Blackstone/GSO Senior Floating Rate Term Fund
Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22393

Blackstone / GSO Senior Floating Rate Term Fund

(exact name of Registrant as specified in charter)

345 Park Avenue, 31st Floor

New York, New York 10154

(Address of principal executive offices) (Zip code)

(Name and address of agent for service)

Marisa Beeney

345 Park Avenue, 31st Floor

New York, New York 10154

Registrant’s telephone number, including area code: (800) 831-5776

Date of fiscal year end:    December 31

Date of reporting period:  January 1, 2013 – June 30, 2013


Table of Contents
Item 1. Report to Stockholders.


Table of Contents

LOGO

 


Table of Contents

Table of Contents

 

 

Manager Commentary

     1   

Financial Data

  

Blackstone / GSO Senior Floating Rate Term Fund

     3   

Blackstone / GSO Long- Short Credit Income Fund

     4   

Blackstone / GSO Strategic Credit Fund

     6   

Portfolio of Investments

  

Blackstone / GSO Senior Floating Rate Term Fund

     7   

Blackstone / GSO Long- Short Credit Income Fund

     15   

Blackstone / GSO Strategic Credit Fund

     23   

Statements of Assets and Liabilities

     33   

Statements of Operations

     34   

Statements of Changes in Net Assets

     35   

Statements of Cash Flows

     36   

Financial Highlights

  

Blackstone / GSO Senior Floating Rate Term Fund

     37   

Blackstone / GSO Long- Short Credit Income Fund

     39   

Blackstone / GSO Strategic Credit Fund

     40   

Notes to Financial Statements

     41   

Summary of Dividend Reinvestment Plan

     54   

Additional Information

     55   

Approval of Investment Advisory Agreement

     58   

Trustees & Officers

     61   

 

 

 


Table of Contents
Blackstone / GSO Funds   Manager Commentary
 

 

June 30, 2013 (Unaudited)

 

To our shareholders:

Market Update

Recent signals by Federal Reserve Chairman Bernanke regarding the tapering of its long standing program of quantitative easing (“QE”) roiled financial markets beginning in mid-May. Positive market technicals and floating interest rates provided senior loans with only partial immunity to the bout of volatility. But, by the second week of June, loan prices largely rebounded as cash flowed to loan mutual funds and ETFs and the Fed moderated its rhetoric. The Credit Suisse Leveraged Loan Index (“CSLLI”) returned 2.8% YTD, outpacing high yield, investment grade, and U.S. Treasuries, which returned 1.5%, -3.4%, and -4.9%, respectively. Lower quality loans have consistently outperformed; the Lower Tier (CCC/Default) segment of the CSLLI returned 6.0% while the Middle Tier (Split BB/B) and Upper Tier (Split BBB/BB) components returned 3.0% and 1.7%, respectively.

Loan and high yield bond spreads widened moderately overall during Q2 after tightening in early May. On a relative value basis, we continue to favor loans over high yield bonds. Loan spreads, as measured by the 3-year discount margin, widened 22 basis points during Q2 after compressing 56 basis points during Q1. Loan spreads ended the period at 521 basis points, still wide of the 453 basis points 20-year historical average. Conversely, high yield spreads widened 34 basis points to 541 basis points, but remained inside the 589 basis points historical average.

Corporate credit fundamentals remain strong so leveraged finance asset price movements continue to be “all about the technicals.” Healthy demand from institutional and retail investors has allowed loan prices to remain relatively stable compared to other fixed income investment alternatives. CLO buyers represented the largest percentage of buyers in the new issue loan market at 58%, followed by retail investors (26%), hedge funds (8%), and insurance/finance companies (8%), for the first half of 2013. At the end of June, loan mutual funds had experienced 54 consecutive weekly inflows including 22 consecutive weeks that brought in $800 million or more of fresh cash to the market, accumulating year-to-date total inflow to a record $32 billion for that period. High yield mutual funds, however, did not fare as well. After the Fed announcement of QE tapering in May, high yield mutual funds experienced five consecutive weekly outflows aggregating $12.3 billion. June’s monthly outflow of $9.5 billion greatly exceeded June 2011’s previous high of $7.1 billion.

Although the unique technical market environment put pressure on loan prices during Q2 particularly as high yield investors sold loans to meet redemptions, we believe loans and high yield bonds continue to benefit from healthy credit fundamentals. High yield bond and loan default volumes fell to a two-year low of $2.5 billion in Q2 compared to $6.8 billion at the end of Q1. The par-weighted loan default rate declined marginally to 1.3% at the end of Q2 from 1.7% at the end of Q1, well below the 3.8% 20-year historical average.

Blackstone / GSO Senior Floating Rate Term Fund, Performance

Blackstone / GSO Senior Floating Rate Term Fund (“BSL”) is a closed-end fund that trades on the New York Stock Exchange under the symbol “BSL.” BSL’s primary investment objective is to seek high current income, with a secondary objective to seek preservation of capital, consistent with its primary goal of high current income. Under normal market conditions, BSL invests at least 80% of its total assets in senior, secured floating rate loans (“Senior Loans”). BSL may also invest in second-lien loans and high yield bonds, and employs financial leverage with may increase risk to BSL.

As of June 30, 2013, BSL held over 90% of its Managed Assets in first and second-lien secured bank loans and approximately 5% in high yield bonds with the remainder held in cash. BSL’s investments represented the obligations of 182 companies diversified across 28 distinct industries, average position size represented 0.5% of Managed Assets and the top five industry groups represented 48% of total holdings of BSL. Diversification across industries was generally consistent with their respective representations in the U.S. economy as a whole. High Tech Industries and Healthcare and Pharmaceuticals represented the top industry weightings. In light of the sequester and the increased scrutiny placed on all providers of goods or services to, or reimbursed by, the federal government, we remain very cautious and look to closely manage our exposure to healthcare, government related IT services and defense industries.

BSL outperformed its key benchmark, the CSLLI, on a Net Asset Value (“NAV”) basis for the three-year period ended June 30, 2013 and its life since inception, but underperformed the benchmark for the three-month, six-month, and one-year periods ended June 30, 2013. We attribute the underperformance in BSL to its minimal allocation to lower rated assets (those rated CCC or below). As stated earlier, the six-month performance of the Lower Tier of the CSLLI was double that of the Middle Tier. We believe that maintaining a higher credit quality in the portfolio is more appropriate than investing in riskier, but higher yielding, assets given the current market environment. BSL traded at an average premium to NAV of 7.26% for the six-month reporting period. Assets acquired with borrowings under BSL’s long-term leverage facility were accretive to earnings and changes in the market value of the underlying portfolio. For more details regarding the leverage employed, please see Note 9, “Leverage,” in this report.

Blackstone / GSO Long-Short Credit Income Fund, Performance

Blackstone / GSO Long Short Credit Income Fund (“BGX”) is a closed-end fund that trades on the New York Stock Exchange under the symbol “BGX.” BGX’s primary investment objective is to provide current income, with a secondary objective of capital appreciation. BGX takes long positions in

 

  

 

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Table of Contents
Blackstone / GSO Funds   Manager Commentary
 

 

June 30, 2013 (Unaudited)

 

investments which we believe offer the potential for attractive returns under various economic and interest rate environments. BGX may also take short positions in investments that we believe will under-perform due to a greater sensitivity to earnings growth of the issuer, default risk or the general level and direction of interest rates. BGX must hold no less than 70% of its Managed Assets in secured floating rate loans (“Secured Loans”), but may also invest in unsecured loans and high yield bonds. BGX may use financial leverage and derivatives in employing its long strategy for up to a total of 130% of net assets. As of June 30, 2013, approximately 75% of BGX’s assets were invested, either directly or via a total return swap arrangement, in Secured Loans and 25% were invested in high yield bonds. In the aggregate, these investments represented the direct obligations of 157 companies diversified across 26 distinct industries, with an average position representing 0.6% of Managed Assets. The top five industry groups represented 47% of total holdings of BGX. BGX carried no short positions as of June 30, 2013.

BGX outperformed its benchmark, a composite weighting of the CSLLI and the Credit Suisse High Yield Index (“CSHYI”) (70% senior loans, 30% high yield bonds), for the three-month, six-month and one-year periods ended June 30, 2013 and its life since inception on a NAV basis. The Fund traded at an average premium to NAV of 1.08% for the six-month reporting period.

Blackstone / GSO Strategic Credit Fund, Performance

Blackstone / GSO Strategic Credit Fund, (“BGB”) is a closed-end fund that trades on the New York Stock Exchange under the symbol “BGB.” BGB’s primary investment objective is to seek high current income, with a secondary objective to seek preservation of capital. BGB invests primarily in a diversified portfolio of loans and other fixed income instruments of predominantly U.S. corporate issuers, including first- and second-lien loans (“Senior Secured Loans”) and high yield corporate bonds of varying maturities. BGB must hold no less than 80% of its Managed Assets in credit investments comprised of corporate fixed income instruments and other investments with similar economic characteristics.

As of June 30, 2013, approximately 76% of BGB’s assets were invested in Senior Secured Loans and 22% were invested in high yield bonds. In the aggregate, these investments represent the direct obligations of 266 companies diversified across 26 distinct industries, with an average position representing 0.33% of Managed Assets. The top five industry groups represented 47% of total holdings of BGB.

BGB outperformed its benchmark, a composite weighting of the CSLLI and the CSHYI (75% senior loans, 25% high yield bonds), for the six-month period ended June 30, 2013 and its life since inception, but underperformed the benchmark for the three-month period ended June 30, 2013 on a NAV basis. Similar to BSL, we attribute the underperformance in BGB to its minimal allocation to lower rated assets. BGB traded at an average premium to NAV of 0.25% for the six-month period ended June 30, 2013.

In Conclusion:

Credit fundamentals, as we have noted earlier, remain strong. The Federal Reserve has indicated that while its zero interest rate policy will remain undisturbed, it is likely to begin tapering its bond purchases. These policy changes should bode well for senior loans generally and some high yield bonds. We believe that the portfolios of our three closed-end funds are well positioned to take advantage of current and expected market conditions.

We thank you again and as always for your confidence and continued investment in our family of funds. We look forward to continued communications, and will keep you apprised of the progress of the funds specifically and the leveraged finance market place generally. Additional information about our funds is available on our website at www.blackstone-gso.com.

GSO / Blackstone Debt Funds Management LLC

 

 

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Table of Contents
Blackstone / GSO Senior Floating Rate Term Fund    Financial Data
  

 

June 30, 2013 (Unaudited)

 

BSL’s Portfolio Composition

 

 

LOGO

BSL’s Moody’s Rating Distribution

 

 

LOGO

Portfolio Characteristics

Weighted Average Loan Spread^

   5.06%    

Current Dividend Yield

   6.59%    

Weighted Average Days to Reset (Loans)

   63    

Average Position*

   0.49%    

Leverage*

   33.07%    

Top 10 Holdings*

    

U.S. Foods, Inc., Senior Secured First Lien Term Loan

   1.42%    

Sheridan Production Partners LP, Senior Secured Tranche B-2 First Lien Term Loan [PRT I]

   1.19%    

Sedgwick Holdings, Inc., Senior Secured Second Lien Term B Loan

   1.16%    

BBTS Borrower LP, Senior Secured First Lien Term Loan

   1.14%    

Sports Authority, Inc. (aka TSA), Senior Secured First Lien Term B Loan

   1.12%    

Chrysler Group LLC, Senior Secured First Lien Tranche B Term Loan

   1.10%    

Hupah Finance, Inc., Senior Secured First Lien Initial Term Loan

   1.09%    

Smile Brands Group, Inc., Senior Secured First Lien Term B Loan

   1.09%    

Advantage Sales & Marketing, Inc., Senior Secured Second Lien Term Loan

   1.09%    

Valeant Pharmaceuticals International, Inc., Senior Secured First Lien Series E Tranche B Term Loan

   1.08%    

Top 10 Holdings

   11.48%    

Portfolio holdings and distributions are subject to change and are not recommendations to buy or sell any security.

 

^ 

Spread over LIBOR inclusive of LIBOR floors.

 

Using current dividend rate of $0.11/share and market price per share as of June 30, 2013.

* 

As a percentage of Managed Assets.

Top 5 Industries*

High Tech Industries

  12.77%    

Healthcare and Pharmaceuticals

  11.07%    

Services - Business

  8.98%    

Retail

  8.20%    

Energy, Oil and Gas

  6.90%    

BSL Total Return

 

     3
Month
    6
Month
    1
Year
    3
Year
    Since
Inception
 

NAV

    0.13     2.36     7.48     7.54     7.19

Market Price

    -1.98     1.27     13.02     7.24     7.01

CS Leveraged Loan Index

    0.43     2.81     7.64     6.86     6.60

 

* 

As a percentage of Managed Assets.

 

Annualized.

Total investment return is calculated assuming a purchase of a common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any.

An investment in the Fund involves risk, including the loss of principal. Total return, market price, current dividend yield and NAV will fluctuate with changes in market conditions. This data is provided for information purposes only and is not intended for trading purposes. Holdings are subject to change daily.

Performance data quoted represents past performance and does not guarantee future results.

Credit Suisse Leveraged Loan Index is an unmanaged market value-weighted index designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market. New issues are added to the index on their effective date if they qualify according to the following criteria: loan facilities must be rated “BB” or lower; only fully-funded term loan facilities are included; and issuers must be domiciled in developed countries. An index does not show actual investment returns or reflect payment of management or brokerage fees, which would lower the index’s performance. Indices are unmanaged and should not be considered an investment. It is not possible to invest directly in an index. The performance of the index does not represent generally the performance of any investment.

 

 

  

 

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Table of Contents

Blackstone / GSO Long-Short Credit Income Fund

  Financial Data
 

 

June 30, 2013 (Unaudited)

 

BGX’s Portfolio Composition

 

 

LOGO

 

+ 

Includes 5.94% invested in Secured Loans through total return swaps.

++

The Fund’s Net Cash and Other Assets Less Liabilities includes amounts payable for investments purchased but not yet settled and amounts receivable for investments sold but not yet settled. At period end, the amounts payable for investments purchased but not yet settled exceeded the amount of cash on hand, and the Fund’s Net Cash and Other Assets Less Liabilities therefore equaled -0.73% of the Fund’s Managed Assets. The Fund uses funds from its securities lending program to settle amounts payable for investments purchased, but such funds are not reflected in the Fund’s net cash.

BGX’s Moody’s Rating Distribution

 

 

LOGO

Portfolio Characteristics

 

Weighted Average Loan Spread^

  5.09%    

Weighted Average Bond Coupon

  8.53%    

Current Dividend Yield

  6.60%    

Weighted Average Days to Reset

  59    

Average Position*

  0.56%    

Long Positions**

  124.61%    

Short Positions**

  0.00%    

Net Positions**

  100.00%    

Leverage**

  25.42%    

Portfolio holdings and distributions are subject to change and are not recommendations to buy or sell any security.

 

^ 

Spread over LIBOR inclusive of LIBOR floors

 

Using current dividend rate of $0.108/share and market price per share as of June 30, 2013.

* 

As a percentage of Managed Assets.

** 

As a percentage of Net Assets.

Top 10 Holdings*

Resolute Energy Corp., Senior Unsecured Bond

   1.63%    

Armored AutoGroup, Inc. (fka Viking Acquisition, Inc. (aka Global AutoCare)), Senior Secured First Lien Term B Loan

   1.63%    

Hupah Finance, Inc., Senior Secured First Lien Initial Term Loan

   1.61%    

Drumm Investors LLC (aka Golden Living), Senior Secured First Lien Term Loan

   1.59%    

Presidio, Inc., Senior Secured First Lien Term Loan

   1.55%    

Del Monte Foods Co., Senior Unsecured Bond

   1.50%    

U.S. Foods, Inc., Senior Secured First Lien Term Loan

   1.49%    

Kronos, Inc. (aka Seahawk Acquisition Corp.), Senior Secured First Lien Incremental Term Loan

   1.35%    

Sensus U.S.A., Inc. (fka Sensus Metering Systems), Senior Secured Second Lien Term Loan

   1.25%    

Fibertech Networks LLC (aka Firefox), Senior Secured First Lien Term Loan

   1.17%    

Top 10 Holdings

   14.77%    

Top 5 Industries*

High Tech Industries

  11.59%    

Energy, Oil and Gas

  10.26%    

Retail

  8.79%    

Services - Business

  8.70%    

Healthcare and Pharmaceuticals

  7.99%    

BGX Total Return

 

     3
Month
    6
Month
    1
Year
    Since
Inception
 

NAV

    0.20     3.22     8.90     6.59

Market Price

    1.94     8.46     15.39     6.23

70% CS Leveraged Loan Index, 30% CS High Yield Index

    -0.11     2.43     8.11     5.88

 

* 

As a percentage of Managed Assets.

 

Annualized.

Total investment return is calculated assuming a purchase of a common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any.

An investment in the Fund involves risk, including the loss of principal. Total return, market price, current dividend yield and NAV will fluctuate with changes in market conditions. This data is provided for information purposes only and is not intended for trading purposes. Holdings are subject to change daily.

Performance data quoted represents past performance and does not guarantee future results.

 

 

 

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Table of Contents
Blackstone / GSO Long-Short Credit Income Fund    Financial Data
  

 

June 30, 2013 (Unaudited)

 

Credit Suisse Leveraged Loan Index is an unmanaged market value-weighted index designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market. New issues are added to the index on their effective date if they qualify according to the following criteria: loan facilities must be rated “BB” or lower; only fully-funded term loan facilities are included; and issuers must be domiciled in developed countries. Credit Suisse High Yield Index is an unmanaged market value-weighted index designed to mirror the investable universe of the U.S. dollar-denominated high yield debt market. New issues are added to the index upon issuance if they qualify according to the following criteria: issues must be publicly registered in the United States or issued under Rule 144A with registration rights; issues must be rated “BB” or lower; the minimum amount outstanding is $75 million; and issues must be U.S. dollar-denominated straight corporate debt, including cash-pay, zero-coupon, stepped-rate and pay-in-kind (PIK) bonds. Floating-rate and convertible bonds and preferred stock are not included; if an issuer has more than two issues outstanding, only the two most liquid issues are included in the index. An index does not show actual investment returns or reflect payment of management or brokerage fees, which would lower the index’s performance. Indices are unmanaged and should not be considered an investment. It is not possible to invest directly in an index. The performance of the index does not represent generally the performance of any investment.

 

  

 

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Table of Contents

Blackstone / GSO Strategic Credit Fund

  Financial Data
 

 

June 30, 2013 (Unaudited)

 

BGB’s Portfolio Composition

 

 

LOGO

 

BGB’s Moody’s Rating Distribution

 

 

 

LOGO

Portfolio Characteristics

Weighted Average Loan Spread^

   5.51%    

Weighted Average Bond Coupon

   7.41%    

Current Dividend Yield

   7.44%    

Weighted Average Days to Reset on Loans

   60    

Average Position*

   0.33%    

Leverage*

   31.48%    

Top 10 Holdings*

Smart & Final Stores LLC, Senior Secured First Lien Term Loan

   1.23%    

Blackboard, Inc., Senior Secured First Lien Term B-2 Loan

   1.04%    

Custom Building Products, Inc., Senior Secured First Lien Term Loan

   1.04%    

Bway Corp. (aka ICL Industrial Containers), Senior Secured First Lien Term B Loan

   0.98%    

John Henry Holdings, Inc. (aka Multi Packaging Solutions), Senior Secured First Lien Term Loan

   0.97%    

Pinnacle Operating Corp., Senior Secured First Lien Term B Loan

   0.90%    

BBTS Borrower LP, Senior Secured First Lien Term Loan

   0.86%    

U.S. Foods, Inc., Senior Secured First Lien Term Loan

   0.83%    

Collective Brands Finance, Inc. (aka Payless ShoeSource), Senior Secured First Lien Term Loan

   0.83%    

Delta Airlines, Inc., Senior Secured First Lien Term B1 Loan

   0.81%    

Top 10 Holdings

   9.49%    

Portfolio holdings and distributions are subject to change and are not recommendations to buy or sell any security.

 

^ 

Spread over LIBOR inclusive of LIBOR floors.

 

Using current dividend rate of $0.117/share and market price per share as of June 30, 2013.

* 

As a percentage of Managed Assets.

Top 5 Industries*

High Tech Industries

  12.55%    

Energy, Oil and Gas

  10.01%    

Healthcare and Pharmaceuticals

  8.70%    

Retail

  8.36%    

Telecommunications

  7.48%    

* As a percentage of Managed Assets.

BGB Total Return

 

     3
Month
    6
Month
    Since
Inception
 

NAV

    -0.13     2.95     4.73

Market Price

    -4.33     5.49     -0.93

75% CS Leveraged Loan Index, 25% CS High Yield Index

    -0.02     2.49     4.54

Total investment return is calculated assuming a purchase of a common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any.

An investment in the Fund involves risk, including the loss of principal. Total return, market price, current dividend yield and NAV will fluctuate with changes in market conditions. This data is provided for information purposes only and is not intended for trading purposes. Holdings are subject to change daily.

Performance data quoted represents past performance and does not guarantee future results.

