FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments
As of January 31, 2020
(in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Number of
Shares | | Cost | | Fair
Value(c) |
| | | | | | | | | | | |
| Real Estate Funds—36.7% | | | | | | | | | | | | | | | | |
| Blackstone Property Partners, LP | | | | Real Estate | | | 2,872 | | | $ | 4,000 | | | $ | 4,174 | |
| Brookfield Premier Real Estate Partners | | | | Real Estate | | | 1,632 | | | | 2,104 | | | | 2,220 | |
| CBRE U.S. Core Partners, LP | | | | Real Estate | | | 1,501,493 | | | | 2,116 | | | | 2,196 | |
| Clarion Lion Properties Fund | | | | Real Estate | | | 2,725 | | | | 4,080 | | | | 4,246 | |
| JPMorgan U.S. Real Estate Core Mezzanine Debt Fund | | | | Real Estate | | | 8,904 | | | | 893 | | | | 902 | |
| RREEF Core Plus Industrial Fund | | | | Real Estate | | | 11,814 | | | | 1,510 | | | | 1,592 | |
| Total Real Estate Funds | | | | | | | | | | | 14,703 | | | | 15,330 | |
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | Amortized
Cost | | Fair
Value(c) |
| Senior Secured Loans—First Lien—30.6% | | | | | | | | | | | | | | | | |
| Accuride Corp., L+525, 1.0% Floor, 11/17/2023 | | (d) | | Auto Parts & Equipment | | $ | 325 | | | $ | 308 | | | $ | 250 | |
| Advantage Sales & Marketing, Inc., L+325, 1.0% Floor, 7/23/2021 | | (d) | | Advertising | | | 382 | | | | 364 | | | | 372 | |
| Advisor Group, Inc., L+500, 8/1/2026 | | (d) (e) | | Diversified Financial Services | | | 105 | | | | 104 | | | | 105 | |
| Affordable Care Holding Corp., L+475, 1.0% Floor, 10/24/2022 | | (d) | | Healthcare-Services | | | 411 | | | | 399 | | | | 401 | |
| AHP Health Partners, Inc., L+450, 1.0% Floor, 6/30/2025 | | (d) (e) | | Healthcare-Services | | | 147 | | | | 149 | | | | 149 | |
| AI Ladder (Luxembourg) Subco S.a r.l, L+450, 7/9/2025 | | (d) | | Securities & Trusts | | | 7 | | | | 7 | | | | 7 | |
| Aleris International, Inc., L+475, 2/27/2023 | | (d) | | Mining | | | 5 | | | | 5 | | | | 5 | |
| Algoma Steel, Inc., L+850, 1.5% Floor, 12/1/2025 | | (d) (e) | | Iron/Steel | | | 64 | | | | 65 | | | | 56 | |
| Almonde, Inc., L+350, 1.0% Floor, 6/13/2024 | | (d) | | Software | | | 20 | | | | 20 | | | | 20 | |
| American Tire Distributors Holdings, Inc., L+750, 1.0% Floor, 9/2/2024 | | (d) | | Distribution/Wholesale | | | 14 | | | | 13 | | | | 12 | |
| Amneal Pharmaceuticals, LLC, L+350, 5/4/2025 | | (d) | | Pharmaceuticals | | | 64 | | | | 59 | | | | 58 | |
| APX Group, Inc., L+500, 4/1/2024 | | (d) | | Commercial Services | | | 421 | | | | 417 | | | | 423 | |
| Avantor, Inc., L+225, 11/21/2024 | | (d) | | Healthcare Products | | | 184 | | | | 185 | | | | 185 | |
| BCP Raptor II, LLC, L+475, 11/3/2025 | | (d) | | Pipelines | | | 205 | | | | 204 | | | | 187 | |
| BCP Raptor, LLC, L+425, 1.0% Floor, 6/24/2024 | | (d) | | Pipelines | | | 347 | | | | 336 | | | | 320 | |
| Belk, Inc., L+675, 1.0% Floor, 7/31/2025 | | (d) | | Retail | | | 596 | | | | 533 | | | | 447 | |
| BellRing Brands, LLC, L+500, 1.0% Floor, 10/21/2024 | | (d) | | Food | | | 45 | | | | 43 | | | | 46 | |
| Brand Energy & Infrastructure Services, Inc., L+425, 1.0% Floor, 6/21/2024 | | (d) | | Engineering & Construction | | | 250 | | | | 243 | | | | 250 | |
| California Resources Corp., L+475, 1.0% Floor, 12/31/2022 | | (d) (e) | | Oil & Gas | | | 279 | | | | 273 | | | | 255 | |
| Cengage Learning, Inc., L+425, 1.0% Floor, 6/7/2023 | | (d) (e) | | Media Entertainment | | | 18 | | | | 17 | | | | 17 | |
| Champ Acquisition Corp., L+550, 12/19/2025 | | (d) | | Apparel | | | 298 | | | | 296 | | | | 299 | |
| CommerceHub, Inc., L+350, 5/21/2025 | | (d) | | Software | | | 10 | | | | 10 | | | | 10 | |
| Compassus Intermediate Inc, L+500, 1.0% Floor, 12/31/2026 | | (d) | | Healthcare-Services | | | 86 | | | | 85 | | | | 87 | |
| Cortes NP Acquisition Corp., L+400, 1.0% Floor, 11/30/2023 | | (d) | | Machinery-Construction & Mining | | | 289 | | | | 281 | | | | 289 | |
| CSM Bakery Solutions LLC, L+400, 1.0% Floor, 7/3/2020 | | (d) | | Food | | | 159 | | | | 154 | | | | 155 | |
| CWGS Group, LLC, L+275, 0.8% Floor, 11/8/2023 | | (d) | | Retail | | | 428 | | | | 397 | | | | 409 | |
| Dex Media, Inc., L+900, 1.0% Floor, 12/29/2023 | | (d) (e) | | Software | | | 233 | | | | 230 | | | | 236 | |
| Diamond Resorts Corp., L+375, 1.0% Floor, 9/2/2023 | | (d) | | Lodging | | | 208 | | | | 204 | | | | 204 | |
| DynCorp International, Inc., L+600, 1.0% Floor, 8/18/2025 | | (d) (e) | | Computers | | | 69 | | | | 67 | | | | 69 | |
| EIF Van Hook Holdings, LLC, L+525, 9/5/2024 | | (d) | | Pipelines | | | 383 | | | | 378 | | | | 374 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of January 31, 2020
(in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | Amortized
Cost | | Fair
Value(c) |
| Electronics for Imaging, Inc., L+500, 7/23/2026 | | (d) | | Computers | | $ | 67 | | | $ | 63 | | | $ | 63 | |
| Employbridge LLC, L+450, 1.0% Floor, 4/18/2025 | | (d) | | Commercial Services | | | 186 | | | | 187 | | | | 183 | |
| Endo Luxembourg Finance Co. I S.a r.l., L+425, 0.8% Floor, 4/29/2024 | | (d) (e) | | Pharmaceuticals | | | 138 | | | | 129 | | | | 134 | |
| Flexential Intermediate Corp., L+350, 8/1/2024 | | (d) | | Computers | | | 378 | | | | 358 | | | | 305 | |
| Hummel Station, LLC, L+375, 4/27/2022 | | (d) (f) | | Utilities | | | 6 | | | | 5 | | | | 5 | |
| Hummel Station, LLC, L+375, 4/27/2022 | | (d) | | Utilities | | | 5 | | | | 4 | | | | 4 | |
| Hummel Station, LLC, L+600, 1.0% Floor, 10/27/2022 | | (d) | | Utilities | | | 12 | | | | 11 | | | | 11 | |
| Hummel Station, LLC, L+600, 1.0% Floor, 10/27/2022 | | (d) | | Utilities | | | 5 | | | | 5 | | | | 5 | |
| Hummel Station, LLC, L+375, 4/27/2022 | | (d) | | Utilities | | | 59 | | | | 51 | | | | 54 | |
| J.C. Penney Corp., Inc., L+425, 1.0% Floor, 6/23/2023 | | (d) | | Retail | | | 214 | | | | 197 | | | | 191 | |
| Jo-Ann Stores, Inc., L+500, 1.0% Floor, 10/20/2023 | | (d) | | Retail | | | 218 | | | | 216 | | | | 160 | |
| Liberty Latin America Ltd., L+500, 10/15/2026 | | (d) | | Media Entertainment | | | 17 | | | | 17 | | | | 17 | |
| Lightstone Holdco, LLC, L+375, 1.0% Floor, 1/30/2024 | | (d) (g) | | Real Estate | | | 2 | | | | 2 | | | | 2 | |
| Lightstone Holdco, LLC, L+375, 1.0% Floor, 1/30/2024 | | (d) | | Real Estate | | | 34 | | | | 31 | | | | 32 | |
| Lucid Energy Group II Borrower, LLC, L+300, 2/17/2025 | | (d) | | Pipelines | | | 50 | | | | 44 | | | | 47 | |
