 | 339 | |||||||||||
Impala Platinum Holdings Ltd. | Mining | 15,193 | 176 | 173 | ||||||||||||
LUKOIL PJSC | Oil & Gas | 3,390 | 310 | 325 | ||||||||||||
McDonald's Corp. | Retail | 1,060 | 254 | 256 | ||||||||||||
Newmont Corp. | Mining | 5,574 | 304 | 303 | ||||||||||||
Nomura Real Estate Holdings, Inc. | Real Estate | 8,418 | 223 | 221 | ||||||||||||
Norsk Hydro ASA | Mining | 34,282 | 254 | 257 | ||||||||||||
Novatek PJSC | Oil & Gas | 779 | 197 | 206 | ||||||||||||
NVIDIA Corp. | Semiconductors | 1,143 | 243 | 237 | ||||||||||||
Occidental Petroleum Corp. | Oil & Gas | 13,866 | 361 | 410 | ||||||||||||
Pentair Plc | Environmental Control | 3,361 | 253 | 244 | ||||||||||||
PhosAgro PJSC | Chemicals | 9,271 | 185 | 207 | ||||||||||||
Porsche Automobil Holding SE | Auto Manufacturers | 2,575 | 249 | 256 | ||||||||||||
Procter & Gamble Co. | Cosmetics/Personal Care | 2,210 | 316 | 309 | ||||||||||||
ProPetro Holding Corp. | (c) | Oil & Gas Services | 16,389 | 122 | 142 | |||||||||||
Royal Bank of Canada | Banks | 2,486 | 245 | 247 | ||||||||||||
Royal Dutch Shell Plc | Oil & Gas | 30,201 | 610 | 671 | ||||||||||||
RWE AG | Electric | 8,836 | 331 | 313 | ||||||||||||
Sociedad Quimica y Minera de Chile SA | Chemicals | 4,879 | 263 | 262 | ||||||||||||
Stevanato Group SpA | (c) | Healthcare-Products | 4,613 | 128 | 117 | |||||||||||
Teck Resources Ltd. | Mining | 13,078 | 318 | 326 | ||||||||||||
Telekom Austria AG | (c) | Telecommunications | 36,694 | 318 | 317 | |||||||||||
Telstra Corp. Ltd. | Telecommunications | 111,364 | 316 | 316 | ||||||||||||
UniCredit SpA | Banks | 24,470 | 302 | 326 |
See notes to unaudited consolidated schedule of investments.
58
FS Chiron Real Asset Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Number of Shares | Cost | Fair Value(b) | |||||||||||
VICI Properties, Inc. | Real Estate Investment Trusts | 8,459 | $ | 250 | $ | 240 | ||||||||||
Waste Management, Inc. | Environmental Control | 1,642 | 251 | 245 | ||||||||||||
Total Common Stocks | 14,392 | 14,524 |
Portfolio Company(a) | Footnotes | Industry | Number of Shares | Cost | Fair Value(b) | |||||||||||
U.S. Treasury & Government Agencies—15.1% | ||||||||||||||||
United States Treasury Inflation Protected Security, 0.125%, 7/15/31 | Sovereign | 1,120,273 | $ | 1,245 | $ | 1,233 | ||||||||||
United States Treasury Inflation Protected Security, 0.125%, 4/15/26 | Sovereign | 1,904,737 | 2,063 | 2,063 | ||||||||||||
United States Treasury Inflation Protected Security, 0.125%, 2/15/51 | Sovereign | 524,215 | 601 | 573 | ||||||||||||
Total U.S. Treasury & Government Agencies | 3,909 | 3,869 |
Portfolio Company(a) | Footnotes | Yield | Number of Shares | Cost | Fair Value(b) | |||||||||||
Short-Term Investments—28.0% | ||||||||||||||||
State Street Institutional Liquid Reserves Fund - Premier Class | (d) | 0.04% | 7,173,403 | $ | 7,175 | $ | 7,175 | |||||||||
Total Short-Term Investments | 7,175 | 7,175 | ||||||||||||||
TOTAL INVESTMENTS—99.7% | $ | 25,476 | $ | 25,568 | ||||||||||||
Other Assets in Excess of Liabilities—0.3% | 80 | |||||||||||||||
Net Assets—100.0% | $ | 25,648 | ||||||||||||||
Total Return Equity Swaps(e)—0.3% |
Counterparty | Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premium Paid (Received) | Fair Value(b) | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Goldman Sachs International | 1 Month LIBOR +0.65% | Total return on Companhia Energetica de Minas Gerais (CEMIG) Equity | USD | 250 | 12/10/22 | Quarterly | $ | — | $ | (2 | ) | $ | — | $ | 2 | ||||||||||||
Goldman Sachs International | 3 Month LIBOR +0.75% | Total return on CEZ, a.s. Equity | USD | 254 | 6/17/22 | Quarterly | — | 3 | 3 | — | |||||||||||||||||
Goldman Sachs International | 3 Month LIBOR +1.15% | Total return on PT United Tractors Tbk. Equity | USD | 206 | 6/17/22 | Quarterly | — | 50 | 50 | — | |||||||||||||||||
Goldman Sachs International | 3 Month LIBOR +0.20% | Total return on LG Chem Ltd. Equity | USD | 245 | 6/17/22 | Quarterly | — | 14 | 14 | — | |||||||||||||||||
Goldman Sachs International | 3 Month LIBOR +1.15% | Total return on PT Telkom Indonesia (Persero) Tbk. Equity | USD | 328 | 6/17/22 | Quarterly | — | 14 | 14 | — | |||||||||||||||||
Total | $ | — | $ | 79 | $ | 81 | $ | 2 |
See notes to unaudited consolidated schedule of investments.