Credit Suisse Leveraged Loan Index is an unmanaged market value-weighted index designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market. New issues are added to the index on their effective date if they qualify according to the following criteria: loan facilities must be rated “BB” or lower; only fully-funded term loan facilities are included; and issuers must be domiciled in developed countries. Credit Suisse High Yield Index is an unmanaged market value-weighted index designed to mirror the investable universe of the U.S. dollar-denominated high yield debt market. New issues are added to the index upon issuance if they qualify according to the following criteria: issues must be publicly registered in the United States or issued under Rule 144A with registration rights; issues must be rated “BB” or lower; the minimum amount outstanding is $75 million; and issues must be U.S. dollar-denominated straight corporate debt, including cash-pay, zero-coupon, stepped-rate and pay-in-kind (PIK) bonds. Floating-rate and convertible bonds and preferred stock are not included; if an issuer has more than two issues outstanding, only the two most liquid issues are included in the index. An index does not show actual investment returns or reflect payment of management or brokerage fees, which would lower the index’s performance. Indices are unmanaged and should not be considered an investment. It is not possible to invest directly in an index. The performance of the index does not represent generally the performance of any investment.

 

 

 

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Table of Contents
Blackstone /GSO Senior Floating Rate Term Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

 

     Moody’s Rating      Principal
Amount
     Market Value  

FLOATING RATE LOAN INTERESTS(a) - 138.30%

        

Aerospace and Defense - 4.15%

        

Booz Allen Hamilton, Inc., Senior Secured Tranche B First Lien Initial Term Loan, 4.500%, 7/27/2019

     Ba2         $2,991,589         $2,996,271   

Camp Systems International Holdings Co., Senior Secured First Lien Refinance Term Loan, 5.250%, 05/31/2019

     B1         583,824         590,876   

DAE Aviation Holdings, Inc., Senior Secured First Lien Term B-1 Loan, 6.250%, 11/02/2018

     B3         1,086,452         1,091,885   

DAE Aviation Holdings, Inc., Senior Secured First Lien Term B-2 Loan, 6.250%, 11/02/2018

     B3         492,525         494,988   

Landmark Aviation (LM U.S. Member LLC), Senior Secured First Lien Canadian Term Loan, 5.750%, 10/25/2019

     B3         194,336         196,036   

Landmark Aviation (LM U.S. Member LLC), Senior Secured First Lien Initial Term Loan, 5.750%, 10/25/2019

     B3         2,293,164         2,313,229   

Landmark Aviation (LM U.S. Member LLC), Senior Secured Second Lien Initial Term Loan, 9.500%, 10/26/2020

     B3         521,739         528,913   

PRV Aerospace LLC, Senior Secured First Lien Term Loan, 6.500%, 05/09/2018

     B3         454,217         456,204   

Sequa Corp., Senior Secured First Lien Term Loan, 5.250%, 06/19/2017

     B2         3,446,202         3,460,556   
        

 

 

 
           12,128,958   
        

 

 

 

Automotive - 3.26%

        

Affinia Group, Inc., Senior Secured Tranche B-2 First Lien Term Loan, 4.750%, 04/27/2020

     B3         1,888,889         1,886,528   

Chrysler Group LLC, Senior Secured First Lien Tranche B Term Loan, 4.250%, 05/24/2017

     Ba2         4,788,655         4,814,107   

Jason, Inc., Senior Secured First Lien Term Loan, 5.000%, 02/28/2019

     B1         1,955,556         1,960,445   

TI Group Automotive Systems LLC, Senior Secured First Lien Additional Term Loan, 5.500%, 03/28/2019

     Ba3         863,221         873,476   
        

 

 

 
           9,534,556   
        

 

 

 

Banking, Finance, and Real Estate - 4.26%

        

Alliant Holdings I, Inc., Senior Secured First Lien Term Loan, 5.000%, 12/20/2019

     B2         2,931,696         2,937,193   

AmWins Group LLC, Senior Secured First Lien Term B Loan, 5.000%, 09/06/2019

     B2         1,980,050         1,990,782   

Asurion LLC, Senior Secured Tranche B-1 First Lien Incremental Term Loan, 4.500%, 05/24/2019

     Ba2         3,242,870         3,219,359   

Cunningham Lindsey Corp., Senior Secured First Lien Term Loan, 5.000%, 12/10/2019

     B1         2,985,000         2,985,000   

First Data Corp., Senior Secured First Lien Term B Loan, 4.193%, 09/24/2018

     B1         545,455         532,615   

SNL Financial LC, Senior Secured First Lien Term Loan, 5.500%, 10/23/2018

     B2         786,364         787,838   
        

 

 

 
           12,452,787   
        

 

 

 

Beverage, Food and Tobacco - 4.71%

        

Advance Pierre Foods, Inc., Senior Secured First Lien Term Loan, 5.750%, 07/10/2017

     B1         1,617,568         1,626,666   

Brasa Holdings, Inc., Senior Secured First Lien Term Loan, 7.500%, 07/22/2019

     B1         2,150,417         2,177,297   

Roundy’s Supermarkets, Inc., Senior Secured Tranche B First Lien Term Loan, 5.750%, 02/13/2019

     B1         828,429         809,789   

Supervalu, Inc., Senior Secured First Lien Term Loan, 5.000%, 03/21/2019

     B3         2,966,330         2,953,353   

U.S. Foods, Inc., Senior Secured First Lien Term Loan, 4.500%, 03/31/2019

     B3         6,248,933         6,197,379   
        

 

 

 
           13,764,484   
        

 

 

 

Capital Equipment - 2.83%

        

BakerCorp International, Inc., Senior Secured First Lien Replacement Term Loan, 4.250%, 02/07/2020

     Ba3         2,992,500         2,982,221   

Sensus U.S.A., Inc. (fka Sensus Metering Systems), Senior Secured First Lien Term Loan, 4.750%, 05/09/2017

     Ba2         592,424         592,611   

Sensus U.S.A., Inc. (fka Sensus Metering Systems), Senior Secured Second Lien Term Loan, 8.500%, 05/09/2018

     Ba2         4,714,286         4,702,500   
        

 

 

 
           8,277,332   
        

 

 

 

 

  

 

Semi-Annual Report  |  June 30, 2013

   7


Table of Contents
Blackstone /GSO Senior Floating Rate Term Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

Chemicals, Plastics and Rubber - 3.65%

        

Berry Plastics Corp., Senior Secured First Lien Term D Loan, 3.500%, 02/08/2020

     B2         $2,737,043         $2,711,985   

Pinnacle Operating Corp., Senior Secured First Lien Term B Loan, 4.750%, 11/15/2018

     B2         3,074,215         3,077,089   

PQ Corp., Senior Secured First Lien Term Loan, 4.500%, 05/08/2017

     B1         1,990,000         1,995,224   

Taminco Global Chemical Corp., Senior Secured First Lien Tranche B-2 Term Loan, 4.250%, 02/15/2019

     B1         379,822         381,169   

U.S. Coastings Aquisition, Inc., Senior Secured First Lien Initial Term B Loan, 4.750%, 02/01/2020

     B2         2,511,189         2,515,282   
        

 

 

 
           10,680,749   
        

 

 

 

Construction and Building - 2.60%

        

Custom Building Products, Inc., Senior Secured First Lien Term Loan, 6.000%, 12/16/2019

     B1         3,766,925         3,781,050   

Genarac Power Systems, Inc., Senior Secured First Lien Term B Facility Loan, 3.500%, 05/29/2020

     B2         1,679,405         1,671,008   

SRS Distribution, Inc., Senior Secured First Lien Term Loan, 4.750%, 09/02/2019

     B2         2,157,895         2,147,105   
        

 

 

 
           7,599,163   
        

 

 

 

Consumer Goods Durable - 4.51%

        

AOT Bedding Super Holdings LLC (aka National Bedding/Serta), Senior Secured First Lien Term B Loan, 5.000%, 10/01/2019

     B2         2,700,000         2,704,050   

Apex Tool Group LLC, Senior Secured First Lien Term Loan, 4.500%, 01/31/2020

     B2         1,067,961         1,070,097   

Fender Musical Instruments Corp., Senior Secured First Lien Initial Term Loan, 5.750%, 04/03/2019

     B2         476,190         477,874   

Hupah Finance, Inc., Senior Secured First Lien Initial Term Loan, 4.500%, 01/21/2019

     B2         4,764,435         4,776,370   

MModal, Inc., Senior Secured First Lien Term B Loan, 7.500%, 08/15/2019

     Ba3         3,558,769         3,476,490   

Spectrum Brands, Inc., Senior Secured First Lien Term B Loan, 4.500%, 12/17/2019

     Ba3         688,810         692,255   
        

 

 

 
           13,197,136   
        

 

 

 

Consumer Goods Non Durable - 3.31%

        

Acosta, Inc., Senior Secured First Lien Term D Loan, 5.000%, 03/01/2018

     B1         2,303,957         2,322,193   

Armored AutoGroup, Inc. (fka Viking Acquisition, Inc. (aka Global Autocare)), Senior Secured First Lien Term B Loan, 6.000%, 11/05/2016

     Ba3         1,738,364         1,732,384   

Inmar, Inc., Senior Secured First Lien Term Loan, 6.500%, 08/12/2018

     B1         2,890,867         2,894,480   

Totes Isotoner Corp., Senior Secured First Lien Delayed Draw Term Loan, 7.250%, 07/07/2017

     B3         256,289         257,090   

Totes Isotoner Corp., Senior Secured First Lien Initial Term Loan, 7.250%, 07/07/2017

     B3         2,471,714         2,479,438   
        

 

 

 
           9,685,585   
        

 

 

 

Containers, Packaging and Glass - 3.29%

        

Berlin Packaging LLC, Senior Secured First Lien Term Loan, 4.750%, 04/02/2019

     B1         1,774,194         1,780,847   

John Henry Holdings, Inc. (aka Multi Packaging Solutions), Senior Secured First Lien Term Loan, 6.000%, 12/06/2018

     B2         3,980,000         4,019,800   

Ranpak Corp., Senior Secured First Lien Term Loan, 4.500%, 04/23/2019

     Ba3         488,372         489,593   

Reynolds Group Holdings, Inc., Senior Secured First Lien Term Loan, 4.750%, 09/28/2018

     B1         1,519,002         1,525,488   

WNA Holdings, Inc., Senior Secured First Lien Term Loan, 4.500%, 05/21/2020

     B2         1,800,000         1,791,000   
        

 

 

 
           9,606,728   
        

 

 

 

Energy Electricity - 1.77%

        

GIM Channelview Cogeneration LLC, Senior Secured First Lien Term Loan, 4.250%, 05/08/2020

     Ba3         610,169         614,239   

La Frontera Generation LLC, Senior Secured First Lien Term Loan, 4.500%, 09/30/2020

     B1         1,700,680         1,691,123   

Star West Generation LLC, Senior Secured First Lien Term B Advance Loan, 4.250%, 03/13/2020

     Ba3         1,546,148         1,554,846   

 

 

8

   www.blackstone-gso.com


Table of Contents
Blackstone / GSO Senior Floating Rate Term Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

Energy Electricity (continued)

        

Topaz Power Holdings LLC, Senior Secured First Lien Term Loan, 5.250%, 02/26/2020

     B1         $1,304,918         $1,306,875   
        

 

 

 
           5,167,083   
        

 

 

 

Energy, Oil and Gas - 9.25%

        

BBTS Borrower LP, Senior Secured First Lien Term Loan, 7.750%, 06/04/2019

     Caa1         4,987,500         4,968,797   

CITGO Petroleum Corp., Senior Secured First Lien Term B Loan, 8.000%, 06/24/2015

     Ba2         414,286         417,393   

CITGO Petroleum Corp., Senior Secured First Lien Term C Loan, 9.000%, 06/26/2017

     Ba2         1,270,725         1,294,951   

Crestwood Holdings LLC, Senior Secured First Lien Term Loan, 7.000%, 05/24/2019

     Caa1         2,745,098         2,772,549   

Everest Acquisition LLC, Senior Secured First Lien Tranche B-3 Term Loan, 3.500%, 05/24/2018

     Ba3         1,666,667         1,655,558   

Philadelphia Energy Solutions Refining & Marketing LLC, Senior Secured First Lien Term Loan, 6.250%, 04/04/2018

     B1         925,926         923,611   

Samson Investment Co., Senior Secured Second Lien Initial Term Loan, 6.000%, 09/25/2018

     B1         735,294         735,294   

Sheridan Production Partners LP, Senior Secured Tranche B-2 First Lien Term Loan [PRT I], 5.000%, 10/01/2019

     B1         5,189,909         5,176,931   

Sheridan Production Partners LP, Senior Secured Tranche B-2 First Lien Term Loan [PRT I-A], 5.000%, 10/01/2019

     B1         687,705         685,986   

Sheridan Production Partners LP, Senior Secured Tranche B-2 First Lien Term Loan, 5.000%, 10/01/2019

     B1         420,055         419,004   

Stallion Oilfield Holdings, Inc., Senior Secured First Lien Term Loan, 8.000%, 06/18/2018

     B3         1,000,000         1,006,250   

Tallgrass Energy Partners LP, Senior Secured First Lien Term Loan, 5.250%, 11/13/2018

     Ba3         1,770,163         1,782,342   

Teine Energy Ltd., Senior Secured First Lien Term Loan, 7.500%, 05/17/2019

     NR         2,743,125         2,722,552   

Utex Industries, Inc., Senior Secured First Lien Term Loan, 4.750%, 04/10/2020

     B3         810,811         808,447   

W3 Co., Senior Secured First Lien Term Loan, 5.750%, 03/13/2020

     B1         1,666,630         1,677,047   
        

 

 

 
           27,046,712   
        

 

 

 

Environmental Industries - 2.59%

        

ADS Waste Holdings, Inc., Senior Secured Tranche B First Lien Term Loan, 4.250%, 10/09/2019

     B2         2,548,768         2,546,220   

PSC Industrial Outsourcing LP, Senior Secured First Lien Term Loan, 7.250%, 07/29/2016

     B1         3,997,494         4,014,143   

Tervita Corp., Senior Secured First Lien Term Loan, 6.250%, 05/15/2018

     B2         997,500         996,253   
        

 

 

 
           7,556,616   
        

 

 

 

Forest Products and Paper - 0.68%

        

Appvion, Inc., Senior Secured First Lien Term Loan, 5.750%, 06/04/2019

     B2         2,000,000         1,995,000   
        

 

 

 

Healthcare and Pharmaceuticals - 15.86%

        

Ardent Medical Services, Inc., Senior Secured First Lien Term Loan, 6.750%, 07/02/2018

     B1         1,919,488         1,938,693   

BSN Medical, Inc., Senior Secured First Lien Term B1 Loan, 5.000%, 08/28/2019

     B2         4,684,756         4,719,892   

CHG Buyer Corp., Senior Secured First Lien Term Loan, 5.000%, 11/19/2019

     B2         740,364         744,758   

Convatec, Inc. (aka Cidron Healthcare, Ltd.), Senior Secured First Lien Dollar Term Loan, 5.000%, 12/22/2016

     Ba3         2,657,210         2,677,803   

Drumm Investors LLC (aka Golden Living), Senior Secured First Lien Term Loan, 5.000%, 05/04/2018

     B1         2,918,141         2,812,358   

Hologic, Inc., Senior Secured First Lien Term B Loan, 4.500%, 07/19/2019

     Baa3         1,214,067         1,219,300   

Iasis Healthcare LLC, Senior Secured First Lien Term B-2 Loan, 4.500%, 05/03/2018

     Ba2         2,774,393         2,773,700   

Immucor, Inc., Senior Secured First Lien Term B-2 Loan, 5.000%, 08/17/2018

     Ba3         1,999,192         2,010,188   

Kinetic Concepts, Inc., Senior Secured First Lien Term D-2 Loan, 4.000%, 11/04/2016

     Ba2         1,696,755         1,698,876   

National Mentor Holdings, Inc., Senior Secured Tranche B-1 First Lien Term Loan, 6.500%, 02/09/2017

     Ba3         2,977,172         3,002,478   

National Specialty Hospitals, Inc., Senior Secured First Lien Initial Term Loan, 8.250%, 02/03/2017

     B2         2,432,888         2,432,888   

Onex Carestream Finance LP, Senior Secured First Lien Term Loan, 5.000%, 06/07/2019

     B1         4,409,855         4,369,196   

 

  

 

Semi-Annual Report  |  June 30, 2013

   9


Table of Contents
Blackstone / GSO Senior Floating Rate Term Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

Healthcare and Pharmaceuticals (continued)

        

Pharmaceutical Product Development, Inc. (Jaguar AKA PPDI), Senior Secured First Lien Term B Loan, 4.250%, 12/05/2018

     B2         $2,187,396         $2,194,035   

Sheridan Holdings, Inc., Senior Secured First Lien Initial Term Loan, 4.500%, 06/29/2018

     B1         2,325,218         2,333,937   

Smile Brands Group, Inc., Senior Secured First Lien Term B Loan, 7.000%, 12/21/2017

     Ba3         4,849,733         4,764,887   

Surgery Center Holdings, Inc., Senior Secured First Lien Term Loan, 6.000%, 04/11/2019

     B1         1,931,471         1,942,287   

Valeant Pharmaceuticals International, Inc., Senior Secured First Lien Series E Tranche B Term Loan, 4.500%, 06/26/2020

     Ba1         4,736,842         4,726,776   
        

 

 

 
           46,362,052   
        

 

 

 

High Tech Industries - 17.41%

        

Aspect Software, Inc., Senior Secured Tranche B First Lien Term Loan, 7.000%, 05/09/2016

     Ba3         2,707,494         2,714,263   

Audio Visual Services Group, Senior Secured First Lien Term Loan, 6.750%, 11/9/2018

     B1         1,887,423         1,906,297   

Blackboard, Inc., Senior Secured First Lien Term B-2 Loan, 6.250%, 10/04/2018

     B1         2,977,538         3,012,285   

Blue Coat Systems, Inc., Senior Secured First Lien Term Loan, 4.500%, 05/31/2019

     B2         3,488,750         3,478,563   

CompuCom Systems, Inc., Senior Secured First Lien Term Loan, 4.250%, 05/11/2020

     B2         1,315,789         1,297,697   

Excelitas Technologies, Inc. (fka IDS Acquisition), Senior Secured First Lien Term B Loan, 5.000%, 11/29/2016

     B1         1,978,745         1,981,218   

Hyland Software, Inc., Senior Secured First Lien Term Loan, 5.500%, 10/25/2019

     B2         1,957,377         1,967,771   

Ion Trading Technologies S.A.R.L., Senior Secured First Lien Tranche B-1 Term Loan, 4.500%, 05/22/2020

     B3         2,812,500         2,804,288   

Kronos, Inc. (aka Seahawk Acquisition Corp.), Senior Secured First Lien Incremental Term Loan, 4.500%, 10/30/2019

     B1         3,808,448         3,826,538   

Presidio, Inc., Senior Secured First Lien Term Loan, 5.750%, 03/31/2017

     B1         3,851,105         3,822,222   

Shield Finance Co. S.A.R.L. (aka Sophos PLC), Senior Secured First Lien Term B-2 Incremental Loan, 6.500%, 05/10/2019

     B2         1,455,882         1,457,702   

Ship U.S. Bidco, Inc., (aka RBS WorldPay), Senior Secured First Lien Facility B2A Term Loan, 5.250%, 11/30/2017

     Ba2         1,522,144         1,533,941   

Six3 Systems, Inc., Senior Secured First Lien Term B Loan, 7.000%, 10/04/2019

     B2         2,290,814         2,336,630   

Sophia LP, Senior Secured First Lien Additional Term B Loan, 4.500%, 07/19/2018

     Ba3         3,086,074         3,097,646   

Spansion, Inc., Senior Secured First Lien Term Loan, 5.250%, 12/13/2018

     Ba3         2,413,873         2,429,720   

Technicolor S.A., Senior Secured First Lien Term A2 Facility Loan, 6.750%, 05/26/2016

     B3         810,149         818,254   

Technicolor S.A., Senior Secured First Lien Term B2 Facility Loan, 7.750%, 05/26/2017

     B3         1,816,153         1,834,324   

Vertafore, Inc., Senior Secured First Lien Term Loan, 4.250%, 10/03/2019

     B1         3,910,236         3,926,855   

Vertafore, Inc., Senior Secured Second Lien Term Loan, 9.750%, 10/27/2017

     B1         3,000,000         3,082,500   

Wall Street Systems Holdings, Inc., Senior Secured First Lien Term Loan, 5.750%, 10/25/2019

     Ba3         3,553,571         3,561,354   
        

 

 

 
           50,890,068   
        

 

 

 

Hotels, Gaming and Leisure - 5.15%

        

Alpha Topco Ltd. (Formula One), Senior Secured First Lien New Facility Term B Loan, 4.500%, 04/30/2019

     B2         3,847,737         3,848,699   

CCM Merger, Inc., (aka MotorCity Casino), Senior Secured First Lien Term B Loan, 5.000%, 03/01/2017