| Matador Bidco S.a.r.l., L+475, 10/15/2026 | | (d) | | Securities & Trusts | | | 54 | | | | 53 | | | | 54 | |
| MI Windows and Doors, LLC, L+550, 11/6/2026 | | (d) | | Building Materials | | | 247 | | | | 236 | | | | 250 | |
| Nomad Buyer, Inc., L+500, 8/1/2025 | | (d) | | Software | | | 407 | | | | 397 | | | | 406 | |
| PAE Holding Corp., L+550, 1.0% Floor, 10/20/2022 | | (d) | | Commercial Services | | | 181 | | | | 181 | | | | 182 | |
| Patterson Medical Holdings, Inc., L+475, 1.0% Floor, 8/29/2022 | | (d) (e) | | Pharmaceuticals | | | 88 | | | | 86 | | | | 84 | |
| PetSmart, Inc., L+400, 1.0% Floor, 3/11/2022 | | (d) (e) | | Retail | | | 23 | | | | 22 | | | | 23 | |
| PG&E Opco, L+347.5, 4/27/2020 | | (d) (e) | | Electric | | | 3 | | | | 3 | | | | 4 | |
| Playtika Holding Corp., L+600, 1.0% Floor, 12/10/2024 | | (d) | | Entertainment | | | 65 | | | | 64 | | | | 66 | |
| Polar US Borrower, LLC, L+475, 10/15/2025 | | (d) | | Chemicals | | | 396 | | | | 388 | | | | 395 | |
| Quorum Health Corp., L+675, 1.0% Floor, 4/29/2022 | | (d) (e) | | Healthcare-Services | | | 53 | | | | 52 | | | | 53 | |
| Rent-A-Center, Inc., L+450, 8/5/2026 | | (d) (e) | | Commercial Services | | | 70 | | | | 69 | | | | 70 | |
| RP Crown Parent, LLC, L+275, 1.0% Floor, 10/12/2023 | | (d) | | Software | | | 141 | | | | 140 | | | | 142 | |
| Sage BorrowCo, LLC, L+475, 6/20/2026 | | (d) | | Food | | | 194 | | | | 195 | | | | 195 | |
| Seadrill Partners Finco LLC, L+600, 1.0% Floor, 2/21/2021 | | (d) (e) | | Oil & Gas | | | 173 | | | | 159 | | | | 83 | |
| Sequa Mezzanine Holdings L.L.C., L+500, 1.0% Floor, 11/28/2021 | | (d) | | Aerospace/Defense | | | 602 | | | | 598 | | | | 605 | |
| SGS Cayman, L.P., L+537.5, 1.0% Floor, 4/23/2021 | | (d) | | Commercial Services | | | 82 | | | | 80 | | | | 82 | |
| SIRVA Worldwide, Inc., L+550, 8/4/2025 | | (d) | | Transportation | | | 417 | | | | 401 | | | | 414 | |
| Smart & Final Stores LLC, L+675, 6/20/2025 | | (d) | | Food | | | 695 | | | | 635 | | | | 674 | |
| Summer (BC) Lux Consolidator S.C.A., L+500, 12/4/2026 | | (d) | | Professional & Business Services | | | 55 | | | | 51 | | | | 54 | |
| Sutherland Global Services, Inc., L+537.5, 1.0% Floor, 4/23/2021 | | (d) | | Computers | | | 354 | | | | 345 | | | | 350 | |
| Syncsort, Inc., L+600, 1.0% Floor, 8/16/2024 | | (d) | | Software | | | 207 | | | | 194 | | | | 201 | |
| Terrier Media Buyer, Inc., L+425, 12/17/2026 | | (d) | | Advertising | | | 50 | | | | 50 | | | | 51 | |
| The Talbots, Inc., L+700, 1.0% Floor, 11/28/2022 | | (d) | | Retail | | | 214 | | | | 209 | | | | 211 | |
| Tibco Software, Inc., L+400, 6/30/2026 | | (d) (e) | | Software | | | 25 | | | | 25 | | | | 25 | |
| TopGolf International, Inc., L+550, 2/8/2026 | | (d) (e) | | Leisure Time | | | 104 | | | | 103 | | | | 105 | |
| UTEX Industries Inc., L+400, 1.0% Floor, 5/22/2021 | | (d) (e) | | Miscellaneous Manufacturer | | | 233 | | | | 227 | | | | 200 | |
| Verifone Systems, Inc., L+400, 8/20/2025 | | (d) (e) | | Computers | | | 35 | | | | 33 | | | | 34 | |
| W3 Topco LLC, L+600, 1.0% Floor, 8/16/2025 | | (d) | | Internet | | | 209 | | | | 193 | | | | 205 | |
| West Corp., L+400, 1.0% Floor, 10/10/2024 | | (d) | | Telecommunications | | | 228 | | | | 196 | | | | 195 | |
| WireCo WorldGroup, Inc., L+500, 1.0% Floor, 9/30/2023 | | (d) | | Metal Fabricate/Hardware | | | 48 | | | | 48 | | | | 46 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of January 31, 2020
(in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | Amortized
Cost | | Fair
Value(c) |
| Yak Access, LLC, L+500, 7/11/2025 | | (d) | | Engineering & Construction | | $ | 427 | | | $ | 396 | | | $ | 411 | |
| Total Senior Secured Loans—First Lien | | | | | | | | | | | 12,995 | | | | 12,780 | |
| Unfunded Loan Commitment | | | | | | | | | | | (5 | ) | | | (5 | ) |
| Net Senior Secured Loans—First Lien | | | | | | | | | | | 12,990 | | | | 12,775 | |
| Senior Secured Loans—Second Lien—3.2% | | | | | | | | | | | | | | | | |
| Access CIG, LLC, L+775, 2/27/2026 | | (d) | | Computers | | $ | 179 | | | $ | 179 | | | $ | 179 | |
| Advantage Sales & Marketing, Inc., L+650, 1.0% Floor, 7/25/2022 | | (d) | | Advertising | | | 5 | | | | 5 | | | | 5 | |
| Comet Acquisition, Inc., L+750, 10/26/2026 | | (d) | | Healthcare-Services | | | 44 | | | | 43 | | | | 43 | |
| Electronics for Imaging, Inc., L+900, 7/23/2027 | | (d) | | Computers | | | 17 | | | | 16 | | | | 16 | |
| Emerald Performance Materials, LLC, L+775, 1.0% Floor, 8/1/2022 | | (d) | | Chemicals | | | 63 | | | | 63 | | | | 63 | |
| EXC Holdings III Corp., L+750, 1.0% Floor, 12/1/2025 | | (d) | | Miscellaneous Manufacturer | | | 395 | | | | 389 | | | | 387 | |
| Flexential Intermediate Corp., L+725, 1.0% Floor, 8/1/2025 | | (d) | | Computers | | | 134 | | | | 130 | | | | 77 | |
| Froneri International PLC, L+575, 1.0% Floor, 1/31/2028 | | | | Food and Beverage | | | 6 | | | | 6 | | | | 6 | |
| Jo-Ann Stores, Inc., L+925, 1.0% Floor, 5/21/2024 | | (d) (e) | | Retail | | | 154 | | | | 148 | | | | 58 | |
| NEP/NCP Holdco, Inc., L+700, 10/19/2026 | | (d) | | Media Entertainment | | | 9 | | | | 8 | | | | 8 | |
| NeuStar, Inc., L+800, 1.0% Floor, 8/8/2025 | | (d) (e) | | Computers | | | 20 | | | | 19 | | | | 17 | |
| Sequa Mezzanine Holdings LLC, L+900, 1.0% Floor, 4/28/2022 | | (d) | | Aerospace/Defense | | | 203 | | | | 201 | | | | 205 | |
| UTEX Industries Inc., L+725, 1.0% Floor, 5/22/2022 | | (d) (e) | | Miscellaneous Manufacturer | | | 170 | | | | 169 | | | | 95 | |
| Vectra Co., L+725, 3/8/2026 | | (d) | | Miscellaneous Manufacturer | | | 102 | | | | 102 | | | | 100 | |
| WireCo WorldGroup, Inc., L+900, 1.0% Floor, 9/30/2024 | | (d) | | Metal Fabricate/Hardware | | | 104 | | | | 105 | | | | 94 | |
| Total Senior Secured Loans—Second Lien | | | | | | | | | | | 1,583 | | | | 1,353 | |
| Senior Secured Bonds—13.2% | | | | | | | | | | | | | | | | |
| 1011778 BC ULC / New Red Finance Inc., 5.0%, 10/15/2025 | | (e) (h) (i) | | Retail | | $ | 31 | | | $ | 32 | | | $ | 32 | |
| AG Issuer LLC, 6.3%, 3/1/2028 | | (e) | | | | | 84 | | | | 84 | | | | 84 | |
| Altice France SA, 8.1%, 2/1/2027 | | (e) (h) (i) | | Telecommunications | | | 235 | | | | 239 | | | | 263 | |
| Altice France SA, 5.5%, 1/15/2028 | | (e) (h) | | Telecommunications | | | 400 | | | | 400 | | | | 408 | |
| Ambac LSNI LLC, 6.9%, 2/12/2023 (3 mo. USD LIBOR + 5.0%) | | (e) (h) (i) (j) | | Insurance | | | 32 | | | | 33 | | | | 33 | |