59
FS Chiron Real Asset Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Total Return Index Swaps(e)—0.0%
Counterparty | Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premium Paid (Received) | Fair Value(b) | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Macquarie Bank, Ltd. | Fixed Rate of 0.40% | Total return on Macquarie Commodity Flex Basket Index(f) | USD | 4,500 | 10/19/22 | Quarterly | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Total Total Return Index Swaps | $ | — | $ | — | $ | — | $ | — |
(a) | Security may be an obligation of one or more entities affiliated with the named company. |
(b) | Fair value as of September 30, 2021 is determined by the board of trustees of FS Series Trust (the “Trust’’). |
(c) | Security is non-income producing. |
(d) | Rate represents the seven-day yield as of September 30, 2021. The State Street Institutional Liquid Reserves Fund’s financial statements are available on the SEC’s website at http://www.sec.gov. |
(e) | The Fund pays or receives periodic payments in accordance with the total return swap contracts depending on the performance of the reference index. On reset dates and on the expiration date of the swap contracts, the Fund will either receive from or pay to the counterparty an amount equal to the net of (i) the accrued financing fees and (ii) the percentage change in price of the reference index times the notional amount, and (iii) if applicable any dividends received into the basket since the previous reset date. Valuations may be inclusive of interest and/or dividends receivable/payable and, as a result, the notional amounts presented may not recalculate directly with the fair value presented. |
(f) | Attempts to deliver an enhanced commodity exposure relative to traditional commodity indices by introducing off benchmark commodities, deferred curve placement, dynamic commodity selection and dynamic beta. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Futures | ||||||||
WTI CRUDE FUTURE Dec21 | 429 | 9.54 | % | |||||
NATURAL GAS FUTR Dec21 | 368 | 8.17 | % | |||||
BRENT CRUDE FUTR Dec22 | 349 | 7.76 | % | |||||
CORN FUTURE May22 | 301 | 6.69 | % | |||||
SOYBEAN FUTURE May22 | 282 | 6.26 | % | |||||
COPPER FUTURE May22 | 193 | 4.29 | % | |||||
PALLADIUM FUTURE Dec21 | 183 | 4.07 | % | |||||
PLATINUM FUTURE Jan22 | 179 | 3.97 | % | |||||
LME COPPER FUTURE May22 | 172 | 3.83 | % | |||||
LIVE CATTLE FUTR Apr22 | 165 | 3.67 | % | |||||
SUGAR #11 (WORLD) May22 | 149 | 3.30 | % | |||||
LME PRI ALUM FUTR May22 | 146 | 3.25 | % | |||||
SOYBEAN OIL FUTR May22 | 143 | 3.18 | % | |||||
GOLD 100 OZ FUTR Dec21 | 136 | 3.01 | % | |||||
SILVER FUTURE Dec21 | 132 | 2.92 | % | |||||
GASOLINE RBOB FUT Dec21 | 126 | 2.80 | % | |||||
NY Harb ULSD Fut Dec21 | 112 | 2.49 | % | |||||
Low Su Gasoil G Dec21 | 105 | 2.33 | % | |||||
LEAN HOGS FUTURE Apr22 | 87 | 1.93 | % | |||||
LME ZINC FUTURE May22 | 86 | 1.92 | % | |||||
LME NICKEL FUTURE May22 | 83 | 1.84 | % | |||||
COTTON NO.2 FUTR May22 | 74 | 1.64 | % | |||||
COCOA FUTURE - IC Dec21 | 65 | 1.44 | % | |||||
COCOA FUTURE May22 | 64 | 1.42 | % | |||||
MILL WHEAT EURO Dec21 | 63 | 1.39 | % | |||||
SGX Iron Ore 62% Nov21 | 47 | 1.04 | % | |||||
LME LEAD FUTURE May22 | 43 | 0.96 | % | |||||
RAPESEED EURO Nov21 | 38 | 0.83 | % | |||||
WHITE SUGAR (ICE) Dec21 | 37 | 0.83 | % | |||||
COFF ROBUSTA 10tn Nov21 | 37 | 0.81 | % | |||||
WHITE SUGAR (ICE) Mar22 | 25 | 0.55 | % | |||||
RAPESEED EURO Feb22 | 25 | 0.55 | % | |||||
COFF ROBUSTA 10tn Jan22 | 24 | 0.54 | % |
See notes to unaudited consolidated schedule of investments.
60
FS Long/Short Equity Fund
Unaudited Schedule of Investments
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Yield | Number of Shares | Cost | Fair Value(b) | |||||||||||||
Short-Term Investments—102.2% | ||||||||||||||||||
State Street Institutional Liquid Reserves Fund - Premier Class | (c) | 0.04% | 5,344,068 | $ | 5,346 | $ | 5,345 | |||||||||||
Total Short-Term Investments | 5,346 | 5,345 | ||||||||||||||||
TOTAL INVESTMENTS—102.2% | $ | 5,346 | 5,345 | |||||||||||||||
Other Liabilities in Excess Assets—(2.2)% | (113 | ) | ||||||||||||||||
Net Assets—100.0% | $ | 5,232 |
Swaps—(9.8)%
Total Return Index Swaps(d)—(9.8)%
Counterparty | Fund Pays | Fund Receives | Notional Amount | Expiration Date | Periodic Payment Frequency | Premium Paid (Received) | Fair Value(b) | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Barclays Bank PLC | 1 Month LIBOR + 0.30% | Total return on Novus Barclays Adjustment Long Basket Index(e) | USD | 2,897 | 8/24/22 | Quarterly | $ | — | $ | (80 | ) | $ | — | $ | 80 | ||||||||||||
Barclays Bank PLC | Fixed Rate of 0.35% | Total return on Barclays US Equity Value Market Hedged Index(f) | USD | 523 | 1/10/22 | N/A | — | 19 | 19 | — | |||||||||||||||||
Barclays Bank PLC | Total return on Russell 1000 Index Total Return Index(g) | 3 Month LIBOR + 0.24% | USD | 2,249 | 2/22/22 | N/A | — | (357 | ) | — | 357 | ||||||||||||||||
Barclays Bank PLC | Fixed Rate of - 0.10% | Total return on Novus Barclays Public Ownership HF Conviction Index(h) | USD | 5,587 | 6/17/22 | N/A | — | 99 | 99 | — | |||||||||||||||||
Barclays Bank PLC | Fixed Rate of - 0.35% | Total return on Barclays US Equity Value Market Hedged Index(i) | USD | 44 | 1/10/22 | N/A | — | (1 | ) | — | 1 | ||||||||||||||||
Goldman Sachs International | Total return on Russell 1000 Index Total Return Index(j) | 3 Month LIBOR + 0.15% | USD | 1,852 | 5/19/22 | N/A | — | (65 | ) | — | 65 | ||||||||||||||||
Societe Generale | 1 Month LIBOR + 0.52% | Total Return on MSCI USA Select Strong Balance Sheet Gross Return USD Index(k) | USD | 1,999 | 9/26/22 | N/A | — | (26 | ) | — | 26 | ||||||||||||||||
Barclays Bank PLC | Total return on Barlcays Short Interest Short Basket Index(l) | Fed Funds Rate - 1.05% | USD | 3,434 | 6/17/22 | N/A | — | (100 | ) | — | 100 | ||||||||||||||||
Total Total Return Index Swaps | $ | — | $ | (511 | ) | $ | 118 | $ | 629 |
See notes to unaudited Schedule of Investments.
61
FS Long/Short Equity Fund
Unaudited Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(a) | Security may be an obligation of one or more entities affiliated with the named company. |
(b) | Fair value as of September 30, 2021 is determined by the board of trustees of FS Series Trust (the “Trust’’). |
(c) | Rate represents the seven-day yield as of September 30, 2021. The State Street Institutional Liquid Reserves Fund’s financial statements are available on the SEC’s website at http://www.sec.gov. |
(d) | The Fund pays or receives periodic payments in accordance with the total return swap contracts depending on the performance of the reference index. On reset dates and on the expiration date of the swap contracts, the Fund will either receive from or pay to the counterparty an amount equal to the net of (i) the accrued financing fees and (ii) the percentage change in price of the reference index times the notional amount, and (iii) if applicable any dividends received into the basket since the previous reset date. Valuations may be inclusive of interest and/or dividends receivable/payable and, as a result, the notional amounts presented may not recalculate directly with the fair value presented. |
(e) | A long portfolio of stocks based on public 13F filings. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
Apple Inc | 196 | 6.95 | % | |||||
Alphabet Inc | 196 | 6.94 | % | |||||
Microsoft Corp | 193 | 6.84 | % | |||||
Facebook Inc | 137 | 4.86 | % | |||||
Targa Resources Corp | 133 | 4.72 | % | |||||
Dynatrace Inc | 127 | 4.51 | % | |||||
Apollo Global Management Inc | 126 | 4.47 | % | |||||
Olin Corp | 123 | 4.36 | % | |||||
American Express Co | 123 | 4.36 | % | |||||
Macquarie Infrastructure Corp | 121 | 4.29 | % | |||||
Analog Devices Inc | 120 | 4.26 | % | |||||
ServiceNow Inc | 118 | 4.20 | % | |||||
Nuance Communications Inc | 118 | 4.20 | % | |||||
Amazon.com Inc | 117 | 4.16 | % | |||||
Anthem Inc | 116 | 4.13 | % | |||||
Twitter Inc | 112 | 3.96 | % | |||||
Humana Inc | 111 | 3.94 | % | |||||
L Brands Inc | 108 | 3.84 | % | |||||
Tenet Healthcare Corp | 107 | 3.80 | % | |||||
United Therapeutics Corp | 105 | 3.74 | % | |||||
Peloton Interactive Inc | 92 | 3.28 | % | |||||
Bank of America Corp | 61 | 2.17 | % | |||||
STAAR Surgical Co | 57 | 2.02 | % |
See notes to unaudited Schedule of Investments.