     B3         1,240,157         1,249,923   

Centaur LLC, Senior Secured First Lien Term Loan, 5.250%, 02/20/2019

     B1         2,930,833         2,927,170   

Corner Investment Propco LLC, Senior Secured First Lien Term B Loan, 11.000%, 11/04/2019

     B3         1,000,000         1,030,000   

Mood Media Corp., Senior Secured First Lien Term Loan, 7.000%, 05/07/2018

     Ba3         3,314,815         3,320,002   

Peninsula Gaming LLC, Senior Secured First Lien Term Loan, 4.250%, 08/03/2017

     B2         1,309,211         1,311,665   

Six Flags Theme Parks, Inc., Senior Secured Tranche B First Lien Term Loan, 4.000%, 12/20/2018

     B1         1,347,155         1,356,417   
        

 

 

 
           15,043,876   
        

 

 

 

Media Advertising, Printing and Publishing - 3.01%

        

Cenveo Corp., Senior Secured First Lien Term B Loan, 6.250%, 02/13/2017

     Ba3         1,578,323         1,582,766   

Getty Images, Inc., Senior Secured First Lien Initial Term Loan, 4.750%, 10/18/2019

     B1         1,990,000         1,970,926   

InfoGroup, Inc., Senior Secured First Lien Term B Loan, 7.500%, 05/28/2018

     B1         1,201,758         1,095,101   

 

 

10

   www.blackstone-gso.com


Table of Contents
Blackstone / GSO Senior Floating Rate Term Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

Media Advertising, Printing and Publishing (continued)

        

RBS Holding Co. LLC, Senior Secured First Lien Term B Loan, 9.500%, 03/23/2017

     B1         $2,940,000         $1,058,400   

SGS International, Inc. (aka Southern Graphics/Logo Merger Sub), Senior Secured First Lien Term Loan, 5.000%, 10/17/2019

     B1         3,067,917         3,079,437   
        

 

 

 
           8,786,630   
        

 

 

 

Media Broadcasting and Subscription - 5.05%

        

Barrington Broadcasting Group LLC, Senior Secured Tranche 2 First Lien Term Loan, 7.500%, 06/14/2017

     B2         963,158         962,560   

Entercom Radio LLC, Senior Secured First Lien Term B Loan, 5.000%, 11/23/2018

     B2         1,483,984         1,501,050   

FoxCo Acquisition Sub. LLC, Senior Secured First Lien Term Loan, 5.500%, 07/14/2017

     B1         1,261,325         1,275,522   

Hubbard Radio LLC, Senior Secured First Lien Term Loan, 4.500%, 04/29/2019

     Ba3         2,348,028         2,359,768   

Kabel Deutschland Vertrieb Und Service Gmbh & Co., Senior Secured First Lien Facility F1 Term Loan, 3.250%, 02/01/2019

     Ba2         1,000,000         999,150   

MCC Iowa, Inc., Senior Secured Tranche G First Lien Term Loan, 4.000%, 08/15/2020

     B1         1,985,000         1,995,550   

NEP/NCP Holdco, Inc., Senior Secured First Lien Term Loan, 4.750%, 01/22/2020

     B1         500,279         503,824   

RCN Corp., Senior Secured First Lien Term B Loan, 5.250%, 03/01/2020

     B1         1,836,826         1,847,479   

Univision Communications, Inc., Senior Secured First Lien Incremental Loan, 4.000%, 03/01/2020

     B2         3,369,932         3,307,454   
        

 

 

 
           14,752,357   
        

 

 

 

Media Diversified and Production - 0.34%

        

Live Nation Worldwide, Inc. (aka SFX Entertainment), Senior Secured First Lien Term B Loan, 4.500%, 11/07/2016

     Ba2         997,220         1,003,323   
        

 

 

 

Metals and Mining - 1.32%

        

MRC Global (aka McJunkin Corp.), Senior Secured First Lien Term B Loan, 6.000%, 11/08/2019

     Ba2         3,817,308         3,844,334   
        

 

 

 

Retail - 11.88%

        

Academy, Ltd., Senior Secured First Lien Initial Term Loan, 4.500%, 08/03/2018

     B2         2,951,447         2,967,591   

Albertson’s LLC, Senior Secured First Lien Term B-1 Loan, 4.250%, 03/21/2016

     NR         216,848         214,679   

Albertson’s LLC, Senior Secured First Lien Term B-2 Loan, 4.750%, 03/21/2019

     NR         337,319         335,738   

BJ’s Wholesale Club, Inc., Senior Secured First Lien Replacement Term Loan, 4.250%, 09/26/2019

     B2         2,985,019         2,979,422   

Burlington Coat Factory Warehouse Corp., Senior Secured First Lien Term B-1 Loan, 4.250%, 02/23/2017

     B3         2,192,647         2,197,032   

Chinos Acquisition Corp. (aka J. Crew Group, Inc.), Senior Secured First Lien New Term B1 Loan, 4.000%, 03/07/2018

     B1         3,008,678         2,999,276   

Collective Brands Finance, Inc. (aka Payless ShoeSource), Senior Secured First Lien Term Loan, 7.250%, 10/09/2019

     B1         1,614,846         1,639,069   

Container Store, Inc., Senior Secured First Lien Term B3 Loan, 5.500%, 04/08/2019

     B3         3,070,061         3,079,670   

DBP Holdings Corp., Senior Secured First Lien Initial Term Loan, 5.000%, 10/11/2019

     B2         1,297,826         1,301,077   

Leslie’s Poolmart, Inc., Senior Secured Tranche B First Lien Term Loan, 5.250%, 10/16/2019

     B2         2,930,340         2,943,776   

National Vision, Inc., Senior Secured First Lien Term Loan, 7.000%, 08/10/2018

     B1         1,185,000         1,190,925   

Neiman Marcus Group, Inc., Senior Secured First Lien Extended Term Loan, 4.000%, 05/16/2018

     B2         2,000,000         1,996,770   

Party City Holdings, Inc., Senior Secured First Lien Replacement Term Loan, 4.250%, 07/29/2019

     B2         1,060,888         1,055,807   

Smart & Final Stores LLC, Senior Secured First Lien Term Loan, 4.500%, 11/15/2019

     B3         3,459,182         3,441,886   

Sports Authority, Inc. (aka TSA), Senior Secured First Lien Term B Loan, 7.500%, 11/16/2017

     B3         4,875,000         4,893,281   

Sprouts Farmers Markets Holdings LLC, Senior Secured First Lien Initial Term Loan, 4.500%, 04/23/2020

     B2         1,500,000         1,501,875   
        

 

 

 
           34,737,874   
        

 

 

 

 

  

 

Semi-Annual Report  |  June 30, 2013

   11


Table of Contents
Blackstone / GSO Senior Floating Rate Term Fund   Portfolio of Investments
 

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

Services - Business - 13.38%

        

4L Holdings Corp. (aka Clover Technology), Senior Secured First Lien Term Loan, 6.750%, 05/07/2018

     B2         $1,304,348         $1,304,348   

Advantage Sales & Marketing, Inc., Senior Secured Second Lien Term Loan, 8.250%, 06/18/2018

     Ba3         4,714,286         4,745,706   

Alix Partners LLP, Senior Seucred First Lien Refinancing Term B-2 Loan, 4.500%, 06/28/2019

     Ba3         2,970,075         2,984,005   

BarBri, Inc., Senior Secured First Lien Term Loan, 6.000%, 06/19/2017

     B1         3,049,375         3,054,452   

Crossmark Holdings, Inc., Senior Secured First Lien Term Loan, 4.500%, 12/20/2019

     B1         1,699,009         1,697,591   

Epicor Software Corp., Senior Secured First Lien Term B Loan, 4.500%, 05/16/2018

     Ba3         1,972,494         1,979,890   

MoneyGram Payment Systems Worldwide, Inc., Senior Secured First Lien Term B Loan, 4.250%, 03/27/2020

     Ba1         1,421,922         1,428,150   

PGA Holdings, Inc. (aka Press Ganey), Senior Secured First Lien Term Loan, 4.250%, 04/20/2018

     B2         2,572,932         2,567,568   

Scitor Corp., Senior Secured First Lien Term Loan, 5.000%, 02/15/2017

     B2         584,089         572,408   

Sedgwick Holdings, Inc., Senior Secured Second Lien Term B Loan, 8.000%, 12/12/2018

     B1         5,000,000         5,046,875   

StoneRiver Group LP, Senior Secured First Lien Initial Term Loan, 4.500%, 11/29/2019

     B2         2,612,903         2,597,108   

SurveyMonkey.com LLC, Senior Secured First Lien Term Loan, 5.500%, 02/07/2019

     B1         2,448,409         2,457,591   

Transaction Network Services, Senior Secured First Lien Term Loan, 5.000%, 02/14/2020

     B1         2,076,211         2,088,326   

Truven Health Analytics, Inc., Senior Secured New Tranche B First Lien Term Loan, 4.500%, 06/06/2019

     Ba3         3,607,466         3,605,229   

U.S. Security Associates Holdings, Inc., Senior Secured First Lien Delayed Draw Term Loan, 6.000%, 07/28/2017

     Ba3         201,203         202,775   

U.S. Security Associates Holdings, Inc., Senior Secured First Lien Term B Loan, 6.000%, 07/26/2017

     Ba3         1,192,106         1,201,423   

ValleyCrest Companies LLC, Senior Secured First Lien Initial Term Loan, 5.500%, 06/07/2019

     B2         1,578,947         1,577,171   
        

 

 

 
           39,110,616   
        

 

 

 

Services - Consumer - 2.91%

        

Alliance Laundry Systems LLC, Senior Secured First Lien Term Loan, 4.500%, 12/10/2018

     B1         587,109         590,411   

Aramark Corp., Senior Secured First Lien Term D Loan, 4.000%, 09/09/2019

     Ba3         2,999,916         2,999,916   

California Pizza Kitchen, Inc., Senior Secured First Lien Term Loan 5.250%, 03/29/2018

     B3         2,476,744         2,482,936   

Monitronics International, Inc., Senior Secured First Lien Term B Loan, 4.250%, 03/23/2018

     B2         1,433,503         1,438,878   

Spin Holdco, Inc. (aka Coinmach Corp.), Senior Secured First Lien Initial Term Loan, 4.250%, 11/14/2019

     B2         1,000,000         997,815   
        

 

 

 
           8,509,956   
        

 

 

 

Telecommunications - 8.45%

        

Avaya, Inc., Senior Secured B-3 Extended First Lien Term B-3 Loan, 4.773%, 10/26/2017

     B1         4,900,908         4,308,339   

Fairpoint Communications, Inc., Senior Secured First Lien Term Loan, 7.500%, 02/14/2019

     Ba2         2,992,500         2,936,929   

Fibertech Networks LLC (aka Firefox), Senior Secured First Lien Term Loan, 5.750%, 12/18/2019

     B2         3,078,330         3,107,836   

Intelsat Jackson Holdings SA, Senior Secured First Lien Tranche B-1 Term Loan, 4.250%, 04/02/2018

     B1         1,384,002         1,388,673   

Leap Wireless International, Inc. (Cricket Communications), Senior Secured First Lien Term Loan, 4.750%, 10/10/2019

     Ba2         2,896,556         2,872,427   

Securus Technologies Holdings, Inc., Senior Secured First Lien Initial Term Loan, 4.750%, 04/30/2020

     Caa2         493,827         491,205   

Syniverse Holdings, Inc., (Buccaneer Merger Sub., Inc.), Senior Secured First Lien Term Loan, 5.000%, 04/23/2019

     B1         2,970,000         2,968,159   

Wide Open West Finance LLC, Senior Secured First Lien Term B Loan, 4.750%, 04/01/2019

     Ba2         3,732,447         3,749,560   

Zayo Group LLC (Zayo Capital, Inc.), Senior Secured First Lien Term Loan, 4.500%, 07/02/2019

     B2         2,888,423         2,890,821   
        

 

 

 
           24,713,949   
        

 

 

 

 

 

12

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Table of Contents
Blackstone / GSO Senior Floating Rate Term Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

Transportation Cargo - 1.10%

        

Nexeo Solutions LLC (aka Ashland Distribution), Senior Secured First Lien Initial Term Loan, 5.000%, 09/08/2017

     B1         $3,258,333         $3,222,687   
        

 

 

 

Transportation Consumer - 0.68%

        

Sabre, Inc., Senior Secured First Lien Term B Loan, 5.250%, 02/19/2019

     B1         1,032,084         1,040,036   

U.S. Airways, Inc., Senior Secured First Lien Tranche B-1 Term Loan, 4.250%, 05/22/2019

     B3         944,882         935,131   
        

 

 

 
           1,975,167   
        

 

 

 

Utilities Electric - 0.32%

        

Panda Temple Power LLC, Senior Secured First Lien Term Loan, 7.250%, 04/03/2019

     NR         927,273         936,545   
        

 

 

 

Utilities, Oil & Gas - 0.58%

        

EquiPower Resources Holdings LLC, Senior Secured First Lien Term C Loan, 4.250%, 12/21/2019

     Ba3         1,451,613         1,444,355   

EquiPower Resources Holdings LLC, Senior Secured First Lien Term Loan, 4.250%, 12/21/2018

     Ba3         241,935         241,028   
        

 

 

 
           1,685,383   
        

 

 

 

TOTAL FLOATING RATE LOAN INTERESTS

(Cost $403,995,446)

           404,267,706   
        

 

 

 

CORPORATE BONDS - 8.15%

        

Beverage, Food and Tobacco - 0.71%

        

Del Monte Foods Co., Senior Unsecured Bond, 7.625%, 02/15/2019

     Caa1         2,000,000         2,065,000   
        

 

 

 

Consumer Goods Durable - 0.35%

        

Reynolds Group Holdings, Inc., Senior Unsecured Bond, 5.750%, 10/15/2020

     Ba2         1,000,000         1,010,000   
        

 

 

 

Energy, Oil and Gas - 1.01%

        

CrownRock LP / CrownRock Finance, Inc., Senior Unsecured Bond, 7.125%, 04/15/2021(b)

     Caa1         3,000,000         2,955,000   
        

 

 

 

Healthcare and Pharmaceuticals - 0.69%

        

Aurora Diagnostics Holdings LLC, Senior Unsecured Bond, 10.750%, 01/15/2018

     Caa1         3,000,000         2,025,000   
        

 

 

 

High Tech Industries - 1.62%

        

Allen Systems Group, Inc., Senior Secured Bond, 10.500%, 11/15/2016(b)

     Caa2         3,983,000         2,628,780   

Viasystems, Inc., Senior Unsecured Bond, 7.875%, 05/01/2019(b)

     B2         2,000,000         2,120,000   
        

 

 

 
           4,748,780   
        

 

 

 

Hotels, Gaming and Leisure - 0.76%

        

Carlson Wagonlit BV, Senior Unsecured Bond, 6.875%, 06/15/2019(b)

     B1         1,000,000         1,015,000   

Six Flags Theme Parks, Inc., Senior Unsecured Bond, 5.250%, 01/15/2021(b)

     B3         1,250,000         1,209,375   
        

 

 

 
           2,224,375   
        

 

 

 

Media Broadcasting and Subscription - 0.50%

        

Entercom Radio LLC, Senior Unsecured Bond, 10.500%, 12/01/2019

     Caa1         1,300,000         1,465,750   
        

 

 

 

Retail - 0.36%

        

Chinos Acquisition Corp. (aka J. Crew Group, Inc.), Senior Unsecured Bond, 8.125%, 03/01/2019

     Caa1         1,000,000         1,055,000   
        

 

 

 

 

  

 

Semi-Annual Report  |  June 30, 2013

   13


Table of Contents

Blackstone / GSO Senior Floating Rate Term Fund

  Portfolio of Investments
 

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

Services - Consumer - 0.36%

        

Monitronics International, Inc., Senior Unsecured Bond, 9.125%, 04/01/2020

     Caa1         $1,000,000         $1,040,000   
        

 

 

 

Telecommunications - 1.79%

        

Cincinnati Bell, Inc. (aka Broadwing, Inc.), Senior Unsecured Bond, 8.375%, 10/15/2020

     B1         2,043,000         2,114,505   

Fairpoint Communications, Inc., Senior Secured Bond, 8.750%, 08/15/2019(b)

     B2         1,000,000         995,000   

Intelsat Jackson Holdings SA, Senior Unsecured Bond, 7.250%, 10/15/2020

     B1         2,000,000         2,110,000   
        

 

 

 
           5,219,505   
        

 

 

 

TOTAL CORPORATE BONDS

(Cost $25,634,240)

           23,808,410   
        

 

 

 

Total Investments - 146.45%

(Cost $429,629,686)

           428,076,116   

Assets in Excess of Other Liabilities - 2.85%

           8,330,868   
        

 

 

 

Term Preferred Shares - (16.46)%*

        

(plus distributions payable on term preferred shares)

           (48,104,398
        

 

 

 

Senior Secured Notes - (32.84)%

           (96,000,000
        

 

 

 

Net Assets - 100.00%

           $292,302,586   
        

 

 

 

Amounts above are shown as a percentage of net assets as of June 30, 2013.

 

* 

Series A Floating Rate Cumulative Term Preferred Shares, “Term Preferred Shares”.

(a) 

The interest rate shown represents the rate at period end.

(b) 

Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $10,923,155, which represents 3.74% of net assets as of June 30, 2013.

See Notes to Financial Statements

 

 

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Table of Contents
Blackstone / GSO Long-Short Credit Income Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

 

     Moody’s Rating      Principal
Amount
     Market Value  

FLOATING RATE LOAN INTERESTS(a) - 86.03%

        

Aerospace and Defense - 2.08%

        

Camp Systems International Holdings Co., Senior Secured First Lien Refinance Term Loan, 5.250%, 05/31/2019

     B1         $583,824         $590,876   

DAE Aviation Holdings, Inc., Senior Secured First Lien Term B-1 Loan, 6.250%, 11/02/2018

     B3         1,086,452         1,091,884   

DAE Aviation Holdings, Inc., Senior Secured First Lien Term B-2 Loan, 6.250%, 11/02/2018

     B3         492,525         494,988   

Landmark Aviation (LM U.S. Member LLC), Senior Secured First Lien Canadian Term Loan, 5.750%, 10/25/2019

     B3         129,557         130,691   

Landmark Aviation (LM U.S. Member LLC), Senior Secured First Lien Initial Term Loan, 5.750%, 10/25/2019

     B3         1,528,776         1,542,153   

Sequa Corp., Senior Secured First Lien Term Loan, 5.250%, 06/19/2017

     B2         1,145,895         1,150,667   
        

 

 

 
           5,001,259   
        

 

 

 

Automotive - 2.96%

        

Affinia Group, Inc., Senior Secured Tranche B-2 First Lien Term Loan, 4.750%, 04/27/2020

     B3         1,133,333         1,131,917   

CCC Information Services, Inc., Senior Secured First Lien Term Loan, 4.000%, 12/20/2019

     B1         1,701,607         1,693,099   

Chrysler Group LLC, Senior Secured First Lien Tranche B Term Loan, 4.250%, 05/24/2017

     Ba2         3,303,769         3,321,328   

Jason, Inc., Senior Secured First Lien Term Loan, 5.000%, 02/28/2019

     B1         977,778         980,222   
        

 

 

 
           7,126,566   
        

 

 

 

Banking, Finance, and Real Estate - 2.01%

        

AmWins Group LLC, Senior Secured First Lien Term B Loan,
5.000%, 09/06/2019

     B2         1,485,038         1,493,086   

Asurion LLC, Senior Secured Tranche B-1 First Lien Incremental Term Loan, 4.500%, 05/24/2019

     Ba2         943,441         936,601   

Cunningham Lindsey Corp., Senior Secured First Lien Term Loan, 5.000%, 12/10/2019

     B1         1,865,625         1,865,625   

First Data Corp., Senior Secured First Lien Term B Loan,
4.193%, 09/24/2018

     B1         545,455         532,615   
        

 

 

 
           4,827,927   
        

 

 

 

Beverage, Food and Tobacco - 2.74%

        

Advance Pierre Foods, Inc., Senior Secured First Lien Term Loan, 5.750%, 07/10/2017

     B1         1,617,568         1,626,666   

Roundy’s Supermarkets, Inc., Senior Secured Tranche B First Lien Term Loan, 5.750%, 02/13/2019

     B1         552,286         539,860   

U.S. Foods, Inc., Senior Secured First Lien Term Loan,
4.500%, 03/31/2019

     B3         4,463,523         4,426,699   
        

 

 

 
           6,593,225   
        

 

 

 

Capital Equipment - 1.96%

        

BakerCorp International, Inc., Senior Secured First Lien Replacement Term Loan, 4.250%, 02/07/2020

     Ba3         997,500         994,074   

Sensus U.S.A., Inc. (fka Sensus Metering Systems), Senior Secured Second Lien Term Loan, 8.500%, 05/09/2018

     Ba2         3,714,286         3,705,000   
        

 

 

 
           4,699,074   
        

 

 

 

Chemicals, Plastics and Rubber - 1.55%

        

Ineos Finance PLC, Senior Secured First Lien Dollar Term Loan, 4.000%, 05/04/2018

     B1         489,562         480,461   

Pinnacle Operating Corp., Senior Secured First Lien Term B Loan, 4.750%, 11/15/2018