| APX Group, Inc., 8.8%, 12/1/2020 | | (k) (l) | | Commercial Services | | | 94 | | | | 94 | | | | 94 | |
| APX Group, Inc., 7.9%, 12/1/2022 | | (k) | | Commercial Services | | | 132 | | | | 132 | | | | 135 | |
| Avantor, Inc., 6.0%, 10/1/2024 | | (h) (i) (l) | | Healthcare-Products | | | 27 | | | | 29 | | | | 29 | |
| Bausch Health Companies, Inc., 6.5%, 3/15/2022 | | (e) (h) (i) | | Pharmaceuticals | | | 33 | | | | 34 | | | | 34 | |
| Bausch Health Companies, Inc., 7.0%, 3/15/2024 | | (e) (h) (i) | | Pharmaceuticals | | | 77 | | | | 81 | | | | 80 | |
| BCD Acquisition, Inc., 9.6%, 9/15/2023 | | (e) (h) (i) | | Auto Manufacturers | | | 80 | | | | 83 | | | | 83 | |
| Cornerstone Building Brands, Inc., 8.0%, 4/15/2026 | | (h) (k) (l) | | Building Materials | | | 212 | | | | 204 | | | | 223 | |
| CSI Compressco LP/CSI Compressco Finance, Inc., 7.5%, 4/1/2025 | | (e) (h) (i) | | Oil & Gas Services | | | 151 | | | | 153 | | | | 150 | |
| Dell International LLC/EMC Corp., 8.1%, 7/15/2036 | | (e) (h) (i) | | Computers | | | 38 | | | | 47 | | | | 52 | |
| Dell International LLC/EMC Corp., 4.9%, 10/1/2026 | | (e) (h) (i) | | Computers | | | 19 | | | | 20 | | | | 21 | |
| Denbury Resources, Inc., 9.3%, 3/31/2022 | | (e) (h) (i) | | Oil & Gas | | | 157 | | | | 158 | | | | 138 | |
| Denbury Resources, Inc., 7.8%, 2/15/2024 | | (e) (h) (i) | | Oil & Gas | | | 23 | | | | 18 | | | | 18 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of January 31, 2020
(in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | Amortized
Cost | | Fair
Value(c) |
| Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd., 8.8%, 5/25/2024 | | (e) (h) (i) | | Telecommunications | | $ | 200 | | | $ | 200 | | | $ | 199 | |
| Eagle Intermediate Global Holding BV / Ruyi US Finance LLC, 7.5%, 5/1/2025 | | (h) (k) (l) | | Textiles | | | 436 | | | | 433 | | | | 349 | |
| Enterprise Development Authority, 12.0%, 7/15/2024 | | (h) (k) (l) | | Entertainment | | | 5 | | | | 5 | | | | 6 | |
| Frontier Communications Corp., 8.5%, 4/1/2026 | | (e) (h) (i) | | Telecommunications | | | 151 | | | | 142 | | | | 155 | |
| Frontier Communications Corp., 8.0%, 4/1/2027 | | (e) (h) (i) | | Telecommunications | | | 99 | | | | 100 | | | | 103 | |
| Hudbay Minerals, Inc., 7.6%, 1/15/2025 | | (e) (h) (i) | | Mining | | | 150 | | | | 152 | | | | 153 | |
| Intelsat Jackson Holdings SA, 5.5%, 8/1/2023 | | (k) (l) | | Telecommunications | | | 218 | | | | 206 | | | | 179 | |
| JW Aluminum Continuous Cast Co., 10.3%, 6/1/2026 | | (e) (h) (i) | | Mining | | | 91 | | | | 93 | | | | 96 | |
| L Brands, Inc., 6.9%, 11/1/2035 | | (e) (i) | | Retail | | | 64 | | | | 56 | | | | 64 | |
| L Brands, Inc., 6.8%, 7/1/2036 | | (e) (i) | | Retail | | | 64 | | | | 55 | | | | 64 | |
| LABL Escrow Issuer LLC, 6.8%, 7/15/2026 | | (h) (k) | | Packaging & Containers | | | 115 | | | | 115 | | | | 124 | |
| Northern Oil and Gas, Inc., 8.5%, 5/15/2023 (8.5% Cash + 1.0% PIK) | | (e) (i) | | Oil & Gas | | | 85 | | | | 87 | | | | 88 | |
| Pacific Drilling SA, 8.4%, 10/1/2023 | | (e) (h) (i) | | Oil & Gas | | | 58 | | | | 51 | | | | 49 | |
| Prime Security Services Borrower LLC / Prime Finance, Inc., 6.3%, 1/15/2028 | | (e) (h) (i) | | Commercial Services | | | 54 | | | | 54 | | | | 54 | |
| Punch Taverns Finance, 5.3%, 3/30/2024 | | (e) | | Retail | | £ | 61 | | | | 83 | | | | 86 | |
| Quorum Health Corp., 11.6%, 4/15/2023 | | (e) | | Healthcare-Services | | $ | 20 | | | | 20 | | | | 17 | |
| Refinitiv US Holdings, Inc., 6.3%, 5/15/2026 | | (e) (h) (i) | | Commercial Services | | | 127 | | | | 137 | | | | 137 | |
| RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc., 9.8%, 12/1/2026 | | (h) (k) (l) | | Healthcare-Services | | | 188 | | | | 187 | | | | 210 | |
| Solocal Group, 8.0%, 3/15/2022 (3 mo. EURIBOR + 7.0%) | | (e) | | Internet | | € | 181 | | | | 204 | | | | 189 | |
| SRS Distribution, Inc., 8.3%, 7/1/2026 | | (h) (k) (l) | | Retail | | $ | 313 | | | | 300 | | | | 326 | |
| Summer (BC) Holdco B S.a r.l., 5.8%, 10/31/2026 | | (e) | | Advertising | | € | 100 | | | | 110 | | | | 116 | |
| Talen Energy Supply LLC, 6.6%, 1/15/2028 | | (e) (h) (i) | | Electric | | $ | 74 | | | | 73 | | | | 74 | |
| Team Health Holdings, Inc., 6.4%, 2/1/2025 | | (h) (k) (l) | | Commercial Services | | | 182 | | | | 160 | | | | 107 | |
| Teekay Corp., 9.3%, 11/15/2022 | | (e) (h) (i) | | Transportation | | | 125 | | | | 125 | | | | 130 | |
| Tenet Healthcare Corp., 6.3%, 2/1/2027 | | (e) (h) (i) | | Healthcare-Services | | | 54 | | | | 55 | | | | 57 | |
| Tenet Healthcare Corp., 5.1%, 11/1/2027 | | (e) (h) (i) | | Healthcare-Services | | | 72 | | | | 72 | | | | 76 | |
| TPro Acquisition Corp., 11.0%, 10/15/2024 | | (h) (k) | | Retail | | | 88 | | | | 83 | | | | 91 | |
| Unique Pub Finance Co. Plc, 5.7%, 6/30/2027 | | (e) | | Real Estate | | £ | 11 | | | | 16 | | | | 17 | |
| Urban One, Inc., 7.4%, 4/15/2022 | | (e) (h) (i) | | Media Entertainment | | $ | 114 | | | | 111 | | | | 114 | |
| Vantage Drilling International, 9.3%, 11/15/2023 | | (e) (h) (i) | | Oil & Gas | | | 155 | | | | 155 | | | | 148 | |
| Warrior Met Coal, Inc., 8.0%, 11/1/2024 | | (e) (h) (i) | | Coal | | | 17 | | | | 17 | | | | 18 | |
| Wyndham Destinations, Inc., 4.6%, 3/1/2030 | | (e) (h) (i) | | Lodging | | | 40 | | | | 40 | | | | 41 | |
| Total Senior Secured Bonds | | | | | | | | | | | 5,538 | | | | 5,514 | |
| Unsecured Bonds—18.2% | | | | | | | | | | | | | | | | |
| AG Merger Sub II, Inc., 10.8%, 8/1/2027 | | (e) (h) (i) | | Diversified Financial Services | | $ | 19 | | | $ | 20 | | | $ | 20 | |
| AHP Health Partners, Inc., 9.8%, 7/15/2026 | | (e) (h) (i) | | Healthcare-Services | | | 90 | | | | 95 | | | | 98 | |
| Ally Financial, Inc., 4.3%, 4/15/2021 | | (e) (i) | | Diversified Financial Services | | | 40 | | | | 41 | | | | 41 | |
| Altice Luxembourg SA, 8.0%, 5/15/2027 | | (e) | | Media Entertainment | | € | 200 | | | | 224 | | | | 251 | |
| APX Group, Inc., 7.6%, 9/1/2023 | | (k) (l) | | Commercial Services | | $ | 105 | | | | 100 | | | | 103 | |
| ArcelorMittal SA, 7.0%, 10/15/2039 | | (e) (i) | | Iron/Steel | | | 40 | | | | 48 | | | | 51 | |
| Aruba Investments, Inc., 8.8%, 2/15/2023 | | (e) (h) (i) | | Chemicals | | | 152 | | | | 153 | | | | 153 | |
| Avantor, Inc., 9.0%, 10/1/2025 | | (e) (h) (i) | | Healthcare-Products | | | 74 | | | | 81 | | | | 82 | |