62
FS Long/Short Equity Fund
Unaudited Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(f) | Long position in a basket of U.S. stocks that look attractively priced based on the chosen value characteristics combined with an offsetting short position in an index to hedge the general market risk. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Index | ||||||||||||
S&P 500 Total Return Index | -470 | -86.44 | % | |||||||||
Common Stock | ||||||||||||
ONEOK Inc | 207 | 12 | 2.21 | % | ||||||||
Comerica Inc | 148 | 12 | 2.19 | % | ||||||||
Fox Corp | 291 | 12 | 2.15 | % | ||||||||
AutoNation Inc | 95 | 12 | 2.12 | % | ||||||||
Tempur Sealy International Inc | 247 | 11 | 2.11 | % | ||||||||
Williams-Sonoma Inc | 65 | 11 | 2.11 | % | ||||||||
Liberty Global PLC | 385 | 11 | 2.09 | % | ||||||||
AutoZone Inc | 7 | 11 | 2.08 | % | ||||||||
Jefferies Financial Group Inc | 302 | 11 | 2.06 | % | ||||||||
Louisiana-Pacific Corp | 179 | 11 | 2.02 | % | ||||||||
Conagra Brands Inc | 323 | 11 | 2.01 | % | ||||||||
Crocs Inc | 75 | 11 | 1.98 | % | ||||||||
Intel Corp | 202 | 11 | 1.98 | % | ||||||||
Omnicom Group Inc | 149 | 11 | 1.98 | % | ||||||||
Prudential Financial Inc | 102 | 11 | 1.98 | % | ||||||||
Northrop Grumman Corp | 30 | 11 | 1.96 | % | ||||||||
Flex Ltd | 601 | 11 | 1.95 | % | ||||||||
General Dynamics Corp | 54 | 11 | 1.95 | % | ||||||||
Evercore Inc | 79 | 11 | 1.95 | % | ||||||||
Oracle Corp | 121 | 11 | 1.95 | % | ||||||||
Verizon Communications Inc | 195 | 11 | 1.94 | % | ||||||||
HCA Healthcare Inc | 43 | 10 | 1.93 | % | ||||||||
Quest Diagnostics Inc | 72 | 10 | 1.92 | % | ||||||||
Celanese Corp | 69 | 10 | 1.91 | % | ||||||||
Lockheed Martin Corp | 30 | 10 | 1.91 | % | ||||||||
Cigna Corp | 51 | 10 | 1.90 | % | ||||||||
Cummins Inc | 46 | 10 | 1.90 | % | ||||||||
Berkshire Hathaway Inc | 38 | 10 | 1.89 | % | ||||||||
HP Inc | 375 | 10 | 1.89 | % | ||||||||
Polaris Industries Inc | 86 | 10 | 1.89 | % | ||||||||
SLM Corp | 583 | 10 | 1.89 | % | ||||||||
eBay Inc | 146 | 10 | 1.88 | % | ||||||||
Voya Financial Inc | 166 | 10 | 1.88 | % | ||||||||
Arrow Electronics Inc | 90 | 10 | 1.87 | % | ||||||||
Altria Group Inc | 222 | 10 | 1.86 | % | ||||||||
The Allstate Corp | 79 | 10 | 1.85 | % | ||||||||
The JM Smucker Co | 84 | 10 | 1.85 | % | ||||||||
LyondellBasell Industries NV | 107 | 10 | 1.85 | % | ||||||||
Seagate Technology Holdings PLC | 122 | 10 | 1.85 | % | ||||||||
The Western Union Co | 497 | 10 | 1.85 | % | ||||||||
Fidelity National Financial Inc | 220 | 10 | 1.84 | % | ||||||||
Dow Inc | 173 | 10 | 1.83 | % | ||||||||
Aflac Inc | 190 | 10 | 1.82 | % | ||||||||
DuPont de Nemours Inc | 145 | 10 | 1.82 | % | ||||||||
Owens Corning | 114 | 10 | 1.80 | % | ||||||||
Best Buy Co Inc | 92 | 10 | 1.79 | % | ||||||||
DaVita Inc | 81 | 9 | 1.74 | % | ||||||||
PulteGroup Inc | 203 | 9 | 1.71 | % |
(g) | Short exposure in a stock market index of the 1,000 largest market cap stocks in the Russell 3000 Index, which seeks to be a benchmark of the entire US stock market. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Index | ||||||||
Russell 1000 Total Return Index | -2,613 | -100.00 | % |
See notes to unaudited Schedule of Investments.