     B2         2,566,790         2,569,190   

VWR International, Inc., Senior Secured First Lien U.S. Term Loan, 4.195%, 04/03/2017

     B1         667,039         666,416   
        

 

 

 
           3,716,067   
        

 

 

 

Construction and Building - 2.19%

        

Custom Building Products, Inc., Senior Secured First Lien Term Loan, 6.000%, 12/16/2019

     B1         2,235,852         2,244,237   

Genarac Power Systems, Inc., Senior Secured First Lien Term B Facility Loan, 3.500%, 05/30/2018

     B2         1,870,238         1,860,887   

 

  

 

Semi-Annual Report  |  June 30, 2013

  

15


Table of Contents

Blackstone / GSO Long-Short Credit Income Fund

  Portfolio of Investments
 

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

Construction and Building (continued)

        

SRS Distribution, Inc., Senior Secured First Lien Term Loan, 4.750%, 09/02/2019

     B2         $1,157,895         $1,152,105   
        

 

 

 
           5,257,229   
        

 

 

 

Consumer Goods Durable - 4.34%

        

Apex Tool Group LLC, Senior Secured First Lien Term Loan, 4.500%, 01/31/2020

     B2         710,194         711,615   

Hupah Finance, Inc., Senior Secured First Lien Initial Term Loan, 4.500%, 01/21/2019

     B2         4,764,435         4,776,370   

MModal, Inc., Senior Secured First Lien Term B Loan, 7.500%, 08/15/2019

     Ba3         2,602,247         2,542,083   

Spectrum Brands, Inc., Senior Secured First Lien Term B Loan, 4.500%, 12/17/2019

     Ba3         413,286         415,353   

Vision Solutions, Inc., Senior Secured Second Lien Term Loan, 9.500%, 07/23/2017

     B2         2,000,000         1,980,000   
        

 

 

 
           10,425,421   
        

 

 

 

Consumer Goods Non Durable - 4.36%

        

Acosta, Inc., Senior Secured First Lien Term D Loan, 5.000%, 03/01/2018

     B1         2,168,368         2,185,530   

Armored AutoGroup, Inc. (fka Viking Acquisition, Inc. (aka Global AutoCare)), Senior Secured First Lien Term B Loan, 6.000%, 11/05/2016

     Ba3         4,867,632         4,850,888   

Inmar, Inc., Senior Secured First Lien Term Loan, 6.500%, 08/12/2018

     B1         217,186         217,457   

Revlon Consumer Products Corp., Senior Secured First Lien Replacement Term Loan, 4.000%, 11/20/2017

     Ba2         941,557         948,031   

Totes Isotoner Corp., Senior Secured First Lien Delayed Draw Term Loan, 7.250%, 07/07/2017

     B3         212,874         213,539   

Totes Isotoner Corp., Senior Secured First Lien Initial Term Loan, 7.250%, 07/07/2017

     B3         2,053,013         2,059,428   
        

 

 

 
           10,474,873   
        

 

 

 

Containers, Packaging and Glass - 1.39%

        

John Henry Holdings, Inc. (aka Multi Packaging Solutions), Senior Secured First Lien Term Loan, 6.000%, 12/06/2018

     B2         2,985,000         3,014,850   

Ranpak Corp., Senior Secured First Lien Term Loan, 4.500%, 04/23/2019

     Ba3         325,581         326,395   
        

 

 

 
           3,341,245   
        

 

 

 

Energy Electricity - 1.61%

        

La Frontera Generation LLC, Senior Secured First Lien Term Loan, 4.500%, 09/30/2020

     B1         1,020,408         1,014,673   

Star West Generation LLC, Senior Secured First Lien Term B Advance Loan, 4.250%, 03/13/2020

     Ba3         1,546,148         1,554,846   

Topaz Power Holdings LLC, Senior Secured First Lien Term Loan, 5.250%, 02/26/2020

     B1         1,304,918         1,306,875   
        

 

 

 
           3,876,394   
        

 

 

 

Energy, Oil and Gas - 2.70%

        

EMG Utica LLC, Senior Secured First Lien Term Loan, 4.750%, 03/27/2020

     B2         2,472,028         2,465,848   

Samson Investment Co., Senior Secured Second Lien Initial Term Loan, 6.000%, 09/25/2018

     B1         735,294         735,294   

Sheridan Production Partners LP, Senior Secured Tranche B-2 First Lien Term Loan [PRT I], 5.000%, 10/01/2019

     B1         1,611,032         1,607,004   

Sheridan Production Partners LP, Senior Secured Tranche B-2 First Lien Term Loan [PRT I-A], 5.000%, 10/01/2019

     B1         213,475         212,941   

Sheridan Production Partners LP, Senior Secured Tranche B-2 First Lien Term Loan, 5.000%, 10/01/2019

     B1         130,392         130,066   

Tallgrass Energy Partners LP, Senior Secured First Lien Term Loan, 5.250%, 11/13/2018

     Ba3         885,081         891,171   

W3 Co., Senior Secured First Lien Term Loan, 5.750%, 03/13/2020

     B1         446,087         448,875   
        

 

 

 
           6,491,199   
        

 

 

 

Environmental Industries - 1.03%

        

ADS Waste Holdings, Inc., Senior Secured Tranche B First Lien Term Loan, 4.250%, 10/09/2019

     B2         1,274,384         1,273,110   

 

 

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Table of Contents
Blackstone / GSO Long-Short Credit Income Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

    Moody’s Rating     Principal
Amount
    Market Value  

Environmental Industries (continued)

     

PSC Industrial Outsourcing LP, Senior Secured First Lien Term Loan, 7.250%, 07/29/2016

    B1        $1,194,576        $1,199,552   
     

 

 

 
        2,472,662   
     

 

 

 

Healthcare and Pharmaceuticals - 6.72%

     

Ardent Medical Services, Inc., Senior Secured First Lien Term Loan, 6.750%, 07/02/2018

    B1        924,488        933,738   

CHG Buyer Corp., Senior Secured First Lien Term Loan, 5.000%, 11/19/2019

    B2        995,238        1,001,144   

Immucor, Inc., Senior Secured First Lien Term B-2 Loan, 5.000%, 08/17/2018

    Ba3        188,073        189,108   

Kinetic Concepts, Inc., Senior Secured First Lien Tranche C Dollar
Term C-1 Loan, 4.500%, 05/04/2018

    Ba2        1,700,806        1,706,546   

National Specialty Hospitals, Inc., Senior Secured First Lien Initial Term Loan, 8.250%, 02/03/2017

    B2        2,432,888        2,432,888   

Onex Carestream Finance LP, Senior Secured First Lien Term Loan, 5.000%, 06/07/2019

    B1        3,508,917        3,476,564   

Sheridan Holdings, Inc., Senior Secured First Lien Initial Term Loan, 4.500%, 06/29/2018

    B1        1,688,404        1,694,736   

Smile Brands Group, Inc., Senior Secured First Lien Term B Loan, 7.000%, 12/21/2017

    Ba3        2,650,680        2,604,306   

United Surgical Partners International, Inc., Senior Secured New Tranche B First Lien Term Loan, 4.750%, 04/03/2019

    Ba3        2,110,113        2,108,805   
     

 

 

 
        16,147,835   
     

 

 

 

High Tech Industries - 12.80%

     

Blackboard, Inc., Senior Secured First Lien Term B-2 Loan, 6.250%, 10/04/2018

    B1        2,977,538        3,012,285   

Blue Coat Systems, Inc., Senior Secured First Lien Term Loan, 4.500%, 05/31/2019

    B2        1,063,393        1,060,288   

CompuCom Systems, Inc., Senior Secured First Lien Term Loan, 4.250%, 05/11/2020

    B2        1,789,474        1,764,868   

Hyland Software, Inc., Senior Secured First Lien Term Loan, 5.500%, 10/25/2019

    B2        1,468,033        1,475,828   

Ion Trading Technologies S.A.R.L., Senior Secured First Lien Tranche B-1 Term Loan, 4.500%, 05/22/2020

    B3        1,875,000        1,869,525   

Kronos, Inc. (aka Seahawk Acquisition Corp.), Senior Secured First Lien Incremental Term Loan, 4.500%, 10/30/2019

    B1        3,980,000        3,998,905   

MMI International Ltd., Senior Secured First Lien Term Loan, 7.250%, 11/02/2018

    Ba3        1,787,234        1,751,489   

Presidio, Inc., Senior Secured First Lien Term Loan, 5.750%, 03/31/2017

    B1        4,636,621        4,601,847   

Rovi Solutions Corp., Senior Secured First Lien Tranche B-2 Term Loan, 3.500%, 03/29/2019

    Ba2        1,995,000        1,992,507   

Shield Finance Co. S.A.R.L. (aka Sophos PLC), Senior Secured First Lien Term B-2 Incremental Loan, 6.500%, 05/10/2019

    B2        1,091,912        1,093,277   

Six3 Systems, Inc., Senior Secured First Lien Term B Loan, 7.000%, 10/04/2019

    B2        2,290,814        2,336,630   

Sophia LP, Senior Secured First Lien Additional Term B Loan, 4.500%, 07/19/2018

    Ba3        3,086,074        3,097,646   

Technicolor S.A., Senior Secured First Lien Term A2 Facility Loan, 6.750%, 5/26/2016

    B3        418,190        422,374   

Technicolor S.A., Senior Secured First Lien Term B2 Facility Loan, 7.750%, 5/26/2017

    B3        1,255,706        1,268,270   

Vertafore, Inc., Senior Secured Second Lien Term Loan, 9.750%, 10/27/2017

    B1        1,000,000        1,027,500   
     

 

 

 
        30,773,239   
     

 

 

 

Hotels, Gaming and Leisure - 2.47%

     

Alpha Topco Ltd. (Formula One), Senior Secured First Lien New Facility Term B Loan, 4.500%, 04/30/2019

    B2        2,750,460        2,751,147   

Centaur LLC, Senior Secured First Lien Term Loan, 5.250%, 02/20/2019

    B1        1,881,958        1,879,606   

Peninsula Gaming LLC, Senior Secured First Lien Term Loan, 4.250%, 08/03/2017

    B2        1,309,211        1,311,665   
     

 

 

 
        5,942,418   
     

 

 

 

Media Advertising, Printing and Publishing - 1.50%

     

InfoGroup, Inc., Senior Secured First Lien Term B Loan, 7.500%, 05/28/2018

    B1        1,052,197        958,815   

RBS Holding Co. LLC, Senior Secured First Lien Term B Loan, 9.250%, 03/23/2017

    B1        3,910,000        1,407,600   

SGS International, Inc. (aka Southern Graphics/Logo Merger Sub), Senior Secured First Lien Term Loan, 5.000%, 10/17/2019

    B1        1,243,750        1,248,420   
     

 

 

 
        3,614,835   
     

 

 

 

 

  

 

Semi-Annual Report  |  June 30, 2013

   17


Table of Contents
Blackstone / GSO Long-Short Credit Income Fund   Portfolio of Investments
 

 

June 30, 2013 (Unaudited)

 

    Moody’s Rating     Principal
Amount
    Market Value  

Media Broadcasting and Subscription - 3.94%

     

Barrington Broadcasting Group LLC, Senior Secured Tranche 2 First Lien Term Loan, 7.500%, 06/14/2017

    B2        $963,158        $962,560   

Entercom Radio LLC, Senior Secured First Lien Term B Loan, 5.000%, 11/23/2018

    B2        622,651        629,811   

FoxCo Acquisition Sub. LLC, Senior Secured First Lien Term Loan, 5.500%, 07/14/2017

    B1        1,261,325        1,275,522   

Hubbard Radio LLC, Senior Secured First Lien Term Loan, 4.500%, 04/29/2019

    Ba3        2,285,714        2,297,143   

NEP/NCP Holdco, Inc., Senior Secured First Lien Term Loan, 4.750%, 01/22/2020

    B1        333,519        335,882   

RCN Corp., Senior Secured First Lien Term B Loan, 5.250%, 03/02/2020

    B1        1,319,399        1,327,052   

Univision Communications, Inc., Senior Secured First Lien Incremental Loan, 4.000%, 03/01/2020

    B2        2,695,946        2,645,963   
     

 

 

 
        9,473,933   
     

 

 

 

Metals and Mining - 0.96%

     

MRC Global (aka McJunkin Corp.), Senior Secured First Lien Term B Loan, 6.250%, 10/24/2019

    Ba2        2,290,385        2,306,600   
     

 

 

 

Retail - 8.00%

     

Academy, Ltd., Senior Secured First Lien Initial Term Loan, 4.500%, 08/03/2018

    B2        1,966,391        1,977,147   

Albertson’s LLC, Senior Secured First Lien Term B-1 Loan, 4.250%, 03/21/2016

    NR        216,848        214,679   

Albertson’s LLC, Senior Secured First Lien Term B-2 Loan, 4.750%, 03/21/2019

    NR        337,319        335,739   

BJ’s Wholesale Club, Inc., Senior Secured First Lien Replacement Term Loan, 4.250%, 09/26/2019

    B2        2,985,019        2,979,422   

Collective Brands Finance, Inc. (aka Payless ShoeSource), Senior Secured First Lien Term Loan, 7.250%, 10/09/2019

    B1        1,614,846        1,639,069   

Container Store, Inc., Senior Secured First Lien Term B3 Loan, 5.500%, 04/08/2019

    B3        2,599,811        2,607,948   

National Vision, Inc., Senior Secured First Lien Term Loan, 7.000%, 08/10/2018

    B1        1,185,000        1,190,925   

Pilot Travel Centers LLC, Senior Secured Refinancing Tranche B First Lien Term Loan, 3.750%, 03/30/2018

    Ba2        2,992,462        2,954,129   

Smart & Final Stores LLC, Senior Secured First Lien Term Loan, 5.750%, 11/15/2019

    B3        1,383,673        1,376,754   

Sports Authority, Inc. (aka TSA), Senior Secured First Lien Term B Loan, 7.500%, 11/16/2017

    B3        2,949,584        2,960,645   

Sprouts Farmers Markets Holdings LLC, Senior Secured First Lien Initial Term Loan, 4.500%, 04/23/2020

    B2        1,000,000        1,001,250   
     

 

 

 
        19,237,707   
     

 

 

 

Services - Business - 6.62%

     

Advantage Sales and Marketing, Inc., Senior Secured First Lien Term Loan, 4.250%, 12/18/2017

    Ba3        2,144,094        2,148,382   

Alix Partners LLP, Senior Seucred First Lien Refinancing Term B-2 Loan, 4.500%, 06/28/2019

    Ba3        2,970,075        2,984,005   

Sedgwich Holdings, Inc., Senior Secured First Lien Term B-2 Loan, 4.250%, 06/12/2018

    B1        1,402,704        1,406,793   

StoneRiver Group LP, Senior Secured First Lien Initial Term Loan, 4.500%, 11/29/2019

    B2        1,741,935        1,731,405   

SurveyMonkey.com LLC, Senior Secured First Lien Term Loan, 5.500%, 02/07/2019

    B1        1,632,273        1,638,394   

Transaction Network Services, Senior Secured First Lien Term Loan, 5.000%, 02/14/2020

    B1        1,384,141        1,392,217   

Truven Health Analytics, Inc., Senior Secured New Tranche B First Lien Term Loan, 4.500%, 06/06/2019

    Ba3        1,627,428        1,626,419   

U.S. Security Associates Holdings, Inc., Senior Secured First Lien Delayed Draw Term Loan, 6.000%, 07/28/2017

    Ba3        201,203        202,775   

U.S. Security Associates Holdings, Inc., Senior Secured First Lien Term B Loan, 6.000%, 07/26/2017

    Ba3        1,192,106        1,201,423   

ValleyCrest Companies LLC, Senior Secured First Lien Initial Term Loan, 5.500%, 06/07/2019

    B2        1,578,947        1,577,171   
     

 

 

 
        15,908,984   
     

 

 

 

Services - Consumer - 3.32%

     

Alliance Laundry Systems LLC, Senior Secured First Lien Term Loan, 4.500%, 12/10/2018

    B1        587,109        590,412   

California Pizza Kitchen, Inc., Senior Secured First Lien Term Loan, 5.250%, 03/29/2018

    B3        2,476,744        2,482,936   

Learning Care Group, Senior Secured First Lien Term Loan, 6.000%, 05/08/2019

    B3        2,470,588        2,465,968   

 

 

18

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Table of Contents
Blackstone / GSO Long-Short Credit Income Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

    Moody’s Rating     Principal
Amount
    Market Value  

Services - Consumer (continued)

     

Monitronics International, Inc., Senior Secured First Lien Term B Loan, 4.250%, 03/23/2018

    B2        $2,428,486        $2,437,593   
     

 

 

 
        7,976,909   
     

 

 

 

Telecommunications - 6.04%

     

Avaya, Inc., Senior Secured B-3 Extended First Lien Term B-3 Loan, 4.788%, 10/26/2017

    B1        2,920,620        2,567,488   

Fairpoint Communications, Inc., Senior Secured First Lien Term Loan, 7.500%, 02/14/2019

    Ba2        1,995,000        1,957,953   

Fibertech Networks LLC (aka Firefox), Senior Secured First Lien Term Loan, 5.750%, 12/18/2019

    B2        3,451,427        3,484,509   

Securus Technologies Holdings, Inc., Senior Secured First Lien Initial Term Loan, 4.750%, 04/30/2020

    Caa2        370,370        368,404   

Syniverse Holdings, Inc., (Buccaneer Merger Sub., Inc.), Senior Secured First Lien Term Loan, 5.000%, 4/23/2019

    B1        1,980,000        1,978,772   

Wide Open West Finance LLC, Senior Secured First Lien Term B Loan, 4.750%, 04/01/2019

    Ba2        1,747,422        1,755,434   

Zayo Group LLC (Zayo Capital, Inc.), Senior Secured First Lien Term Loan, 4.500%, 07/02/2019

    B2        2,404,286        2,406,281   
     

 

 

 
        14,518,841   
     

 

 

 

Transportation Consumer - 1.72%

     

Lineage Logistics LLC, Senior Secured First Lien Term Loan, 4.500%, 04/26/2019

    B3        2,857,143        2,855,957   

Sabre, Inc., Senior Secured First Lien Term B Loan, 5.250%, 02/19/2019

    B1        652,420        657,447   

U.S. Airways, Inc., Senior Secured First Lien Tranche B-1 Term Loan, 4.250%, 05/22/2019

    B3        629,921        623,420   
     

 

 

 
        4,136,824   
     

 

 

 

Utilities Electric - 0.55%

     

Panda Temple Power LLC, Senior Secured First Lien Term Loan, 7.250%, 04/03/2019

    NR        618,182        624,364   

Texas Competitive Electric Holdings Co. (aka TXU), Senior Secured Extended First Lien Term B Loan, 4.720%, 10/10/2017

    B2        1,000,000        700,440   
     

 

 

 
        1,324,804   
     

 

 

 

Utilities, Oil & Gas - 0.47%

     

EquiPower Resources Holdings LLC, Senior Secured First Lien Term C Loan, 4.250%, 12/21/2019

    Ba3        967,742        962,903   

EquiPower Resources Holdings LLC, Senior Secured First Lien Term Loan, 4.250%, 12/21/2018

    Ba3        161,290        160,686   
     

 

 

 
        1,123,589   
     

 

 

 

TOTAL FLOATING RATE LOAN INTERESTS

(Cost $208,744,113)

        206,789,659   
     

 

 

 

CORPORATE BONDS - 31.21%

     

Automotive - 0.44%

     

Cooper-Standard Automotive, Inc., Senior Secured Bond, 8.500%,
05/01/2018(b)

    B2        1,000,000        1,065,000   
     

 

 

 

Beverage, Food and Tobacco - 1.86%

     

Del Monte Foods Co., Senior Unsecured Bond, 7.625%, 02/15/2019(b)

    Caa1        4,330,000        4,470,725   
     

 

 

 

Construction and Building - 0.17%

     

Zachry Holdings, Inc., Senior Unsecured Bond, 7.500%, 02/01/2020(b)(c)

    B2        400,000        414,000   
     

 

 

 

Consumer Goods Durable - 0.92%

     

Reynolds Group Holdings, Inc., Senior Unsecured Bond, 9.875%,
08/15/2019(b)

    Caa2        1,400,000        1,505,000   

 

  

 

Semi-Annual Report  |  June 30, 2013

   19


Table of Contents
Blackstone / GSO Long-Short Credit Income Fund   Portfolio of Investments
 

 

June 30, 2013 (Unaudited)

 

    Moody’s Rating     Principal
Amount
    Market Value  

Consumer Goods Durable (continued)

     

8.250%, 02/15/2021(b)

    Caa1        $700,000        $695,625   
     

 

 

 
        2,200,625   
     

 

 

 

Consumer Goods Non Durable - 0.82%

     

Revlon Consumer Products Corp., Senior Unsecured Bond, 5.750%, 02/15/2021(b)(c)

    B1        2,000,000        1,957,500   
     

 

 

 

Energy Electricity - 0.41%

     

Amkor Technology, Inc., Senior Unsecured Bond, 6.375%, 10/01/2022(b)

