FS Global Credit Opportunities Fund—T2
Unaudited Schedule of Investments
As of September 30, 2020
(in thousands, except share and per share amounts)
FS Global Credit Opportunities Fund—T2 (the “Company”), a Delaware statutory trust that is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a non-diversified, closed-end management investment company, invests substantially all of its assets in FS Global Credit Opportunities Fund (the “Fund”), a separate non-diversified, closed-end management investment company with the same investment objectives and strategies as the Company. As of September 30, 2020, the Company invested $6,070 in the Fund, representing approximately 99.5% of the Company’s net assets and approximately 0.4% of the Fund’s net assets.
The Company invests substantially all of its assets in the Fund. As such, the Company determines the net asset value (“NAV”) of its common shares of beneficial interest, par value $0.001 per share (“common shares”), daily based on the NAV of its interest in the Fund (as provided by the Fund). The Company calculates NAV per common share by subtracting liabilities (including accrued expenses and distributions) from the total assets of the Company (the value of its interest in the Fund, plus cash and other assets, including interest and distributions accrued but not yet received), and dividing the result by the total number of its outstanding common shares. The Company’s investment in the Fund is considered Level 3, as defined under fair value accounting standards.
As of September 30, 2020, the Company had $6,099 of net assets, 876,848 common shares outstanding and a NAV per common share of approximately $6.96.
The Fund’s unaudited consolidated schedule of investments as of September 30, 2020 is set forth below:
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments
As of September 30, 2020
(in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Rate(b) | Floor(b) | Maturity | Principal Amount(c) | Amortized Cost | Fair Value(d) | ||||||||||||||||
Senior Secured Loans—First Lien—58.2% | ||||||||||||||||||||||||
Advisor Group Holdings, Inc. | (e)(f) | Diversified Financials | L+500 | 7/31/26 | $ | 35,110 | $ | 31,611 | $ | 34,101 | ||||||||||||||
Aimmune Therapeutics, Inc. | (r) | Pharmaceuticals, Biotechnology & Life Sciences | L+750 | 1.0% | 1/3/25 | 11,824 | 11,786 | 12,223 | ||||||||||||||||
Apex Tool Group, LLC | Capital Goods | L+525 | 1.3% | 8/31/24 | 14,344 | 13,059 | 13,637 | |||||||||||||||||
Ascena Retail Group, Inc. | Retailing | L+1175 | 1.0% | 3/16/21 | 15,027 | 15,027 | 20,362 | |||||||||||||||||
Ascena Retail Group, Inc. | (e)(i)(p) | Retailing | L+450 | 0.8% | 8/21/22 | 42,940 | 27,259 | 17,570 | ||||||||||||||||
Aspect Software, Inc. | (g)(r)(t) | Software & Services | L+500 | 1.0% | 7/15/23 | 1,743 | 1,743 | 1,743 | ||||||||||||||||
Aveanna Healthcare LLC | Health Care Equipment & Services | L+625 | 1.0% | 3/18/24 | 7,500 | 7,351 | 7,341 | |||||||||||||||||
Aveanna Healthcare LLC | (e) | Health Care Equipment & Services | L+425 | 1.0% | 3/18/24 | 14,702 | 11,953 | 13,927 | ||||||||||||||||
Belk, Inc. | (e) | Retailing | L+675 | 1.0% | 7/31/25 | 5,838 | 4,462 | 2,251 | ||||||||||||||||
BusPatrol LLC | (r) | Commercial & Professional Services | L+1250 | 1.0% | 9/24/24 | 4,147 | 4,105 | 4,061 | ||||||||||||||||
BusPatrol LLC | (g)(r) | Commercial & Professional Services | L+1250 | 1.0% | 9/24/24 | 4,453 | 4,409 | 4,361 | ||||||||||||||||
Carnival Corp. | Consumer Services | L+750 | 6/26/25 | 21,945 | 21,561 | 22,305 | ||||||||||||||||||
CCS-CMGC Holdings, Inc. | (e) | Health Care Equipment & Services | L+550 | 10/1/25 | 24,622 | 24,147 | 23,026 | |||||||||||||||||
Chinos Intermediate 2 LLC | Retailing | L+1000 | 1.0% | 9/10/27 | 26,355 | 26,878 | 26,965 | |||||||||||||||||
CITGO Holding, Inc. | (e) | Energy | L+700 | 1.0% | 8/1/23 | 11,379 | 11,304 | 10,728 | ||||||||||||||||
CITGO Petroleum Corp. | (e)(f) | Energy | L+500 | 1.0% | 3/28/24 | 34,421 | 34,167 | 32,786 | ||||||||||||||||
Corral Petroleum Sweden AB | (r) | Energy | L+925 | 5/24/24 | 35,000 | 34,929 | 33,950 | |||||||||||||||||
Cresco Labs, Inc. | (r) | Pharmaceuticals, Biotechnology & Life Sciences | 12.7% | 7/30/21 | 30,000 | 29,622 | 30,000 | |||||||||||||||||
Diamond Resorts International, Inc. | (e) | Consumer Services | L+375 | 1.0% | 9/2/23 | 8,567 | 8,433 | 7,669 | ||||||||||||||||
Fairway Group Acquisition Co. | (g)(r) | Food & Staples Retailing | 10.0% | 10/23/20 | 550 | 550 | 550 | |||||||||||||||||
Fairway Group Acquisition Co. | (i)(p)(r)(t) | Food & Staples Retailing | 10.0% | 11/27/23 | 5,658 | 4,193 | — | |||||||||||||||||
Fairway Group Acquisition Co. | (i)(p)(r)(t) | Food & Staples Retailing | 12.0% | 11/27/23 | 9,162 | 8,387 | 722 | |||||||||||||||||
Gigamon, Inc. | (e)(f) | Software & Services | L+425 | 1.0% | 12/27/24 | 10,404 | 10,335 | 10,274 | ||||||||||||||||
JC Penney Corp., Inc. | (e) | Retailing | L+1175 | 1.3% | 11/15/20 | 1,596 | 1,596 | 2,043 | ||||||||||||||||
JC Penney Corp., Inc. | (e)(i)(p) | Retailing | L+425 | 1.0% | 6/23/23 | 6,338 | 6,120 | 2,034 | ||||||||||||||||
Kindred Healthcare, Inc. | (e) | Health Care Equipment & Services | L+500 | 7/2/25 | 21,833 | 21,318 | 21,614 | |||||||||||||||||
Kronos Acquisition Holdings Inc. | (e) | Household & Personal Products | L+400 | 5/15/23 | 14,820 | 14,260 | 14,764 | |||||||||||||||||
LifeScan Global Corp. | (e) | Health Care Equipment & Services | L+600 | 10/1/24 | 58,415 | 55,333 | 55,436 | |||||||||||||||||
Limbach Facility Services, LLC | (r) | Capital Goods | L+1100 | 2.0% | 4/12/23 | 15,385 | 15,385 | 15,769 | ||||||||||||||||
Limbach Facility Services, LLC | (g)(r) | Capital Goods | L+1100 | 2.0% | 4/12/23 | 9,615 | 9,615 | 9,856 | ||||||||||||||||
See notes to unaudited consolidated schedule of investments.