63
FS Long/Short Equity Fund
Unaudited Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(h) | A long portfolio of stocks based on public 13F filings. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
Upstart Holdings Inc | 561 | 178 | 3.12 | % | ||||||||
Palo Alto Networks Inc | 288 | 138 | 2.43 | % | ||||||||
WillScott Mobile Mini Holdings Corp | 4,204 | 133 | 2.34 | % | ||||||||
Cheniere Energy Inc | 1,353 | 132 | 2.32 | % | ||||||||
Netflix Inc | 212 | 129 | 2.27 | % | ||||||||
Uber Technologies Inc | 2,866 | 128 | 2.26 | % | ||||||||
Booking Holdings Inc | 54 | 127 | 2.24 | % | ||||||||
salesforce.com Inc | 450 | 122 | 2.14 | % | ||||||||
TransDigm Group Inc | 193 | 121 | 2.12 | % | ||||||||
Guidewire Software Inc | 1,009 | 120 | 2.11 | % | ||||||||
Aon PLC | 417 | 119 | 2.09 | % | ||||||||
Builders FirstSource Inc | 2,300 | 119 | 2.09 | % | ||||||||
CarMax Inc | 927 | 119 | 2.09 | % | ||||||||
Amazon.com Inc | 36 | 117 | 2.06 | % | ||||||||
The Blackstone Group LP | 999 | 116 | 2.04 | % | ||||||||
The Charles Schwab Corp | 1,591 | 116 | 2.04 | % | ||||||||
Micron Technology Inc | 1,621 | 115 | 2.02 | % | ||||||||
Mastercard Inc | 324 | 113 | 1.98 | % | ||||||||
GoDaddy Inc | 1,617 | 113 | 1.98 | % | ||||||||
Wells Fargo & Co | 2,420 | 112 | 1.97 | % | ||||||||
Visa Inc | 500 | 111 | 1.96 | % | ||||||||
NVIDIA Corp | 538 | 111 | 1.96 | % | ||||||||
Berkshire Hathaway Inc | 407 | 111 | 1.95 | % | ||||||||
The Walt Disney Co | 657 | 111 | 1.95 | % | ||||||||
Alphabet Inc | 42 | 111 | 1.95 | % | ||||||||
eBay Inc | 1,592 | 111 | 1.95 | % | ||||||||
Apple Inc | 782 | 111 | 1.95 | % | ||||||||
Elastic NV | 741 | 110 | 1.94 | % | ||||||||
Moody's Corp | 309 | 110 | 1.93 | % | ||||||||
Lithia Motors Inc | 346 | 110 | 1.93 | % | ||||||||
PayPal Holdings Inc | 421 | 110 | 1.93 | % | ||||||||
The Progressive Corp | 1,203 | 109 | 1.91 | % | ||||||||
Facebook Inc | 320 | 109 | 1.91 | % | ||||||||
American Tower Corp | 409 | 108 | 1.91 | % | ||||||||
Microsoft Corp | 384 | 108 | 1.90 | % | ||||||||
Pinterest Inc | 2,120 | 108 | 1.90 | % | ||||||||
Liberty Broadband Corp | 623 | 108 | 1.89 | % | ||||||||
Crown Holdings Inc | 1,067 | 107 | 1.89 | % | ||||||||
Fiserv Inc | 988 | 107 | 1.89 | % | ||||||||
Charter Communications Inc | 147 | 107 | 1.87 | % | ||||||||
Twilio Inc | 333 | 106 | 1.87 | % | ||||||||
T-Mobile US Inc | 823 | 105 | 1.85 | % | ||||||||
Zillow Group Inc | 1,191 | 105 | 1.85 | % | ||||||||
Square Inc | 435 | 104 | 1.84 | % | ||||||||
Wayfair Inc | 405 | 103 | 1.82 | % | ||||||||
Roku Inc | 328 | 103 | 1.81 | % | ||||||||
Adobe Inc | 178 | 103 | 1.80 | % | ||||||||
Carvana Co | 329 | 99 | 1.75 | % | ||||||||
Herbalife Nutrition Ltd | 2,343 | 99 | 1.75 | % | ||||||||
Altice USA Inc | 4,067 | 84 | 1.48 | % |
See notes to unaudited Schedule of Investments.
64
FS Long/Short Equity Fund
Unaudited Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(i) | Long position in a basket of US stocks that look attractively priced based on the chosen value characteristics combined with an offsetting short position in an index to hedge the general market risk. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Index | ||||||||||||
S&P 500 Total Return Index | -37 | -86.43 | % | |||||||||
Common Stock | ||||||||||||
ONEOK Inc | 16 | 1 | 2.21 | % | ||||||||
Comerica Inc | 12 | 1 | 2.19 | % | ||||||||
Fox Corp | 23 | 1 | 2.15 | % | ||||||||
AutoNation Inc | 7 | 1 | 2.12 | % | ||||||||
Tempur Sealy International Inc | 20 | 1 | 2.11 | % | ||||||||
Williams-Sonoma Inc | 5 | 1 | 2.11 | % | ||||||||
Liberty Global PLC | 30 | 1 | 2.09 | % | ||||||||
AutoZone Inc | 1 | 1 | 2.08 | % | ||||||||
Jefferies Financial Group Inc | 24 | 1 | 2.06 | % | ||||||||
Louisiana-Pacific Corp | 14 | 1 | 2.02 | % | ||||||||
Conagra Brands Inc | 26 | 1 | 2.01 | % | ||||||||
Crocs Inc | 6 | 1 | 1.98 | % | ||||||||
Intel Corp | 16 | 1 | 1.98 | % | ||||||||
Omnicom Group Inc | 12 | 1 | 1.98 | % | ||||||||
Prudential Financial Inc | 8 | 1 | 1.98 | % | ||||||||
Northrop Grumman Corp | 2 | 1 | 1.96 | % | ||||||||
Flex Ltd | 47 | 1 | 1.95 | % | ||||||||
General Dynamics Corp | 4 | 1 | 1.95 | % | ||||||||
Evercore Inc | 6 | 1 | 1.95 | % | ||||||||
Oracle Corp | 10 | 1 | 1.95 | % | ||||||||
Verizon Communications Inc | 15 | 1 | 1.94 | % | ||||||||
HCA Healthcare Inc | 3 | 1 | 1.93 | % | ||||||||
Quest Diagnostics Inc | 6 | 1 | 1.92 | % | ||||||||
Celanese Corp | 5 | 1 | 1.91 | % | ||||||||
Lockheed Martin Corp | 2 | 1 | 1.91 | % | ||||||||
Cigna Corp | 4 | 1 | 1.90 | % | ||||||||
Cummins Inc | 4 | 1 | 1.90 | % | ||||||||
Berkshire Hathaway Inc | 3 | 1 | 1.89 | % | ||||||||
HP Inc | 30 | 1 | 1.89 | % | ||||||||
Polaris Industries Inc | 7 | 1 | 1.89 | % | ||||||||
SLM Corp | 46 | 1 | 1.89 | % | ||||||||
eBay Inc | 12 | 1 | 1.88 | % | ||||||||
Voya Financial Inc | 13 | 1 | 1.88 | % | ||||||||
Arrow Electronics Inc | 7 | 1 | 1.87 | % | ||||||||
Altria Group Inc | 18 | 1 | 1.86 | % | ||||||||
The Allstate Corp | 6 | 1 | 1.85 | % | ||||||||
The JM Smucker Co | 7 | 1 | 1.85 | % | ||||||||
LyondellBasell Industries NV | 8 | 1 | 1.85 | % | ||||||||
Seagate Technology Holdings PLC | 10 | 1 | 1.85 | % | ||||||||
The Western Union Co | 39 | 1 | 1.85 | % | ||||||||
Fidelity National Financial Inc | 17 | 1 | 1.84 | % | ||||||||
Dow Inc | 14 | 1 | 1.83 | % | ||||||||
Aflac Inc | 15 | 1 | 1.82 | % | ||||||||
DuPont de Nemours Inc | 11 | 1 | 1.82 | % | ||||||||
Owens Corning | 9 | 1 | 1.80 | % | ||||||||
Best Buy Co Inc | 7 | 1 | 1.79 | % | ||||||||
DaVita Inc | 6 | 1 | 1.74 | % | ||||||||
PulteGroup Inc | 16 | 1 | 1.71 | % | ||||||||
Steel Dynamics Inc | 12 | 1 | 1.68 | % |
See notes to unaudited Schedule of Investments.
