FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments
As of July 31, 2020 (in thousands, except share and per share amounts)
| Portfolio Company(a) | | | | Industry | | Number
of Shares | | | Cost | | | Fair
Value(c) | |
| Real Estate Funds—40.7% | | | | | | | | | | | | | | | | |
| Blackstone Property Partners, LP | | | | Real Estate | | | 2,894 | | | $ | 3,972 | | | $ | 4,053 | |
| Brookfield Premier Real Estate Partners | | | | Real Estate | | | 1,635 | | | | 2,104 | | | | 2,277 | |
| CBRE U.S. Core Partners, LP | | | | Real Estate | | | 1,508,990 | | | | 2,116 | | | | 2,247 | |
| Clarion Lion Properties Fund | | | | Real Estate | | | 2,743 | | | | 4,080 | | | | 4,325 | |
| JPMorgan U.S. Real Estate Core Mezzanine Debt Fund | | | | Real Estate | | | 12,094 | | | | 1,223 | | | | 1,253 | |
| RREEF Core Plus Industrial Fund | | | | Real Estate | | | 11,887 | | | | 1,505 | | | | 1,634 | |
| Total Real Estate Funds | | | | | | | | | | $ | 15,000 | | | $ | 15,789 | |
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | | Amortized
Cost | | | Fair
Value(c) | |
| Senior Secured Loans—First Lien—9.3% | | | | | | | | | | | | | | | | |
| Academy, Ltd., L+400, 1.0% Floor, 7/1/22 | | (d) (e) | | Retail | | $ | 26 | | | $ | 12 | | | $ | 23 | |
| Accuride Corp., L+525, 1.0% Floor, 11/17/23 | | (e) | | Auto Parts & Equipment | | | 323 | | | | 309 | | | | 220 | |
| Advantage Sales & Marketing, Inc., L+325, 1.0% Floor, 7/23/21 | | (d) (e) | | Advertising | | | 154 | | | | 136 | | | | 147 | |
| AHP Health Partners, Inc., L+450, 1.0% Floor, 6/30/25 | | (d) (e) | | Healthcare-Services | | | 148 | | | | 146 | | | | 148 | |
| Algoma Steel, Inc., L+850, 1.5% Floor, 12/1/25 | | (d) (e) | | Iron/Steel | | | 68 | | | | 68 | | | | 52 | |
| Amneal Pharmaceuticals, LLC, L+350, 5/4/25 | | (d) (e) | | Pharmaceuticals | | | 30 | | | | 28 | | | | 28 | |
| Apergy Corp., L+500, 1.0% Floor, 6/3/27 | | (d) (e) | | Oil & Gas | | | 280 | | | | 265 | | | | 277 | |
| Belk, Inc., L+675, 1.0% Floor, 7/31/25 | | (e) | | Retail | | | 585 | | | | 528 | | | | 255 | |
| California Resources Corp., L+475, 12/31/22 | | (d) (e) (f) (g) (h) | | Oil & Gas | | | 209 | | | | 194 | | | | 81 | |
| Cornerstone OnDemand, Inc., L+425, 4/22/27 | | (d) (e) | | Software | | | 45 | | | | 44 | | | | 45 | |
| CSM Bakery Solutions LLC, L+625, 1.0% Floor, 1/4/22 | | (e) | | Food | | | 161 | | | | 147 | | | | 151 | |
| Dex Media, Inc., L+900, 1.0% Floor, 12/29/23 | | (d) (e) (f) | | Software | | | 211 | | | | 206 | | | | 198 | |
| Digicel International Finance Limited, L+325, 5/28/24 | | (d) (e) | | Telecommunications | | | 65 | | | | 53 | | | | 56 | |
| DynCorp International, Inc., L+600, 1.0% Floor, 8/18/25 | | (d) (e) | | Commercial Services | | | 67 | | | | 65 | | | | 65 | |
| EIF Van Hook Holdings, LLC, L+525, 9/5/24 | | (e) | | Pipelines | | | 378 | | | | 373 | | | | 242 | |
| Endo Luxembourg Finance Co. I S.a r.l., L+425, 0.8% Floor, 4/29/24 | | (d) (e) | | Pharmaceuticals | | | 69 | | | | 64 | | | | 67 | |
| Green Energy Partners/Stonewall LLC, L+550, 1.0% Floor, 11/12/21 | | (d) (e) | | Electric | | | 110 | | | | 90 | | | | 97 | |
| Hummel Station, LLC, L+375, 4/27/22 | | (d) (e) | | Oil & Gas | | | 56 | | | | 50 | | | | 52 | |
| Hummel Station, LLC, L+600, 1.0% Floor, 10/27/22 | | (d) (e) | | Oil & Gas | | | 5 | | | | 4 | | | | 4 | |
| Hummel Station, LLC, L+600, 1.0% Floor, 10/27/22 | | (d) (e) | | Oil & Gas | | | 12 | | | | 11 | | | | 11 | |
| Hummel Station, LLC, L+375, 4/27/22 | | (d) (e) (i) | | Oil & Gas | | | 5 | | | | 4 | | | | 4 | |
| Hummel Station, LLC, L+375, 4/27/22 | | (d) (e) (i) | | Oil & Gas | | | 4 | | | | 3 | | | | 3 | |
| Hummel Station, LLC, L+375, 4/27/22 | | (d) (e) | | Oil & Gas | | | 2 | | | | 2 | | | | 2 | |
| Illuminate Buyer, LLC, L+400, 6/30/27 | | (d) (e) | | Chemicals | | | 25 | | | | 24 | | | | 25 | |
| Jo-Ann Stores, Inc., L+500, 1.0% Floor, 10/20/23 | | (e) | | Retail | | | 36 | | | | 35 | | | | 27 | |
| Lightstone Holdco, LLC, L+375, 1.0% Floor, 1/30/24 | | (d) (e) (f) | | Electric | | | 266 | | | | 220 | | | | 227 | |
| Lightstone Holdco, LLC, L+375, 1.0% Floor, 1/30/24 | | (d) (e) (f) | | Electric | | | 15 | | | | 12 | | | | 13 | |
| Mileage Plus Holdings LLC, L+525, 1.0% Floor, 6/21/27 | | (d) (e) | | Airlines | | | 30 | | | | 29 | | | | 30 | |
| Montreign Resort Casino, L+225, 3/22/21 | | (d) (e) | | Entertainment | | | 40 | | | | 38 | | | | 37 | |
| Northwest Fiber, LLC, L+550, 4/30/27 | | (d) (e) | | Internet | | | 175 | | | | 166 | | | | 174 | |
| Patterson Medical Holdings, Inc., L+475, 1.0% Floor, 8/29/22 | | (d) (e) | | Pharmaceuticals | | | 71 | | | | 70 | | | | 65 | |
| Playtika Holding Corp., L+600, 1.0% Floor, 12/10/24 | | (d) (e) | | Entertainment | | | 63 | | | | 62 | | | | 64 | |
| Quorum Health Corp., L+825, 1.0% Floor, 4/29/25 | | (d) (e) | | Healthcare-Services | | | 49 | | | | 47 | | | | 46 | |
| Rent-A-Center, Inc., L+450, 8/5/26 | | (d) (e) | | Commercial Services | | | 69 | | | | 69 | | | | 68 | |
| Seadrill Partners Finco LLC, L+600, 1.0% Floor, 2/21/21 | | (d) (e) | | Oil & Gas | | | 172 | | | | 164 | | | | 26 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2020 (in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | | Amortized
Cost | | | Fair
Value(c) | |
| SGS Cayman, L.P., L+538, 1.0% Floor, 4/23/21 | | (e) | | Commercial Services | | $ | 82 | | | $ | 81 | | | $ | 70 | |
| Summer (BC) Lux Consolidator S.C.A., L+475, 12/4/26 | | (d) (e) | | Advertising | | | 7 | | | | 6 | | | | 7 | |
| Sutherland Global Services, Inc., L+538, 1.0% Floor, 4/23/21 | | (e) | | Computers | | | 352 | | | | 347 | | | | 302 | |
| Syncsort, Inc., L+625, 8/16/24 | | (d) (e) | | Software | | | 32 | | | | 32 | | | | 32 | |
| Tibco Software Inc., L+375, 6/30/26 | | (d) (e) | | Software | | | 13 | | | | 13 | | | | 13 | |