| Ball Corp., 5.0%, 3/15/2022 | | (e) (i) | | Packaging & Containers | | | 13 | | | | 14 | | | | 14 | |
| Ball Corp., 4.0%, 11/15/2023 | | (e) (i) | | Packaging & Containers | | | 4 | | | | 4 | | | | 4 | |
| Bausch Health Americas, Inc., 8.5%, 1/31/2027 | | (e) (h) (i) | | Pharmaceuticals | | | 11 | | | | 12 | | | | 13 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of January 31, 2020
(in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | Amortized
Cost | | Fair
Value(c) |
| Bausch Health Companies, Inc., 7.0%, 1/15/2028 | | (e) (h) (i) | | Pharmaceuticals | | $ | 109 | | | $ | 114 | | | $ | 118 | |
| Bausch Health Companies, Inc., 5.0%, 1/30/2028 | | (e) (h) (i) | | Pharmaceuticals | | | 25 | | | | 25 | | | | 25 | |
| Bausch Health Companies, Inc., 7.3%, 5/30/2029 | | (e) (h) (i) | | Pharmaceuticals | | | 44 | | | | 49 | | | | 49 | |
| Bausch Health Companies, Inc., 5.3%, 1/30/2030 | | (e) (h) (i) | | Pharmaceuticals | | | 43 | | | | 43 | | | | 44 | |
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.4%, 6/1/2029 | | (e) (h) (i) | | Media Entertainment | | | 148 | | | | 156 | | | | 159 | |
| Central Garden & Pet Co., 5.1%, 2/1/2028 | | (e) (i) | | Household Products/Wares | | | 42 | | | | 41 | | | | 44 | |
| Constellation Merger Sub, Inc., 8.5%, 9/15/2025 | | (h) (k) (l) | | Leisure Time | | | 310 | | | | 301 | | | | 283 | |
| Coty, Inc., 6.5%, 4/15/2026 | | (e) (h) (i) | | Cosmetics/Personal Care | | | 38 | | | | 39 | | | | 40 | |
| DCP Midstream Operating LP, 5.1%, 5/15/2029 | | (e) (i) | | Pipelines | | | 33 | | | | 35 | | | | 35 | |
| Diamond Resorts International, Inc., 10.8%, 9/1/2024 | | (h) (k) (l) | | Lodging | | | 71 | | | | 71 | | | | 74 | |
| Endeavor Energy Resources LP / EER Finance, Inc., 5.8%, 1/30/2028 | | (e) (h) (i) | | Oil & Gas | | | 28 | | | | 29 | | | | 29 | |
| Endeavor Energy Resources LP/EER Finance, Inc., 5.5%, 1/30/2026 | | (e) (h) (i) | | Oil & Gas | | | 77 | | | | 79 | | | | 79 | |
| Forestar Group, Inc., 8.0%, 4/15/2024 | | (e) (h) (i) | | Home Builders | | | 29 | | | | 29 | | | | 32 | |
| Freeport-McMoRan, Inc., 3.6%, 3/1/2022 | | (e) (i) | | Mining | | | 59 | | | | 60 | | | | 60 | |
| Freeport-McMoRan, Inc., 5.5%, 3/15/2043 | | (e) (i) | | Mining | | | 35 | | | | 32 | | | | 36 | |
| Frontier Communications Corp., 10.5%, 9/15/2022 | | (e) (i) | | Telecommunications | | | 278 | | | | 161 | | | | 127 | |
| Frontier North, Inc., 6.7%, 2/15/2028 | | (e) (i) | | Telecommunications | | | 550 | | | | 506 | | | | 520 | |
| Genesis Energy LP / Genesis Energy Finance Corp., 6.3%, 5/15/2026 | | (e) (i) | | Pipelines | | | 31 | | | | 30 | | | | 30 | |
| Genesis Energy LP / Genesis Energy Finance Corp., 7.8%, 2/1/2028 | | (e) (i) | | Pipelines | | | 63 | | | | 63 | | | | 64 | |
| Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings, 10.0%, 11/30/2024 | | (h) (k) (l) | | Software | | | 454 | | | | 489 | | | | 490 | |
| Genworth Holdings, Inc., 7.2%, 2/15/2021 | | (e) (i) | | Insurance | | | 9 | | | | 9 | | | | 9 | |
| Genworth Holdings, Inc., 7.6%, 9/24/2021 | | (e) (i) | | Insurance | | | 25 | | | | 26 | | | | 26 | |
| Genworth Holdings, Inc., 4.9%, 8/15/2023 | | (e) | | Insurance | | | 17 | | | | 16 | | | | 17 | |
| HCA Healthcare, Inc., 6.3%, 2/15/2021 | | (e) (i) | | Healthcare-Services | | | 56 | | | | 58 | | | | 58 | |
| HCA, Inc., 7.5%, 2/15/2022 | | (e) (i) | | Healthcare-Services | | | 39 | | | | 42 | | | | 43 | |
| Hexion, Inc., 7.9%, 7/15/2027 | | (e) (h) (i) | | Chemicals | | | 148 | | | | 141 | | | | 153 | |
| HLF Financing Sarl LLC/Herbalife International, Inc., 7.3%, 8/15/2026 | | (e) (h) (i) | | Pharmaceuticals | | | 50 | | | | 51 | | | | 52 | |
| Liberty Interactive LLC, 4.0%, 11/15/2029 | | (e) (i) | | Media Entertainment | | | 252 | | | | 179 | | | | 179 | |
| Marriott Ownership Resorts, Inc., 4.8%, 1/15/2028 | | (e) (h) (i) | | Lodging | | | 54 | | | | 55 | | | | 55 | |
| MEG Energy Corp., 7.1%, 2/1/2027 | | (e) (h) | | Oil & Gas | | | 42 | | | | 42 | | | | 42 | |
| Methanex Corp., 5.3%, 12/15/2029 | | (e) (i) | | Chemicals | | | 185 | | | | 185 | | | | 195 | |
| MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.8%, 2/1/2027 | | (e) (i) | | Real Estate Investment Trusts | | | 54 | | | | 60 | | | | 60 | |
| MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 4.5%, 1/15/2028 | | (e) (i) | | Real Estate Investment Trusts | | | 8 | | | | 8 | | | | 8 | |
| MGM Resorts International, 7.8%, 3/15/2022 | | (e) (i) | | Lodging | | | 36 | | | | 39 | | | | 40 | |
| Michaels Stores, Inc., 8.0%, 7/15/2027 | | (e) (h) (i) | | Retail | | | 61 | | | | 59 | | | | 55 | |
| Natural Resource Partners LP/NRP Finance Corp., 9.1%, 6/30/2025 | | (e) (h) (i) | | Coal | | | 182 | | | | 179 | | | | 165 | |
| Navient Corp., 5.6%, 8/1/2033 | | (e) (i) | | Diversified Financial Services | | | 138 | | | | 113 | | | | 126 | |
| Netflix, Inc., 4.6%, 5/15/2029 | | (e) | | Internet | | € | 100 | | | | 120 | | | | 124 | |
| Netflix, Inc., 3.9%, 11/15/2029 | | (e) | | Internet | | | 100 | | | | 112 | | | | 117 | |
| Nexstar Broadcasting, Inc., 5.6%, 7/15/2027 | | (e) (h) | | Media Entertainment | | $ | 28 | | | | 30 | | | | 30 | |
| Nine Energy Service, Inc., 8.8%, 11/1/2023 | | (e) (h) (i) | | Oil & Gas Services | | | 49 | | | | 49 | | | | 42 | |
| NOVA Chemicals Corp., 5.3%, 6/1/2027 | | (e) (h) (i) | | Chemicals | | | 169 | | | | 168 | | | | 172 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of January 31, 2020
(in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | Amortized
Cost | | Fair
Value(c) |
| Pacific Gas & Electric Co., 3.3%, 3/15/2027 | | (e) (i) (m) (n) | | Electric | | $ | 74 | | | $ | 77 | | | $ | 77 | |
| Pacific Gas & Electric Co., 6.1%, 3/1/2034 | | (e) (i) (m) (n) | | Electric | | | 41 | | | | 47 | | | | 47 | |
| Parsley Energy LLC/Parsley Finance Corp., 5.6%, 10/15/2027 | | (e) (h) (i) | | Oil & Gas | | | 127 | | | | 121 | | | | 135 | |
| PDC Energy, Inc., 5.8%, 5/15/2026 | | (e) (i) | | Oil & Gas | | | 15 | | | | 14 | | | | 15 | |
| Post Holdings, Inc., 5.5%, 12/15/2029 | | (e) (h) (i) | | Food | | | 70 | | | | 74 | | | | 74 | |
| PTC, Inc., 4.0%, 2/15/2028 | | (e) | | Software | | | 16 | | | | 16 | | | | 16 | |
| Puerto Rico Commonwealth Aqueduct & Sewer Auth., 6.2%, 7/1/2038 | | (e) (i) | | Municipal | | | 5 | | | | 4 | | | | 5 | |
| Puerto Rico Electric Power Authority, 0.0%, 7/1/2018 | | (e) (i) (m) (n) (o) | | Municipal | | | 5 | | | | 3 | | | | 3 | |