1
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2020
(in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Rate(b) | Floor(b) | Maturity | Principal Amount(c) | Amortized Cost | Fair Value(d) | ||||||||||||||
Mavenir Systems, Inc. | (e) | Software & Services | L+600 | 1.0% | 5/8/25 | $ | 26,393 | $ | 26,005 | $ | 26,326 | |||||||||||
MLN US Holdco LLC | Telecommunication Services | L+450 | 11/30/25 | 24,668 | 19,023 | 21,199 | ||||||||||||||||
Monitronics International, Inc. | (e) | Consumer Services | L+650 | 1.3% | 3/29/24 | 57,233 | 53,855 | 43,497 | ||||||||||||||
Monitronics International, Inc. | (e) | Consumer Services | L+500 | 1.5% | 7/3/24 | 27,716 | 27,782 | 27,040 | ||||||||||||||
Neovia Logistics, LP | (e) | Transportation | L+650 | 5/8/24 | 35,000 | 34,186 | 30,304 | |||||||||||||||
Owens & Minor Distribution, Inc. | (f)(g) | Health Care Equipment & Services | L+425 | 7/27/22 | 41,294 | 36,374 | 38,610 | |||||||||||||||
Peninsula Pacific Entertainment, LLC | Consumer Services | L+725 | 11/13/24 | 10,567 | 10,534 | 9,695 | ||||||||||||||||
Pioneer Energy Services Corp. | (n)(r) | Energy | L+950 | 1.5% | 5/15/25 | 7,404 | 7,404 | 7,506 | ||||||||||||||
Playa Resorts Holding B.V. | Consumer Services | L+275 | 1.0% | 4/29/24 | 11,280 | 9,451 | 9,968 | |||||||||||||||
Playtika Holding Corp. | (e) | Consumer Services | L+600 | 1.0% | 12/10/24 | 24,063 | 23,646 | 24,129 | ||||||||||||||
Propulsion Acquisition, LLC | (r) | Capital Goods | L+600 | 1.0% | 7/13/21 | 15,733 | 15,516 | 15,242 | ||||||||||||||
Quorum Health Corp. | (e) | Health Care Equipment & Services | L+825 | 1.0% | 4/29/25 | 39,036 | 38,375 | 36,564 | ||||||||||||||
RDV Resources Properties, LLC | (r) | Energy | L+650 | 1.0% | 3/30/24 | 7,362 | 7,362 | 7,362 | ||||||||||||||
RentPath, LLC | Media | L+700 | 1.0% | 11/30/20 | 109 | 108 | 101 | |||||||||||||||
RentPath, LLC | (i)(p) | Media | L+475 | 1.0% | 12/17/21 | 987 | 868 | 719 | ||||||||||||||
Salt Creek Aggregator HoldCo, LLC | (r) | Energy | 8.0% PIK (8.0% Max PIK) | 7/12/26 | 14,826 | 15,037 | 15,715 | |||||||||||||||
Spectacle Gary Holdings, LLC | (g) | Consumer Services | L+900 | 2.0% | 12/23/25 | 1,419 | 1,381 | 1,351 | ||||||||||||||
Spectacle Gary Holdings, LLC | (e) | Consumer Services | L+900 | 2.0% | 12/23/25 | 19,581 | 19,048 | 18,645 | ||||||||||||||
Staples Canada, ULC | (r) | Retailing | L+700 | 1.0% | 9/12/24 | C$ | 20,202 | 16,126 | 14,726 | |||||||||||||
Sungard AS New Holdings III, LLC | (r)(t) | Software & Services | L+750 | 1.0% | 2/3/22 | $ | 4,000 | 3,935 | 4,140 | |||||||||||||
Sungard AS New Holdings III, LLC | (g)(r)(t) | Software & Services | L+750 | 1.0% | 2/3/22 | 2,127 | 2,093 | 2,202 | ||||||||||||||
Surgery Center Holdings, Inc. | Health Care Equipment & Services | L+800 | 1.0% | 8/31/24 | 497 | 488 | 505 | |||||||||||||||
Trico Group, LLC | (e) | Automobiles & Components | L+750 | 1.0% | 2/2/24 | 47,563 | 44,918 | 47,028 | ||||||||||||||
Wok Holdings, Inc. | (e) | Consumer Services | L+625 | 3/1/26 | 19,700 | 19,538 | 14,859 | |||||||||||||||
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| |||||||||||||||||||
Total Senior Secured Loans—First Lien | 903,951 | 869,501 | ||||||||||||||||||||
Unfunded Loan Commitments | (56,165 | ) | (56,165 | ) | ||||||||||||||||||
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Net Senior Secured Loans—First Lien | 847,786 | 813,336 | ||||||||||||||||||||
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Senior Secured Loans—Second Lien—14.1% | ||||||||||||||||||||||
American Bath Group, LLC | Capital Goods | L+975 | 1.0% | 9/30/24 | 60,000 | 58,435 | 58,200 | |||||||||||||||
Fairway Group Acquisition Co. | (i)(p)(r)(t) | Food & Staples Retailing | 11.0% PIK (11.0% Max PIK) | 2/24/24 | 5,113 | 3,679 | — | |||||||||||||||
See notes to unaudited consolidated schedule of investments.