| TopGolf International, Inc., L+550, 2/8/26 | | (d) (e) | | Leisure Time | | | 79 | | | | 78 | | | | 75 | |
| UTEX Industries Inc., P+500, 5/22/21 | | (d) (e) (g) (h) | | Miscellaneous Manufacturer | | | 232 | | | | 228 | | | | 65 | |
| Verscend Holding Corp., L+450, 8/27/25 | | (d) (e) | | Commercial Services | | | 15 | | | | 13 | | | | 15 | |
| Total Senior Secured Loans—First Lien | | | | | | | | | | $ | 4,536 | | | $ | 3,609 | |
| Unfunded Loan Commitments | | | | | | | | | | | (7 | ) | | | (7 | ) |
| Net Total Senior Secured Loans—First Lien | | | | | | | | | | $ | 4,529 | | | $ | 3,602 | |
| Senior Secured Loans—Second Lien—0.4% | | | | | | | | | | | | | | | | |
| Comet Acquisition, Inc., L+750, 10/26/26 | | (e) | | Healthcare-Services | | $ | 44 | | | $ | 43 | | | $ | 39 | |
| Emerald Performance Materials, LLC, L+675, 1.0% Floor, 8/1/22 | | (e) | | Chemicals | | | 46 | | | | 46 | | | | 45 | |
| Metro-Goldwyn-Mayer Inc., L+450, 1.0% Floor, 7/3/26 | | (d) (e) | | Media Entertainment | | | 25 | | | | 23 | | | | 24 | |
| NeuStar, Inc., L+800, 1.0% Floor, 8/8/25 | | (d) (e) | | Computers | | | 20 | | | | 19 | | | | 16 | |
| UTEX Industries Inc., L+725, 1.0% Floor, 5/22/22 | | (d) (e) (g) (h) | | Miscellaneous Manufacturer | | | 170 | | | | 169 | | | | 22 | |
| Total Senior Secured Loans—Second Lien | | | | | | | | | | $ | 300 | | | $ | 146 | |
| Senior Secured Bonds—9.6% | | | | | | | | | | | | | | | | |
| 1011778 BC ULC / New Red Finance Inc., 5.0%, 10/15/25 | | (d) (j) (k) | | Retail | | $ | 76 | | | $ | 78 | | | $ | 78 | |
| Altice France Holding SA, 8.0%, 5/15/27 | | (d) | | Telecommunications | | € | 200 | | | | 242 | | | | 254 | |
| Altice France SA, 5.5%, 1/15/28 | | (d) (k) | | Telecommunications | | $ | 200 | | | | 200 | | | | 211 | |
| Altice France SA, 3.4%, 1/15/28 | | (d) (j) | | Telecommunications | | € | 245 | | | | 251 | | | | 283 | |
| BCD Acquisition, Inc., 9.6%, 9/15/23 | | (d) (j) (k) | | Auto Manufacturers | | $ | 103 | | | | 106 | | | | 101 | |
| Builders FirstSource, Inc., 6.8%, 6/1/27 | | (d) (j) (k) | | Building Materials | | | 8 | | | | 7 | | | | 9 | |
| Burlington Coat Factory Warehouse Corp., 6.3%, 4/15/25 | | (d) (j) (k) | | Retail | | | 49 | | | | 51 | | | | 53 | |
| California Resources Corp., 8.0%, 12/15/22 | | (d) (g) (h) (j) (k) | | Oil & Gas | | | 215 | | | | 9 | | | | 4 | |
| California Resources Corp., 8.0%, 12/15/22 | | (d) (g) (h) (j) | | Oil & Gas | | | 4 | | | | — | | | | — | |
| Calpine Corp., 5.3%, 6/1/26 | | (d) (j) (k) | | Electric | | | 17 | | | | 17 | | | | 18 | |
| Carnival Corp., 10.5%, 2/1/26 | | (d) (k) | | Leisure Time | | | 57 | | | | 57 | | | | 59 | |
| Colt Merger Sub, Inc., 6.3%, 7/1/25 | | (d) (j) (k) | | Entertainment | | | 40 | | | | 40 | | | | 42 | |
| CSI Compressco LP/CSI Compressco Finance, Inc., 7.5%, 4/1/25 | | (d) (j) (k) | | Oil & Gas Services | | | 68 | | | | 69 | | | | 58 | |
| Dell International LLC/EMC Corp., 8.1%, 7/15/36 | | (d) (j) (k) | | Computers | | | 30 | | | | 38 | | | | 41 | |
| Dell International LLC/EMC Corp., 4.9%, 10/1/26 | | (d) (j) (k) | | Computers | | | 19 | | | | 20 | | | | 21 | |
| Dell International LLC/EMC Corp., 6.1%, 7/15/27 | | (d) (j) (k) | | Computers | | | 29 | | | | 29 | | | | 34 | |
| Denbury Resources, Inc., 7.8%, 2/15/24 | | (d) (g) (h) (k) | | Oil & Gas | | | 23 | | | | 18 | | | | 10 | |
| Denbury Resources, Inc., 9.3%, 3/31/22 | | (d) (g) (h) (k) | | Oil & Gas | | | 155 | | | | 156 | | | | 66 | |
| Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd., 8.8%, 5/25/24 | | (d) (k) | | Telecommunications | | | 200 | | | | 200 | | | | 202 | |
| Endo Dac / Endo Finance LLC / Endo Finco, Inc., 9.5%, 7/31/27 | | (d) (j) (k) | | Pharmaceuticals | | | 39 | | | | 40 | | | | 42 | |
| Frontier Communications Corp., 8.0%, 4/1/27 | | (d) (g) (h) (j) (k) | | Telecommunications | | | 48 | | | | 49 | | | | 50 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2020 (in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | | Amortized
Cost | | | Fair
Value(c) | |
| Frontier Communications Corp., 8.5%, 4/1/26 | | (d) (g) (h) (j) (k) | | Telecommunications | | $ | 251 | | | $ | 236 | | | $ | 248 | |
| Gateway Casinos & Entertainment Ltd., 8.3%, 3/1/24 | | (d) (j) (k) | | Entertainment | | | 24 | | | | 25 | | | | 19 | |
| Hudbay Minerals, Inc., 7.6%, 1/15/25 | | (d) (j) (k) | | Mining | | | 75 | | | | 76 | | | | 76 | |
| JW Aluminum Continuous Cast Co., 10.3%, 6/1/26 | | (d) (j) (k) | | Mining | | | 91 | | | | 92 | | | | 95 | |
| L Brands, Inc., 6.9%, 7/1/25 | | (d) (j) (k) | | Retail | | | 68 | | | | 68 | | | | 73 | |
| L Brands, Inc., 6.9%, 11/1/35 | | (d) (j) | | Retail | | | 47 | | | | 42 | | | | 45 | |
| L Brands, Inc., 6.8%, 7/1/36 | | (d) (j) | | Retail | | | 60 | | | | 50 | | | | 58 | |
| Live Nation Entertainment, Inc., 6.5%, 5/15/27 | | (d) (j) (k) | | Entertainment | | | 121 | | | | 123 | | | | 130 | |
| Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.5%, 6/20/27 | | (d) (j) (k) | | Airlines | | | 79 | | | | 78 | | | | 82 | |
| Navistar International Corp., 9.5%, 5/1/25 | | (d) (k) | | Auto Manufacturers | | | 35 | | | | 35 | | | | 40 | |
| Northern Oil and Gas, Inc., 8.5%, 5/15/23 (8.5% Cash + 1.0% PIK) | | (d) | | Oil & Gas | | | 3 | | | | 3 | | | | 3 | |
| Pacific Drilling SA, 8.4%, 10/1/23 | | (d) (j) (k) | | Oil & Gas | | | 58 | | | | 52 | | | | 13 | |
| Par Pharmaceutical, Inc., 7.5%, 4/1/27 | | (d) (k) | | Pharmaceuticals | | | 88 | | | | 78 | | | | 94 | |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer, 7.5%, 6/1/25 | | (d) (j) (k) | | Real Estate Investment Trusts | | | 114 | | | | 114 | | | | 122 | |
| Prime Security Services Borrower LLC / Prime Finance, Inc., 6.3%, 1/15/28 | | (d) (j) (k) | | Commercial Services | | | 28 | | | | 28 | | | | 29 | |