65
FS Long/Short Equity Fund
Unaudited Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(j) | Short exposure in a stock market index of the 1,000 largest market cap stocks in the Russell 3000 Index, which seeks to be a benchmark of the entire US stock market. |
Top Underlying Components | Notional | Percentage of Notional | ||||||
Common Stock | ||||||||
Russell 1000 Total Return Index | -1,920 | -100.00 | % |
(k) | Identifies the highest quality companies within the small cap universe to deliver better risk-adjusted returns compared to the Russell 2000. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
Ambarella Inc | 81 | 13 | 0.64 | % | ||||||||
Acceleron Pharma Inc | 65 | 11 | 0.56 | % | ||||||||
Axsome Therapeutics Inc | 325 | 11 | 0.54 | % | ||||||||
Allakos Inc | 97 | 10 | 0.52 | % | ||||||||
SPS Commerce Inc | 63 | 10 | 0.52 | % | ||||||||
Corvel Corp | 52 | 10 | 0.49 | % | ||||||||
Mirati Therapeutics Inc | 55 | 10 | 0.49 | % | ||||||||
Semtech Corp | 122 | 10 | 0.48 | % | ||||||||
ICU Medical Inc | 41 | 10 | 0.48 | % | ||||||||
Arena Pharmaceuticals Inc | 160 | 10 | 0.48 | % | ||||||||
Intra-Cellular Therapies Inc | 254 | 9 | 0.48 | % | ||||||||
nCino Inc | 132 | 9 | 0.48 | % | ||||||||
Hill-Rom Holdings Inc | 62 | 9 | 0.47 | % | ||||||||
Eagle Pharmaceuticals Inc | 164 | 9 | 0.46 | % | ||||||||
Mesa Laboratories Inc | 30 | 9 | 0.46 | % | ||||||||
Madison Square Garden Sports Corp | 49 | 9 | 0.46 | % | ||||||||
Allegro MicroSystems Inc | 285 | 9 | 0.46 | % | ||||||||
Exelixis Inc | 427 | 9 | 0.46 | % | ||||||||
Progyny Inc | 161 | 9 | 0.46 | % | ||||||||
Hostess Brands Inc | 518 | 9 | 0.46 | % | ||||||||
Cargurus Inc | 287 | 9 | 0.46 | % | ||||||||
Lattice Semiconductor Corp | 139 | 9 | 0.46 | % | ||||||||
Jamf Holding Corp | 233 | 9 | 0.45 | % | ||||||||
Guardant Healther Inc | 71 | 9 | 0.45 | % | ||||||||
Entegris Inc | 70 | 9 | 0.45 | % | ||||||||
Encore Wire Corp | 93 | 9 | 0.45 | % | ||||||||
Karuna Therapeutics Inc | 72 | 9 | 0.45 | % | ||||||||
Balchem Corp | 61 | 9 | 0.45 | % | ||||||||
Blueprint Medicines Corp | 85 | 9 | 0.44 | % | ||||||||
Progress Software Corp | 178 | 9 | 0.44 | % | ||||||||
Vicor Corp | 65 | 9 | 0.44 | % | ||||||||
Loral Space & Communications Inc | 203 | 9 | 0.44 | % | ||||||||
Freshpet Inc | 61 | 9 | 0.44 | % | ||||||||
Choice Hotels International In | 69 | 9 | 0.44 | % | ||||||||
Enanta Pharmaceuticals Inc | 153 | 9 | 0.44 | % | ||||||||
BlackLine Inc | 73 | 9 | 0.44 | % | ||||||||
Repligen Corp | 30 | 9 | 0.44 | % | ||||||||
Inspire Medical Systems Inc | 37 | 9 | 0.44 | % | ||||||||
The Hain Celestial Group Inc | 202 | 9 | 0.44 | % | ||||||||
Anterix Inc | 142 | 9 | 0.44 | % | ||||||||
Perficient Inc | 74 | 9 | 0.44 | % | ||||||||
Tandem Diabetes Care Inc | 72 | 9 | 0.43 | % | ||||||||
Viking Therapeutics Inc | 1,365 | 9 | 0.43 | % | ||||||||
Allogene Therapeutics Inc | 333 | 9 | 0.43 | % | ||||||||
Otter Tail Corp | 153 | 9 | 0.43 | % | ||||||||
NeoGenomics Inc | 177 | 9 | 0.43 | % | ||||||||
Medpace Holdings Inc | 45 | 8 | 0.43 | % | ||||||||
Gentex Corp | 257 | 8 | 0.43 | % | ||||||||
Kodiak Sciences Inc | 88 | 8 | 0.43 | % | ||||||||
Sensient Technologies Corp | 93 | 8 | 0.43 | % |
See notes to unaudited Schedule of Investments.
66
FS Long/Short Equity Fund
Unaudited Schedule of Investments (continued)
As of September 30, 2021
(dollar values in thousands, except share and per share amounts)
(l) | A basket of stocks with the highest short interest based on public short interest filings. |
Top Underlying Components | Shares | Notional | Percentage of Notional | |||||||||
Common Stock | ||||||||||||
PBF Energy Inc | -1,251 | -16 | -0.46 | % | ||||||||
Avis Budget Group Inc | -139 | -16 | -0.46 | % | ||||||||
Callon Petroleum Co | -329 | -16 | -0.46 | % | ||||||||
Dynavax Technologies Corp | -838 | -16 | -0.46 | % | ||||||||
Laredo Petroleum Inc | -198 | -16 | -0.45 | % | ||||||||
Matador Resources Co | -420 | -16 | -0.45 | % | ||||||||
Stitch Fix Inc | -397 | -16 | -0.45 | % | ||||||||
QuantumScape Corp | -645 | -16 | -0.45 | % | ||||||||
Citi Trends Inc | -216 | -16 | -0.45 | % | ||||||||
Macy's Inc | -698 | -16 | -0.45 | % | ||||||||
Centennial Resource Development Inc | -2,352 | -16 | -0.45 | % | ||||||||
Range Resources Corp | -695 | -16 | -0.45 | % | ||||||||
Dave & Buster's Entertainment Inc | -408 | -16 | -0.44 | % | ||||||||
Atlas Air Worldwide Holdings Inc | -191 | -16 | -0.44 | % | ||||||||
Innoviva Inc | -933 | -16 | -0.44 | % | ||||||||
FuelCell Energy Inc | -2,330 | -16 | -0.44 | % | ||||||||
Eventbrite Inc | -824 | -16 | -0.44 | % | ||||||||
Sleep Number Corp | -167 | -16 | -0.44 | % | ||||||||
Opendoor Technologies Inc | -758 | -16 | -0.44 | % | ||||||||
Norwegian Cruise Line Holdings Ltd | -583 | -16 | -0.44 | % | ||||||||
American Airlines Group Inc | -757 | -16 | -0.44 | % | ||||||||
Ironwood Pharmaceuticals Inc | -1,189 | -16 | -0.44 | % | ||||||||
Atara Biotherapeutics Inc | -867 | -16 | -0.44 | % | ||||||||
Red Robin Gourmet Burgers Inc | -673 | -16 | -0.44 | % | ||||||||
Bonanza Creek Energy Inc | -324 | -16 | -0.44 | % | ||||||||
Groupon Inc | -680 | -16 | -0.44 | % | ||||||||
eHealth Inc | -383 | -16 | -0.44 | % | ||||||||
Arch Coal Inc | -167 | -16 | -0.44 | % | ||||||||
SL Green Realty Corp | -219 | -15 | -0.44 | % | ||||||||
Vornado Realty Trust | -369 | -15 | -0.44 | % | ||||||||
CNX Resources Corp | -1,226 | -15 | -0.44 | % | ||||||||
ViaSat Inc | -281 | -15 | -0.44 | % | ||||||||
Hostess Brands Inc | -891 | -15 | -0.44 | % | ||||||||
Retrophin Inc | -638 | -15 | -0.44 | % | ||||||||
Empire State Realty Trust Inc | -1,541 | -15 | -0.44 | % | ||||||||
Camping World Holdings Inc | -397 | -15 | -0.44 | % | ||||||||
Sabre Corp | -1,303 | -15 | -0.44 | % | ||||||||
The GEO Group Inc | -2,064 | -15 | -0.44 | % | ||||||||
Cinemark Holdings Inc | -802 | -15 | -0.44 | % | ||||||||
Haverty Furniture Cos Inc | -457 | -15 | -0.44 | % | ||||||||
BancorpSouth Bank | -517 | -15 | -0.44 | % | ||||||||
Hexcel Corp | -259 | -15 | -0.44 | % | ||||||||
The Greenbrier Cos Inc | -358 | -15 | -0.44 | % | ||||||||
Bloomin' Brands Inc | -615 | -15 | -0.44 | % | ||||||||
Trinity Industries Inc | -566 | -15 | -0.44 | % | ||||||||
TimkenSteel Corp | -1,176 | -15 | -0.44 | % | ||||||||
Realogy Holdings Corp | -877 | -15 | -0.44 | % | ||||||||
Host Hotels & Resorts Inc | -941 | -15 | -0.43 | % | ||||||||
Aerojet Rocketdyne Holdings Inc | -352 | -15 | -0.43 | % | ||||||||
GATX Corp | -171 | -15 | -0.43 | % |
See notes to unaudited Schedule of Investments.