2
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2020
(in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Rate(b) | Floor(b) | Maturity | Principal Amount(c) | Amortized Cost | Fair Value(d) | ||||||||||||||||
Ivanti Software, Inc. | (e) | Software & Services | L+900 | 1.0% | 1/20/25 | $ | 20,000 | $ | 19,809 | $ | 19,433 | |||||||||||||
LBM Borrower, LLC | Capital Goods | L+925 | 1.0% | 8/20/23 | 21,081 | 21,013 | 20,660 | |||||||||||||||||
Livingston International, Inc. | (e) | Transportation | L+950 | 4/30/27 | 25,000 | 23,883 | 24,313 | |||||||||||||||||
MLN US Holdco LLC | (e) | Telecommunication Services | L+875 | 11/30/26 | 25,500 | 24,485 | 13,827 | |||||||||||||||||
NGS US Finco, LLC | Energy | L+850 | 1.0% | 4/1/26 | 30,000 | 29,628 | 24,750 | |||||||||||||||||
Salt Creek Aggregator HoldCo, LLC | (i)(p)(r) | Energy | 7/12/27 | 23,486 | 18,450 | 18,965 | ||||||||||||||||||
Salt Creek Aggregator HoldCo, LLC | (i)(p)(r) | Energy | 7/12/27 | 3,701 | 1,996 | 2,061 | ||||||||||||||||||
Sungard AS New Holdings III, LLC | (r)(t) | Software & Services | | L+400, 2.5% PIK (2.5% Max PIK) |
| 1.0% | 11/3/22 | 15,173 | 15,173 | 15,173 | ||||||||||||||
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Total Senior Secured Loans—Second Lien | 216,551 | 197,382 | ||||||||||||||||||||||
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Senior Secured Bonds—25.5% | ||||||||||||||||||||||||
American Airlines, Inc. | (n)(o) | Transportation | 11.8% | 7/15/25 | 15,000 | 14,851 | 14,501 | |||||||||||||||||
Carnival Corp. | (n)(o) | Consumer Services | 10.5% | 2/1/26 | 7,500 | 7,610 | 8,320 | |||||||||||||||||
Carnival Corp. | (n)(o) | Consumer Services | 9.9% | 8/1/27 | 10,000 | 10,000 | 10,595 | |||||||||||||||||
CITGO Holding, Inc. | (n)(o) | Energy | 9.3% | 8/1/24 | 20,000 | 20,000 | 19,100 | |||||||||||||||||
CITGO Petroleum Corp. | (n)(o) | Energy | 7.0% | 6/15/25 | 10,000 | 10,000 | 9,881 | |||||||||||||||||
CSI Compressco LP | (n)(o)(p) | Energy | 7.5% | 4/1/25 | 5,711 | 4,841 | 5,043 | |||||||||||||||||
CSI Compressco LP | (i)(n)(o)(p) | Energy | 10.0% | 4/1/26 | 17,934 | 9,860 | 13,720 | |||||||||||||||||
CSVC Acquisition Corp. | (i)(n)(o)(p) | Diversified Financials | 7.8% | 6/15/25 | 41,897 | 36,410 | 21,939 | |||||||||||||||||
Diebold, Inc. | (n)(o) | Technology Hardware & Equipment | 9.4% | 7/15/25 | 10,000 | 9,904 | 10,575 | |||||||||||||||||
Digicel International Finance Ltd. | (n)(o) | Telecommunication Services | 8.8% | 5/25/24 | 30,000 | 29,406 | 30,225 | |||||||||||||||||
Ferrellgas, L.P. | (n)(o) | Utilities | 10.0% | 4/15/25 | 9,000 | 9,041 | 9,765 | |||||||||||||||||
Frontier Communications Corp. | (n)(o) | Telecommunication Services | 8.5% | 4/1/26 | 14,000 | 13,813 | 14,140 | |||||||||||||||||
Gogo Intermediate Holdings LLC | (n)(o) | Software & Services | 9.9% | 5/1/24 | 13,000 | 12,391 | 13,921 | |||||||||||||||||
Guitar Center, Inc. | (n)(o) | Retailing | 9.5% | 10/15/21 | 24,500 | 24,083 | 20,090 | |||||||||||||||||
Guitar Center, Inc. | (n)(r) | Retailing | 10.0% | 5/15/22 | 2,177 | 2,177 | 2,210 | |||||||||||||||||
INTL FCStone Inc. | (n)(o) | Diversified Financials | 8.6% | 6/15/25 | 14,980 | 14,763 | 16,206 | |||||||||||||||||
JC Penney Corp., Inc. | (i)(n)(o)(p) | Retailing | 5.9% | 7/1/23 | 2,000 | 1,796 | 626 | |||||||||||||||||
JW Aluminum Co. | (n)(o) | Materials | 10.3% | 6/1/26 | 38,500 | 39,008 | 40,755 | |||||||||||||||||
Navios Logistics Finance, Inc. | (n)(o) | Transportation | 10.8% | 7/1/25 | 25,000 | 25,000 | 26,563 | |||||||||||||||||
Royal Caribbean Cruises Ltd. | (n)(o) | Consumer Services | 11.5% | 6/1/25 | 10,000 | 9,928 | 11,629 | |||||||||||||||||
Stonegate Pub Company Ltd. | (o) | Consumer Services | 8.3% | 7/31/25 | £ | 15,000 | 18,507 | 18,017 | ||||||||||||||||
See notes to unaudited consolidated schedule of investments.