    B2        1,000,000        987,500   
     

 

 

 

Energy, Oil and Gas - 9.99%

     

Alta Mesa Holdings LP, Senior Unsecured Bond, 9.625%, 10/15/2018(b)

    B3        2,000,000        2,085,000   

BreitBurn Energy Partners LP, Senior Unsecured Bond, 7.875%, 04/15/2022(b)

    B3        2,000,000        2,050,000   

Calumet Specialty Products Partners LP, Senior Unsecured Bond,

     

9.375%, 05/01/2018(b)(c)

    B2        1,800,000        1,935,000   

9.625%, 08/01/2020(b)(c)

    B2        750,000        819,375   

Comstock Resources, Inc., Senior Unsecured Bond, 9.500%, 06/15/2020(b)

    B3        2,000,000        2,170,000   

Crestwood Midstream Partners LP, Senior Unsecured Bond, 7.750%, 04/01/2019(b)

    B3        2,000,000        2,070,000   

CrownRock LP / CrownRock Finance, Inc., Senior Unsecured Bond, 7.125%, 04/15/2021(b)(c)

    Caa1        2,000,000        1,970,000   

Forest Oil Corp., Senior Unsecured Bond, 7.500%, 09/15/2020(b)(c)

    B3        1,000,000        955,000   

PDC Energy, Inc., Senior Unsecred Bond, 7.750%, 10/15/2022(b)(c)

    B3        3,000,000        3,112,500   

Resolute Energy Corp., Senior Unsecured Bond, 8.500%, 05/01/2020(b)

    B3        4,750,000        4,856,875   

SandRidge Energy, Inc., Senior Unsecured Bond, 8.125%, 10/15/2022(b)

    B2        2,000,000        1,990,000   
     

 

 

 
        24,013,750   
     

 

 

 

Healthcare and Pharmaceuticals - 1.21%

     

Accellent, Inc., Senior Subordinated Bond, 10.000%, 11/01/2017(b)

    Caa2        2,000,000        1,850,000   

Universal Hospital Services, Inc., Senior Unsecured Bond, 7.625%, 08/15/2020(b)

    B3        1,000,000        1,050,000   
     

 

 

 
        2,900,000   
     

 

 

 

High Tech Industries - 1.51%

     

Allen Systems Group, Inc., Senior Secured Bond, 10.500%, 11/15/2016(b)(c)

    Caa2        2,300,000        1,518,000   

Viasystems, Inc., Senior Unsecured Bond, 7.875%, 05/01/2019(b)(c)

    B2        2,000,000        2,120,000   
     

 

 

 
        3,638,000   
     

 

 

 

Hotels, Gaming and Leisure - 1.12%

     

Palace Entertainment Holdings LLC, Senior Secured Bond, 8.875%, 04/15/2017(c)

    B2        2,600,000        2,691,000   
     

 

 

 

Media Diversified and Production - 2.96%

     

Allbritton Communications Co., Senior Unsecured Bond, 8.000%,
05/15/2018(b)

    B2        2,000,000        2,135,000   

Cambium Learning Group, Inc., Senior Secured Bond, 9.750%, 02/15/2017(b)

    Caa1        1,500,000        1,335,000   

McGraw-Hill Global Education Holdings LLC, First Priority Lien Bond, 9.750%, 04/01/2021(b)(c)

    B2        2,500,000        2,568,750   

Mediacom Broadband Group (aka MCC Iowa), Senior Unsecured Bond, 9.125%, 08/15/2019(b)

    B3        1,000,000        1,080,000   
     

 

 

 
        7,118,750   
     

 

 

 

Metals and Mining - 0.44%

     

Penn Virginia Resource Partners LP, Senior Unsecured Bond, 8.375%, 06/01/2020

    B2        1,000,000        1,060,000   
     

 

 

 

Retail - 2.47%

     

Burlington Coat Factory Warehouse Corp., Senior Unsecured Bond, 10.000%, 02/15/2019(b)

    Caa1        2,000,000        2,220,000   

Chinos Acquisition Corp. (aka J. Crew Group, Inc.), Senior Unsecured Bond, 8.125%, 03/01/2019(b)

    Caa1        1,050,000        1,107,750   

 

 

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Table of Contents
Blackstone / GSO Long-Short Credit Income Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

    Moody’s Rating     Principal
Amount
    Market Value  

Retail (continued)

     

HOA Restaurant Group LLC (aka Hooters Restaurant), Senior Secured Bond, 11.250%, 04/01/2017(b)(c)

    B3        $500,000        $502,500   

Serta Simmons Holdings LLC, Senior Unsecured Bond, 8.125%,
10/01/2020(b)(c)

    Caa1        1,000,000        1,022,500   

The Pantry, Inc., Senior Unsecured Bond, 8.375%, 07/01/2020

    Caa1        1,000,000        1,078,750   
     

 

 

 
        5,931,500   
     

 

 

 

Services - Business - 3.39%

     

Cenveo Corp., Senior Unsecured Bond, 11.500%, 05/15/2017(b)

    Caa2        1,500,000        1,293,750   

Emergency Medical Services Corp. (aka AMR/EMCare), Senior Unsecured Bond, 8.125%, 06/01/2019(b)

    B3        2,000,000        2,135,000   

Monitronics International, Inc., Senior Unsecured Bond, 9.125%, 04/01/2020(b)

    Caa1        1,250,000        1,300,000   

Neff Rental LLC, Senior Unsecured Bond, 9.625%, 05/15/2016(b)(c)

    Caa1        3,250,000        3,428,750   
     

 

 

 
        8,157,500   
     

 

 

 

Telecommunications - 3.28%

     

Avaya, Inc., Senior Secured Bond, 7.000%, 04/01/2019(b)(c)

    B1        2,450,000        2,223,375   

DigitalGlobe, Inc., Senior Unsecured Bond, 5.250%, 02/01/2021(b)(c)

    B1        350,000        337,750   

Fairpoint Communications, Inc., Senior Secured Bond, 8.750%, 08/15/2019(b)(c)

    B2        1,000,000        995,000   

Frontier Communications Corp., Senior Unsecured Bond,

     

9.250%, 07/01/2021(b)

    Ba2        750,000        860,625   

7.125%, 01/15/2023(b)

    Ba2        250,000        249,687   

MetroPCS Wireless, Inc., Senior Unsecured Bond, 7.875%, 09/01/2018(b)

    B2        3,000,000        3,210,000   
     

 

 

 
        7,876,437   
     

 

 

 

Utilities Electric - 0.22%

     

NRG Energy, Inc., Senior Unsecured Bond, 8.500%, 06/15/2019(b)

    B1        500,000        536,875   
     

 

 

 

TOTAL CORPORATE BONDS

(Cost $73,850,238)

        75,019,162   
     

 

 

 

Total Investments - 117.24%

(Cost $282,594,351)

        281,808,821   

Liabilities in Excess of Other Assets - (17.24)%(d) 

        (41,435,525
     

 

 

 

Net Assets - 100.00%

        $240,373,296   
     

 

 

 

Amounts above are shown as a percentage of net assets as of June 30, 2013.

 

(a) 

The interest rate shown represents the rate at period end.

(b) 

Security, or portion of security is currently on loan. Total market value of securities on loan amounts to $48,098,073, as of June 30, 2013. Total value of BGX’s obligation to return securities lending collateral was $48,880,313, as of June 30, 2013.

(c) 

Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $28,571,000, which represents approximately 11.89% of net assets as of June 30, 2013.

(d) 

Includes liabilities associated with the obligation to return securities lending collateral of $48,880,313, assets associated with deposits held with broker for total return swap contracts of $5,401,117, and cash less other liabilities of $2,043,671 as of June 30, 2013.

 

  

 

Semi-Annual Report  |  June 30, 2013

   21


Table of Contents
Blackstone / GSO Long-Short Credit Income Fund   Portfolio of Investments
 

 

June 30, 2013 (Unaudited)

 

TOTAL RETURN SWAP CONTRACTS (a)(b)

 

Reference Obligation    Swap Counterparty   

Rate Received

by the Fund

  

Termination

Date

   Notional Amount     

Unrealized

Appreciation

      

Academy, Ltd.

   JP Morgan    4.500%    08/03/2018      $    985,056           $    5,388     

Acosta, Inc.

   JP Morgan    5.000%    03/01/2018      985,910           10,268     

Mood Media Corp.

   JP Morgan    7.000%    05/06/2018      1,298,446           15,017     

Seminole Hard Rock

   JP Morgan    3.500%    05/14/2020      710,660           2,665     
              

 

 

                 $  33,338     
              

 

 

 

 

Reference Obligation    Swap Counterparty    Rate Received
by the Fund
   Termination
Date
   Notional Amount      Unrealized
Depreciation
      

Del Monte Corp.

   JP Morgan    4.000%    03/08/2018      $    929,796           $     (3,873)     

Drumm Investors LLC (aka Golden Living)

   JP Morgan    5.000%    05/04/2018      4,910,231           (128,893)     

Epicor Software Corp

   JP Morgan    4.500%    05/16/2018      1,994,987           (14,962)     

Mediacom Broadband Group (aka MCC Iowa)

   JP Morgan    3.250%    01/29/2021      1,280,854           (7,045)     

Press Ganey Associates, Inc.

   JP Morgan    4.250%    04/20/2018      1,828,479           (15,034)     

Supervalu, Inc.

   JP Morgan    5.000%    03/21/2019      2,966,330           (12,978)     
              

 

 

                 $  (182,785)     
              

 

 

 

(a) 

The Fund receives monthly payments based on any positive monthly return of the Reference Obligation. The Fund makes payments on any negative monthly return of such Reference Obligation.

(b) 

The floating short-term rate paid by the Fund (on the notional amount of all total return swap contracts) at June 30, 2013, was 1.523% (3 month LIBOR +1.25%).

All Reference Obligations shown above for Total Return Swap Contracts are floating rate secured bank loans.

 

See Notes to Financial Statements.

 

 

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Table of Contents
Blackstone / GSO Strategic Credit Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

 

     Moody’s Rating      Principal
Amount
     Market Value  

FLOATING RATE LOAN INTERESTS(a) - 110.78%

        

Aerospace and Defense - 3.80%

        

Booz Allen Hamilton, Inc., Senior Secured Tranche B First Lien Initial Term Loan, 4.500%, 7/27/2019

     Ba2         $1,985,000         $1,988,106   

Camp Systems International Holdings Co., Senior Secured First Lien Refinance Term Loan, 5.250%, 05/31/2019

     B1         6,947,500         7,031,426   

DAE Aviation Holdings, Inc., Senior Secured First Lien Term B-1 Loan, 6.250%, 11/02/2018

     B3         4,081,956         4,102,366   

DAE Aviation Holdings, Inc., Senior Secured First Lien Term B-2 Loan, 6.250%, 11/02/2018

     B3         1,855,148         1,864,424   

Landmark Aviation (LM U.S. Member LLC), Senior Secured First Lien Canadian Term Loan, 5.750%, 10/25/2019

     B3         647,786         653,455   

Landmark Aviation (LM U.S. Member LLC), Senior Secured First Lien Initial Term Loan, 5.750%, 10/25/2019

     B3         7,643,880         7,710,764   

Landmark Aviation (LM U.S. Member LLC), Senior Secured Second Lien Initial Term Loan, 9.500%, 10/26/2020

     B3         2,000,000         2,027,500   

Sequa Corp., Senior Secured First Lien Term Loan, 5.250%, 06/19/2017

     B2         6,875,370         6,904,005   
        

 

 

 
           32,282,046   
        

 

 

 

Automotive - 1.71%

        

Affinia Group, Inc., Senior Secured Tranche B-2 First Lien Term Loan, 4.750%, 04/27/2020

     B3         3,777,778         3,773,056   

Chrysler Group LLC, Senior Secured First Lien Tranche B Term Loan, 4.250%, 05/24/2017

     Ba2         2,984,810         3,000,674   

Jason, Inc., Senior Secured First Lien Term Loan, 5.000%, 02/28/2019

     B1         1,955,556         1,960,444   

Navistar International Corp., Senior Secured Tranche B First Lien Term Loan, 5.750%, 08/17/2017

     B3         3,486,673         3,498,667   

TI Group Automotive Systems LLC, Senior Secured First Lien Additional Term Loan, 5.500%, 03/28/2019

     Ba3         2,301,923         2,329,270   
        

 

 

 
           14,562,111   
        

 

 

 

Banking, Finance, and Real Estate - 5.54%

        

Alliant Holdings I, Inc., Senior Secured First Lien Term Loan, 5.000%, 12/20/2019

     B2         9,772,321         9,790,644   

AmWins Group LLC, Senior Secured First Lien Term B Loan, 5.000%, 09/06/2019

     B2         1,990,000         2,000,786   

Asurion LLC, Senior Secured Tranche B-1 First Lien Incremental Term Loan, 4.500%, 05/24/2019

     Ba2         7,960,000         7,902,290   

Cunningham Lindsey Corp., Senior Secured First Lien Term Loan, 5.000%, 12/10/2019

     B1         9,328,125         9,328,125   

Duff and Phelps Corp., Senior Secured First Lien Term Loan, 4.500%, 04/23/2020

     B1         1,071,429         1,075,446   

First Data Corp., Senior Secured First Lien Term B Loan, 4.193%, 09/24/2018

     B1         1,909,091         1,864,151   

HarbourVest Partners LP, Senior Secured First Lien New Term Loan, 4.750%, 11/21/2017

     Ba3         2,900,407         2,927,599   

National Financial Partners Corp., Senior Secured First Lien New Term Loan, 5.250%, 06/19/2020

     B2         2,666,667         2,661,120   

Nuveen Investments, Inc., Senior Secured Tranche B First Lien Term Loan, 4.195%, 05/13/2017

     B2         7,000,000         6,962,830   

SNL Financial LC, Senior Secured First Lien Term Loan, 5.500%, 10/23/2018

     B2         2,621,212         2,626,127   
        

 

 

 
           47,139,118   
        

 

 

 

Beverage, Food and Tobacco - 3.78%

        

Advance Pierre Foods, Inc., Senior Secured First Lien Term Loan, 5.750%, 07/10/2017

     B1         4,394,392         4,419,110   

Advance Pierre Foods, Inc., Senior Secured Second Lien Term Loan, 9.500%, 10/10/2017

     B1         6,944,444         7,093,750   

Del Monte Corp., Senior Secured First Lien Initial Term Loan, 4.000%, 03/08/2018

     Ba3         3,879,164         3,872,705   

Fairway Group Acquisition Co., Senior Secured First Lien Term Loan, 5.000%, 08/17/2018

     B2         3,473,794         3,480,324   

Supervalu, Inc., Senior Secured First Lien Term Loan, 5.000%, 03/21/2019

     B3         2,966,330         2,953,353   

U.S. Foods, Inc., Senior Secured First Lien Term Loan, 4.500%, 03/31/2019

     B3         10,408,877         10,323,004   
        

 

 

 
           32,142,246   
        

 

 

 

 

  

 

Semi-Annual Report  |  June 30, 2013

   23


Table of Contents

Blackstone / GSO Strategic Credit Fund

  Portfolio of Investments
 

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

Capital Equipment - 1.95%

        

BakerCorp International, Inc., Senior Secured First Lien Replacement Term Loan, 4.250%, 02/07/2020

     Ba3         $2,987,500         $2,977,238   

Dematic S.A., Senior Secured First Lien Term Loan, 5.250%, 12/28/2019

     B2         4,422,222         4,431,443   

Edwards (Cayman Islands II) Ltd., Senior Secured First Lien Term B Loan, 4.750%, 03/26/2020

     B3         2,705,051         2,711,813   

Sensus U.S.A., Inc. (fka Sensus Metering Systems), Senior Secured Second Lien Term Loan, 8.500%, 05/09/2018

     Ba2         6,450,000         6,433,875   
        

 

 

 
           16,554,369   
        

 

 

 

Chemicals, Plastics and Rubber - 4.94%

        

Berry Plastics Corp., Senior Secured First Lien Term D Loan, 3.500%, 02/08/2020

     B2         1,130,976         1,120,622   

Ineos Finance PLC, Senior Secured First Lien Dollar Term Loan, 4.000%, 05/04/2018

     B1         4,981,231         4,888,630   

Pinnacle Operating Corp., Senior Secured First Lien Term B Loan, 4.750%, 11/15/2018

     B2         11,165,766         11,176,206   

PQ Corp., Senior Secured First Lien Term Loan, 4.500%, 05/08/2017

     B1         9,950,000         9,976,119   

U.S. Coastings Aquisition, Inc., Senior Secured First Lien Initial Term B Loan, 4.750%, 02/01/2020

     B2         8,370,629         8,384,273   

VWR International, Inc., Senior Secured First Lien Eur Term Loan, 4.376%, 04/03/2017

     B1         4,975,000         6,488,494   
        

 

 

 
           42,034,344   
        

 

 

 

Construction and Building - 1.85%

        

Custom Building Products, Inc., Senior Secured First Lien Term Loan, 6.000%, 12/16/2019

     B1         12,789,316         12,837,277   

SRS Distribution, Inc., Senior Secured First Lien Term Loan, 4.750%, 09/02/2019

     B2         2,894,737         2,880,263   
        

 

 

 
           15,717,540   
        

 

 

 

Consumer Goods Durable - 2.58%

        

AOT Bedding Super Holdings LLC (aka National Bedding/Serta), Senior Secured First Lien Term B Loan, 5.000%, 10/01/2019

     B2         6,982,500         6,992,974   

Apex Tool Group LLC, Senior Secured First Lien Term Loan, 4.500%, 01/31/2020

     B2         1,779,935         1,783,495   

Fender Musical Instruments Corp., Senior Secured First Lien Initial Term Loan, 5.750%, 04/03/2019

     B2         714,286         716,811   

Hupah Finance, Inc., Senior Secured First Lien Initial Term Loan, 4.500%, 01/21/2019

     B2         2,460,762         2,466,926   

MModal, Inc., Senior Secured First Lien Term B Loan, 7.500%, 08/15/2019

     Ba3         8,115,066         7,927,446   

Spectrum Brands, Inc., Senior Secured First Lien Term B Loan, 4.500%, 12/17/2019

     Ba3         2,066,431         2,076,763   
        

 

 

 
           21,964,415   
        

 

 

 

Consumer Goods Non Durable - 1.97%

        

Acosta, Inc., Senior Secured First Lien Term D Loan, 5.000%, 03/01/2018

     B1         4,901,836         4,940,634   

FGI Operating Co. LLC, Senior Secured First Lien Term B Loan, 5.500%, 04/19/2019

     Ba3         1,994,965         1,997,468   

Hostess Brands, Senior Secured First Lien Term Loan, 6.750%, 04/09/2020

     B3         1,363,636         1,392,048   

Sagittarius Brands, Inc., Senior Secured First Lien Term B Loan, 6.250%, 10/01/2018

     B1         8,409,091         8,454,626   
        

 

 

 
           16,784,776   
        

 

 

 

Containers, Packaging and Glass - 4.11%

        

Berlin Packaging LLC, Senior Secured First Lien Term Loan, 4.750%, 04/02/2019

     B1         3,548,387         3,561,694   

Berlin Packaging LLC, Senior Secured Second Lien Term Loan, 8.750%, 03/28/2019

     B2         714,286         721,429   

Bway Corp. (aka ICL Industrial Containers), Senior Secured First Lien Term B Loan, 4.500%, 08/06/2017

     Ba3         12,051,892         12,134,748   

John Henry Holdings, Inc. (aka Multi Packaging Solutions), Senior Secured First Lien Term Loan, 6.000%, 12/06/2018

     B2         11,940,000         12,059,400   

Ranpak Corp., Senior Secured Second Lien Term Loan, 8.500%, 04/23/2020

     Ba3         2,264,706         2,287,353   

WNA Holdings, Inc., Senior Secured First Lien Term Loan, 4.500%, 05/21/2020

     B2         4,200,000         4,179,000   
        

 

 

 
           34,943,624   
        

 

 

 

 

 

24

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Table of Contents
Blackstone / GSO Strategic Credit Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

Energy Electricity - 2.36%

        

GIM Channelview Cogeneration LLC, Senior Secured First Lien Term Loan, 4.250%, 05/08/2020

     Ba3         $1,016,949         $1,023,732   

La Frontera Generation LLC, Senior Secured First Lien Term Loan, 4.500%, 09/30/2020

     B1         3,401,361         3,382,245   

NXP B.V. (NXP Fundings LLC), Senior Secured Tranche C First Lien Term Loan, 4.750%, 01/10/2020

     B1         4,975,000         5,055,844   

Star West Generation LLC, Senior Secured First Lien Term B Advance Loan, 4.250%, 03/13/2020

     Ba3         5,024,982         5,053,248   

Topaz Power Holdings LLC, Senior Secured First Lien Term Loan, 5.250%, 02/26/2020

     B1         5,529,590         5,537,884   
        

 

 

 
           20,052,953   
        

 

 

 

Energy, Oil and Gas - 7.45%

        