| QVC, Inc., 4.4%, 3/15/23 | | (d) (j) | | Retail | | | 24 | | | | 22 | | | | 25 | |
| QVC, Inc., 4.5%, 2/15/25 | | (d) (j) | | Retail | | | 23 | | | | 21 | | | | 24 | |
| QVC, Inc., 4.8%, 2/15/27 | | (d) (j) | | Retail | | | 12 | | | | 10 | | | | 12 | |
| Royal Caribbean Cruises Ltd., 10.9%, 6/1/23 | | (d) (j) (k) | | Leisure Time | | | 26 | | | | 26 | | | | 28 | |
| Royal Caribbean Cruises Ltd., 11.5%, 6/1/25 | | (d) (j) (k) | | Leisure Time | | | 110 | | | | 108 | | | | 121 | |
| Solocal Group, 8.0%, 3/15/22 (3 mo. EURIBOR + 7.0%) | | (d) (l) | | Internet | | € | 174 | | | | 196 | | | | 141 | |
| Summer (BC) Holdco B S.a r.l., 5.8%, 10/31/26 | | (d) | | Advertising | | | 100 | | | | 110 | | | | 114 | |
| Talen Energy Supply LLC, 6.6%, 1/15/28 | | (d) (j) (k) | | Electric | | $ | 74 | | | | 73 | | | | 75 | |
| Talen Energy Supply LLC, 7.6%, 6/1/28 | | (d) (k) | | Electric | | | 14 | | | | 14 | | | | 15 | |
| Teekay Corp., 9.3%, 11/15/22 | | (d) (j) (k) | | Transportation | | | 92 | | | | 92 | | | | 90 | |
| Unique Pub Finance Co. Plc, 5.7%, 6/30/27 | | (d) | | Real Estate | | £ | 10 | | | | 14 | | | | 13 | |
| Urban One, Inc., 7.4%, 4/15/22 | | (d) (j) (k) | | Media Entertainment | | $ | 55 | | | | 54 | | | | 49 | |
| Vantage Drilling International, 9.3%, 11/15/23 | | (d) (j) (k) | | Oil & Gas | | | 186 | | | | 183 | | | | 121 | |
| Viking Cruises Ltd., 13.0%, 5/15/25 | | (d) (j) (k) | | Leisure Time | | | 67 | | | | 65 | | | | 73 | |
| Wyndham Destinations, Inc., 4.6%, 3/1/30 | | (d) (j) (k) | | Lodging | | | 51 | | | | 51 | | | | 47 | |
| Total Senior Secured Bonds | | | | | | | | | | $ | 3,816 | | | $ | 3,711 | |
| Unsecured Bonds—19.2% | | | | | | | | | | | | | | | | |
| Accor SA, 4.4% 1/30/24 (fixed, converts to FRN on 1/30/24) | | (d) (j) (l) (m) | | Lodging | | $ | 100 | | | $ | 102 | | | $ | 113 | |
| AG Merger Sub II, Inc., 10.8%, 8/1/27 | | (d) (j) (k) | | Diversified Financial Services | | | 28 | | | | 28 | | | | 29 | |
| AHP Health Partners, Inc., 9.8%, 7/15/26 | | (d) (j) (k) | | Healthcare-Services | | | 78 | | | | 73 | | | | 83 | |
| Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.6%, 1/15/27 | | (d) (j) (k) | | Food | | | 29 | | | | 27 | | | | 31 | |
| ArcelorMittal SA, 7.3%, 10/15/39 | | (d) (j) | | Iron/Steel | | | 23 | | | | 27 | | | | 30 | |
| Aruba Investments, Inc., 8.8%, 2/15/23 | | (d) (j) (k) | | Chemicals | | | 152 | | | | 153 | | | | 157 | |
| Ball Corp., 4.0%, 11/15/23 | | (d) (j) | | Packaging & Containers | | | 15 | | | | 16 | | | | 16 | |
| Bausch Health Companies, Inc., 7.0%, 1/15/28 | | (d) (j) (k) | | Pharmaceuticals | | | 18 | | | | 18 | | | | 20 | |
| Bausch Health Companies, Inc., 5.0%, 1/30/28 | | (d) (j) (k) | | Pharmaceuticals | | | 45 | | | | 45 | | | | 45 | |
| Bausch Health Companies, Inc., 6.3%, 2/15/29 | | (d) (j) (k) | | Pharmaceuticals | | | 111 | | | | 111 | | | | 118 | |
| Bausch Health Companies, Inc., 7.3%, 5/30/29 | | (d) (j) (k) | | Pharmaceuticals | | | 33 | | | | 37 | | | | 36 | |
| Bausch Health Companies, Inc., 5.3%, 1/30/30 | | (d) (j) (k) | | Pharmaceuticals | | | 29 | | | | 29 | | | | 30 | |
| Boardwalk Pipelines LP, 4.5%, 7/15/27 | | (d) (j) | | Pipelines | | | 16 | | | | 16 | | | | 17 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2020 (in thousands, except share and per share amounts)
Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | | Amortized
Cost | | | Fair
Value(c) | |
| Boardwalk Pipelines LP, 4.8%, 5/3/29 | | (d) (j) | | Pipelines | | $ | 20 | | | $ | 21 | | | $ | 22 | |
| Buckeye Partners LP, 4.2%, 7/1/23 | | (d) (j) | | Pipelines | | | 3 | | | | 3 | | | | 3 | |
| Buckeye Partners LP, 4.4%, 10/15/24 | | (d) (j) | | Pipelines | | | 11 | | | | 10 | | | | 11 | |
| Buckeye Partners LP, 4.1%, 3/1/25 | | (d) (j) (k) | | Pipelines | | | 10 | | | | 9 | | | | 10 | |
| Buckeye Partners LP, 4.0%, 12/1/26 | | (d) (j) | | Pipelines | | | 62 | | | | 55 | | | | 62 | |
| Buckeye Partners LP, 4.1%, 12/1/27 | | (d) (j) | | Pipelines | | | 8 | | | | 7 | | | | 8 | |
| Buckeye Partners LP, 4.5%, 3/1/28 | | (d) (j) (k) | | Pipelines | | | 9 | | | | 8 | | | | 9 | |
| California Resources Corp., 5.5%, 9/15/21 | | (d) (g) (h) (j) | | Oil & Gas | | | 18 | | | | 1 | | | | 1 | |
| California Resources Corp., 6.0%, 11/15/24 | | (d) (g) (h) (j) | | Oil & Gas | | | 6 | | | | — | | | | — | |
| CCO Holdings LLC / CCO Holdings Capital Corp., 5.5%, 5/1/26 | | (d) (j) (k) | | Media Entertainment | | | 51 | | | | 53 | | | | 54 | |
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.4%, 6/1/29 | | (d) (j) (k) | | Media Entertainment | | | 145 | | | | 154 | | | | 159 | |
| CDK Global, Inc., 5.3%, 5/15/29 | | (d) (j) (k) | | Software | | | 12 | | | | 12 | | | | 13 | |
| Centene Corp., 5.4%, 6/1/26 | | (d) (j) (k) | | Healthcare-Services | | | 27 | | | | 29 | | | | 29 | |
| Central Garden & Pet Co., 5.1%, 2/1/28 | | (d) (j) | | Household Products/Wares | | | 44 | | | | 44 | | | | 47 | |
| Cheniere Energy Partners LP, 5.6%, 10/1/26 | | (d) (j) | | Pipelines | | | 103 | | | | 102 | | | | 109 | |
| Cheniere Energy Partners LP, 4.5%, 10/1/29 | | (d) | | Pipelines | | | 25 | | | | 18 | | | | 26 | |
| Colt Merger Sub, Inc., 8.1%, 7/1/27 | | (d) (j) (k) | | Entertainment | | | 48 | | | | 48 | | | | 49 | |
| EIG Investors Corp., 10.9%, 2/1/24 | | (d) (j) | | Internet | | | 27 | | | | 27 | | | | 28 | |
| Endeavor Energy Resources LP / EER Finance, Inc., 6.6%, 7/15/25 | | (d) (j) (k) | | Oil & Gas | | | 30 | | | | 30 | | | | 32 | |
| Endeavor Energy Resources LP / EER Finance, Inc., 5.5%, 1/30/26 | | (d) (j) (k) | | Oil & Gas | | | 86 | | | | 84 | | | | 87 | |
| Endeavor Energy Resources LP / EER Finance, Inc., 5.8%, 1/30/28 | | (d) (j) (k) | | Oil & Gas | | | 5 | | | | 4 | | | | 5 | |