3
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2020
(in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Rate(b) | Floor(b) | Maturity | Principal Amount(c) | Amortized Cost | Fair Value(d) | ||||||||||||||||||||
StoneMor Partners L.P. | Consumer Services | | 9.9% (11.5% Max PIK) |
| 6/30/24 | $ | 9,172 | $ | 8,926 | $ | 9,126 | |||||||||||||||||
TPC Group Inc. | (n)(o) | Materials | 10.5% | 8/1/24 | 17,070 | 17,633 | 14,373 | |||||||||||||||||||||
Triumph Group, Inc. | (n)(o) | Capital Goods | 8.9% | 6/1/24 | 5,000 | 5,000 | 5,338 | |||||||||||||||||||||
Uniti Group LP | (n)(o) | Real Estate | 7.9% | 2/15/25 | 9,000 | 9,239 | 9,551 | |||||||||||||||||||||
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Total Senior Secured Bonds | 364,187 | 356,209 | ||||||||||||||||||||||||||
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Subordinated Debt—13.5% | ||||||||||||||||||||||||||||
Acrisure LLC | (n)(o) | Insurance | 10.1% | 8/1/26 | 27,000 | 27,000 | 29,970 | |||||||||||||||||||||
Advisor Group Holdings, Inc. | (n)(o) | Diversified Financials | 10.8% | 8/1/27 | 25,200 | 23,861 | 25,904 | |||||||||||||||||||||
Extraction Oil & Gas, Inc. | (i)(n)(o)(p) | Energy | 7.4% | 5/15/24 | 18,289 | 16,485 | 4,639 | |||||||||||||||||||||
Ford Motor Co. | (o) | Automobiles & Components | 9.0% | 4/22/25 | 5,000 | 5,000 | 5,739 | |||||||||||||||||||||
Ford Motor Co. | (o) | Automobiles & Components | 4.5% | 8/1/26 | 4,000 | 3,369 | 3,990 | |||||||||||||||||||||
Ford Motor Co. | (o) | Automobiles & Components | 5.1% | 5/3/29 | 7,000 | 6,066 | 7,201 | |||||||||||||||||||||
Freedom Mortgage Corp. | (n)(o) | Diversified Financials | 10.8% | 4/1/24 | 16,752 | 16,515 | 17,867 | |||||||||||||||||||||
Genworth Financial, Inc. | (n)(o) | Insurance | 6.5% | 8/15/25 | 5,000 | 5,000 | 5,236 | |||||||||||||||||||||
Kronos Acquisition Holdings Inc. | (n)(o) | Household & Personal Products | 9.0% | 8/15/23 | 48,050 | 45,769 | 48,831 | |||||||||||||||||||||
Origami Owl, LLC | (i)(p)(r) | Consumer Durables & Apparel | 1/15/22 | 452 | 452 | — | ||||||||||||||||||||||
Pioneer Energy Services Corp. | (n)(r) | Energy | | 5.0% PIK (5.0% Max PIK) |
| 11/15/25 | 4,992 | 3,326 | 2,895 | |||||||||||||||||||
PriSo Acquisition Corp. | (n)(o) | Capital Goods | 9.0% | 5/15/23 | 36,867 | 36,635 | 35,577 | |||||||||||||||||||||
Royal Caribbean Cruises Ltd. | (n)(o) | Consumer Services | 9.1% | 6/15/23 | 1,000 | 1,000 | 1,061 | |||||||||||||||||||||
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Total Subordinated Debt | 190,478 | 188,910 | ||||||||||||||||||||||||||
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Asset Based Finance—5.7% | ||||||||||||||||||||||||||||
BCP Great Lakes Fund LP | (r)(u) | Diversified Financials | 11.1% | 11/28/28 | 42,968 | 43,134 | 40,498 | |||||||||||||||||||||
BCP Great Lakes Fund LP | (g)(r)(u) | Diversified Financials | 11.1% | 11/28/28 | 7,032 | 7,059 | 6,628 | |||||||||||||||||||||
Bridge Street Warehouse CLO I Ltd. | (r)(u) | Diversified Financials | 13.3% | 3/12/21 | 15,000 | 15,000 | 15,581 | |||||||||||||||||||||
Deutsche Bank AGFrankfurt (CRAFT 2017-1) | (n)(r) | Diversified Financials | 11.3% | 10/20/26 | 26,335 | 26,169 | 24,189 | |||||||||||||||||||||
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Total Asset Based Finance | 91,362 | 86,896 | ||||||||||||||||||||||||||
Unfunded Commitments | (7,059 | ) | (7,059 | ) | ||||||||||||||||||||||||
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Net Asset Based Finance | 84,303 | 79,837 | ||||||||||||||||||||||||||
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See notes to unaudited consolidated schedule of investments.
4
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2020
(in thousands, except share and per share amounts)
Portfolio Company(a) | Footnotes | Industry | Number of Shares / Contracts | Cost | Fair Value(d) | |||||||||||
Equity/Other—12.9% | ||||||||||||||||
Aspect Software Parent, Inc., Warrants | (i)(r)(t) | Software & Services | 598,778 | $ | — | $ | 287 | |||||||||
Avantor, Inc., Common Equity | (i)(m)(n) | Materials | 113,383 | 1,587 | 2,550 | |||||||||||
Bright Pattern, Inc., Common Equity | (i)(r)(t) | Software & Services | 599,720 | 973 | 1,014 | |||||||||||
Chinos Holdings, Inc., Common Equity | (i) | Retailing | 3,628,253 | 40,818 | 44,392 | |||||||||||
Chinos Holdings, Inc., Warrants | (i) | Retailing | 1,162,738 | 4,070 | 4,123 | |||||||||||
Fairway Group Holdings Corp., Common Equity | (i)(r)(t) | Food & Staples Retailing | 76,517 | 2,458 | — | |||||||||||
Invesco Senior Loan ETF | (f) | Diversified Financials | 1,566,714 | 34,014 | 34,060 | |||||||||||
iShares iBoxx High Yield Corporate Bond ETF | Diversified Financials | 409,800 | 34,333 | 34,382 | ||||||||||||
Pioneer Energy Services Corp., Common Equity | (i)(r) | Energy | 17,857 | 22 | — | |||||||||||
RDV Resources Oil & Gas, Inc., Common Equity | (i)(r) | Energy | 456,928 | 5,109 | 3,575 | |||||||||||
Ridgeback Resources Inc., Common Equity | (i)(r) | Energy | 1,960,162 | 12,044 | 7,503 | |||||||||||
SCM EPIC, LLC, Common Equity | (i)(q)(r)(u) | Energy | 34,800 | 34,368 | 34,339 | |||||||||||
SCM Topco, LLC, Series B Preferred Equity | (i)(p)(q)(r) | Energy | 27,398 | 2,449 | 2,688 | |||||||||||
SCM Topco, LLC, Series C Common Equity | (i)(q)(r) | Energy | 196 | — | — | |||||||||||
SCM Topco, LLC, Warrants | (i)(q)(r) | Energy | 1 | — | — | |||||||||||
Selecta Group B.V., Contingent Value Notes | (h)(i)(r) | Retailing | 7 | 3 | — | |||||||||||
Selecta Group B.V., Warrants | (h)(i)(r) | Retailing | 98 | 2 | — | |||||||||||
Sungard AS New Holdings, LLC, Common Equity | (i)(r)(t) | Software & Services | 272,014 | 19,011 | 10,670 | |||||||||||
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Total Equity/Other | 191,261 | 179,583 | ||||||||||||||
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TOTAL INVESTMENTS—129.9% | $ | 1,894,566 | 1,815,257 | |||||||||||||
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Credit Facilities Payable—(24.3)% | (339,937 | ) | ||||||||||||||
Term Preferred Shares, at Liquidation Value, Net—(14.2)% | (198,916 | ) | ||||||||||||||
Other Assets in Excess of Liabilities—8.6% | (j) | 120,873 | ||||||||||||||
|
| |||||||||||||||
NET ASSETS—100.0% | $ | 1,397,277 | ||||||||||||||
|
| |||||||||||||||
Shares Outstanding | 199,582,629 | |||||||||||||||
Net Asset Value per Common Share at End of Period | $ | 7.00 | ||||||||||||||
C$ – Canadian Dollar.