BBTS Borrower LP, Senior Secured First Lien Term Loan, 7.750%, 06/04/2019

     Caa1         10,687,500         10,647,422   

Boomerang Tube LLC, Senior Secured First Lien Term Loan, 11.000%, 10/02/2017

     B3         1,612,393         1,596,269   

Brock Holdings III, Inc., Senior Secured Second Lien Term Loan, 10.000%, 03/16/2018

     B1         1,833,333         1,865,416   

Buffalo Gulf Coast Terminals LLC, Senior Secured First Lien Term Loan, 5.250%, 10/31/2017

     Ba1         2,646,667         2,686,367   

Crestwood Holdings LLC, Senior Secured First Lien Term Loan, 7.000%, 05/24/2019

     Caa1         5,882,353         5,941,176   

EMG Utica LLC, Senior Secured First Lien Term Loan, 4.750%, 03/27/2020

     B2         1,888,112         1,883,392   

NFR Energy LLC (Sabine Oil & Gas LLC), Senior Secured First Lien Mission Term Loan, 8.750%, 12/31/2018

     Caa1         5,276,596         5,276,596   

Philadelphia Energy Solutions Refining & Marketing LLC, Senior Secured First Lien Term Loan, 6.250%, 04/04/2018

     B1         3,703,704         3,694,444   

Rice Drilling B LLC, Senior Secured Second Lien Term Loan, 8.500%, 10/25/2018

     NR         2,809,859         2,816,884   

Samson Investment Co., Senior Secured Second Lien Initial Term Loan, 6.000%, 09/25/2018

     B1         4,000,000         4,000,000   

Sheridan Production Partners LP, Senior Secured Tranche B-2 First Lien Term Loan [PRT I], 5.000%, 10/01/2019

     B1         5,696,591         5,682,350   

Sheridan Production Partners LP, Senior Secured Tranche B-2 First Lien Term Loan [PRT I-A], 5.000%, 10/01/2019

     B1         754,845         752,958   

Sheridan Production Partners LP, Senior Secured Tranche B-2 First Lien Term Loan, 5.000%, 10/01/2019

     B1         461,064         459,911   

Stallion Oilfield Holdings, Inc., Senior Secured First Lien Term Loan, 8.000%, 06/18/2018

     B3         2,500,000         2,515,625   

Tallgrass Energy Partners LP, Senior Secured First Lien Term Loan, 5.250%, 11/13/2018

     Ba3         6,638,110         6,683,780   

Teine Energy Ltd., Senior Secured First Lien Term Loan, 7.500%, 05/17/2019

     NR         2,743,125         2,722,552   

Utex Industries, Inc., Senior Secured First Lien Term Loan, 4.750%, 04/10/2020

     B3         1,351,351         1,347,412   

Utex Industries, Inc., Senior Secured Second Lien Initial Term Loan, 8.750%, 04/10/2021

     B3         540,541         542,908   

W3 Co., Senior Secured First Lien Term Loan, 5.750%, 03/13/2020

     B1         1,115,217         1,122,187   

W3 Co., Senior Secured Second Lien Term Loan, 9.250%, 09/13/2020

     Caa1         1,056,176         1,074,660   
        

 

 

 
           63,312,309   
        

 

 

 

Environmental Industries - 1.49%

        

ADS Waste Holdings, Inc., Senior Secured Tranche B First Lien Term Loan, 4.250%, 10/09/2019

     B2         8,955,000         8,946,045   

Tervita Corp., Senior Secured First Lien Term Loan, 6.250%, 05/15/2018

     B2         3,752,500         3,747,809   
        

 

 

 
           12,693,854   
        

 

 

 

Forest Products and Paper - 0.23%

        

Appvion, Inc., Senior Secured First Lien Term Loan, 5.750%, 06/04/2019

     B2         2,000,000         1,995,000   
        

 

 

 

Healthcare and Pharmaceuticals - 12.18%

        

Alvogen Pharmaceuticals U.S., Senior Secured First Lien Term Loan, 7.000%, 05/23/2018

     B3         5,555,556         5,527,778   

Ardent Medical Services, Inc., Senior Secured First Lien Term Loan, 6.750%, 07/02/2018

     B1         5,118,635         5,169,847   

Axcan Pharmaceuticals, Inc., Senior Secured First Lien Term B-1 Loan, 5.500%, 02/10/2017

     B1         2,972,062         2,979,492   

Axcan Pharmaceuticals, Inc., Senior Secured First Lien Term B-2 Loan, 5.500%, 02/10/2017

     B1         3,964,874         3,974,787   

Capsugel Holdings U.S., Inc., Senior Secured First Lien Initial Term Loan, 4.250%, 08/01/2018

     B1         5,621,887         5,656,433   

CHG Buyer Corp., Senior Secured First Lien Term Loan, 5.000%, 11/19/2019

     B2         4,976,188         5,005,722   

 

  

 

Semi-Annual Report  |  June 30, 2013

   25


Table of Contents

Blackstone / GSO Strategic Credit Fund

  Portfolio of Investments
 

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

Healthcare and Pharmaceuticals (continued)

        

CHG Buyer Corp., Senior Secured Second Lien Term Loan, 9.000%, 11/19/2020

     B2         $3,000,000         $3,049,995   

Convatec, Inc. (aka Cidron Healthcare, Ltd.), Senior Secured First Lien Dollar Term Loan, 5.000%, 12/22/2016

     Ba3         3,915,278         3,945,622   

Drumm Investors LLC (aka Golden Living), Senior Secured First Lien Term Loan, 5.000%, 05/04/2018

     B1         6,945,232         6,693,468   

Harvard Drug Group LLC, Senior Secured First Lien Term Loan, 5.000%, 10/29/2019

     B2         5,954,731         5,988,227   

Ikaria Acquisition, Inc., Senior Secured First Lien Term Loan, 7.750%, 09/25/2017

     B1         4,466,250         4,496,955   

Immucor, Inc., Senior Secured First Lien Term B-2 Loan, 5.000%, 08/17/2018

     Ba3         470,183         472,769   

National Mentor Holdings, Inc., Senior Secured Tranche B-1 First Lien Term Loan, 6.500%, 02/09/2017

     Ba3         8,931,516         9,007,433   

National Specialty Hospitals, Inc., Senior Secured First Lien Initial Term Loan, 8.250%, 02/03/2017

     B2         4,000,000         4,000,000   

Onex Carestream Finance LP, Senior Secured First Lien Term Loan, 5.000%, 06/07/2019

     B1         5,367,694         5,318,204   

Par Pharmaceutical Co., Inc., Senior Secured First Lien Additional Term B-1 Loan, 4.250%, 09/30/2019

     B1         6,947,588         6,913,718   

RadNet, Inc., Senior Secured Tranche B First Lien Term Loan, 4.253%, 10/10/2018

     B2         7,178,323         7,196,269   

Sheridan Healthcare, Inc., Senior Secured Second Lien Initial Term Loan, 9.000%, 07/01/2019

     B1         2,727,273         2,761,364   

Sheridan Holdings, Inc., Senior Secured First Lien Initial Term Loan, 4.500%, 06/29/2018

     B1         2,122,712         2,130,672   

Smile Brands Group, Inc., Senior Secured First Lien Term B Loan, 7.000%, 12/21/2017

     Ba3         4,974,555         4,887,525   

Surgery Center Holdings, Inc., Senior Secured First Lien Term Loan, 6.000%, 04/11/2019

     B1         3,862,941         3,884,574   

United Surgical Partners International, Inc., Senior Secured New Tranche B First Lien Term Loan, 4.750%, 04/03/2019

     Ba3         2,126,813         2,125,494   

Valeant Pharmaceuticals International, Inc., Senior Secured First Lien Series E Tranche B Term Loan, 4.500%, 06/26/2020

     Ba1         2,368,421         2,363,388   
        

 

 

 
           103,549,736   
        

 

 

 

High Tech Industries - 14.63%

        

Aspect Software, Inc., Senior Secured First Lien Term B Loan, 7.000%, 05/09/2016

     Ba3         5,835,463         5,850,051   

Attachmante Corp., Senior Secured Second Lien Term Loan, 11.000%, 11/22/2018

     B1         6,000,000         6,013,140   

Audio Visual Services Group, Senior Secured First Lien Term Loan, 6.750%, 11/9/2018

     B1         9,413,402         9,507,536   

Blackboard, Inc., Senior Secured First Lien Term B-2 Loan, 6.250%, 10/04/2018

     B1         12,796,278         12,945,610   

Blue Coat Systems, Inc., Senior Secured First Lien Term Loan, 4.500%, 05/31/2019

     B2         4,764,821         4,750,908   

CompuCom Systems, Inc., Senior Secured First Lien Term Loan, 4.250%, 05/11/2020

     B2         2,631,579         2,595,395   

Excelitas Technologies, Inc. (fka IDS Acquisition), Senior Secured First Lien Term B Loan, 5.000%, 11/29/2016

     B1         4,912,275         4,918,416   

EZE Software, Senior Secured First Lien Term Loan, 4.750%, 04/06/2020

     B1         1,333,333         1,337,780   

Hyland Software, Inc., Senior Secured First Lien Term Loan, 5.500%, 10/25/2019

     B2         9,868,443         9,920,844   

Ion Trading Technologies S.A.R.L., Senior Secured First Lien Tranche B-1 Term Loan, 4.500%, 05/22/2020

     B3         4,687,500         4,673,813   

Ion Trading Technologies S.A.R.L., Senior Secured Second Lien Term Loan, 8.250%, 05/22/2021

     B3         3,428,571         3,432,857   

Kronos, Inc. (aka Seahawk Acquisition Corp.), Senior Secured First Lien Incremental Term Loan, 4.500%, 10/30/2019

     B1         8,955,000         8,997,536   

Kronos, Inc. (aka Seahawk Acquisition Corp.), Senior Secured Second Lien Term Loan, 9.750%, 04/30/2020

     B1         3,076,923         3,184,615   

Presidio, Inc., Senior Secured First Lien Term Loan, 5.750%, 03/31/2017

     B1         4,466,250         4,432,753   

Rocket Software, Inc., Senior Secured First Lien Term Loan, 5.750%, 02/08/2018

     B1         2,867,083         2,874,251   

Ship Luxco 3 S.A.R.L. (RBS Worldpay), Senior Secured Facility B2A First Lien Term Loan, 5.250%, 11/30/2017

     Ba2         1,011,411         1,019,250   

Ship Luxco 3 S.A.R.L. (RBS Worldpay), Senior Secured Facility C First Lien Term Loan, 4.750%, 11/30/2019

     Ba2         2,707,692         2,720,662   

Sirius Computer, Inc. (SCS Holdings I), Senior Secured First Lien Term Loan, 7.000%, 12/07/2018

     Ba3         5,250,000         5,243,437   

 

 

26

   www.blackstone-gso.com


Table of Contents
Blackstone / GSO Strategic Credit Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

High Tech Industries (continued)

        

Sophia LP, Senior Secured First Lien Additional Term B Loan, 4.500%, 07/19/2018

     Ba3         $1,990,000         $1,997,463   

Technicolor S.A., Senior Secured First Lien Term A2 Facility Loan, 6.750%, 05/26/2016

     B3         1,504,172         1,519,221   

Technicolor S.A., Senior Secured First Lien Term B2 Facility Loan, 7.750%, 05/26/2017

     B3         3,900,108         3,939,128   

TriZetto Group, Inc. (TZ Merger Sub, Inc.), Senior Secured First Lien Term Loan, 4.750%, 05/02/2018

     B1         1,791,974         1,788,615   

TriZetto Group, Inc. (TZ Merger Sub, Inc.), Senior Secured Second Lien Term Loan, 8.500%, 03/28/2019

     B1         1,288,768         1,282,324   

Vertafore, Inc., Senior Secured Second Lien Term Loan, 9.750%, 10/27/2017

     B1         9,250,000         9,504,375   

Wall Street Systems Holdings, Inc., Senior Secured First Lien Term Loan, 5.750%, 10/25/2019

     Ba3         7,107,143         7,122,707   

Wesco Distribution, Senior Secured First Lien Term Loan, 4.500%, 12/12/2019

     Ba3         2,842,857         2,854,712   
        

 

 

 
           124,427,399   
        

 

 

 

Hotels, Gaming and Leisure - 3.01%

        

Alpha Topco Ltd. (Formula One), Senior Secured First Lien New Facility Term B Loan, 4.500%, 04/30/2019

     B2         6,417,739         6,419,343   

Centaur LLC, Senior Secured First Lien Term Loan, 5.250%, 02/20/2019

     B1         7,178,333         7,169,360   

Corner Investment Propco LLC, Senior Secured First Lien Term B Loan, 11.000%, 11/04/2019

     B3         3,000,000         3,090,000   

Mood Media Corp., Senior Secured First Lien Term Loan, 7.000%, 05/06/2011

     Ba3         1,765,887         1,768,651   

Zuffa LLC, Senior Secured First Lien Term B Loan, 4.500%, 02/25/2020

     Ba3         7,205,172         7,184,926   
        

 

 

 
           25,632,280   
        

 

 

 

Media Advertising, Printing and Publishing - 2.14%

        

Cenveo Corp., Senior Secured First Lien Term B Loan, 6.250%, 02/13/2017

     Ba3         3,156,646         3,165,532   

Getty Images, Inc., Senior Secured First Lien Initial Term Loan, 4.750%, 10/18/2019

     B1         6,965,000         6,898,241   

McGraw-Hill Global Education Holdings LLC, Senior Secured First Lien Term Loan, 9.000%, 03/22/2019

     B2         2,161,250         2,130,722   

SGS International, Inc. (aka Southern Graphics/Logo Merger Sub), Senior Secured First Lien Term Loan, 5.000%, 10/17/2019

     B1         5,970,000         5,992,417   
        

 

 

 
           18,186,912   
        

 

 

 

Media Broadcasting and Subscription - 3.04%

        

Cumulus Media Holdings, Inc., Senior Secured First Lien Term Loan, 4.500%, 09/17/2018

     Caa1         4,763,461         4,780,323   

Entercom Radio LLC, Senior Secured First Lien Term B Loan, 5.000%, 11/23/2018

     B2         2,051,789         2,075,384   

FoxCo Acquisition Sub. LLC, Senior Secured First Lien Term Loan, 5.500%, 07/14/2017

     B1         2,735,771         2,766,563   

Hubbard Radio LLC, Senior Secured First Lien Term Loan, 4.500%, 04/29/2019

     Ba3         1,354,113         1,360,883   

NEP/NCP Holdco, Inc., Senior Secured First Lien Term Loan, 4.750%, 01/22/2020

     B1         1,667,598         1,679,413   

Nexstar Broadcasting, Inc. (aka MIssion Broadcasting, Inc.), Senior Secured First Lien Mission Term Loan, 4.250%, 12/03/2019

     Ba3         905,367         911,596   

Nexstar Broadcasting, Inc. (aka Mission Broadcasting, Inc.), Senior Secured First Lien Term B Loan, 4.250%, 12/03/2019

     Ba3         2,141,542         2,156,276   

RCN Corp., Senior Secured First Lien Term B Loan, 5.250%, 03/01/2020

     B1         3,621,988         3,642,996   

SESAC Holdings, Inc., Senior Secured First Lien Term Loan, 6.000%, 02/15/2019

     B1         2,458,235         2,476,672   

Univision Communications, Inc., Senior Secured First Lien Term C1 Loan, 4.500%, 03/01/2020

     B2         3,990,000         3,960,075   
        

 

 

 
           25,810,181   
        

 

 

 

Metals and Mining - 1.06%

        

MRC Global (aka McJunkin Corp.), Senior Secured First Lien Term B Loan, 6.000%, 11/08/2019

     Ba2         8,970,673         9,034,185   
        

 

 

 

Retail - 9.79%

        

Academy, Ltd., Senior Secured First Lien Initial Term Loan, 4.500%, 08/03/2018

     B2         6,932,538         6,970,459   

Albertson’s LLC, Senior Secured First Lien Term B-2 Loan, 4.750%, 03/21/2019

     NR         2,023,913         2,014,431   

 

  

 

Semi-Annual Report  |  June 30, 2013

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Table of Contents

Blackstone / GSO Strategic Credit Fund

  Portfolio of Investments
 

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

Retail (continued)

        

BJ’s Wholesale Club, Inc., Senior Secured First Lien Replacement Term Loan, 4.250%, 09/26/2019

     B2         $7,970,038         $7,955,094   

Burlington Coat Factory Warehouse Corp., Senior Secured First Lien Term B-1 Loan, 4.250%, 02/23/2017

     B3         2,776,843         2,782,396   

Chinos Acquisition Corp. (aka J. Crew Group, Inc.), Senior Secured First Lien New Term B1 Loan, 4.000%, 03/07/2018

     B1         3,969,620         3,957,215   

Collective Brands Finance, Inc. (aka Payless ShoeSource), Senior Secured First Lien Term Loan, 7.250%, 10/09/2019

     B1         10,116,807         10,268,559   

Container Store, Inc., Senior Secured First Lien Term B3 Loan, 5.500%, 04/08/2019

     B3         1,892,629         1,898,553   

DBP Holdings Corp., Senior Secured First Lien Initial Term Loan, 5.000%, 10/11/2019

     B2         7,224,565         7,242,663   

Leslie’s Poolmart, Inc., Senior Secured Tranche B First Lien Term Loan, 5.250%, 10/16/2019

     B2         9,767,800         9,812,585   

Neiman Marcus Group, Inc., Senior Secured First Lien Extended Term Loan, 4.000%, 05/16/2018

     B2         6,562,500         6,551,902   

Renfro Corp., Senior Secured First Lien New Term B Loan, 5.750%, 01/30/2019

     B2         665,000         668,325   

Smart & Final Stores LLC, Senior Secured First Lien Term Loan, 4.500%, 11/15/2019

     B3         15,352,548         15,275,785   

Sports Authority, Inc. (aka TSA), Senior Secured First Lien Term B Loan, 7.500%, 11/16/2017

     B3         3,969,466         3,984,351   

Sprouts Farmers Markets Holdings LLC, Senior Secured First Lien Initial Term Loan, 4.500%, 04/23/2020

     B2         2,000,000         2,002,500   

Yankee Candle Co., Inc., Senior Secured First Lien Term B Loan, 5.250%, 04/02/2019

     Ba2         1,814,244         1,819,015   
        

 

 

 
           83,203,833   
        

 

 

 

Services - Business - 8.75%

        

4L Holdings Corp. (aka Clover Technology), Senior Secured First Lien Term Loan, 6.750%, 05/07/2018

     B2         4,960,206         4,960,206   

Advantage Sales & Marketing, Inc., Senior Secured Second Lien Term Loan, 8.250%, 06/18/2018

     Ba3         102,857         103,543   

Alix Partners LLP, Senior Seucred First Lien Refinancing Term B-2 Loan, 4.500%, 06/28/2019

     Ba3         5,390,496         5,415,777   

Crossmark Holdings, Inc., Senior Secured First Lien Term Loan, 4.500%, 12/20/2019

     B1         2,346,698         2,344,739   

Crossmark Holdings, Inc., Senior Secured Second Lien Term Loan, 8.750%, 12/21/2020

     B1         2,000,000         2,000,000   

eResearch Technology, Inc., Senior Secured First Lien Term Loan, 6.000%, 05/02/2018

     B1         3,145,484         3,165,143   

Garda Worldwide Security Corp., Senior Secured First Lien Term Loan, 4.500%, 11/13/2019

     B1         2,450,094         2,475,612   

Ipreo Holdings LLC, Senior Secured Tranche B-2 First Lien Term Loan, 6.500%, 08/07/2017

     B1         988,223         999,340   

MoneyGram Payment Systems Worldwide, Inc., Senior Secured First Lien Term B Loan, 4.250%, 03/27/2020

     Ba1         2,369,870         2,380,250   

PGA Holdings, Inc. (aka Press Ganey), Senior Secured First Lien Term Loan, 4.250%, 04/20/2018

     B2         2,216,485         2,211,864   

Polyconcept Investments B.V. (Metropolitan Management), Senior Secured First Lien Term Loan, 7.000%, 06/27/2019

     Ba3         5,000,000         4,975,000   

Scitor Corp., Senior Secured First Lien Term Loan, 5.000%, 02/15/2017

     B2         1,614,747         1,582,452   

Sedgwich Holdings, Inc., Senior Secured First Lien Term B-2 Loan, 4.250%, 06/12/2018

     B1         1,783,679         1,788,878   

SI Organization, Inc., Senior Secured New Tranche B First Lien Term Loan, 5.500%, 11/22/2016

     Ba3         2,984,866         2,981,135   

StoneRiver Group LP, Senior Secured First Lien Initial Term Loan, 4.500%, 11/29/2019

     B2         4,354,839         4,328,514   

StoneRiver Group LP, Senior Secured Second Lien Initial Term Loan, 8.500%, 05/30/2020

     B2         3,669,725         3,655,963   

SurveyMonkey.com LLC, Senior Secured First Lien Term Loan, 5.500%, 02/07/2019

     B1         5,712,955         5,734,378   

Transaction Network Services, Senior Secured First Lien Term Loan, 5.000%, 02/14/2020

     B1         3,460,351         3,480,543   

Transaction Network Services, Senior Secured Second Lien Term Loan, 9.000%, 08/14/2020