| ESH Hospitality, Inc., 4.6%, 10/1/27 | | (d) (j) (k) | | Real Estate Investment Trusts | | | 42 | | | | 40 | | | | 40 | |
| Fidelity & Guaranty Life Holdings, Inc., 5.5%, 5/1/25 | | (d) (j) (k) | | Insurance | | | 36 | | | | 40 | | | | 40 | |
| Ford Motor Credit Co. LLC, 4.3%, 1/9/27 | | (d) (j) | | Auto Manufacturers | | | 200 | | | | 177 | | | | 204 | |
| Freeport-McMoRan, Inc., 4.1%, 3/1/28 | | (d) (j) | | Mining | | | 17 | | | | 17 | | | | 18 | |
| Freeport-McMoRan, Inc., 4.4%, 8/1/28 | | (d) | | Mining | | | 10 | | | | 10 | | | | 11 | |
| Freeport-McMoRan, Inc., 4.3%, 3/1/30 | | (d) (j) | | Mining | | | 14 | | | | 14 | | | | 15 | |
| Freeport-McMoRan, Inc., 4.6%, 8/1/30 | | (d) | | Mining | | | 10 | | | | 10 | | | | 11 | |
| Frontier Communications Corp., 10.5%, 9/15/22 | | (d) (g) (h) (j) | | Telecommunications | | | 278 | | | | 164 | | | | 98 | |
| Frontier North, Inc., 6.7%, 2/15/28 | | (d) (g) (h) (j) | | Telecommunications | | | 550 | | | | 508 | | | | 491 | |
| Genesis Energy LP / Genesis Energy Finance Corp., 6.5%, 10/1/25 | | (d) (j) | | Pipelines | | | 4 | | | | 3 | | | | 4 | |
| Genesis Energy LP / Genesis Energy Finance Corp., 6.3%, 5/15/26 | | (d) (j) | | Pipelines | | | 58 | | | | 50 | | | | 55 | |
| Genesis Energy LP / Genesis Energy Finance Corp., 7.8%, 2/1/28 | | (d) (j) | | Pipelines | | | 142 | | | | 138 | | | | 137 | |
| HCA, Inc., 5.6%, 9/1/28 | | (d) (j) | | Healthcare-Services | | | 35 | | | | 39 | | | | 42 | |
| HCA, Inc., 5.9%, 2/1/29 | | (d) (j) | | Healthcare-Services | | | 33 | | | | 36 | | | | 40 | |
| Herbalife Nutrition Ltd. / HLF Financing, Inc., 7.9%, 9/1/25 | | (d) (j) (k) | | Pharmaceuticals | | | 100 | | | | 101 | | | | 109 | |
| Hexion, Inc., 7.9%, 7/15/27 | | (d) (j) (k) | | Chemicals | | | 99 | | | | 94 | | | | 97 | |
| Hilton Domestic Operating Co., Inc., 5.4%, 5/1/25 | | (d) (j) (k) | | Lodging | | | 21 | | | | 21 | | | | 22 | |
| Hilton Domestic Operating Co., Inc., 5.8%, 5/1/28 | | (d) (j) (k) | | Lodging | | | 44 | | | | 45 | | | | 47 | |
| HLF Financing Sarl LLC/Herbalife International, Inc., 7.3%, 8/15/26 | | (d) (j) (k) | | Pharmaceuticals | | | 58 | | | | 59 | | | | 61 | |
| Hyatt Hotels Corp., 5.4%, 4/23/25 | | (d) (j) | | Lodging | | | 16 | | | | 16 | | | | 17 | |
| Hyatt Hotels Corp., 5.8%, 4/23/30 | | (d) (j) | | Lodging | | | 24 | | | | 25 | | | | 27 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2020 (in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | | Amortized
Cost | | | Fair
Value(c) | |
| Illuminate Buyer LLC / Illuminate Holdings IV, Inc., 9.0%, 7/1/28 | | (d) (j) (k) | | Chemicals | | $ | 104 | | | $ | 104 | | | $ | 112 | |
| JPMorgan Chase & Co., 5.0% 8/1/24 (fixed, converts to FRN on 8/01/24) | | (d) (j) (l) (m) | | Commercial Banks | | | 45 | | | | 37 | | | | 45 | |
| JPMorgan Chase & Co., 4.6% 2/1/25 (fixed, converts to FRN on 2/01/25) | | (d) (j) (l) (m) | | Commercial Banks | | | 27 | | | | 24 | | | | 26 | |
| Kraft Heinz Foods Co., 3.9%, 5/15/27 | | (d) (j) (k) | | Food | | | 31 | | | | 31 | | | | 33 | |
| Kraft Heinz Foods Co., 4.3%, 3/1/31 | | (d) (j) (k) | | Food | | | 35 | | | | 35 | | | | 39 | |
| Kraft Heinz Foods Co., 5.0%, 6/4/42 | | (d) (j) | | Food | | | 47 | | | | 43 | | | | 53 | |
| L Brands, Inc., 9.4%, 7/1/25 | | (d) (k) | | Retail | | | 31 | | | | 31 | | | | 35 | |
| L Brands, Inc., 6.7%, 1/15/27 | | (d) (j) | | Retail | | | 16 | | | | 14 | | | | 16 | |
| Liberty Interactive LLC, 4.0%, 11/15/29 | | (d) (j) | | Media Entertainment | | | 251 | | | | 181 | | | | 179 | |
| Marriott Ownership Resorts, Inc., 4.8%, 1/15/28 | | (d) (k) | | Lodging | | | 54 | | | | 55 | | | | 50 | |
| MEDNAX, Inc., 6.3%, 1/15/27 | | (d) (j) (k) | | Healthcare-Services | | | 59 | | | | 61 | | | | 62 | |
| Methanex Corp., 5.3%, 12/15/29 | | (d) (j) | | Chemicals | | | 218 | | | | 208 | | | | 211 | |
| MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 4.6%, 6/15/25 | | (d) (j) (k) | | Real Estate Investment Trusts | | | 8 | | | | 8 | | | | 8 | |
| MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.8%, 2/1/27 | | (d) (j) | | Real Estate Investment Trusts | | | 166 | | | | 176 | | | | 180 | |
| Michaels Stores, Inc., 8.0%, 7/15/27 | | (d) (j) (k) | | Retail | | | 61 | | | | 59 | | | | 57 | |
| Natural Resource Partners LP/NRP Finance Corp., 9.1%, 6/30/25 | | (d) (j) (k) | | Coal | | | 182 | | | | 180 | | | | 154 | |
| Navient Corp., 5.6%, 8/1/33 | | (d) (j) | | Diversified Financial Services | | | 81 | | | | 67 | | | | 69 | |
| Nine Energy Service, Inc., 8.8%, 11/1/23 | | (d) (j) (k) | | Oil & Gas Services | | | 33 | | | | 33 | | | | 15 | |
| Noble Energy, Inc., 5.1%, 11/15/44 | | (d) (j) | | Oil & Gas | | | 18 | | | | 13 | | | | 24 | |
| NOVA Chemicals Corp., 5.3%, 6/1/27 | | (d) (j) (k) | | Chemicals | | | 86 | | | | 86 | | | | 81 | |
| NuStar Logistics LP, 5.6%, 4/28/27 | | (d) (j) | | Pipelines | | | 15 | | | | 14 | | | | 15 | |
| Occidental Petroleum Corp., 2.7%, 2/15/23 | | (d) (j) | | Oil & Gas | | | 23 | | | | 19 | | | | 22 | |
| Occidental Petroleum Corp., 3.5%, 6/15/25 | | (d) (j) | | Oil & Gas | | | 30 | | | | 22 | | | | 28 | |
| Occidental Petroleum Corp., 3.4%, 4/15/26 | | (d) (j) | | Oil & Gas | | | 66 | | | | 49 | | | | 60 | |
| Occidental Petroleum Corp., 3.2%, 8/15/26 | | (d) (j) | | Oil & Gas | | | 27 | | | | 19 | | | | 25 | |
| Occidental Petroleum Corp., 3.0%, 2/15/27 | | (d) (j) | | Oil & Gas | | | 80 | | | | 58 | | | | 71 | |
| Occidental Petroleum Corp., 8.5%, 7/15/27 | | (d) (j) | | Oil & Gas | | | 29 | | | | 29 | | | | 32 | |
| Occidental Petroleum Corp., 3.5%, 8/15/29 | | (d) (j) | | Oil & Gas | | | 65 | | | | 51 | | | | 58 | |
| OneMain Finance Corp., 7.1%, 3/15/26 | | (d) (j) | | Diversified Financial Services | | | 39 | | | | 41 | | | | 46 | |