£ – British Pound.
See notes to unaudited consolidated schedule of investments.
5
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2020
(in thousands, except share and per share amounts)
Investments Sold Short
Portfolio Company(a) | Footnotes | Industry | Number of Shares | Proceeds | Fair Value(d) | |||||||||||||
Investments Sold Short—(0.3)% | ||||||||||||||||||
Avantor, Inc., Common Equity | (i)(m) | Materials | (158,682 | ) | $ | (2,460 | ) | $ | (3,569 | ) | ||||||||
|
|
|
| |||||||||||||||
Total | $ | (2,460 | ) | $ | (3,569 | ) | ||||||||||||
|
|
|
| |||||||||||||||
Forward Foreign Currency Exchange Contracts
Counterparty | Contract Settlement Date | Currency to be Received | Value | Currency to be Delivered | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | 10/13/20 | USD | 22,758 | CAD | 30,000 | $ | 242 | |||||||||||||||||
JPMorgan Chase Bank, N.A. | 10/13/20 | USD | 2,662 | EUR | 2,250 | 23 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | 10/13/20 | USD | 18,032 | GBP | 14,000 | (52 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total | $ | 213 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
CAD—Canadian Dollar.
EUR—Euro.
GBP—British Pound.
USD—U.S. Dollar.
Credit Default Swaps on Corporate Issues—Buy Protection
Reference Entity | Counterparty | Implied Credit Spread at September 30, 2020(k) | Industry | Fixed Deal Pay Rate | Periodic Payment Frequency | Maturity | Notional(l) | Fair Value(d) | Unamortized Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Boyd Gaming Corp. | Credit Suisse International | 1.4% | Consumer Services | 5.0% | Quarterly | 12/20/24 | $ | (3,000 | ) | $ | (408 | ) | $ | (487 | ) | $ | 79 | |||||||||||||||||||
Boyd Gaming Corp. | Goldman Sachs International | 1.4% | Consumer Services | 5.0% | Quarterly | 12/20/24 | $ | (7,000 | ) | (954 | ) | (1,137 | ) | 183 | ||||||||||||||||||||||
CenturyLink, Inc. | JPMorgan Chase Bank, N.A | 2.9% | Telecommunication Services | 1.0% | Quarterly | 12/20/24 | $ | (10,000 | ) | 746 | 545 | 201 | ||||||||||||||||||||||||
KB Home | Barclays Bank PLC | 1.1% | Consumer Durables & Apparel | 5.0% | Quarterly | 12/20/24 | $ | (4,000 | ) | (597 | ) | (570 | ) | (27 | ) | |||||||||||||||||||||
United Rentals North America, Inc. | Barclays Bank PLC | 0.7% | Capital Goods | 5.0% | Quarterly | 12/20/24 | $ | (5,000 | ) | (334 | ) | (273 | ) | (61 | ) | |||||||||||||||||||||
United Rentals North America, Inc. | Credit Suisse International | 0.7% | Capital Goods | 5.0% | Quarterly | 12/20/24 | $ | (3,000 | ) | (834 | ) | (682 | ) | (152 | ) | |||||||||||||||||||||
United Rentals North America, Inc. | JPMorgan Chase Bank, N.A | 0.7% | Capital Goods | 5.0% | Quarterly | 12/20/24 | $ | (2,000 | ) | (501 | ) | (409 | ) | (92 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total | $ | (2,882 | ) | $ | (3,013 | ) | $ | 131 | ||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
See notes to unaudited consolidated schedule of investments.