     B1         1,406,250         1,420,903   

TravelCLICK Holdings (aka TCH-2 Holdings), Senior Secured First Lien Term B Loan, 5.750%, 03/16/2016

     B1         1,498,335         1,518,937   

TravelCLICK Holdings (aka TCH-2 Holdings), Senior Secured Second Lien Term Loan, 9.750%, 03/25/2018

     B1         1,074,627         1,110,895   

Truven Health Analytics, Inc., Senior Secured New Tranche B First Lien Term Loan, 4.500%, 06/06/2019

     Ba3         7,976,233         7,971,288   

ValleyCrest Companies LLC, Senior Secured First Lien Initial Term Loan, 5.500%, 06/07/2019

     B2         1,578,947         1,577,171   

 

 

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Table of Contents
Blackstone / GSO Strategic Credit Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

    Moody’s Rating      Principal
Amount
     Market Value  

Services - Business (continued)

       

Web.com Group, Inc., Senior Secured First Lien Term Loan, 4.500%, 10/27/2017

    B1         $6,173,523         $6,230,103   
       

 

 

 
          74,412,634   
       

 

 

 

Services - Consumer - 2.49%

       

Alliance Laundry Systems LLC, Senior Secured First Lien Term Loan, 4.500%, 12/10/2018

    B1         2,935,545         2,952,057   

Aramark Corp., Senior Secured First Lien Term D Loan, 4.000%, 09/09/2019

    Ba3         6,999,747         6,999,747   

Bright Horizons Family Solutions LLC, Senior Secured First Lien Term Loan, 4.000%, 01/30/2020

    B2         1,401,408         1,408,240   

California Pizza Kitchen, Inc., Senior Secured First Lien Term Loan 5.250%, 03/29/2018

    B3         3,418,605         3,427,151   

Monitronics International, Inc., Senior Secured First Lien Term B Loan, 4.250%, 03/23/2018

    B2         6,353,372         6,377,198   
       

 

 

 
          21,164,393   
       

 

 

 

Telecommunications - 5.86%

       

Avaya, Inc., Senior Secured B-3 Extended First Lien Term B-3 Loan, 4.773%, 10/26/2017

    B1         3,961,144         3,482,202   

Fairpoint Communications, Inc., Senior Secured First Lien Term Loan, 7.500%, 02/14/2019

    Ba2         5,985,000         5,873,859   

Fibertech Networks, LLC (Firefox), Senior Secured First Lien New Term Loan, 4.500%, 12/18/2019

    B2         5,348,097         5,399,359   

Global Tel Link Corp., Senior Secured First Lien Term Loan, 5.000%, 05/23/2020

    B1         4,500,000         4,491,562   

Hargray Communications (DPC Acquisitions), Senior Secured First Lien Term Loan, 4.750%, 06/25/2019

    B1         3,000,000         2,996,250   

Leap Wireless International, Inc. (Cricket Communications), Senior Secured First Lien Term Loan, 4.750%, 10/10/2019

    Ba2         8,291,667         8,222,597   

Securus Technologies Holdings, Inc., Senior Secured First Lien Initial Term Loan, 4.750%, 04/30/2020

    Caa2         987,654         982,410   

Sorenson Communications, Inc., Senior Secured First Lien Term Loan, 9.500%, 10/31/2014

    B2         3,913,755         3,921,112   

Wide Open West Finance LLC, Senior Secured First Lien Term B Loan, 4.750%, 04/01/2019

    Ba2         4,988,588         5,011,461   

Zayo Group LLC (Zayo Capital, Inc.), Senior Secured First Lien Term Loan, 4.500%, 07/02/2019

    B2         9,464,869         9,472,725   
       

 

 

 
          49,853,537   
       

 

 

 

Transportation Consumer - 2.71%

       

Air Medical Group Holdings, Inc., Senior Secured First Lien Term B-1 Loan, 6.500%, 06/30/2018

    B2         5,339,627         5,429,733   

Delta Airlines, Inc., Senior Secured First Lien Term B1 Loan, 4.000%, 10/18/2018

    Ba2         9,975,000         9,994,601   

Sabre, Inc., Senior Secured First Lien Term B Loan, 5.250%, 02/19/2019

    B1         6,001,097         6,047,336   

U.S. Airways, Inc., Senior Secured First Lien Tranche B-1 Term Loan, 4.250%, 05/22/2019

    B3         1,574,803         1,558,551   
       

 

 

 
          23,030,221   
       

 

 

 

Utilities Electric - 0.96%

       

Calpine Corp., Senior Secured First Lien Term B3 Loan, 4.000%, 10/09/2019

    B1         1,994,975         1,996,232   

FREIF North American Power I LLC, Senior Secured First Lien Term B-1 Loan, 4.750%, 03/29/2019

    Ba3         3,833,168         3,837,959   

FREIF North American Power I LLC, Senior Secured First Lien Term C-1 Loan, 4.750%, 03/29/2019

    Ba3         751,161         752,100   

Panda Temple Power LLC, Senior Secured First Lien Term Loan, 7.250%, 04/03/2019

    NR         1,545,455         1,560,909   
       

 

 

 
          8,147,200   
       

 

 

 

Utilities, Oil & Gas - 0.40%

       

EquiPower Resources Holdings LLC, Senior Secured First Lien Term C Loan, 4.250%, 12/21/2019

    Ba3         3,387,097         3,370,161   
       

 

 

 

TOTAL FLOATING RATE LOAN INTERESTS

(Cost $937,589,235)

          942,001,377   
       

 

 

 

 

  

 

Semi-Annual Report  |  June 30, 2013

   29


Table of Contents

Blackstone / GSO Strategic Credit Fund

  Portfolio of Investments
 

 

June 30, 2013 (Unaudited)

 

     Moody’s Rating      Principal
Amount
     Market Value  

CORPORATE BONDS - 32.80%

        

Banking, Finance, and Real Estate - 0.49%

        

Hub International, Ltd., Senior Unsecured Bond, 8.125%, 10/15/2018(b)

     Caa2         $4,000,000         $4,180,000   
        

 

 

 

Beverage, Food and Tobacco - 1.28%

        

Aramark Corp., Senior Unsecured Bond, 5.750%, 03/15/2020(b)

     B3         1,500,000         1,541,250   

Chiquita Brands International, Inc., Senior Unsecured Bond, 7.875%, 02/01/2021(b)

     B1         1,500,000         1,575,000   

Del Monte Foods Co., Senior Unsecured Bond, 7.625%, 02/15/2019

     Caa1         5,000,000         5,162,500   

U.S. Foods, Inc., Senior Unsecured Bond, 8.500%, 06/30/2019

     Caa2         2,500,000         2,625,000   
        

 

 

 
           10,903,750   
        

 

 

 

Chemicals, Plastics and Rubber - 0.47%

        

Nufarm Australia, Ltd., Senior Unsecured Bond, 6.375%, 10/15/2019(b)

     Ba3         3,000,000         3,007,500   

PetroLogistics LP (PetroLogistics Finance Corp.), Senior Unsecured Bond, 6.250%, 04/01/2020(b)

     B2         1,000,000         985,000   
        

 

 

 
           3,992,500   
        

 

 

 

Construction and Building - 0.18%

        

Zachry Holdings, Inc., Senior Unsecured Bond, 7.500%, 02/01/2020(b)

     B2         1,450,000         1,500,750   
        

 

 

 

Consumer Goods Durable - 0.96%

        

Reynolds Group Holdings, Inc., Senior Unsecured Bond,

        

8.500%, 05/15/2018

     Ba2         4,000,000         4,140,000   

5.750%, 10/15/2020

     Ba2         4,000,000         4,040,000   
        

 

 

 
           8,180,000   
        

 

 

 

Consumer Goods Non Durable - 0.69%

        

Revlon Consumer Products Corp., Senior Unsecured Bond, 5.750%, 02/15/2021(b)

     B1         6,000,000         5,872,500   
        

 

 

 

Energy Electricity - 0.46%

        

Amkor Technology, Inc., Senior Unsecured Bond, 6.375%, 10/01/2022

     B2         4,000,000         3,950,000   
        

 

 

 

Energy, Oil and Gas - 7.11%

        

Alta Mesa Holdings LP, Senior Unsecured Bond, 9.625%, 10/15/2018

     B3         7,000,000         7,297,500   

Atlas Pipeline Partners LLC, Senior Unsecured Bond,

        

6.625%, 10/01/2020(b)

     B2         5,000,000         5,037,500   

4.750%, 11/15/2021(b)

     B2         3,000,000         2,703,750   

BreitBurn Energy Partners LP, Senior Unsecured Bond, 7.875%, 04/15/2022

     B3         4,500,000         4,612,500   

CrownRock LP / CrownRock Finance, Inc., Senior Unsecured Bond, 7.125%, 04/15/2021(b)

     Caa1         5,000,000         4,925,000   

CVR Refining LLC / Coffeyville Finance, Inc., Senior Unsecured Bond, 6.500%, 11/01/2022(b)

     B2         5,000,000         4,925,000   

Everest Acquisition LLC, Senior Unsecured Bond, 7.750%, 09/01/2022

     B2         2,000,000         2,150,000   

Forest Oil Corp., Senior Unsecured Bond, 7.500%, 09/15/2020(b)

     B3         3,000,000         2,865,000   

Genesis Energy LP/Finance Corp., Senior Unsecured Bond, 5.750%, 02/15/2021(b)

     B1         2,000,000         1,960,000   

Linn Energy LLC, Senior Unsecured Bond, 6.250%, 11/01/2019(b)

     B2         4,000,000         3,830,000   

Resolute Energy Corp., Senior Unsecured Bond, 8.500%, 05/01/2020

     B3         2,900,000         2,965,250   

Samson Investment Co., Senior Unsecured Bond, 9.750%,
02/15/2020(b)

     B3         4,000,000         4,235,000   

SandRidge Energy, Inc., Senior Unsecured Bond, 7.500%, 02/15/2023

     B2         4,000,000         3,820,000   

Sidewinder Drilling, Inc., Senior Unsecured Bond, 9.750%,
11/15/2019(b)

     B3         4,250,000         4,324,375   

Vanguard Natural Resources LLC, Senior Unsecured Bond, 7.875%, 04/01/2020

     Caa1         2,250,000         2,317,500   

Western Refining, Inc., Senior Unsecured Bond, 6.250%, 04/01/2021(b)

     B2         2,500,000         2,450,000   
        

 

 

 
           60,418,375   
        

 

 

 

 

 

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Table of Contents
Blackstone / GSO Strategic Credit Fund    Portfolio of Investments
  

 

June 30, 2013 (Unaudited)

 

    Moody’s Rating      Principal
Amount
     Market Value  

Healthcare and Pharmaceuticals - 0.51%

       

Amsurg Corp., Senior Unsecured Bond, 5.625%, 11/30/2020

    Ba3         $1,000,000         $1,005,000   

Aurora Diagnostics Holdings LLC, Senior Unsecured Bond, 10.750%, 01/15/2018

    Caa1         2,000,000         1,350,000   

Valeant Pharmaceuticals, Inc., Senior Unsecured Bond, 6.375%,
10/15/2020(b)

    B1         2,000,000         1,987,500   
       

 

 

 
          4,342,500   
       

 

 

 

High Tech Industries - 3.70%

       

Allen Systems Group, Inc., Senior Secured Bond, 10.500%, 11/15/2016(b)

    Caa2         1,875,000         1,237,500   

Brocade Communications Systems, Inc., Senior Unsecured Bond, 4.625%, 01/15/2023(b)

    B1         1,250,000         1,181,250   

IMS Health, Inc., Senior Unsecured Bond, 6.000%, 11/01/2020(b)

    B3         2,600,000         2,652,000   

MModal, Inc., Senior Unsecured Bond, 10.750%, 08/15/2020(b)

    Caa1         3,017,000         2,473,940   

Mood Media Corp., Senior Unsecured Bond, 9.250%, 10/15/2020(b)

    B3         8,700,000         8,004,000   

Sanmina-SCI Corp., Senior Unsecured Bond, 7.000%, 05/15/2019(b)

    B1         4,000,000         4,140,000   

Southern Graphics, Inc., Senior Unsecured Bond, 8.375%, 10/15/2020(b)

    Caa1         1,000,000         1,035,000   

Technicolor S.A., Senior Unsecured Bond,

       

9.350%, 04/23/2016

    B3         485,103         557,384   

9.350%, 05/26/2017

    B3         1,455,991         1,672,934   

Viasystems, Inc., Senior Unsecured Bond, 7.875%, 05/01/2019(b)

    B2         8,002,000         8,482,120   
       

 

 

 
          31,436,128   
       

 

 

 

Hotels, Gaming and Leisure - 1.71%

       

Felcor Lodging Trust, Inc., Senior Unsecured Bond, 5.625%, 03/01/2023

    B2         4,000,000         3,900,000   

NCL Corp., Ltd., Senior Unsecured Bond, 5.000%, 02/15/2018(b)

    B3         3,250,000         3,201,250   

Sabre Holdings, Corp., Senior Unsecured Bond, 8.500%, 05/15/2019(b)

    B1         4,000,000         4,275,000   

Six Flags Theme Parks, Inc., Senior Unsecured Bond, 5.250%, 01/15/2021(b)

    B3         3,250,000         3,144,375   
       

 

 

 
          14,520,625   
       

 

 

 

Media Diversified and Production - 3.57%

       

Cablevision Systems Corp., Senior Unsecured Bond, 5.875%, 09/15/2022

    B1         4,000,000         3,890,000   

CCO Holdings, Inc., Senior Unsecured Bond, 5.125%, 02/15/2023

    B1         3,650,000         3,440,125   

Cequel Communications LLC, Senior Unsecured Bond, 6.375%, 09/15/2020(b)

    B3         8,500,000         8,691,250   

LIN Television Corp., Senior Unsecured Bond, 6.375%, 01/15/2021

    B3         1,250,000         1,270,312   

McGraw-Hill Global Education Holdings LLC, First Priority Lien Bond, 9.750%, 04/01/2021(b)

    B2         2,000,000         2,055,000   

Mediacom Broadband Group LLC, Senior Unsecured Bond, 6.375%, 04/01/2023

    B3         2,225,000         2,225,000   

Quebecor Media, Inc., Senior Unsecured Bond, 5.750%, 01/15/2023

    B2         1,025,000         1,004,500   

Sinclair Television Group, Inc., Senior Unsecured Bond, Series WI, 6.125%, 10/01/2022

    B1         3,500,000         3,517,500   

Univision Communications, Inc., Senior Unsecured Bond, 6.750%, 09/15/2022(b)

    B2         4,000,000         4,220,000   
       

 

 

 
          30,313,687   
       

 

 

 

Metals and Mining - 0.60%

       

Prince Mineral Holding Corp., Senior Unsecured Bond, 11.500%, 12/15/2019(b)

    Caa1         1,000,000         1,075,000   

Terex Corp., Senior Unsecured Bond, 6.000%, 05/15/2021

    B3         4,000,000         4,010,000   
       

 

 

 
          5,085,000   
       

 

 

 

Retail - 2.44%

       

Logan’s Roadhouse, Inc., Senior Unsecured Bond, 10.750%, 10/15/2017

    B3         3,994,000         3,724,405   

New Academy Finance Co., LLC, Senior Unsecured Bond, 8.000%, 06/15/2018(b)(c)

    Caa1         3,000,000         3,090,000   

Petco Holdings, Inc., Senior Unsecured Bond, 8.500%, 10/15/2017(b)(c)

    Caa1         2,300,000         2,357,500   

Ruby Tuesday, Inc., Senior Unsecured Bond, 7.625%, 05/15/2020

    B3         4,000,000         4,000,000   

Serta Simmons Holdings LLC, Senior Unsecured Bond, 8.125%, 10/01/2020(b)

    Caa1         6,000,000         6,135,000   

Wolverine World Wide, Inc., Senior Unsecured Bond, 6.125%,
10/15/2020(b)

    B2         1,400,000         1,452,500   
       

 

 

 
          20,759,405   
       

 

 

 

Services - Business - 1.74%

       

FTI Consulting, Inc., Senior Unsecured Bond, 6.000%, 11/15/2022(b)

    Ba2         1,800,000         1,831,500   

 

  

 

Semi-Annual Report  |  June 30, 2013

   31


Table of Contents
Blackstone / GSO Strategic Credit Fund   Portfolio of Investments
 

 

June 30, 2013 (Unaudited)

 

    Moody’s Rating     Principal
Amount
    Market Value  

Services - Business (continued)

     

Global A&T Electronics, Ltd., Senior Unsecured Bond, 10.000%, 02/01/2019(b)

    B1        $4,000,000        $4,090,000   

Hertz Corp., Senior Unsecured Bond,

     

5.875%, 10/15/2020

    B2        1,000,000        1,035,000   

6.250%, 10/15/2022

    B2        1,000,000        1,048,750   

Neff Rental LLC, Senior Unsecured Bond, 9.625%, 05/15/2016(b)

    Caa1        6,408,000        6,760,440   
     

 

 

 
        14,765,690   
     

 

 

 

Telecommunications - 5.05%

     

Avaya, Inc., Senior Secured Bond, 7.000%, 04/01/2019(b)

    B1        4,000,000        3,630,000   

Cincinnati Bell, Inc. (aka Broadwing, Inc.), Senior Unsecured Bond, 8.750%, 03/15/2018

    B3        4,643,000        4,672,019   

Crown Castle International Corp., Senior Unsecured Bond, 5.250%, 01/15/2023

    B1        5,000,000        4,818,750   

DigitalGlobe, Inc., Senior Unsecured Bond, 5.250%, 02/01/2021(b)

    B1        1,350,000        1,302,750   

Fairpoint Communications, Inc., Senior Secured Bond, 8.750%, 08/15/2019(b)

    B2        3,000,000        2,985,000   

Frontier Communications Corp., Senior Unsecured Bond, 7.125%, 01/15/2023

    Ba2        4,000,000        3,995,000   

GCI, Inc., Senior Unsecured Bond, 6.750%, 06/01/2021

    B2        6,000,000        5,640,000   

Intelsat Jackson Holdings SA, Senior Unsecured Bond, 5.500%, 08/01/2023(b)

    B3        3,400,000        3,213,000   

MetroPCS Wireless, Inc., Senior Unsecured Bond, 6.250%, 04/01/2021(b)

    B1        2,000,000        2,042,500   

Sorenson Communications, Inc., Senior Unsecured Bond, 10.500%,
02/01/2015(b)

    B1        4,000,000        3,180,000   

Sprint Nextel Corp., Senior Unsecured Bond, 6.000%, 11/15/2022

    B3        4,750,000        4,678,750   

Windstream Corp., Senior Unsecured Bond, 6.375%, 08/01/2023

    B1        3,000,000        2,820,000   
     

 

 

 
        42,977,769   
     

 

 

 

Transportation Cargo - 0.65%

     

Kenan Advantage Group, Inc., Senior Unsecured Bond, 8.375%, 12/15/2018(b)

    B3        5,250,000        5,486,250   
     

 

 

 

Transportation Consumer - 0.23%

     

US Airways, Inc., Senior Unsecured Bond, 6.125%, 06/01/2018

    Caa2        2,100,000        1,995,000   
     

 

 

 

Utilities Electric - 0.47%

     

NRG Energy, Inc., Senior Unsecured Bond, 6.625%, 03/15/2023(b)

    B1        4,000,000        4,020,000   
     

 

 

 

Wholesale - 0.49%

     

VWR Funding, Inc., Senior Unsecured Bond, 7.250%, 09/15/2017

    Caa1        4,000,000        4,160,000   
     

 

 

 

TOTAL CORPORATE BONDS

(Cost $281,155,931)

        278,859,929   
     

 

 

 

Total Investments - 143.58%

(Cost $1,218,745,166)

        1,220,861,306   

Assets in Excess of Other Liabilities - 2.29%

        19,452,226   
     

 

 

 

Leverage Facility - (45.87)%

        (390,000,000)   
     

 

 

 

Net Assets - 100.00%

        $850,313,532   
     

 

 

 

Amounts above are shown as a percentage of net assets as of June 30, 2013.

 

(a) 

The interest rate shown represents the rate at period end.

(b) 

Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $165,349,250, which represents approximately 19.45% of net assets as of June 30, 2013.

(c) 

Option to convert to pay-in-kind security.

 

See Notes to Financial Statements.