| OneMain Finance Corp., 6.6%, 1/15/28 | | (d) (j) | | Diversified Financial Services | | | 12 | | | | 12 | | | | 14 | |
| Parsley Energy LLC/Parsley Finance Corp., 5.4%, 1/15/25 | | (d) (j) (k) | | Oil & Gas | | | 14 | | | | 13 | | | | 14 | |
| Parsley Energy LLC/Parsley Finance Corp., 5.3%, 8/15/25 | | (d) (j) (k) | | Oil & Gas | | | 16 | | | | 14 | | | | 16 | |
| Parsley Energy LLC/Parsley Finance Corp., 5.6%, 10/15/27 | | (d) (j) (k) | | Oil & Gas | | | 72 | | | | 60 | | | | 76 | |
| Post Holdings, Inc., 5.5%, 12/15/29 | | (d) (j) (k) | | Food | | | 86 | | | | 91 | | | | 94 | |
| PTC, Inc., 4.0%, 2/15/28 | | (d) (j) (k) | | Software | | | 33 | | | | 33 | | | | 35 | |
| Puerto Rico Commonwealth Aqueduct & Sewer Auth., 6.2%, 7/1/38 | | (d) (j) | | Municipal | | | 5 | | | | 4 | | | | 5 | |
| Puerto Rico Electric Power Authority, 5.4%, 1/1/18 | | (d) (g) (h) (j) | | Municipal | | | 5 | | | | 4 | | | | 3 | |
| Puerto Rico Electric Power Authority, 0.0%, 7/1/18 | | (d) (g) (h) (n) | | Municipal | | | 5 | | | | 3 | | | | 3 | |
| Puerto Rico Electric Power Authority, 0.0%, 7/1/20 | | (d) (g) (h) (n) | | Municipal | | | 15 | | | | 11 | | | | 9 | |
| Puerto Rico Electric Power Authority, 10.0%, 1/1/21 | | (d) (g) (h) | | Municipal | | | 8 | | | | 8 | | | | 6 | |
| Puerto Rico Electric Power Authority, 10.0%, 7/1/21 | | (d) (g) (h) | | Municipal | | | 8 | | | | 8 | | | | 6 | |
| Puerto Rico Electric Power Authority, 5.5%, 7/1/21 | | (d) (g) (h) (j) | | Municipal | | | 5 | | | | 4 | | | | 3 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2020 (in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | | Amortized
Cost | | | Fair
Value(c) | |
| Puerto Rico Electric Power Authority, 10.0%, 1/1/22 | | (d) (g) (h) | | Municipal | | $ | 2 | | | $ | 2 | | | $ | 2 | |
| Puerto Rico Electric Power Authority, 10.0%, 7/1/22 | | (d) (g) (h) | | Municipal | | | 2 | | | | 2 | | | | 2 | |
| Puerto Rico Electric Power Authority, 5.0%, 7/1/25 | | (d) (g) (h) (j) | | Municipal | | | 5 | | | | 4 | | | | 3 | |
| Puerto Rico Electric Power Authority, 5.0%, 7/1/27 | | (d) (g) (h) (j) | | Municipal | | | 5 | | | | 4 | | | | 3 | |
| Puerto Rico Electric Power Authority, 5.3%, 7/1/27 | | (d) (g) (h) | | Municipal | | | 145 | | | | 91 | | | | 100 | |
| Puerto Rico Electric Power Authority, 5.0%, 7/1/28 | | (d) (g) (h) (j) | | Municipal | | | 5 | | | | 4 | | | | 3 | |
| Puerto Rico Electric Power Authority, 5.3%, 7/1/28 | | (d) (g) (h) | | Municipal | | | 5 | | | | 3 | | | | 3 | |
| Puerto Rico Electric Power Authority, 5.0%, 7/1/29 | | (d) (g) (h) | | Municipal | | | 130 | | | | 81 | | | | 89 | |
| Puerto Rico Electric Power Authority, 0.9%, 7/1/31 (3 mo. USD LIBOR + 0.7%) | | (d) (g) (h) (l) | | Municipal | | | 15 | | | | 11 | | | | 9 | |
| Puerto Rico Electric Power Authority, 5.3%, 7/1/33 | | (d) (g) (h) (j) | | Municipal | | | 50 | | | | 39 | | | | 35 | |
| Puerto Rico Electric Power Authority, 6.8%, 7/1/36 | | (d) (g) (h) (j) | | Municipal | | | 15 | | | | 12 | | | | 11 | |
| Puerto Rico Electric Power Authority, 5.3%, 7/1/40 | | (d) (g) (h) (j) | | Municipal | | | 10 | | | | 7 | | | | 7 | |
| Puerto Rico Public Buildings Auth., 5.3%, 7/1/42 | | (d) (g) (h) (j) | | Municipal | | | 55 | | | | 39 | | | | 38 | |
| Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 4.3%, 7/1/40 | | (d) (j) | | Municipal | | | 106 | | | | 105 | | | | 111 | |
| Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 0.0%, 7/1/46 | | (d) (j) (n) | | Municipal | | | 374 | | | | 90 | | | | 109 | |
| Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 0.0%, 7/1/51 | | (d) (j) (n) | | Municipal | | | 84 | | | | 17 | | | | 18 | |
| Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 4.8%, 7/1/53 | | (d) (j) | | Municipal | | | 24 | | | | 22 | | | | 26 | |
| Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 4.8%, 7/1/53 | | (d) (j) | | Municipal | | | 3 | | | | 2 | | | | 3 | |
| Puerto Rico Sales Tax Financing Corp. Sales Tax Rev., 4.5%, 7/1/53 | | (d) (j) | | Municipal | | | 7 | | | | 6 | | | | 7 | |
| Quicken Loans, Inc., 5.3%, 1/15/28 | | (d) (j) (k) | | Diversified Financial Services | | | 76 | | | | 78 | | | | 82 | |
| Science Applications International Corp., 4.9%, 4/1/28 | | (d) (j) (k) | | Computers | | | 37 | | | | 37 | | | | 39 | |
| SES GLOBAL Americas Holdings GP, 5.3%, 3/25/44 | | (d) (j) (k) | | Telecommunications | | | 12 | | | | 11 | | | | 13 | |
| SES SA, 5.3%, 4/4/43 | | (d) (j) (k) | | Telecommunications | | | 7 | | | | 7 | | | | 7 | |
| SESI LLC, 7.1%, 12/15/21 | | (d) (k) | | Oil & Gas Services | | | 117 | | | | 106 | | | | 47 | |
| Shelf Drill Holdings Ltd., 8.3%, 2/15/25 | | (d) (j) (k) | | Oil & Gas | | | 173 | | | | 154 | | | | 66 | |
| Sinclair Television Group, Inc., 5.9%, 3/15/26 | | (d) (j) (k) | | Media Entertainment | | | 7 | | | | 7 | | | | 7 | |
| Sinclair Television Group, Inc., 5.1%, 2/15/27 | | (d) (j) (k) | | Media Entertainment | | | 43 | | | | 40 | | | | 42 | |
| Sirius XM Radio, Inc., 5.0%, 8/1/27 | | (d) (j) (k) | | Media Entertainment | | | 33 | | | | 34 | | | | 35 | |
| Sirius XM Radio, Inc., 5.5%, 7/1/29 | | (d) (j) (k) | | Media Entertainment | | | 2 | | | | 2 | | | | 2 | |
| Southern California Edison Co., 6.3% 2/1/22 (fixed, converts to FRN on 2/1/22) | | (d) (j) (l) (m) | | Electric | | | 60 | | | | 60 | | | | 60 | |
| Sprint Capital Corp., 6.9%, 11/15/28 | | (d) (j) | | Telecommunications | | | 32 | | | | 37 | | | | 42 | |
| Sprint Corp., 7.6%, 3/1/26 | | (d) (j) | | Telecommunications | | | 34 | | | | 40 | | | | 43 | |
| SRC Energy, Inc., 6.3%, 12/1/25 | | (d) | | Oil & Gas | | | 83 | | | | 81 | | | | 75 | |
| Standard Industries, Inc., 4.8%, 1/15/28 | | (d) (j) (k) | | Building Materials | | | 4 | | | | 4 | | | | 4 | |
| SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/25 | | (d) (j) (k) | | Coal | | | 67 | | | | 67 | | | | 62 | |
| Tapestry, Inc., 4.3%, 4/1/25 | | (d) (j) | | Apparel | | | 54 | | | | 47 | | | | 55 | |
| Tapestry, Inc., 4.1%, 7/15/27 | | (d) (j) | | Apparel | | | 46 | | | | 38 | | | | 44 | |
| Teck Resources Ltd., 6.3%, 7/15/41 | | (d) (j) | | Mining | | | 26 | | | | 28 | | | | 29 | |
| Teva Pharmaceutical Finance Netherlands II B.V., 4.5%, 3/1/25 | | (d) (j) | | Pharmaceuticals | | € | 100 | | | | 105 | | | | 119 | |
| TransDigm, Inc., 5.5%, 11/15/27 | | (d) | | Aerospace/Defense | | $ | 72 | | | | 53 | | | | 68 | |
| UniCredit SpA, 5.5%, 6/30/35 (fixed, converts to FRN on 6/30/35) | | (d) (j) (k) (l) | | Commercial Banks | | | 200 | | | | 200 | | | | 206 | |
| Vail Resorts, Inc., 6.3%, 5/15/25 | | (d) (j) (k) | | Entertainment | | | 33 | | | | 33 | | | | 36 | |
| Valaris Plc, 7.4%, 6/15/25 | | (d) (g) (h) (j) | | Oil & Gas | | | 6 | | | | 3 | | | | 1 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2020 (in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | | Amortized
Cost | | | Fair
Value(c) | |
| Valaris Plc, 7.8%, 2/1/26 | | (d) | | Oil & Gas | | $ | 23 | | | $ | 22 | | | $ | 1 | |
| Viking Cruises Ltd., 5.9%, 9/15/27 | | (d) (j) (k) | | Leisure Time | | | 29 | | | | 29 | | | | 19 | |
| Vistra Operations Co. LLC, 5.5%, 9/1/26 | | (d) (j) (k) | | Electric | | | 13 | | | | 13 | | | | 14 | |
| Vistra Operations Co. LLC, 5.6%, 2/15/27 | | (d) (j) (k) | | Electric | | | 40 | | | | 42 | | | | 43 | |
| Vistra Operations Co. LLC, 5.0%, 7/31/27 | | (d) (j) (k) | | Electric | | | 59 | | | | 61 | | | | 63 | |
| Western Midstream Operating LP, 4.1%, 2/1/25 | | (d) (j) | | Pipelines | | | 34 | | | | 28 | | | | 34 | |
| Western Midstream Operating LP, 4.7%, 7/1/26 | | (d) (j) | | Pipelines | | | 28 | | | | 23 | | | | 29 | |
| Western Midstream Operating LP, 4.5%, 3/1/28 | | (d) (j) | | Pipelines | | | 18 | | | | 14 | | | | 18 | |
| Western Midstream Operating LP, 4.8%, 8/15/28 | | (d) (j) | | Pipelines | | | 3 | | | | 2 | | | | 3 | |
| Western Midstream Operating LP, 5.1%, 2/1/30 | | (d) (j) | | Pipelines | | | 48 | | | | 37 | | | | 49 | |
| Williams Companies, Inc., 6.3%, 4/15/40 | | (d) (j) | | Pipelines | | | 101 | | | | 107 | | | | 131 | |
| Williams Companies, Inc., 5.4%, 3/4/44 | | (d) (j) | | Pipelines | | | 4 | | | | 3 | | | | 5 | |
| WPX Energy, Inc., 5.8%, 6/1/26 | | (d) (j) | | Oil & Gas | | | 8 | | | | 5 | | | | 8 | |
| WPX Energy, Inc., 5.3%, 10/15/27 | | (d) (j) | | Oil & Gas | | | 19 | | | | 14 | | | | 19 | |
| WPX Energy, Inc., 4.5%, 1/15/30 | | (d) (j) | | Oil & Gas | | | 30 | | | | 16 | | | | 28 | |
| XPO CNW, Inc., 6.7%, 5/1/34 | | (d) (j) | | Transportation | | | 42 | | | | 41 | | | | 44 | |
| XPO Logistics, Inc., 6.3%, 5/1/25 | | (d) (j) (k) | | Transportation | | | 27 | | | | 29 | | | | 29 | |
| Total Unsecured Bonds | | | | | | | | | | $ | 7,320 | | | $ | 7,465 | |
| Collateralized Loan Obligation (CLO) / Structured Credit—8.8% | | | | | | | | | | | |
| Accunia European CLO I B.V., 2.7%, 7/15/30 (3 mo. EURIBOR + 2.7%) | | (d) (k) (l) | | EUR CLO | | € | 250 | | | $ | 284 | | | $ | 292 | |
| Accunia European CLO III DAC, 3.1%, 1/20/31 (3 mo. EURIBOR + 3.1%) | | (d) (l) | | EUR CLO | | | 100 | | | | 108 | | | | 109 | |
| AlbaCore EURO CLO I DAC, 3.9%, 7/18/31 (3 mo. EURIBOR + 3.9%) | | (d) (k) (l) | | EUR CLO | | | 250 | | | | 275 | | | | 293 | |
| Ares XXXVII CLO Ltd., 2.9%, 10/15/30 (3 mo. USD LIBOR + 2.7%) | | (d) (k) (l) | | USD CLO | | $ | 250 | | | | 247 | | | | 226 | |
| Ares XXXVR CLO Ltd., 3.3%, 7/15/30 (3 mo. USD LIBOR + 3.0%) | | (d) (k) (l) | | USD CLO | | | 250 | | | | 250 | | | | 230 | |
| Avoca CLO XX DAC, 3.9%, 7/15/32 (3 mo. EURIBOR + 3.9%) | | (d) (l) | | USD CLO | | € | 100 | | | | 110 | | | | 114 | |
| Black Diamond CLO 2014-1 Ltd., 5.6%, 10/17/26 (3 mo. USD LIBOR + 5.3%) | | (d) (j) (l) | | USD CLO | | $ | 250 | | | | 249 | | | | 207 | |
| CVP Cascade CLO-2 Ltd., 4.1%, 7/18/26 (3 mo. USD LIBOR + 3.8%) | | (d) (k) (l) | | USD CLO | | | 250 | | | | 250 | | | | 238 | |
| Erna Srl, 2.3%, 7/25/31 (3 mo. EURIBOR + 2.3%) | | (d) (l) | | EUR CLO | | € | 191 | | | | 213 | | | | 224 | |
| Euro-Galaxy VII CLO DAC, 4.0%, 4/25/32 (3 mo. EURIBOR + 4.0%) | | (d) (l) | | EUR CLO | | | 100 | | | | 110 | | | | 115 | |
| Jubilee CLO 2017-XVIII B.V., 3.1%, 1/15/30 (3 mo. EURIBOR + 3.1%) | | (d) (l) | | EUR CLO | | | 100 | | | | 114 | | | | 110 | |
| Man GLG US CLO 2018-2 Ltd., 3.8%, 10/15/28 (3 mo. USD LIBOR + 3.5%) | | (d) (k) (l) | | USD CLO | | $ | 250 | | | | 249 | | | | 228 | |
| Preferred Term Securities XXI Ltd./Preferred Term Securities XXI, Inc., 0.7%, 3/22/38 (3 mo. USD LIBOR + 0.4%) | | (d) (k) (l) | | USD CDO | | | 205 | | | | 167 | | | | 144 | |
| Preferred Term Securities XXVI Ltd./Preferred Term Securities XXVI, Inc., 0.7%, 9/22/37 (3 mo. USD LIBOR + 0.4%) | | (d) (k) (l) | | USD CDO | | | 93 | | | | 75 | | | | 58 | |
| Sudbury Mill CLO Ltd., 3.8%, 1/17/26 (3 mo. USD LIBOR + 3.5%) | | (d) (k) (l) | | USD CLO | | | 250 | | | | 249 | | | | 241 | |
| Trinitas CLO VII Ltd., 3.7%, 1/25/31 (3 mo. USD LIBOR + 3.5%) | | (d) (k) (l) | | USD CLO | | | 250 | | | | 229 | | | | 223 | |
| Tymon Park CLO DAC, 6.8%, 1/21/29 (3 mo. EURIBOR + 6.8%) | | (d) (l) | | EUR CLO | | € | 100 | | | | 113 | | | | 105 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2020 (in thousands, except share and per share amounts)
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | | Amortized
Cost | | | Fair
Value(c) | |
WhiteHorse VIII Ltd., 2.6%, 5/1/26
(3 mo. USD LIBOR + 2.0%) | | (d) (k) (l) | | USD CLO | | $ | 250 | | | $ | 231 | | | $ | 243 | |
| Total Collateralized Loan Obligation / Structured Credit | | | | | | | | | | $ | 3,523 | | | $ | 3,400 | |
| Portfolio Company(a) | | Footnotes | | Industry | | Principal