6
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2020
(in thousands, except share and per share amounts)
Credit Default Swaps on Corporate Issues—Sell Protection
Reference Entity | Counterparty | Implied Credit Spread at September 30, 2020(k) | Industry | Fixed Deal Receive Rate | Periodic Payment Frequency | Maturity | Notional(l) | Fair Value(d) | Unamortized Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
High Yield CDX | Credit Suisse International | (16.5)% | Diversified Financials | 5.0% | Quarterly | 12/20/24 | $ | 10,000 | $ | 518 | $ | (155 | ) | $ | 673 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total | $ | 518 | $ | (155 | ) | $ | 673 | |||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total Return Swaps
Reference Entity | Counterparty | Industry | Interest Rate(s) | Maturity | Number of Shares | Notional | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Invesco Senior Loan ETF | Goldman Sachs International | Diversified Financials | L+0.05% | 3/26/21 | 530,000 | $ | 11,522 | $ | 16 | |||||||||||||||
|
| |||||||||||||||||||||||
Total | $ | 16 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
| (a) | Security may be an obligation of one or more entities affiliated with the named company. |
| (b) | Certain variable rate securities in FS Global Credit Opportunities Fund’s (the “Fund”) portfolio bear interest at a rate determined by a publicly disclosed base rate plus a basis point spread. As of September 30, 2020, the three-month London Interbank Offered Rate (“L”) was 0.23%. PIK means paid-in-kind. PIK income accruals may be adjusted based on the fair value of the underlying investment. Variable rate securities with no floor rate use the respective benchmark rate in all cases. |
| (c) | Denominated in U.S. dollars, unless otherwise noted. |
| (d) | Fair value is determined by the Fund’s board of trustees. For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the Fund’s most recent semi-annual financial statements. |
| (e) | Security or portion thereof held by Dauphin Funding LLC (“Dauphin Funding”), a wholly-owned subsidiary of the Fund, and is pledged as collateral supporting the amounts outstanding under Dauphin Funding’s revolving credit facility with Deutsche Bank AG, New York Branch. |
| (f) | Position or portion thereof unsettled as of September 30, 2020. |
| (g) | Security is an unfunded loan commitment. |
| (h) | Security or portion thereof held by FS Global Credit Opportunities (Luxembourg) S.à r.l., a wholly-owned subsidiary of the Fund. |
| (i) | Security is non-income producing. |
| (j) | Includes the effect of investments sold short, forward foreign currency exchange contracts and swap contracts. |
| (k) | Implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap agreements as of period end serves as an indicator of the current status of the payment/performance risk and represents the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required in connection with the entrance into the agreement. Wider credit spreads generally represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring, as defined under the terms of the applicable agreement. |
| (l) | The maximum potential amount the Fund could receive/pay as a buyer/seller of credit protection if a credit event occurs, as defined under the terms of the applicable agreement. |
| (m) | Security or portion thereof pledged as collateral supporting the amounts outstanding under the Fund’s prime brokerage facility with JPMorgan Chase Bank, N.A. |
| (n) | Exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $532,741, which represents approximately 38.1% of net assets as of September 30, 2020. As of September 30, 2020, the Fund held one restricted security as to resale, Avantor, Inc., Common Equity, which the Fund had acquired on May 16, 2019 at a cost of $2,739. Total market value of the restricted security amounts to $2,550, which represents approximately 0.2% of net assets as of September 30, 2020. |
| (o) | Security or portion thereof held by Bucks Funding, a wholly-owned subsidiary of the Fund, and is pledged as collateral supporting the amounts outstanding under Bucks Funding’s prime brokerage facility with BNP Paribas Prime Brokerage International, Ltd. (“BNP PBIL”). Securities held by Bucks Funding may be rehypothecated from time to time as permitted by Rule 15c-1(a)(1) promulgated under the Securities Exchange Act of 1934, as amended, subject to the terms and conditions governing Bucks Funding’s prime brokerage facility with BNP PBIL. |
See notes to unaudited consolidated schedule of investments.
7
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2020
(in thousands, except share and per share amounts)
| (p) | Security was on non-accrual status as of September 30, 2020. |
| (q) | Security held within FS Global Investments, Inc., a wholly-owned subsidiary of the Fund. |
| (r) | Security is classified as Level 3 in the Fund’s fair value hierarchy. |
| (s) | The variable rate securities underlying the total return swaps bear interest at a rate determined by a publicly disclosed base rate plus a basis point spread. As of September 30, 2020, the one-month London Interbank Offered Rate (“L”) was 0.15%. |
| (t) | Under the Investment Company Act of 1940, as amended, the Fund generally is deemed to be an “affiliated person” of a portfolio company if it owns 5% or more of the portfolio company’s voting securities and generally is deemed to “control” a portfolio company if it owns more than 25% of the portfolio company’s voting securities or it has the power to exercise control over the management or policies of such portfolio company. As of September 30, 2020, the Fund held investments in portfolio companies of which it is deemed to be an “affiliated person” but is not deemed to “control.” The following table presents certain information with respect to investments in portfolio companies of which the Fund was deemed to be an affiliated person for the nine months ended September 30, 2020: |
Portfolio Company | Fair Value at December 31, 2019 | Gross Additions(1) | Gross Reductions(2) | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Fair Value at September 30, 2020 | Interest Income(3) | PIK Income(3) | Fee Income(3) | |||||||||||||||||||||||||||
Senior Secured Loans—First Lien | ||||||||||||||||||||||||||||||||||||
Aspect Software, Inc. | $ | 8,231 | $ | 70 | $ | (7,958 | ) | $ | (252 | ) | $ | (91 | ) | $ | — | $ | 303 | $ | — | $ | — | |||||||||||||||
Aspect Software, Inc.(4) | — | 747 | (747 | ) | — | — | — | 16 | — | — | ||||||||||||||||||||||||||
Fairway Group Acquisition Co. | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Fairway Group Acquisition Co. | 4,844 | — | — | — | (4,122 | ) | 722 | — | — | — | ||||||||||||||||||||||||||
Fairway Group Acquisition Co. | 1,767 | — | (1,767 | ) | 6 | (6 | ) | — | 20 | — | — | |||||||||||||||||||||||||
Fairway Group Acquisition Co. | 2,950 | 1 | (2,950 | ) | 130 | (131 | ) | — | 35 | — | — | |||||||||||||||||||||||||
Fairway Group Acquisition Co.(5) | — | 2,173 | (2,201 | ) | 28 | — | — | 91 | — | — | ||||||||||||||||||||||||||
Fairway Group Acquisition Co. | — | 4,762 | (4,762 | ) | — | — | — | 239 | 45 | — | ||||||||||||||||||||||||||
Sungard AS New Holdings III, LLC(6) | 3,336 | 981 | — | — | (68 | ) | 4,249 | 362 | — | 27 | ||||||||||||||||||||||||||
Senior Secured Loans—Second Lien | ||||||||||||||||||||||||||||||||||||
Fairway Group Acquisition Co. | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Sungard AS New Holdings III, LLC | 14,919 | 254 | — | — | — | 15,173 | 647 | 254 | — | |||||||||||||||||||||||||||
Equity/Other | ||||||||||||||||||||||||||||||||||||
Aspect Software Parent, Inc., Warrants | — | — | — | — | 287 | 287 | — | — | — | |||||||||||||||||||||||||||
Bright Pattern, Inc., Common Equity | 1,038 | — | — | — | (24 | ) | 1,014 | — | — | — | ||||||||||||||||||||||||||
Fairway Group Holdings Corp., Common Equity | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Sungard AS New Holdings, LLC, Common Equity | 17,752 | — | — | — | (7,082 | ) | 10,670 | — | — | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 54,837 | $ | 8,988 | $ | (20,385 | ) | $ | (88 | ) | $ | (11,237 | ) | $ | 32,115 | $ | 1,713 | $ | 299 | $ | 27 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
| (1) | Gross additions include increases in the cost basis of investments resulting from new portfolio investments, PIK interest, the amortization of unearned income, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company into this category from a different category. |
| (2) | Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company out of this category into a different category. |
| (3) | Interest, PIK and fee income are presented for the full nine months ended September 30, 2020. |
| (4) | Security is an unfunded commitment with amortized cost of $1,743 and fair value of $1,743. |
| (5) | Security includes a partially unfunded commitment with amortized cost of $550 and fair value of $550. |
| (6) | Security includes a partially unfunded commitment with amortized cost of $2,093 and fair value of $2,202. |
See notes to unaudited consolidated schedule of investments.