| Puerto Rico Electric Power Authority, 0.0%, 7/1/2020 | | (e) (i) (m) (n) (o) | | Municipal | | | 15 | | | | 11 | | | | 11 | |
| Puerto Rico Electric Power Authority, 10.0%, 1/1/2021 | | (e) (m) (n) | | Municipal | | | 8 | | | | 8 | | | | 8 | |
| Puerto Rico Electric Power Authority, 5.5%, 7/1/2021 | | (e) (i) (m) (n) | | Municipal | | | 5 | | | | 4 | | | | 4 | |
| Puerto Rico Electric Power Authority, 10.0%, 7/1/2021 | | (e) (m) (n) | | Municipal | | | 8 | | | | 8 | | | | 8 | |
| Puerto Rico Electric Power Authority, 10.0%, 1/1/2022 | | (e) (m) (n) | | Municipal | | | 2 | | | | 2 | | | | 2 | |
| Puerto Rico Electric Power Authority, 10.0%, 7/1/2022 | | (e) (m) (n) | | Municipal | | | 2 | | | | 2 | | | | 2 | |
| Puerto Rico Electric Power Authority, 5.3%, 7/1/2027 | | (e) (m) (n) | | Municipal | | | 145 | | | | 91 | | | | 117 | |
| Puerto Rico Electric Power Authority, 5.3%, 7/1/2028 | | (e) (m) (n) | | Municipal | | | 5 | | | | 3 | | | | 4 | |
| Puerto Rico Electric Power Authority, 5.0%, 7/1/2028 | | (e) (i) (m) (n) | | Municipal | | | 5 | | | | 4 | | | | 4 | |
| Puerto Rico Electric Power Authority, 5.0%, 7/1/2029 | | (e) (m) (n) | | Municipal | | | 130 | | | | 81 | | | | 105 | |
| Puerto Rico Electric Power Authority, 2.0%, 7/1/2031 (3 mo. USD LIBOR + 0.7%) | | (e) (j) (m) (n) | | Municipal | | | 15 | | | | 11 | | | | 11 | |
| Puerto Rico Electric Power Authority, 6.8%, 7/1/2036 | | (e) (i) (m) (n) | | Municipal | | | 15 | | | | 12 | | | | 12 | |
| Puerto Rico Electric Power Authority, 5.3%, 7/1/2040 | | (e) (m) (n) | | Municipal | | | 5 | | | | 4 | | | | 4 | |
| Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 0.0%, 7/1/2051 | | (e) (i) (o) | | Municipal | | | 481 | | | | 92 | | | | 102 | |
| Quicken Loans, Inc., 5.3%, 1/15/2028 | | (e) (h) (i) | | Diversified Financial Services | | | 84 | | | | 84 | | | | 87 | |
| Radiology Partners, Inc., 9.3%, 2/1/2028 | | (e) (h) (i) | | Healthcare-Services | | | 21 | | | | 21 | | | | 22 | |
| SES SA, 5.3%, 4/4/2043 | | (e) (h) (i) | | Telecommunications | | | 17 | | | | 15 | | | | 18 | |
| SESI LLC, 7.1%, 12/15/2021 | | (e) (i) | | Oil & Gas Services | | | 146 | | | | 127 | | | | 130 | |
| Shelf Drill Holdings Ltd., 8.3%, 2/15/2025 | | (e) (h) (i) | | Oil & Gas | | | 162 | | | | 144 | | | | 151 | |
| Sirius XM Radio, Inc., 5.0%, 8/1/2027 | | (e) (h) (i) | | Media Entertainment | | | 58 | | | | 61 | | | | 61 | |
| Sirius XM Radio, Inc., 5.5%, 7/1/2029 | | (e) (h) (i) | | Media Entertainment | | | 24 | | | | 26 | | | | 26 | |
| Southern California Edison Co., 6.3% 2/1/2022 (fixed, converts to FRN on 2/1/2022) | | (e) (i) (p) | | Electric | | | 40 | | | | 40 | | | | 41 | |
| SRC Energy, Inc., 6.3%, 12/1/2025 | | (e) (i) | | Oil & Gas | | | 143 | | | | 139 | | | | 144 | |
| Starfruit Finco BV / Starfruit US Holdco LLC, 8.0%, 10/1/2026 | | (h) (k) (l) | | Chemicals | | | 199 | | | | 193 | | | | 207 | |
| SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/2025 | | (e) (h) (i) | | Coal | | | 67 | | | | 67 | | | | 65 | |
| Teck Resources Ltd., 6.3%, 7/15/2041 | | (e) (k) | | Mining | | | 25 | | | | 28 | | | | 29 | |
| Terrier Media Buyer, Inc., 8.9%, 12/15/2027 | | (e) (h) (i) | | Advertising | | | 67 | | | | 67 | | | | 69 | |
| TransDigm, Inc., 5.5%, 11/15/2027 | | (e) (h) (i) | | Aerospace/Defense | | | 65 | | | | 65 | | | | 66 | |
| Uber Technologies, Inc., 7.5%, 9/15/2027 | | (e) (h) (i) | | Internet | | | 6 | | | | 6 | | | | 6 | |
| Valaris Plc, 7.8%, 2/1/2026 | | (e) | | Oil & Gas | | | 29 | | | | 28 | | | | 15 | |
| VeriSign, Inc., 4.6%, 5/1/2023 | | (e) (i) | | Internet | | | 41 | | | | 42 | | | | 42 | |
| Verscend Escrow Corp., 9.8%, 8/15/2026 | | (e) (h) (i) | | Commercial Services | | | 37 | | | | 38 | | | | 40 | |
| Vertiv Group Corp., 9.3%, 10/15/2024 | | (h) (k) (l) | | Machinery-Construction & Mining | | | 450 | | | | 458 | | | | 483 | |
| Vistra Operations Co. LLC, 5.6%, 2/15/2027 | | (e) (h) (i) | | Electric | | | 29 | | | | 30 | | | | 30 | |
| Vistra Operations Co. LLC, 5.0%, 7/31/2027 | | (e) (h) (i) | | Electric | | | 70 | | | | 73 | | | | 72 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of January 31, 2020
(in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | Amortized
Cost | | Fair
Value(c) |
| Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.3%, 5/15/2027 | | (e) (h) (i) | | Lodging | | $ | 81 | | | $ | 85 | | | $ | 84 | |
| Total Unsecured Bonds | | | | | | | | | | | 7,411 | | | | 7,590 | |
| Collateralized Loan Obligation (CLO) / Structured Credit—14.7% | | | | | | | | | | | | | | | | |
| Accunia European CLO I B.V., 2.7%, 7/15/2030 (3 mo. EURIBOR + 2.7%) | | (e) (j) | | EUR CLO | | € | 250 | | | $ | 284 | | | $ | 278 | |
| Accunia European CLO III DAC, 3.1%, 1/20/2031 (3 mo. EURIBOR + 3.1%) | | (e) (j) | | EUR CLO | | | 100 | | | | 108 | | | | 111 | |
| Ares XXXVII CLO Ltd., 4.5%, 10/15/2030 (3 mo. USD LIBOR + 2.7%) | | (e) (h) (j) | | USD CLO | | $ | 250 | | | | 247 | | | | 244 | |
| Ares XXXVR CLO Ltd., 4.8%, 7/15/2030 (3 mo. USD LIBOR + 3.0%) | | (e) (h) (j) | | USD CLO | | | 250 | | | | 250 | | | | 250 | |
| Babson CLO Ltd. 2018-4 AAD, 4.7%, 10/15/2030 (3 mo. USD LIBOR + 2.9%) | | (e) (h) (j) | | USD CLO | | | 250 | | | | 250 | | | | 248 | |
| Bain Capital Credit CLO 2016-2 Ltd., 5.9%, 1/15/2029 (3 mo. USD LIBOR + 4.1%) | | (e) (h) (j) | | USD CLO | | | 250 | | | | 245 | | | | 251 | |
| Black Diamond CLO 2014-1 Ltd., 7.1%, 10/17/2026 (3 mo. USD LIBOR + 5.3%) | | (e) (i) (j) | | USD CLO | | | 250 | | | | 249 | | | | 244 | |
| BlackRock European CLO VII DAC, 2.3%, 10/15/2031 (3 mo. EURIBOR + 2.3%) | | (e) (j) | | EUR CLO | | € | 250 | | | | 285 | | | | 278 | |
| BlueMountain CLO 2015-4 Ltd., 4.8%, 4/20/2030 (3 mo. USD LIBOR + 3.0%) | | (e) (h) (i) (j) | | USD CLO | | $ | 250 | | | | 242 | | | | 244 | |
| Carlyle Global Market Strategies Euro CLO 2017-1 Ltd., 3.3%, 7/15/2030 | | (e) (q) | | EUR CLO | | € | 100 | | | | 111 | | | | 111 | |
| CFIP CLO 2014-1 Ltd., 5.9%, 7/13/2029 (3 mo. USD LIBOR + 4.1%) | | (e) (h) (j) | | USD CLO | | $ | 250 | | | | 245 | | | | 250 | |
| CVP Cascade CLO-2 Ltd., 5.6%, 7/18/2026 (3 mo. USD LIBOR + 3.8%) | | (e) (h) (j) | | USD CLO | | | 250 | | | | 250 | | | | 250 | |
| Dryden 36 Senior Loan Fund, 5.5%, 4/15/2029 (3 mo. USD LIBOR + 3.7%) | | (e) (h) (i) (j) | | USD CLO | | | 250 | | | | 250 | | | | 251 | |
| Erna Srl, 2.3%, 7/25/2031 (3 mo. EURIBOR + 2.3%) | | (e) (j) | | EUR CLO | | € | 193 | | | | 216 | | | | 217 | |