Amount(b) | | | Amortized
Cost | | | Fair
Value(c) | |
| Emerging Markets Debt—0.4% | | | | | | | | | | | | | | | | |
| Petroleos Mexicanos, 6.5%, 1/23/27 | | (d) (j) | | Oil & Gas | | $ | 154 | | | $ | 142 | | | $ | 147 | |
| Petroleos Mexicanos, 6.8%, 1/23/30 | | (d) (j) | | Oil & Gas | | | 30 | | | | 27 | | | | 28 | |
| Total Emerging Markets Debt | | | | | | | | | | $ | 169 | | | $ | 175 | |
| Portfolio Company(a) | | Footnotes | | Industry | | Number of
Shares | | | Cost(b) | | | Fair
Value(c) | |
| | | |
| Convertible Preferred Stocks—0.0% | | | | | | | | | | | | | | | | |
| Northern Oil and Gas, Inc., 6.5% | | (d) (k) (m) | | Oil & Gas | | | 234 | | | $ | 24 | | | $ | 11 | |
| Total Convertible Preferred Stocks | | | | | | | | | | $ | 24 | | | $ | 11 | |
| | | | | | | | | | | | | | | | | |
| Common Equity—0.3% | | | | | | | | | | | | | | | | |
| Hexion Holdings Corp., Class B | | (d) (g) | | Chemicals | | | 2,691 | | | $ | 35 | | | $ | 18 | |
| Hexion Holdings Corp., Warrants | | (d) (g) | | Chemicals | | | 2,976 | | | | 42 | | | | 21 | |
| Quorum Health Corp. | | (d) (g) | | Healthcare-Services | | | 6,237 | | | | 63 | | | | 62 | |
| Total Common Equity | | | | | | | | | | $ | 140 | | | $ | 101 | |
| Portfolio Company(a) | | Footnotes | | Yield | | Number of
Shares | | | Cost(b) | | | Fair
Value(c) | |
| Short-Term Investments—5.4% |
| State Street Institutional Treasury Plus Money Market Fund - Premier Class | | (o) | | 0.11 | % | | 2,082,000 | | | $ | 2,082 | | | $ | 2,082 | |
| Total Short-Term Investments | | | | | | | | | | $ | 2,082 | | | $ | 2,082 | |
| TOTAL INVESTMENTS—94.1% | | | | | | | | | | $ | 36,903 | | | $ | 36,482 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES—5.9%(p) | | | | | | | | | | | | | | | 2,310 | |
| NET ASSETS—100.0% | | | | | | | | | | | | | | $ | 38,792 | |
| | | | | | | | | | | | | | | | | |
| Shares outstanding at period end (Class A) | | | | | | | | | | | | | | | 848,659 | |
| Net asset value per common share at period end (Class A) | | | | | | | | | | | | | | $ | 11.94 | |
| Shares outstanding at period end (Class I) | | | | | | | | | | | | | | | 2,403,511 | |
| Net asset value per common share at period end (Class I) | | | | | | | | | | | | | | $ | 11.93 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2020 (in thousands, except share and per share amounts)
| Forward Foreign Currency Exchange Contracts |
| |
| Counterparty | | Contract
Settlement
Date | | Currency
to be
Received | | Value | | | Currency
to be
Delivered | | Value | | | Unrealized
Appreciation | | Unrealized
Depreciation | |
| Bank of America, N.A. | | 12/16/20 | | USD | | | 10 | | | EUR | | | 9 | | | $ | — | | | $ | 1 | |
| Bank of America, N.A. | | 12/16/20 | | USD | | | 4 | | | EUR | | | 4 | | | | — | | | | — | |
| JPMorgan Chase Bank, N.A. | | 12/16/20 | | USD | | | 96 | | | EUR | | | 86 | | | | — | | | | 5 | |
| JPMorgan Chase Bank, N.A. | | 12/16/20 | | USD | | | 112 | | | EUR | | | 100 | | | | — | | | | 6 | |
| JPMorgan Chase Bank, N.A. | | 12/16/20 | | USD | | | 38 | | | EUR | | | 34 | | | | — | | | | 2 | |
| State Street Bank and Trust Company | | 12/16/20 | | USD | | | 19 | | | EUR | | | 16 | | | | — | | | | — | |
| State Street Bank and Trust Company | | 12/16/20 | | USD | | | 40 | | | EUR | | | 34 | | | | — | | | | 1 | |
| State Street Bank and Trust Company | | 12/16/20 | | GBP | | | 66 | | | USD | | | 82 | | | | 5 | | | | — | |
| State Street Bank and Trust Company | | 12/16/20 | | EUR | | | 64 | | | USD | | | 72 | | | | 3 | | | | — | |
| State Street Bank and Trust Company | | 12/16/20 | | EUR | | | 63 | | | USD | | | 71 | | | | 3 | | | | — | |
| State Street Bank and Trust Company | | 12/16/20 | | EUR | | | 230 | | | USD | | | 263 | | | | 9 | | | | — | |
| State Street Bank and Trust Company | | 12/16/20 | | USD | | | 239 | | | EUR | | | 213 | | | | — | | | | 13 | |
| State Street Bank and Trust Company | | 12/16/20 | | USD | | | 98 | | | EUR | | | 87 | | | | — | | | | 5 | |
| State Street Bank and Trust Company | | 12/16/20 | | USD | | | 44 | | | EUR | | | 39 | | | | — | | | | 2 | |
| State Street Bank and Trust Company | | 12/16/20 | | USD | | | 103 | | | GBP | | | 82 | | | | — | | | | 4 | |
| State Street Bank and Trust Company | | 12/16/20 | | USD | | | 90 | | | EUR | | | 80 | | | | — | | | | 4 | |
| State Street Bank and Trust Company | | 12/16/20 | | USD | | | 286 | | | EUR | | | 250 | | | | — | | | | 9 | |
| State Street Bank and Trust Company | | 12/16/20 | | USD | | | 208 | | | EUR | | | 181 | | | | — | | | | 6 | |
| Total Forward Foreign Currency Exchange Contracts | | | | | | $ | 20 | | | $ | 58 | |
| Description | | Number of
Contracts | | | Position | | | Expiration
Date | | Notional
Amount | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
| Interest Rate Futures | | | | | | | | | | | | | | | | | | | | | | |
| U.S 10-Year Treasury Note | | | 1 | | | | Short | | | 9/21/20 | | $ | 139 | | | $ | — | | | $ | 1 | |
| Total Interest Rate Futures Contracts | | | | | | | | | | | | | | $ | — | | | $ | 1 | |
| 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 (0.10375%) | | | 3 Month USD LIBOR | | | EUR 116 | | USD131 | | 3/29/21 | | Quarterly | | $ | (4 | ) | | $ | — | | | $ | 4 | |
| JPMorgan Chase Bank, N.A. | | 3 Month EURIBOR plus a spread of (0.176%) | | | 3 Month USD LIBOR | | | EUR 275 | | USD310 | | 7/12/21 | | Quarterly | | | (14 | ) | | | — | | | | 14 | |
| JPMorgan Chase Bank, N.A. | | 3 Month EURIBOR plus a spread of (0.1435%) | | | 3 Month USD LIBOR | | | EUR 900 | | USD1,024 | | 12/3/23 | | Quarterly | | | (35 | ) | | | — | | | | 35 | |
| Total Cross-Currency Swaps | | | | | | | | | | | $ | (53 | ) | | $ | — | | | $ | 53 | |
See notes to unaudited consolidated schedule of investments.