8
FS Global Credit Opportunities Fund
Unaudited Consolidated Schedule of Investments (continued)
As of September 30, 2020
(in thousands, except share and per share amounts)
| (u) | Under the Investment Company Act of 1940, as amended, the Fund generally is deemed to “control” a portfolio company if it owns more than 25% of the portfolio company’s voting securities or it has the power to exercise control over the management or policies of such portfolio company. As of September 30, 2020, the Fund held investments in portfolio companies of which it is deemed to be an “affiliated person” and deemed to “control.” The following table presents certain information with respect to investments in portfolio companies of which the Fund was deemed to be an affiliated person and deemed to control for the nine months ended September 30, 2020: |
Portfolio Company | Fair Value at December 31, 2019 | Gross Additions(1) | Gross Reductions(2) | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Fair Value at September 30, 2020 | Interest Income(3) | |||||||||||||||||||||
Asset Based Finance | ||||||||||||||||||||||||||||
BCP Great Lakes Fund LP(4) | $ | — | $ | 43,385 | $ | (251 | ) | $ | — | $ | (3,067 | ) | $ | 40,067 | $ | 2,171 | ||||||||||||
Bridge Street Warehouse CLO I Ltd. | — | 15,000 | — | — | 581 | 15,581 | — | |||||||||||||||||||||
Equity/Other | ||||||||||||||||||||||||||||
SCM EPIC, LLC, Common Equity | — | 34,368 | — | — | (29 | ) | 34,339 | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | 92,753 | $ | (251 | ) | $ | — | $ | (2,515 | ) | $ | 89,987 | $ | 2,171 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| (1) | Gross additions include increases in the cost basis of investments resulting from new portfolio investments, PIK interest, the amortization of unearned income, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company into this category from a different category. |
| (2) | Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company out of this category into a different category. |
| (3) | Interest income presented for the full nine months ended September 30, 2020. |
| (4) | Security includes a partially unfunded commitment with amortized cost of $7,059 and fair value of $6,628. |
See notes to unaudited consolidated schedule of investments.
9
FS Global Credit Opportunities Fund
Notes to Unaudited Consolidated Schedule of Investments
(in thousands, except share and per share amounts)
Investment Portfolio
The information contained in this section should be read in conjunction with the Fund’s audited consolidated financial statements contained in its annual report for the fiscal year ended December 31, 2019 and its unaudited consolidated financial statements contained in its semi-annual report for the semi-annual period ended June 30, 2020.
The following table summarizes the composition of the Fund’s investment portfolio at cost and fair value as of September 30, 2020:
| Amortized Cost(1) | Fair Value | Percentage of Portfolio | ||||||||||
Senior Secured Loans—First Lien | $ | 847,786 | $ | 813,336 | 45 | % | ||||||
Senior Secured Loans—Second Lien | 216,551 | 197,382 | 11 | % | ||||||||
Senior Secured Bonds | 364,187 | 356,209 | 20 | % | ||||||||
Subordinated Debt | 190,478 | 188,910 | 10 | % | ||||||||
Asset Based Finance | 84,303 | 79,837 | 4 | % | ||||||||
Equity/Other | 191,261 | 179,583 | 10 | % | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,894,566 | $ | 1,815,257 | 100 | % | ||||||
|
|
|
|
|
| |||||||
Investments Sold Short | $ | (2,460 | ) | $ | (3,569 | ) | ||||||
|
|
|
| |||||||||
| (1) | Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, on investments. |
In general, under the 1940 Act, the Fund would be presumed to “control” a portfolio company if it owned more than 25% of its voting securities or had the power to exercise control over the management or policies of a portfolio company, and would be an “affiliated person” of a portfolio company if it owned 5% or more of its voting securities.
As of September 30, 2020, the Fund held investments in three portfolio companies of which it is deemed to “control,” and held investments in four portfolio companies of which it is deemed to be an “affiliated person” but is not deemed to “control.” For additional information with respect to such portfolio companies, see footnotes (t) and (u) to the unaudited consolidated schedule of investments as of September 30, 2020 included herein.
The Fund’s investment portfolio may contain loans that are in the form of lines of credit or revolving credit facilities, which require the Fund to provide funding when requested by portfolio companies in accordance with the terms of the underlying loan agreements. As of September 30, 2020, the Fund had seven senior secured loan investments with aggregate unfunded commitments of $56,165 and one asset based finance investment with an unfunded commitment of $7,059. The Fund maintains sufficient cash on hand and/or available borrowings to fund such unfunded commitments should the need arise.