| Galaxy XXIII CLO Ltd., 8.0%, 4/24/2029 (3 mo. USD LIBOR + 6.2%) | | (e) (h) (j) | | USD CLO | | $ | 250 | | | | 249 | | | | 249 | |
| Harvest CLO XX DAC, 3.4%, 10/20/2031 (3 mo. EURIBOR + 3.4%) | | (e) (j) | | EUR CLO | | € | 100 | | | | 115 | | | | 112 | |
| Jubilee CLO 2017-XVIII B.V., 3.1%, 1/15/2030 (3 mo. EURIBOR + 3.1%) | | (e) (j) | | EUR CLO | | | 100 | | | | 114 | | | | 112 | |
| Jubilee CLO 2018-21 ACI, 2.5%, 1/15/2032 (3 mo. EURIBOR + 2.5%) | | (e) (j) | | EUR CLO | | | 250 | | | | 285 | | | | 278 | |
| Madison Park Euro Funding IX DAC, 3.1%, 7/15/2030 (3 mo. EURIBOR + 3.1%) | | (e) (j) | | EUR CLO | | | 100 | | | | 111 | | | | 111 | |
| Man GLG US CLO 2018-2 Ltd., 5.3%, 10/15/2028 (3 mo. USD LIBOR + 3.5%) | | (e) (h) (j) | | USD CLO | | $ | 250 | | | | 249 | | | | 250 | |
| Marlay Park CLO DAC, 1.6%, 10/15/2030 (3 mo. EURIBOR + 1.6%) | | (e) (j) | | EUR CLO | | € | 100 | | | | 109 | | | | 109 | |
| OZLM VI Ltd., 5.0%, 4/17/2031 (3 mo. USD LIBOR + 3.1%) | | (e) (h) (j) | | USD CLO | | $ | 250 | | | | 248 | | | | 248 | |
| Preferred Term Securities XXI Ltd./Preferred Term Securities XXI, Inc., 2.3%, 3/22/2038 (3 mo. USD LIBOR + 0.4%) | | (e) (h) (j) | | USD CDO | | | 205 | | | | 167 | | | | 153 | |
| Preferred Term Securities XXVI Ltd./Preferred Term Securities XXVI, Inc., 2.3%, 9/22/2037 (3 mo. USD LIBOR + 0.4%) | | (e) (h) (j) | | USD CDO | | | 93 | | | | 74 | | | | 68 | |
| Rockford Tower Europe CLO 2018-1 DAC, 2.5%, 12/20/2031 (3 mo. EURIBOR + 2.5%) | | (e) (j) | | EUR CLO | | € | 250 | | | | 284 | | | | 278 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of January 31, 2020
(in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | Amortized
Cost | | Fair
Value(c) |
| Sudbury Mill CLO Ltd., 5.3%, 1/17/2026 (3 mo. USD LIBOR + 3.5%) | | (e) (h) (j) | | USD CLO | | $ | 250 | | | $ | 249 | | | $ | 249 | |
| Tikehau CLO IV B.V., 3.3%, 10/15/2031 (3 mo. EURIBOR + 3.3%) | | (e) (j) | | EUR CLO | | € | 100 | | | | 116 | | | | 111 | |
| Trimaran Cavu 2019-1 Ltd., 6.1%, 7/20/2032 (3 mo. USD LIBOR + 4.2%) | | (e) (h) (i) (j) | | USD CLO | | $ | 250 | | | | 250 | | | | 248 | |
| Trinitas CLO VII Ltd., 5.3%, 1/25/2031 (3 mo. USD LIBOR + 3.5%) | | (e) (h) (j) | | USD CLO | | | 250 | | | | 229 | | | | 248 | |
| Tymon Park CLO DAC, 6.8%, 1/21/2029 (3 mo. EURIBOR + 6.8%) | | (e) (j) | | EUR CLO | | € | 100 | | | | 113 | | | | 105 | |
| Total Collateralized Loan Obligation / Structured Credit | | | | | | | | | | | 6,194 | | | | 6,156 | |
| Emerging Markets Debt—0.3% | | | | | | | | | | | | | | | | |
| Mexican Bonos, 8.5%, 11/18/2038 | | (e) | | Sovereign | | $ | 560 | | | $ | 33 | | | $ | 34 | |
| Petroleos Mexicanos, 4.9%, 1/24/2022 | | (e) | | Oil & Gas | | | 70 | | | | 73 | | | | 74 | |
| Total Emerging Markets Debt | | | | | | | | | | | 106 | | | | 108 | |
| Portfolio Company(a) | | Footnotes | | Industry | | Number of
Shares | | Cost(b) | | Fair
Value(c) |
| Common Equity—0.2% |
| Hexion Holdings Corp., Class B | | (e) (n) | | Chemicals | | | 2,691 | | | $ | 35 | | | $ | 35 | |
| Hexion Holdings Corp., Warrants | | (e) (n) | | Chemicals | | | 2,976 | | | | 42 | | | | 40 | |
| Total Common Equity | | | | | | | | | | | 77 | | | | 75 | |
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | Amortized Cost | | Fair
Value(c) |
| Convertible Preferred Stocks—0.1% | | | | | | | | | | | | | | | | |
| Northern Oil and Gas, Inc., 6.5% | | (h) | | Oil & Gas | | | 234 | | | $ | 23 | | | $ | 23 | |
| Total Convertible Preferred Stocks | | | | | | | | | | | 23 | | | | 23 | |
| Portfolio Company(a) | | Footnotes | | Yield | | Number of
Shares | | Cost | | Fair
Value(c) |
| Short-Term Investments—3.2% |
| State Street Institutional Treasury Plus Money Market Fund - Premier Class | | (r) | | 1.52% | | | 1,347,760 | | | | 1,348 | | | | 1,348 | |
| Total Short-Term Investments | | | | | | | | | | | 1,348 | | | | 1,348 | |
| TOTAL INVESTMENTS—120.4% | | | | | | | | | | $ | 49,973 | | | $ | 50,272 | |
| LIABILITIES IN EXCESS OF OTHER ASSETS—(20.4)%(s) | | | | | | | | (8,502 | ) |
| NET ASSETS—100.0% | | | | | | | | | | | | | | $ | 41,770 | |
| Shares outstanding at period end (Class A) | | | | | | | | | | | | | | | 848,659 | |
| Net asset value per common share at period end (Class A) | | | | | | | | | | | | | | $ | 12.94 | |
| Shares outstanding at period end (Class I) | | | | | | | | | | | | | | | 2,372,534 | |
| Net asset value per common share at period end (Class I) | | | | | | | | | | | | | | $ | 12.95 | |
| Shares outstanding at period end (Class L) | | | | | | | | | | | | | | | 1,600 | |
| Net asset value per common share at period end (Class L) | | | | | | | | | | | | | | $ | 12.94 | |
| Shares outstanding at period end (Class M) | | | | | | | | | | | | | | | 1,600 | |
| Net asset value per common share at period end (Class M) | | | | | | | | | | | | | | $ | 12.94 | |
| Shares outstanding at period end (Class T) | | | | | | | | | | | | | | | 1,600 | |
| Net asset value per common share at period end (Class T) | | | | | | | | | | | | | | $ | 12.94 | |
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of January 31, 2020
(in thousands, except share and per share amounts)
Investments Sold Short—0.0%
| Portfolio Company(a) | | Footnotes | | Industry | Principal
Amount(b) | | Proceeds | | Fair
Value(c) |
| U.S. Treasury Sold Short—0.0% | | | | | | | | | | | | | | | | |
| U.S. Treasury Bond, 2.3%, 8/15/2049 | | (e) (g) (n) | | Sovereign | | $ | (9 | ) | | $ | (9 | ) | | $ | (10 | ) |
| | | | | | | | | | | | | | | | | |
| Total Investments Sold Short | | | | | | | | | | $ | (9 | ) | | $ | (10 | ) |
| | | | | | | | | | | | | | | | | |
| 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 |
| Bank of America, N.A. | | 06/17/2020 | | USD | | 15 | | | EUR | | 13 | | | $ | — | | | $ | — | |
| JPMorgan Chase Bank, N.A. | | 02/28/2020 | | EUR | | 550 | | | MXN | | 26 | | | | — | | | | — | |
| JPMorgan Chase Bank, N.A. | | 06/17/2020 | | EUR | | 206 | | | USD | | 231 | | | | — | | | | — | |
| JPMorgan Chase Bank, N.A. | | 06/17/2020 | | USD | | 17 | | | EUR | | 15 | | | | — | | | | — | |
| JPMorgan Chase Bank, N.A. | | 06/17/2020 | | USD | | 118 | | | EUR | | 106 | | | | — | | | | 1 | |
| JPMorgan Chase Bank, N.A. | | 06/17/2020 | | USD | | 95 | | | EUR | | 85 | | | | — | | | | — | |
| JPMorgan Chase Bank, N.A. | | 06/17/2020 | | USD | | 31 | | | EUR | | 28 | | | | — | | | | — | |