67
FS Series Trust
Notes to Unaudited Consolidated Schedule of Investments
(dollar values in thousands)
Investment Portfolio
The information contained in this section should be read in conjunction with the Funds’ audited consolidated financial statements contained in their annual report for the fiscal year ended December 31, 2020.
FS Series Trust (the “Trust”) was organized as a Delaware statutory trust under the Delaware Statutory Trust Act on November 28, 2016. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of September 30, 2021, the Trust consists of five active series, which are presented in this book (collectively, the “Funds” and each individually a “Fund”): (i) FS Multi-Strategy Alternatives Fund (“FSMS”) and (ii) FS Managed Futures Fund (“Managed Futures”), FS Alternative Income Opportunities Fund (“Alternative Income Opportunities”), FS Chiron Real Asset Fund (“Real Asset”), and FS Long/Short Equity Fund (“Long/Short Equity” and, collectively with Managed Futures, Alternative Income Opportunities, and Real Asset, the “Alt Beta Funds” and each individually, an “Alt Beta Fund”). Effective February 16, 2021, Alternative Income Opportunities changed its name from FS Global Macro Fund to FS Alternative Income Opportunities Fund. Effective September 13, 2021, Real Asset changed its name from FS Real Asset Fund to FS Chiron Real Asset Fund and Chiron Investment Management, LLC was named a co-investment advisor to the Real Asset Fund. The strategy of the Real Asset Fund was revised to reflect that the Fund will primarily invest in equities, with additional exposure to fixed-income and commodity securities and instruments.
At a meeting held on September 2, 2021, the Board of Trustees of the Trust approved an Agreement and Plan of Reorganization (the “Plan”) providing for the reorganization of the FS Multi-Strategy Alternatives Fund, FS Managed Futures Fund, FS Alternative Income Opportunities Fund, FS Chiron Real Asset Fund and FS Long/Short Equity Fund into the following newly created series, the FS Multi-Strategy Alternatives Fund, FS Chiron Real Asset Fund and FS Long/Short Equity Fund (each, an “Acquiring Fund” and together, the “Acquiring Funds”), of The Advisors’ Inner Circle Fund III ( the “Acquiring Trust”). Please refer to the supplement to the Prospectus dated September 30, 2021 for further detail on the proposed reorganization, including a comparison the Funds and the Acquiring Funds and additional information about the Plan.
The reorganization of each Fund is subject to approval by its shareholders. The proposed reorganization is expected to occur after the close of business on or about March 14, 2022 (although the reorganization may be further delayed).
FSMS commenced investment operations on May 16, 2017. Each of the Alt Beta Funds commenced investment operations on December 31, 2018.
Each Fund represents two classes of shares of beneficial interest of the Trust in a separate portfolio of securities and other assets with their own investment objective and policies.
· | FS Multi-Strategy Alternatives Fund seeks to provide shareholders with positive absolute returns over a complete market cycle. |
· | FS Managed Futures Fund seeks to provide positive absolute returns with low correlation to traditional investments. |
· | FS Alternative Income Opportunities Fund seeks to provide positive returns through capital appreciation and income. |
· | FS Chiron Real Asset Fund seeks to provide total returns consisting of capital appreciation and income. |
· | FS Long/Short Equity Fund seeks to provide equity-like returns through long-short investing within equity markets. |
The Funds use derivatives in executing their respective investment objectives for a variety of purposes, such as to seek economic exposure to one or more alternative strategies, enhance returns, increase investment flexibility, speculate on a targeted investment opportunity, or for hedging purposes. In attempting to achieve their investment objectives, the Funds primarily use total return basket swaps that seek both long and short exposure on variety of strategies, in a notional amount, that the Funds could not otherwise have exposure to on a name by name basis. The total return basket swaps include exposure to equity risk as well as foreign currency, commodity and interest rate risk.
Each Fund is classified as a non-diversified, open-end management investment company registered under the 1940 Act and has elected to be treated for U.S. federal income tax purposes, and intends to qualify annually thereafter, as a regulated investment company (“RIC”) as defined under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”).
As of September 30, 2021, FSMS had one wholly owned subsidiary, FS Alternatives Fund (Cayman), Managed Futures had one wholly owned subsidiary, FS Managed Futures Fund (Cayman), Alternative Income Opportunities had one wholly owned subsidiary, FS Alternative Income Opportunities Fund (Cayman), and Real Asset had one wholly owned subsidiary FS Real Asset Fund (Cayman), (collectively, the “Subsidiaries”), through which they may gain exposure to commodities. The unaudited consolidated schedule of investments includes both the Funds’ accounts and the accounts of the Subsidiaries. All intercompany balances have been eliminated in consolidation.