10
FS Global Credit Opportunities Fund
Notes to Unaudited Consolidated Schedule of Investments (continued)
(in thousands, except share and per share amounts)
The table below describes investments by industry classification and enumerates the percentage, by fair value, of the total portfolio assets in such industries as of September 30, 2020:
Industry Classification | Fair Value | Percentage of Portfolio | ||||||
Automobiles & Components | $ | 63,958 | 3 | % | ||||
Capital Goods | 164,664 | 9 | % | |||||
Commercial & Professional Services | 4,013 | 0 | % | |||||
Consumer Services | 236,525 | 13 | % | |||||
Diversified Financials | 264,296 | 15 | % | |||||
Energy | 257,206 | 14 | % | |||||
Food & Staples Retailing | 722 | 0 | % | |||||
Health Care Equipment & Services | 160,649 | 9 | % | |||||
Household & Personal Products | 63,595 | 3 | % | |||||
Insurance | 35,206 | 2 | % | |||||
Materials | 57,678 | 3 | % | |||||
Media | 820 | 0 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 42,223 | 2 | % | |||||
Real Estate | 9,551 | 1 | % | |||||
Retailing | 157,392 | 9 | % | |||||
Software & Services | 101,347 | 6 | % | |||||
Technology Hardware & Equipment | 10,575 | 1 | % | |||||
Telecommunication Services | 79,391 | 4 | % | |||||
Transportation | 95,681 | 5 | % | |||||
Utilities | 9,765 | 1 | % | |||||
|
|
|
| |||||
Total | $ | 1,815,257 | 100 | % | ||||
|
|
|
| |||||
The table below describes the geographic concentration of the Fund’s investment portfolio and enumerates the percentage, by fair value, of the total portfolio assets in such geographic locations as of September 30, 2020:
Geographic Locations(1) | Fair Value | Percentage of Portfolio | ||||||
United States | $ | 1,660,084 | 92 | % | ||||
Europe | 76,156 | 4 | % | |||||
Other | 79,017 | 4 | % | |||||
|
|
|
| |||||
Total | $ | 1,815,257 | 100 | % | ||||
|
|
|
| |||||
| (1) | Geographic location based on the portfolio company’s headquarters or principal place of business. |
Under existing accounting guidance, fair value is defined as the price that the Fund would receive upon selling an asset or pay to transfer a liability in an orderly transaction to a market participant in the principal or most advantageous market for the investment. This accounting guidance emphasizes valuation techniques that maximize the use of observable market inputs and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would use in pricing an asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the Fund. Unobservable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances. The Fund classifies the inputs used to measure these fair values into the following hierarchy as defined by current accounting guidance:
Level 1: Inputs that are quoted prices (unadjusted) in active markets for identical assets or liabilities.
Level 2: Inputs that are quoted prices for similar assets or liabilities in active markets.
Level 3: Inputs that are unobservable for an asset or liability.
11
FS Global Credit Opportunities Fund
Notes to Unaudited Consolidated Schedule of Investments (continued)
(in thousands, except share and per share amounts)
A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement.
As of September 30, 2020, the Fund’s investments and derivatives were categorized as follows in the fair value hierarchy:
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Secured Loans—First Lien | $ | — | $ | 651,618 | $ | 161,718 | $ | 813,336 | ||||||||
Senior Secured Loans—Second Lien | — | 161,183 | 36,199 | 197,382 | ||||||||||||
Senior Secured Bonds | — | 353,999 | 2,210 | 356,209 | ||||||||||||
Subordinated Debt | — | 186,015 | 2,895 | 188,910 | ||||||||||||
Asset Based Finance | — | — | 79,837 | 79,837 | ||||||||||||
Equity/Other | 70,992 | 48,515 | 60,076 | 179,583 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 70,992 | 1,401,330 | 342,935 | 1,815,257 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Exchange Contracts | — | 265 | — | 265 | ||||||||||||
Credit Default Swaps—Buy Protection | — | 746 | — | 746 | ||||||||||||
Credit Default Swaps—Sell Protection | — | 518 | — | 518 | ||||||||||||
Total Return Swaps | — | 16 | — | 16 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 70,992 | $ | 1,402,875 | $ | 342,935 | $ | 1,816,802 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments Sold Short | $ | 3,569 | $ | — | $ | — | $ | 3,569 | ||||||||
Forward Foreign Currency Exchange Contracts | — | 52 | — | 52 | ||||||||||||
Credit Default Swaps—Buy Protection | — | 3,628 | — | 3,628 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,569 | $ | 3,680 | $ | — | $ | 7,249 | ||||||||
|
|
|
|
|
|
|
| |||||||||
The following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value for the nine months ended September 30, 2020:
| Senior Secured Loans—First Lien | Senior Secured Loans—Second Lien | Senior Secured Bonds | Subordinated Debt | Asset Based Finance | Equity/ Other | Total | ||||||||||||||||||||||
Fair value at beginning of period | $ | 129,706 | $ | 37,646 | $ | — | $ | — | $ | 32,500 | $ | 45,300 | $ | 245,152 | ||||||||||||||
Accretion of discount (amortization of premium) | 639 | 299 | — | 73 | (16 | ) | — | 995 | ||||||||||||||||||||
Net realized gain (loss) | (48,428 | ) | — | — | — | — | (8,874 | ) | (57,302 | ) | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 17,351 | (593 | ) | 33 | (883 | ) | (3,547 | ) | (18,483 | ) | (6,122 | ) | ||||||||||||||||
Purchases | 113,508 | 20,446 | 1,979 | 3,705 | 58,401 | 41,948 | 239,987 | |||||||||||||||||||||
Paid-in-kind interest | 4,232 | 254 | 198 | — | — | 185 | 4,869 | |||||||||||||||||||||
Sales and repayments | (87,271 | ) | (21,853 | ) | — | — | (7,501 | ) | — | (116,625 | ) | |||||||||||||||||
Net transfers in or out of Level 3(1) | 31,981 | — | — | — | — | — | 31,981 | |||||||||||||||||||||
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Fair value at end of period | $ | 161,718 | $ | 36,199 | $ | 2,210 | $ | 2,895 | $ | 79,837 | $ | 60,076 | $ | 342,935 | ||||||||||||||
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The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to investments still held at the reporting date | $ | (4,656 | ) | $ | 580 | $ | 33 | $ | (883 | ) | $ | (3,547 | ) | $ | (11,018 | ) | $ | (19,491 | ) | |||||||||
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| (1) | Transfers in or out of Level 3 were deemed to have occurred at the beginning of the period. |
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