| JPMorgan Chase Bank, N.A. | | 02/28/2020 | | MXN | | 135 | | | EUR | | 6 | | | | — | | | | — | |
| State Street Bank and Trust Company | | 06/17/2020 | | EUR | | 245 | | | USD | | 277 | | | | — | | | | 3 | |
| State Street Bank and Trust Company | | 06/17/2020 | | USD | | 54 | | | EUR | | 48 | | | | — | | | | — | |
| State Street Bank and Trust Company | | 06/17/2020 | | USD | | 218 | | | EUR | | 194 | | | | 1 | | | | — | |
| State Street Bank and Trust Company | | 06/17/2020 | | USD | | 112 | | | EUR | | 100 | | | | — | | | | — | |
| State Street Bank and Trust Company | | 06/17/2020 | | USD | | 103 | | | EUR | | 92 | | | | — | | | | — | |
| State Street Bank and Trust Company | | 06/17/2020 | | USD | | 113 | | | GBP | | 86 | | | | — | | | | — | |
| Total Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | $ | 1 | | | $ | 4 | |
| | | | | | | | | | | | | | | | | | | | | |
| Futures Contracts | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Position | | Expiration
Date | | Notional
Amount | | Unrealized
Appreciation | | Unrealized
Depreciation |
| Interest Rate Futures | | | | | | | | | | | | | | | | | | |
| U.S. 10-Year Treasury Note | | 6 | | Short | | 03/20/2020 | | $ | 777 | | | $ | — | | | $ | 12 | |
| U.S. 2-Year Treasury Note | | 1 | | Long | | 03/31/2020 | | $ | 215 | | | | 1 | | | | — | |
| Total Interest Rate Futures Contracts | | | | | | | | | | | | $ | 1 | | | $ | 12 | |
| | | | | | | | | | | | | | | | | | | |
| Cross-Currency Swaps | | | | | | | | | | | | | | | | | | |
| Counterparty | | Fund Pays | | Fund Receives | | Notional
Amount of
Currency
Delivered | | Notional
Amount of
Currency
Received | | Expiration
Date | | Periodic
Payment
Frequency | | Fair
Value(c) | | Unrealized Appreciation | | Unrealized Depreciation |
| JPMorgan Chase Bank, N.A. | | 3 Month EURIBOR plus a spread of (0.1435%) | | | 3 Month USD LIBOR | | | EUR 900 | | USD1,024 | | 12/3/2023 | | Quarterly | | $ | 31 | | | $ | 31 | | | $ | — | |
| JPMorgan Chase Bank, N.A. | | 3 Month EURIBOR plus a spread of (0.10375%) | | | 3 Month USD LIBOR | | | EUR 1,094 | | USD1,231 | | 3/29/2021 | | Quarterly | | | 21 | | | | 21 | | | | — | |
| JPMorgan Chase Bank, N.A. | | 3 Month EURIBOR plus a spread of (0.176%) | | | 3 Month USD LIBOR | | | EUR 518 | | USD583 | | 7/12/2021 | | Quarterly | | | 10 | | | | 10 | | | | — | |
| Total Cross-Currency Swaps | | | | | | | | | | | | | | | | $ | 62 | | | $ | 62 | | | $ | — | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of January 31, 2020
(in thousands, except share and per share amounts)
Interest Rate Swaps
| Counterparty | | Fund Pays | | Fund Receives | | Notional
Amount | | Expiration Date | | Periodic Payment Frequency | | Fair
Value(c) | | Unrealized Appreciation | | Unrealized Depreciation |
| Goldman Sachs & Co. LLC 2.06% | | 3 Month LIBOR | | USD 5 | | 6/24/2050 | | Semi-Annually | | $ | (1 | ) | | $ | — | | | $ | 1 | |
| Goldman Sachs & Co. LLC 1.88% | | 3 Month LIBOR | | USD 12 | | 6/20/2030 | | Semi-Annually | | | — | | | | — | | | | — | |
| Morgan Stanley & Co. LLC 1.97% | | 3 Month LIBOR | | USD 7 | | 7/10/2050 | | Semi-Annually | | | (1 | ) | | | — | | | | 1 | |
| Goldman Sachs & Co. LLC 1.63% | | 3 Month LIBOR | | USD 92 | | 7/2/2022 | | Semi-Annually | | | 1 | | | | 1 | | | | — | |
| Total Interest Rate Swaps | | | | | | | | | | | $ | (1 | ) | | $ | 1 | | | $ | 2 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| (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) | 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 audited financial statements. |
| (d) | Certain variable rate securities in the Fund’s portfolio bear interest at a rate determined by a publicly disclosed base rate plus a basis point spread. As of January 31, 2020, the one-month, three-month and six-month London Interbank Offered Rate (“LIBOR” or “L”) was 1.66%, 1.75% and 1.75%, respectively, and the three-month Euro Interbank Offered Rate (“EURIBOR” or “E”) was (0.39)%. |
| (e) | Security held in Fund’s wholly-owned subsidiary, FS Multi Alternative Credit LLC. |
| (f) | Security is an unfunded commitment. The stated rate reflects the spread disclosed at the time of commitment and may not indicate the actual rate received upon funding. |
| (g) | Position or portion thereof unsettled as of January 31, 2020. |
| (h) | 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 $12,355, which represents approximately 29.6% of net assets as of January 31, 2020. |
| (i) | Security or portion thereof is pledged as collateral supporting the amounts outstanding under the prime brokerage facility with BNP Paribas Prime Brokerage International, Ltd. (“BNP”). 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 BNP. As of January 31, 2020, there were no securities rehypothecated by BNP. |
| (j) | Variable rate security. The stated interest rate represents the rate in effect at January 31, 2020. |
| (k) | Security or portion thereof is pledged as collateral supporting the amounts outstanding under the revolving credit facility with Société Générale. |
| (l) | Security held in Fund’s wholly-owned subsidiary, FS Multi Private Credit LLC. |
| (m) | Security is in default. |
| (n) | Security is non-income producing. |
| (o) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| (p) | The security has a perpetual maturity; the date displayed is the next call date. |
| (q) | Variable or floating rate security for which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| (r) | Rate represents the seven-day yield as of January 31, 2020. |
| (s) | Includes the effect of forward foreign currency exchange contracts, futures contracts, swap contracts and investments sold short. |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of January 31, 2020
(in thousands, except share and per share amounts)
| CDO | - Collateralized Debt Obligation |
| EUR | - Euro |
| EURIBOR | - Euro Interbank Offered Rate |
| FRN | - Floating Rate Note |
| GBP | - British Pound |
| LIBOR | - London Interbank Offered Rate |
| PIK | - Payment In Kind |
| USD | - U.S. Dollar |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Notes to Unaudited Consolidated Schedule of Investments
As of January 31, 2020
(in thousands)
Investment Portfolio
The information contained in this section should be read in conjunction with the Fund’s audited financial statements contained in its annual report for the fiscal year ended October 31, 2019.