FS Multi-Alternative Income Fund
Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2020 (in thousands, except share and per share amounts)
| (a) | Security may be an obligation of one or more entities affiliated with the named company. |
| | |
| (b) | Denominated in U.S. dollars unless otherwise noted. |
| | |
| (c) | Fair value is determined by the board of trustees of FS Multi-Alternative Income (the “Fund”). 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) | Security held in Fund’s wholly-owned subsidiary, FS Multi Alternative Credit LLC. |
| | |
| (e) | 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 July 31, 2020, the one-month, three-month and six-month London Interbank Offered Rate (“LIBOR” or “L”) was 0.15%, 0.25% and 0.31%, respectively, the three-month Euro Interbank Offered Rate (“EURIBOR” or “E”) was (0.46)%, and the U.S. Prime Lending Rate (“Prime” or “P”) was 3.25%. |
| | |
| (f) | Position or portion thereof unsettled as of July 31, 2020. |
| | |
| (g) | Security is non-income producing. |
| | |
| (h) | Security is in default. |
| | |
| (i) | 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. |
| | |
| (j) | 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 July 31, 2020, there were no securities rehypothecated by BNP. |
| | |
| (k) | 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 $8,275, which represents approximately 21.3% of net assets as of July 31, 2020. |
| | |
| (l) | Variable rate security. The stated interest rate represents the rate in effect at July 31, 2020. |
| | |
| (m) | The security has a perpetual maturity; the date displayed is the next call date. |
| | |
| (n) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| | |
| (o) | Rate represents the seven-day yield as of July 31, 2020. |
| | |
| (p) | Includes the effect of forward foreign currency exchange contracts, futures contracts and swap contracts. |
| 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 July 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 July 31, 2020:
| | | Amortized
Cost(1) | | | Fair
Value | | | Percentage
of Portfolio | |
| Real Estate Funds | | $ | 15,000 | | | $ | 15,789 | | | | 43% | |
| Senior Secured Loans—First Lien | | | 4,529 | | | | 3,602 | | | | 10% | |
| Senior Secured Loans—Second Lien | | | 300 | | | | 146 | | | | 1% | |
| Senior Secured Bonds | | | 3,816 | | | | 3,711 | | | | 10% | |
| Unsecured Bonds | | | 7,320 | | | | 7,465 | | | | 20% | |
| Collateralized Loan Obligation (CLO) / Structured Credit | | | 3,523 | | | | 3,400 | | | | 9% | |
| Emerging Markets Debt | | | 169 | | | | 175 | | | | 1% | |
| Convertible Preferred Stocks | | | 24 | | | | 11 | | | | 0% | |
| Common Equity | | | 140 | | | | 101 | | | | 0% | |
| Short-Term Investments | | | 2,082 | | | | 2,082 | | | | 6% | |
| Total | | $ | 36,903 | | | $ | 36,482 | | | | 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 it owned more than 25% of its voting securities or had the power to exercise control over the management or policies of such portfolio company, and would be an “affiliated person” of a portfolio company if it owned 5% or more of its voting securities.
As of July 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. As of July 31, 2020, the Fund had unfunded commitments of $7.
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. The Fund maintains sufficient cash on hand, available borrowings and liquid securities to fund any unfunded commitments should the need arise.
FS Multi-Alternative Income Fund
Notes to Unaudited Consolidated Schedule of Investments (continued)
As of July 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 July 31, 2020:
| Industry Classification | | Fair
Value | | | Percentage
of Portfolio | |
| Real Estate | | $ | 16,152 | | | | 44% | |
| Telecommunications | | | 1,998 | | | | 6% | |
| USD CLO | | | 1,950 | | | | 5% | |
| Oil & Gas | | | 1,605 | | | | 4% | |
| EUR CLO | | | 1,248 | | | | 3% | |
| Pipelines | | | 999 | | | | 3% | |
| Pharmaceuticals | | | 834 | | | | 2% | |
| Retail | | | 781 | | | | 2% | |
| Chemicals | | | 767 | | | | 2% | |
| Electric | | | 625 | | | | 2% | |
| Municipal | | | 614 | | | | 2% | |
| Healthcare-Services | | | 551 | | | | 2% | |
| Media Entertainment | | | 527 | | | | 1% | |
| Computers | | | 453 | | | | 1% | |
| Food | | | 401 | | | | 1% | |
| Entertainment | | | 377 | | | | 1% | |
| Leisure Time | | | 375 | | | | 1% | |
| Other | | | 4,143 | | | | 12% | |
| Short-Term Investments | | | 2,082 | | | | 6% | |
| Total | | $ | 36,482 | | | | 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.
FS Multi-Alternative Income Fund
Notes to Unaudited Consolidated Schedule of Investments (continued)
As of July 31, 2020 (in thousands)
As of July 31, 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 | | $ | — | | | $ | 3,602 | | | $ | — | | | $ | 3,602 | |
| Senior Secured Loans—Second Lien | | | — | | | | 146 | | | | — | | | | 146 | |
| Senior Secured Bonds | | | — | | | | 3,711 | | | | — | | | | 3,711 | |
| Unsecured Bonds | | | — | | | | 7,465 | | | | — | | | | 7,465 | |
| CLO/Structured Credit | | | — | | | | 3,400 | | | | — | | | | 3,400 | |
| Emerging Markets Debt | | | — | | | | 175 | | | | — | | | | 175 | |
| Convertible Preferred Stocks | | | 11 | | | | — | | | | | | | | 11 | |
| Common Equity | | | 101 | | | | — | | | | — | | | | 101 | |
| Short-Term Investments | | | 2,082 | | | | — | | | | — | | | | 2,082 | |
| Subtotal | | | 2,194 | | | | 18,499 | | | | — | | | | 20,693 | |
| Real Estate Funds | | | — | | | | — | | | | — | | | | 15,789 | |
| Total Investments | | | 2,194 | | | | 18,499 | | | | — | | | | 36,482 | |
| Forward Foreign Currency Exchange Contracts | | | — | | | | 20 | | | | — | | | | 20 | |
| Total Assets | | $ | 2,194 | | | $ | 18,519 | | | | — | | | $ | 36,502 | |
| | | | | | | | | | | | | | | | | |
Liability Description | | | | | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (58 | ) | | | — | | | $ | (58 | ) |
| Future Contracts | | | (1 | ) | | | — | | | | — | | | | (1 | ) |
| Cross-Currency Swaps | | | — | | | | (53 | ) | | | — | | | | (53 | ) |
| Total Liabilities | | $ | (1 | ) | | $ | (111 | ) | | | — | | | $ | (112 | ) |
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.