68
FS Series Trust
Notes to Unaudited Consolidated Schedule of Investments (continued)
(dollar values in thousands)
The following tables summarize the composition of each Fund’s investment portfolio at cost and fair value as of September 30, 2021:
FS Multi-Strategy Alternatives Fund | Amortized Cost(1) | Fair Value | Percentage of Portfolio | |||||||||
Corporate Bonds | $ | 32,651 | $ | 33,225 | 28 | % | ||||||
Convertible Bonds | 810 | 829 | 1 | % | ||||||||
Common Stocks | 6,667 | 9,314 | 8 | % | ||||||||
Exchange-Traded Funds | 72 | 76 | 0 | % | ||||||||
Short-Term Investments | 74,639 | 74,632 | 63 | % | ||||||||
Total | $ | 114,839 | $ | 118,076 | 100 | % |
FS Managed Futures Fund | Amortized Cost(1) | Fair Value | Percentage of Portfolio | |||||||||
Short-Term Investments | $ | 2,183 | $ | 2,183 | 100 | % | ||||||
Total | $ | 2,183 | $ | 2,183 | 100 | % |
FS Alternative Income Opportunities Fund | Amortized Cost(1) | Fair Value | Percentage of Portfolio | |||||||||
Corporate Bonds | $ | 4,248 | $ | 4,261 | 63 | % | ||||||
Convertible Bonds | 163 | 168 | 2 | % | ||||||||
Short-Term Investments | 2,337 | 2,336 | 35 | % | ||||||||
Total | $ | 6,748 | $ | 6,765 | 100 | % |
FS Chiron Real Asset Fund | Amortized Cost(1) | Fair Value | Percentage of Portfolio | |||||||||
Common Stocks | $ | 14,392 | $ | 14,524 | 57 | % | ||||||
U.S. Treasury & Government Agencies | 3,909 | 3,869 | 15 | % | ||||||||
Short-Term Investments | 7,175 | 7,175 | 28 | % | ||||||||
Total | $ | 25,476 | $ | 25,568 | 100 | % |
FS Long/Short Equity Fund | Amortized Cost(1) | Fair Value | Percentage of Portfolio | |||||||||
Short-Term Investments | $ | 5,346 | $ | 5,345 | 100 | % | ||||||
Total | $ | 5,346 | $ | 5,345 | 100 | % |
(1) Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, applicable, on investments.
In general, under the 1940 Act, a Fund would be presumed to “control” a portfolio company if such Fund owned more than 25% of its voting securities or had the power to exercise control over the management or policies of such portfolio company, and would be an “affiliated person” of a portfolio company if such owned 5% or more of its voting securities.
69
FS Series Trust
Notes to Unaudited Consolidated Schedule of Investments (continued)
(dollar values in thousands)
The table below describes investments by industry classification and enumerates the percentage, by fair value, of the total portfolio assets of FSMS in such industries as of September 30, 2021:
Industry Classification | Fair Value | Percentage of Portfolio | ||||||
Short-Term Investments | $ | 74,632 | 63.2 | % | ||||
Commercial Services | 3,831 | 3.2 | % | |||||
Real Estate Investment Trusts | 3,094 | 2.6 | % | |||||
Retail | 3,024 | 2.6 | % | |||||
Entertainment | 2,641 | 2.2 | % | |||||
Packaging & Containers | 2,455 | 2.1 | % | |||||
Healthcare-Services | 1,648 | 1.4 | % | |||||
Diversified Financial Services | 1,555 | 1.3 | % | |||||
Auto Parts & Equipment | 1,511 | 1.3 | % | |||||
Telecommunications | 1,447 | 1.2 | % | |||||
Software | 1,418 | 1.2 | % | |||||
Pharmaceuticals | 1,392 | 1.2 | % | |||||
Leisure Time | 1,362 | 1.2 | % | |||||
Agriculture | 1,328 | 1.1 | % | |||||
Environmental Control | 1,307 | 1.1 | % | |||||
Aerospace/Defense | 1,246 | 1.1 | % | |||||
Distribution/Wholesale | 1,146 | 1.0 | % | |||||
Transportation | 1,143 | 1.0 | % | |||||
Machinery-Diversified | 1,065 | 0.9 | % | |||||
Computers | 905 | 0.8 | % | |||||
Real Estate | 871 | 0.7 | % | |||||
Oil & Gas | 834 | 0.7 | % | |||||
Holding Companies-Diversified | 781 | 0.7 | % | |||||
Home Builders | 640 | 0.5 | % | |||||
Trucking & Leasing | 636 | 0.5 | % | |||||
Chemicals | 596 | 0.5 | % | |||||
Food Service | 555 | 0.5 | % | |||||
Electronics | 551 | 0.5 | % | |||||
Healthcare-Products | 516 | 0.4 | % | |||||
Engineering & Construction | 475 | 0.4 | % | |||||
Insurance | 442 | 0.4 | % | |||||
Housewares | 409 | 0.3 | % | |||||
Food | 381 | 0.3 | % | |||||
Airlines | 366 | 0.3 | % | |||||
Household Products/Wares | 361 | 0.3 | % | |||||
Building Materials | 269 | 0.2 | % | |||||
Beverages | 266 | 0.2 | % | |||||
Miscellaneous Manufacturing | 217 | 0.2 | % | |||||
Pipelines | 196 | 0.2 | % | |||||
Advertising | 173 | 0.2 | % | |||||
Semiconductors | 167 | 0.1 | % | |||||
Storage/Warehousing | 133 | 0.1 | % | |||||
Exchange-Traded Funds | 76 | 0.1 | % | |||||
Hand/Machine Tools | 15 | 0.0 | % | |||||
Total | $ | 118,076 | 100.0 | % |
70
FS Series Trust
Notes to Unaudited Consolidated Schedule of Investments (continued)
(dollar values in thousands)
The table below describes investments by industry classification and enumerates the percentage, by fair value, of the total portfolio assets of Alternative Income Opportunities in such industries as of September 30, 2021:
Industry Classification | Fair Value | Percentage of Portfolio | ||||||
Short-Term Investments | $ | 2,336 | 34.5 | % | ||||
Real Estate Investment Trusts | 415 | 6.1 | % | |||||
Home Builders | 348 | 5.2 | % | |||||
Healthcare-Services | 308 | 4.6 | % | |||||
Entertainment | 280 | 4.1 | % | |||||
Commercial Services | 259 | 3.8 | % | |||||
Packaging & Containers | 233 | 3.5 | % | |||||
Diversified Financial Services | 219 | 3.2 | % | |||||
Distribution/Wholesale | 217 | 3.2 | % | |||||
Retail | 207 | 3.1 | % | |||||
Pharmaceuticals | 181 | 2.7 | % | |||||
Real Estate | 173 | 2.6 | % | |||||
Auto Manufacturers | 163 | 2.4 | % | |||||
Environmental Control | 157 | 2.3 | % | |||||
Home Furnishings | 157 | 2.3 | % | |||||
Aerospace/Defense | 156 | 2.3 | % | |||||
Telecommunications | 155 | 2.3 | % | |||||
Trucking & Leasing | 151 | 2.2 | % | |||||
Insurance | 104 | 1.5 | % | |||||
Oil & Gas | 94 | 1.4 | % | |||||
Machinery-Diversified | 93 | 1.4 | % | |||||
Food | 91 | 1.4 | % | |||||
Airlines | 82 | 1.2 | % | |||||
Holding Companies-Diversified | 67 | 1.0 | % | |||||
Engineering & Construction | 57 | 0.8 | % | |||||
Software | 42 | 0.6 | % | |||||
Storage/Warehousing | 20 | 0.3 | % | |||||
Total | $ | 6,765 | 100.0 | % |
71
FS Series Trust
Notes to Unaudited Consolidated Schedule of Investments (continued)
(dollar values in thousands)