The following table summarizes the composition of the Fund’s investment portfolio at cost and fair value as of January 31, 2020:
| | | Amortized Cost(1) | | Fair Value | | Percentage
of Portfolio |
| Real Estate Funds | | $ | 14,703 | | | $ | 15,330 | | | | 31 | % |
| Senior Secured Loans—First Lien | | | 12,990 | | | | 12,775 | | | | 25 | % |
| Senior Secured Loans—Second Lien | | | 1,583 | | | | 1,353 | | | | 3 | % |
| Senior Secured Bonds | | | 5,538 | | | | 5,514 | | | | 11 | % |
| Unsecured Bonds | | | 7,411 | | | | 7,590 | | | | 15 | % |
| Collateralized Loan Obligation (CLO) / Structured Credit | | | 6,194 | | | | 6,156 | | | | 12 | % |
| Emerging Markets Debt | | | 106 | | | | 108 | | | | 0 | % |
| Common Equity | | | 77 | | | | 75 | | | | 0 | % |
| Convertible Preferred Stocks | | | 23 | | | | 23 | | | | 0 | % |
| Short-Term Investments | | | 1,348 | | | | 1,348 | | | | 3 | % |
| Total | | $ | 49,973 | | | $ | 50,272 | | | | 100 | % |
(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, a Fund would be presumed to “control” a portfolio company if such Fund owned more than 25% of its voting securities or it 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 they owned 5% or more of its voting securities.
As of January 31, 2020, the Fund did not “control” any of its portfolio companies and was not an “affiliated person” of any of its portfolio companies, each as defined in the 1940 Act.
The Fund’s investment portfolio may contain loans and other unfunded arrangements that are in the form of lines of credit or revolving credit facilities, or other investments, which require the Fund to provide funding when requested by portfolio companies in accordance with the terms of the underlying agreements. As of January 31, 2020, the Fund held an investment with an unfunded commitment. The Fund maintains sufficient cash on hand, available borrowings and liquid securities to fund unfunded commitments.
FS Multi-Alternative Income Fund
Notes to Unaudited Consolidated Schedule of Investments (continued)
As of January 31, 2020
(in thousands)
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 January 31, 2020:
| Industry Classification | | Fair Value | | Percentage
of Portfolio |
| Real Estate | | $ | 15,381 | | | | 31 | % |
| USD CLO | | | 3,724 | | | | 7 | % |
| Retail | | | 2,217 | | | | 4 | % |
| EUR CLO | | | 2,211 | | | | 4 | % |
| Telecommunications | | | 2,167 | | | | 4 | % |
| Commercial Services | | | 1,610 | | | | 3 | % |
| Software | | | 1,546 | | | | 3 | % |
| Oil & Gas | | | 1,486 | | | | 3 | % |
| Chemicals | | | 1,413 | | | | 3 | % |
| Healthcare-Services | | | 1,314 | | | | 3 | % |
| Computers | | | 1,183 | | | | 2 | % |
| Food | | | 1,144 | | | | 2 | % |
| Pipelines | | | 1,057 | | | | 2 | % |
| Aerospace/Defense | | | 876 | | | | 2 | % |
| Media Entertainment | | | 862 | | | | 2 | % |
| Miscellaneous Manufacturer | | | 782 | | | | 2 | % |
| Machinery-Construction & Mining | | | 772 | | | | 2 | % |
| Other | | | 9,179 | | | | 18 | % |
| Short-Term Investments | | | 1,348 | | | | 3 | % |
| Total | | $ | 50,272 | | | | 100 | % |
Under existing accounting guidance, fair value is defined as the price that the 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 Fund classifies the inputs used to measure these fair values into the following hierarchy as defined by current accounting guidance:
Level 1: Inputs that are quoted prices (unadjusted) in active markets for identical assets or liabilities.
Level 2: Inputs that are quoted prices for similar assets or liabilities in active markets.
Level 3: Inputs that are unobservable for an asset or liability.
A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement.
As of January 31, 2020, the Fund’s investments andderivatives were categorized as follows in the fair value hierarchy:
| Asset Description | | Level 1 | | Level 2 | | Level 3 | | Total |
| Senior Secured Loans—First Lien | | $ | — | | | $ | 12,775 | | | $ | — | | | $ | 12,775 | |
| Senior Secured Loans—Second Lien | | | — | | | | 1,353 | | | | — | | | | 1,353 | |
| Senior Secured Bonds | | | — | | | | 5,514 | | | | — | | | | 5,514 | |
| Unsecured Bonds | | | — | | | | 7,590 | | | | — | | | | 7,590 | |
| CLO/Structured Credit | | | — | | | | 6,156 | | | | — | | | | 6,156 | |
| Emerging Markets Debt | | | — | | | | 108 | | | | — | | | | 108 | |
| Common Equity | | | 75 | | | | — | | | | — | | | | 75 | |
| Convertible Preferred Stocks | | | 23 | | | | — | | | | | | | | 23 | |
| Short-Term Investments | | | — | | | | 1,348 | | | | — | | | | 1,348 | |
| Subtotal | | | 98 | | | | 34,844 | | | | — | | | | 34,942 | |
| Real Estate Funds | | | — | | | | — | | | | — | | | | 15,330 | |
| Total Investments | | | 98 | | | | 34,844 | | | | — | | | | 50,272 | |
| Forward Foreign Currency Exchange Contracts | | | — | | | | 1 | | | | — | | | | 1 | |
| Future Contracts | | | 1 | | | | — | | | | — | | | | 1 | |
| Interest Rate Swaps | | | — | | | | 1 | | | | — | | | | 1 | |
| Cross-Currency Swaps | | | — | | | | 62 | | | | — | | | | 62 | |
| Total Assets | | $ | 99 | | | $ | 34,908 | | | $ | — | | | $ | 50,337 | |
FS Multi-Alternative Income Fund
Notes to Unaudited Consolidated Schedule of Investments (continued)
As of January 31, 2020
(in thousands)
| Liability Description | | Level 1 | | Level 2 | | Level 3 | | Total |
| Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (4 | ) | | $ | — | | | $ | (4 | ) |
| Future Contracts | | | (12 | ) | | | — | | | | — | | | | (12 | ) |
| Interest Rate Swaps | | | — | | | | (2 | ) | | | — | | | | (2 | ) |
| U.S Treasury Sold Short | | | — | | | | (10 | ) | | | — | | | | (10 | ) |
| Total Liabilities | | $ | (12 | ) | | $ | (16 | ) | | $ | — | | | $ | (28 | ) |
In accordance with ASC 820, private real estate funds are measured at estimated net asset value as a practical expedient and not included in the fair value hierarchy.