The table below describes investments by industry classification and enumerates the percentage, by fair value, of the total portfolio assets of Real Asset in such industries as of September 30, 2021:
Industry Classification | Fair Value | Percentage of Portfolio | ||||||
Short-Term Investments | $ | 7,175 | 28.1 | % | ||||
Sovereign | 3,869 | 15.1 | % | |||||
Mining | 2,109 | 8.3 | % | |||||
Oil & Gas | 2,024 | 7.9 | % | |||||
Semiconductors | 928 | 3.6 | % | |||||
Telecommunications | 875 | 3.4 | % | |||||
Machinery-Diversified | 793 | 3.1 | % | |||||
Beverages | 757 | 3.0 | % | |||||
Agriculture | 685 | 2.7 | % | |||||
Diversified Financial Services | 641 | 2.5 | % | |||||
Electric | 632 | 2.5 | % | |||||
Banks | 573 | 2.2 | % | |||||
Auto Manufacturers | 514 | 2.0 | % | |||||
Environmental Control | 489 | 1.9 | % | |||||
Computers | 482 | 1.9 | % | |||||
Oil & Gas Services | 474 | 1.9 | % | |||||
Chemicals | 469 | 1.8 | % | |||||
Cosmetics/Personal Care | 309 | 1.2 | % | |||||
Healthcare-Products | 308 | 1.2 | % | |||||
Insurance | 261 | 1.0 | % | |||||
Retail | 256 | 1.0 | % | |||||
Transportation | 253 | 1.0 | % | |||||
Real Estate Investment Trusts | 240 | 0.9 | % | |||||
Energy-Alternate Sources | 231 | 0.9 | % | |||||
Real Estate | 221 | 0.9 | % | |||||
Total | $ | 25,568 | 100.0 | % |
Under existing accounting guidance, fair value is defined as the price that a Fund would receive upon selling an investment or pay to transfer a liability in an orderly transaction to a market participant in the principal or most advantageous market for the investment. This accounting guidance emphasizes that valuation techniques maximize the use of observable market inputs and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would use in pricing an asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the Fund. Unobservable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances. The Funds classify 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.
72
FS Series Trust
Notes to Unaudited Consolidated Schedule of Investments (continued)
(dollar values in thousands)
As of September 30, 2021, the Funds’ investments and derivatives were categorized as follows in the fair value hierarchy:
FS Multi-Strategy Alternatives Fund
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Bonds | $ | — | $ | 33,225 | $ | — | $ | 33,225 | ||||||||
Convertible Bonds | — | 829 | — | 829 | ||||||||||||
Common Stock | 9,314 | — | — | 9,314 | ||||||||||||
Exchange-Traded Funds | 76 | — | — | 76 | ||||||||||||
Short-Term Investments | 74,632 | — | — | 74,632 | ||||||||||||
Forward Foreign Currency Exchange Contracts | — | 568 | — | 568 | ||||||||||||
Commodity Futures Contracts | 700 | — | — | 700 | ||||||||||||
Equity Futures Contracts | 43 | — | — | 43 | ||||||||||||
Foreign Currency Futures Contracts | — | — | — | — | ||||||||||||
Interest Rate Futures Contracts | 90 | — | — | 90 | ||||||||||||
Total Return Index Swaps | — | 2,129 | — | 2,129 | ||||||||||||
Total Assets | $ | 84,855 | $ | 36,751 | $ | — | $ | 121,606 |
Liability Description | ||||||||||||||||
Mutual Funds Sold Short | $ | (1,107 | ) | $ | — | $ | — | $ | (1,107 | ) | ||||||
Corporate Bonds Sold Short | (433 | ) | (1,933 | ) | — | (2,366 | ) | |||||||||
Common Stocks Sold Short | (2,346 | ) | — | — | (2,346 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | — | (636 | ) | — | (636 | ) | ||||||||||
Commodity Futures Contracts | (654 | ) | — | — | (654 | ) | ||||||||||
Equity Futures Contracts | (65 | ) | — | — | (65 | ) | ||||||||||
Foreign Currency Futures Contracts | — | — | — | — | ||||||||||||
Interest Rate Futures Contracts | (6 | ) | — | — | (6 | ) | ||||||||||
Total Return Index Swaps | — | (1,104 | ) | — | (1,104 | ) | ||||||||||
Total Liabilities | $ | (4,611 | ) | $ | (3,673 | ) | $ | — | $ | (8,284 | ) |
FS Managed Futures Fund
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments | $ | 2,183 | $ | — | $ | — | $ | 2,183 | ||||||||
Total Return Index Swaps | — | 131 | — | 131 | ||||||||||||
Total Assets | $ | 2,183 | $ | 131 | $ | — | $ | 2,314 |
Liability Description | ||||||||||||||||
Total Return Index Swaps | $ | — | $ | (93 | ) | $ | — | $ | (93 | ) |
FS Alternative Income Opportunities Fund
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Bonds | $ | — | $ | 4,261 | $ | — | $ | 4,261 | ||||||||
Convertible Bonds | — | 168 | — | 168 | ||||||||||||
Short-Term Investments | 2,336 | — | — | 2,336 | ||||||||||||
Total Return Index Swaps | — | 127 | — | 127 | ||||||||||||
Total Assets | $ | 2,336 | $ | 4,556 | $ | — | $ | 6,892 |
Liability Description | ||||||||||||||||
Total Return Index Swaps | $ | — | $ | (140 | ) | $ | — | $ | (140 | ) |
73
FS Series Trust
Notes to Unaudited Consolidated Schedule of Investments (continued)
(dollar values in thousands)
FS Chiron Real Asset Fund
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 14,277 | $ | 247 | $ | — | $ | 14,524 | ||||||||
U.S. Treasury & Government Agencies | — | 3,869 | — | 3,869 | ||||||||||||
Short-Term Investments | 7,175 | — | — | 7,175 | ||||||||||||
Total Return Equity Swaps | — | 81 | — | 81 | ||||||||||||
Total Return Index Swaps | — | — | — | — | ||||||||||||
Total Assets | $ | 21,452 | $ | 4,197 | $ | — | $ | 25,649 |
Liability Description | ||||||||||||||||
Total Return Equity Swaps | $ | — | $ | (2 | ) | $ | — | $ | (2 | ) |
FS Long/Short Equity Fund
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments | $ | 5,345 | $ | — | $ | — | $ | 5,345 | ||||||||
Total Return Index Swaps | — | 118 | — | 118 | ||||||||||||
Total Assets | $ | 5,345 | $ | 118 | $ | — | $ | 5,463 |
Liability Description | ||||||||||||||||
Total Return Index Swaps | $ | — | $ | (629 | ) | $ | — | $ | (629 | ) |
The Funds’ investments as of September 30, 2021 primarily consisted of Exchange-Traded Securities or OTC Securities. All of the common equity investments, each of which was traded on an active public market, were valued at their closing price as of September 30, 2021. All of the fixed income investments were valued by using the midpoint of the prevailing bid and ask prices from dealers on the date of the relevant period end, which were provided by an independent third-party pricing service and screened for validity by such service.
74