 

 

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Table of Contents
Blackstone / GSO Funds    Statements of Assets and Liabilities
  

 

June 30, 2013 (Unaudited)

 

   

Senior Floating Rate

Term Fund

   

Long-Short Credit

Income Fund

   

Strategic Credit

Fund

 

ASSETS:

     

Investments, at value (Cost $429,629,686, $282,594,351 and $1,218,745,166, respectively) (including securities on loan)(a)

  $ 428,076,116      $ 281,808,821      $ 1,220,861,306   

Cash

    3,693,498        8,717,335        16,772,939   

Foreign Currency, at value (Cost $0, $0 and $49,813, respectively)

    0        0        49,813   

Unrealized appreciation on total return swap contracts (Note 11)

    0        33,338        0   

Receivable for investment securities sold

    27,144,469        6,596,979        56,744,572   

Interest receivable

    2,300,800        2,661,983        9,741,314   

Receivable for dividend reinvest

    35,758        6,927        225,423   

Deferred financing costs (Note 9)

    1,748,940        0        0   

Deposit held with broker for swap contracts

    0        5,401,117        0   

Total Assets

    462,999,581        305,226,500        1,304,395,367   

LIABILITIES:

     

Payable for investment securities purchased

    25,608,824        15,170,350        62,140,040   

Senior secured notes/leverage facility (Note 9)

    96,000,000        0        390,000,000   

Interest due on senior secured notes/leverage facility (Note 9)

    150,929        0        382,347   

Collateral for securities on loan (Note 8)

    0        48,880,313        0   

Unrealized depreciation on total return swap contracts (Note 11)

    0        182,785        0   

Swap contracts interest payable

    0        100,326        0   

Accrued investment advisory fee payable

    359,996        238,789        1,026,379   

Accrued trustees’ fees payable

    5,097        4,586        17,551   

Other payables and accrued expenses

    467,751        276,055        515,518   

Total Liabilities

    122,592,597        64,853,204        454,081,835   
      340,406,984        240,373,296        850,313,532   

TERM PREFERRED SHARES: (NOTE 9)

     

Term Preferred Shares, plus distributions payable on preferred shares
($1,000 liquidation value per share, 48,000 shares issued and outstanding)

    48,104,398        N/A        N/A   

Total Term Preferred Shares

    48,104,398        N/A        N/A   

Net Assets Applicable to Common Shareholders

  $ 292,302,586      $ 240,373,296      $ 850,313,532   
                         

COMPOSITION OF NET ASSETS ATTRIBUTABLE TO COMMON SHARES:

     

Paid-in capital

  $ 289,800,331      $ 239,015,679      $ 847,443,664   

Undistributed/(Overdistributed) net investment income

    (8,799)        135,380        (4,563,170)   

Accumulated net realized gain on investment securities and swap contracts

    4,064,624        2,157,214        5,315,584   

Net unrealized appreciation/(depreciation) on investment securities and swap contracts

    (1,553,570)        (934,977)        2,117,454   

Net Assets Applicable to Common Shareholders

  $ 292,302,586      $ 240,373,296      $ 850,313,532   
                         

Common shares outstanding (unlimited shares authorized, par value $0.001 per share)

    15,205,439        12,702,160        44,664,382   

Net asset value per common share

  $ 19.22      $ 18.92      $ 19.04   
                         

(a) Securities on loan with values of $0, $48,098,073 and $0, respectively. See Note 8.

 

See Notes to Financial Statements.

 

  

 

Semi-Annual Report  |  June 30, 2013

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Table of Contents

Blackstone / GSO Funds

  Statements of Operations
 

 

For the Six Months Ended June 30, 2013 (Unaudited)

 

 

     Senior Floating Rate
Term Fund
    Long-Short Credit
Income Fund
    Strategic Credit
Fund
 

INVESTMENT INCOME:

      

Interest

   $ 11,962,771      $ 8,955,492      $ 33,545,546   

Facility and other fees

     636,097        372,225        2,333,377   

Total Investment Income

     12,598,868        9,327,717        35,878,923   

EXPENSES:

      

Investment advisory fee

     2,181,730        1,449,317        5,890,418   

Fund accounting and administration fees

     327,260        217,398        883,563   

Insurance expense

     126,280        71,895        16,967   

Legal and audit fees

     65,076        50,795        135,857   

Custodian fees

     57,092        139,119        172,858   

Trustees’ fees and expenses

     51,999        50,978        64,550   

Printing expense

     9,457        15,516        15,320   

Transfer agent fees

     7,980        9,306        8,885   

Securities lending agent fees

     0        146,595        0   

Interest on senior secured notes/leverage facility

     889,266        0        1,845,392   

Amortization of deferred financing costs (Note 9)

     221,368        0        0   

Other expenses

     72,770        60,897        76,296   

Total Expenses

     4,010,278        2,211,816        9,110,106   

Net Investment Income

     8,588,590        7,115,901        26,768,817   

REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:

  

   

Net realized gain on:

      

Investment securities

     2,756,858        1,932,443        5,051,130   

Total return swap contracts

     0        408,805        0   

Foreign currency transactions

     0        0        264,454   

Change in unrealized appreciation/(depreciation) on:

      

Investment securities

     (3,754,316     (1,918,784     (7,722,593

Total return swap contracts

     0        51,143        0   

Translation of assets and liabilities in foreign currency transactions

     0        0        1,314   

Net Realized and Unrealized Gain/(Loss) on Investments

     (997,458     473,607        (2,405,695

DISTRIBUTIONS TO PREFERRED SHAREHOLDERS:

  

   

From ordinary income

     (613,566     N/A        N/A   

From net realized gains

     N/A        N/A        N/A   

Total Distributions to Preferred Shareholders

     (613,566     N/A        N/A   

Net Increase in Net Assets Attributable to Common Shares from Operations

   $ 6,977,566      $ 7,589,508      $ 24,363,122   
                          

 

See Notes to Financial Statements.

 

 

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Blackstone / GSO Funds    Statements of Changes in Net Assets
  

 

 

   

Senior Floating Rate

Term Fund

   

Long-Short Credit

Income Fund

   

Strategic Credit

Fund

 
    

For the Six

Months Ended

June 30, 2013

(Unaudited)

   

For the

Year Ended

December 31, 2012

   

For the Six

Months Ended
June 30, 2013

(Unaudited)

   

For the

Year Ended

December 31, 2012

   

For the Six

Months Ended

June 30, 2013

(Unaudited)

   

For the Period

September 26,

2012

(Commencement

of Operations) to

December 31, 2012

 

FROM OPERATIONS:

  

         

Net investment income

  $ 8,588,590      $ 20,678,091      $ 7,115,901      $ 15,537,136      $ 26,768,817      $ 6,049,040   

Net realized gain on investment securities and swap contracts

    2,756,858        2,485,033        2,341,248        3,207,302        5,315,584        537,477   

Change in unrealized appreciation/(depreciation) on investment securities, swap contracts and translation of assets and liabilities in foreign currency transactions

    (3,754,316     7,353,951        (1,867,641     8,854,534        (7,721,279     9,838,733   

Distributions to preferred shareholders:

           

From net investment income

    (613,566     (1,232,331     0        0        0        0   

From net realized gains

    0        (88,500     0        0        0        0   

Net Increase in Net Assets Attributable to Common Shares from Operations

    6,977,566        29,196,244        7,589,508        27,598,972        24,363,122        16,425,250   

DISTRIBUTIONS TO COMMON SHAREHOLDERS:

  

     

From ordinary income

    (8,360,436     (18,668,963     (8,230,269     (16,455,664     (31,331,987     (6,049,040

From net realized gains

    0        (2,892,755     0        0        0        (537,477

From tax return of capital

    0        0        0        0        0        (3,852,602

Net Decrease in Net Assets from Distributions to Common Shareholders

    (8,360,436     (21,561,718     (8,230,269     (16,455,664     (31,331,987     (10,439,119

CAPITAL SHARE TRANSACTIONS:

  

       

Proceeds from sale of common shares (net of offering costs of $0, $0, $0, $0, $0 and $1,784,200, respectively)

    0        0        0        0        0        850,171,300   

Net asset value of common shares issued to stockholders from reinvestment of dividends

    226,145        526,575        35,918        102,663        905,977        118,989   

Net Increase from Capital Share Transactions

    226,145        526,575        35,918        102,663        905,977        850,290,289   

Net Increase/(Decrease) in Net Assets Attributable to Common Shares

    (1,156,725     8,161,101        (604,843     11,245,971        (6,062,888     856,276,420   

NET ASSETS ATTRIBUTABLE TO COMMON SHAREHOLDERS:

  

   

Beginning of period

    293,459,311        285,298,210        240,978,139        229,732,168        856,376,420        100,000   

End of period(a)

  $ 292,302,586      $ 293,459,311      $ 240,373,296      $ 240,978,139      $ 850,313,532      $ 856,376,420   
                                                 

(a) Including undistributed/ (overdistributed) net investment income of:

  $ (8,799   $ 376,613      $ 135,380      $ 1,249,748      $ (4,563,170   $ 0   

 

See Notes to Financial Statements.

 

  

 

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Table of Contents
Blackstone / GSO Funds   Statements of Cash Flows
 

 

For the Six Months Ended June 30, 2013 (Unaudited)

 

 

CASH FLOWS FROM OPERATING ACTIVITIES:  

Senior Floating Rate

Term Fund

   

Long-Short Credit

Income Fund

    Strategic Credit Fund  

Net increase in net assets from operations

  $ 6,977,566      $ 7,589,508      $ 24,363,122   

Adjustments to reconcile net increase in net assets from operations to net cash provided by/(used in) operating activities:

     

Purchases of long-term investment securities

    (235,194,651     (136,117,466     (776,446,880

Proceeds from disposition of long-term investment securities

    207,375,840        137,259,765        395,303,205   

Net payments on swap contracts

    0        51,143        0   

Discounts and premiums amortized

    704,661        575,442        (300,672

Net realized gain on:

     

Investment securities

    (2,756,858     (1,932,443     (5,051,130

Total return swap contracts

    0        (408,805     0   

Foreign currency transactions

    0        0        (264,454

Net change in unrealized (appreciation)/depreciation on:

     

Investment securities

    3,754,316        1,918,784        7,722,593   

Total return swap contracts

    0        (51,143     0   

Translation of assets and liabilities in foreign currency transactions

    0        0        (1,314

(Increase)/Decrease in interest receivable

    94,244        595,963        (3,701,792

Decrease in amortization of deferred financing costs

    221,368        0        0   

Decrease in deposits held with broker for total return swap contracts

    0        5,400,000        0   

Decrease in prepaid expenses and other assets

    126,171        58,192        34,415   

Decrease in interest payable on loan outstanding

    0        0        (49,855

Decrease in total return swap contracts interest payable

    0        (64,973     0   

Increase/(Decrease) in interest due on senior secured notes

    (7,834     0        217,048   

Decrease in accrued offering costs

    0        0        (10,804

Increase/(Decrease) in accrued investment advisory fees payable

    (12,928     (5,992     284,560   

Decrease in accrued trustees’ fees payable

    (12,610     (13,758     (551

Increase/(Decrease) in other payables and accrued expenses

    (78,860     (57,453     214,500   

Net cash provided by/(used in) operating activities

    (18,809,575     14,796,764        (357,688,009

CASH FLOWS FROM FINANCING ACTIVITIES:

  

   

Increase in loan payable

    0        0        265,000,000   

Decrease in collateral for securities on loan

    0        (3,525,358     0   

Distributions paid - common shareholders-net

    (11,330,121     (8,192,801     (30,584,279

Distributions paid - term preferred shares-net

    (618,416     0        0   

Net cash provided by/(used in) financing activities

    (11,948,537     (11,718,159     234,415,721   

Net increase/(decrease) in cash

    (30,758,112     3,078,605        (123,272,288

Cash, beginning of period

    34,451,610        5,638,730        140,095,040   

Cash, end of period

  $ 3,693,498      $ 8,717,335      $ 16,822,752   
                         

Supplemental disclosure of cash flow information:

  

   

Cash paid for interest on senior secured notes/leverage facility

  $ 897,100      $      $ 1,628,344   

Cash paid for interest on securities lending

  $      $ 146,595      $   

Supplemental schedule of non-cash financing activities:

  

   

Common shares issued in reinvestment of distributions to common shareholders

  $ 226,145      $ 35,918      $ 905,977   

 

See Notes to Financial Statements.

 

 

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Blackstone / GSO Senior Floating Rate Term Fund    Financial Highlights

For a Share Outstanding Throughout the Periods Indicated

 

    

For the Six
Months Ended

June 30, 2013

(Unaudited)

   

For the

Year Ended
December 31, 2012

    For the
Year Ended
December 31, 2011
   

For the Period
May 26, 2010

(Commencement of

Operations) to
December 31, 2010

 

PER COMMON SHARE OPERATING PERFORMANCE:

       

Net asset value - beginning of period

  $ 19.31      $ 18.81      $ 19.63      $ 19.10   

INCOME/(LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income(a)

    0.57        1.36        1.34        0.62   

Net realized and unrealized gain/(loss) on investments

    (0.07)        0.65        (0.70)        0.64   

DISTRIBUTIONS TO PREFERRED SHAREHOLDERS:

       

From net investment income(a)

    (0.04)        (0.08)        (0.08)        (0.03)   

From net realized gains

           (0.01)                 

Total Income from Investment Operations

    0.46        1.92        0.56        1.23   

DISTRIBUTIONS TO COMMON SHAREHOLDERS:

       

From ordinary income

    (0.55)        (1.23)        (1.23)        (0.66)   

From net realized gains

           (0.19)        (0.15)          

Total Distributions to Common Shareholders

    (0.55)        (1.42)        (1.38)        (0.66)   

CAPITAL SHARE TRANSACTIONS:

       

Common share offering costs charged to paid-in capital

                         (0.04)   

Total Capital Share Transactions

                         (0.04)   

Net asset value per common share - end of period

  $ 19.22      $ 19.31      $ 18.81      $ 19.63   
                                 

Market price per common share - end of period

  $ 20.02      $ 20.33      $ 18.36      $ 19.96   

Total Investment Return - Net Asset Value(b)

    2.36%        10.51%        3.05%        6.37%   

Total Investment Return - Market Price(b)

    1.27%        19.20%        (1.08%)        3.29%   

RATIOS AND SUPPLEMENTAL DATA:

       

Net assets attributable to common shares, end of period (000s)

  $ 292,303      $ 293,459      $ 285,298      $ 297,206   

Ratio of expenses to average net assets attributable to common shares(c)

    2.73% (d)      2.78%        2.79%        2.41% (d) 

Ratio of net investment income to average net assets attributable to common shares(c)

    5.85% (d)      7.04%        6.91%        5.37% (d) 

Ratio of expenses to average managed assets(c)(e)

    1.84% (d)      1.87%        1.87%        1.83% (d) 

Portfolio turnover rate

    52%        74%        94%        55%   

TERM PREFERRED SHARES:

       

Liquidation value, end of period, including dividends payable on Term Preferred Shares (000s)

  $ 48,104      $ 48,109      $ 48,118      $ 48,109   

Total shares outstanding (000s)

    48        48        48        48   

Asset coverage per share(f)

  $ 7,092      $ 7,116      $ 6,946      $ 7,194   

Liquidation preference per share

  $ 1,000      $ 1,000      $ 1,000      $ 1,000   

SENIOR SECURED NOTES:

       

Aggregate principal amount, end of period (000s)

  $ 96,000      $ 96,000      $ 96,000      $ 96,000   

Average borrowings outstanding during the period (000s)

  $ 96,000      $ 96,000      $ 96,000      $ 61,527   

Asset coverage, end of period per $1,000

  $ 4,045      $ 4,057      $ 3,972      $ 4,096   

 

  

 

Semi-Annual Report  |  June 30, 2013

   37


Table of Contents

Blackstone / GSO Senior Floating Rate Term Fund

  Financial Highlights

For a Share Outstanding Throughout the Periods Indicated

 

(a) 

Calculated using average common shares outstanding.

(b)

Total investment return is calculated assuming a purchase of common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any, and are not annualized.

(c)

Ratios do not reflect dividend payments to preferred shareholders.

(d)

Annualized.

(e)

Average managed assets represent net assets applicable to common shares plus liquidation value of Term Preferred Shares and principal value of senior secured notes payable.

(f)

Calculated by subtracting the Fund’s total liabilities (excluding Term Preferred Shares) from the Fund’s total assets and dividing by the number of Term Preferred Shares outstanding.

 

See Notes to Financial Statements.

 

 

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Blackstone / GSO Long-Short Credit Income Fund    Financial Highlights

For a Share Outstanding Throughout the Periods Indicated

 

     For the Six
Months Ended
June 30, 2013
(Unaudited)
   

For the

Year Ended
December 31, 2012

    For the Period
January 27, 2011
(Commencement of
Operations) to
December 31, 2011
 

PER COMMON SHARE OPERATING PERFORMANCE:

     

Net asset value - beginning of period

  $ 18.97      $ 18.10      $ 19.10   

INCOME/(LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

    0.56        1.22        0.86   

Net realized and unrealized gain/(loss) on investments

    0.04        0.95        (0.74)   

Total Income from Investment Operations

    0.60        2.17        0.12   

DISTRIBUTIONS TO COMMON SHAREHOLDERS:

     

From ordinary income

    (0.65)        (1.30)        (0.84)   

From tax return of capital

                  (0.24)   

Total Distributions to Common Shareholders

    (0.65)        (1.30)        (1.08)   

CAPITAL SHARE TRANSACTIONS:

     

Common share offering costs charged to paid-in capital

                  (0.04)   

Total Capital Share Transactions

                  (0.04)   

Net asset value per common share - end of period

  $ 18.92      $ 18.97      $ 18.10   
                         

Market price per common share - end of period

  $ 19.65      $ 18.75      $ 17.06   

Total Investment Return - Net Asset Value(b)

    3.22%        12.45%        0.56%   

Total Investment Return - Market Price(b)

    8.46%        17.92%        (9.48%)   

RATIOS AND SUPPLEMENTAL DATA:

     

Net assets attributable to common shares, end of period (000s)

  $ 240,373      $ 240,978      $ 229,732   

Ratio of expenses to average net assets attributable to common shares

    1.83% (c)      1.82%        1.78% (c) 

Ratio of net investment income to average net assets attributable to common shares

    5.89% (c)      6.54%        5.00% (c) 

Portfolio turnover rate

    48%        77%        104%   

 

(a)

Calculated using average common shares outstanding.

(b)

Total investment return is calculated assuming a purchase of common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any, and are not annualized.

(c)

Annualized.

 

See Notes to Financial Statements.

 

  

 

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Table of Contents

Blackstone / GSO Strategic Credit Fund

  Financial Highlights

For a Share Outstanding Throughout the Periods Indicated

 

      For the Six
Months Ended
June 30, 2013
(Unaudited)
    For the Period
September 25, 2012
(Commencement of
Operations) to
December 31, 2012
 

PER COMMON SHARE OPERATING PERFORMANCE:

    

Net asset value - beginning of period

   $ 19.19      $ 19.10   

INCOME/(LOSS) FROM INVESTMENT OPERATIONS:

    

Net investment income(a)

     0.60        0.14   

Net realized and unrealized gain/(loss) on investments

     (0.05)        0.22   

Total Income from Investment Operations

     0.55        0.36   

DISTRIBUTIONS TO COMMON SHAREHOLDERS:

    

From ordinary income

     (0.70)        (0.13)   

From net realized gains

            (0.01)   

From tax return of capital

            (0.09)   

Total Distributions to Common Shareholders

     (0.70)        (0.23)   

CAPITAL SHARE TRANSACTIONS:

    

Common share offering costs charged to paid-in capital

            (0.04)   

Total Capital Share Transactions

            (0.04)   

Net asset value per common share - end of period

   $ 19.04      $ 19.19   
                  

Market price per common share - end of period

   $ 18.86      $ 18.55   

Total Investment Return - Net Asset Value(b)

     2.95%        1.73%   

Total Investment Return - Market Price(b)

     5.49%        (6.09%)   

RATIOS AND SUPPLEMENTAL DATA:

    

Net assets attributable to common shares, end of period (000s)

   $ 850,314      $ 856,376   

Ratio of expenses to average net assets attributable to common shares

     2.12% (c)      1.33% (c) 

Ratio of net investment income to average net assets attributable to common shares

     6.24% (c)      2.79% (c) 

Ratio of expenses to average managed assets(d)

     1.55% (c)      1.32% (c) 

Portfolio turnover rate

     38%        11%   

SENIOR SECURED NOTES:

    

Aggregate principal amount, end of period (000s)

   $ 390,000      $ 125,000   

Average borrowings outstanding during the period (000s)

   $ 320,220      $ 125,000 (e) 

Asset coverage, end of period per $1,000

   $ 3,180      $ 7,851   

 

(a)

Calculated using average common shares outstanding.

(b)

Total investment return is calculated assuming a purchase of common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions, if any, and are not annualized.

(c)

Annualized.

(d)

Average managed assets represent net assets applicable to common shares plus principal value of senior secured notes payable.

(e)

First borrowing was made on December 27, 2012.

 

See Notes to Financial Statements.

 

 

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Blackstone / GSO Funds    Notes to Financial Statements
  

 

June 30, 2013 (Unaudited)

 

NOTE 1. ORGANIZATION

 

Blackstone / GSO Senior Floating Rate Term Fund (“BSL”), is a non-diversified, closed-end management investment company. BSL was organized as a Delaware statutory trust on March 4, 2010. BSL was registered under the Investment Company Act of 1940, as amended (the “1940 Act”), on March 5, 2010. BSL commenced operations on May 26, 2010. Prior to that date, BSL had no operations other than matters relating to its organization and the sale and issuance of 5,236 common shares of beneficial interest in BSL to GSO /Blackstone Debt Funds Management LLC (the “Adviser”) at a price of $19.10 per share. The Adviser serves as BSL’s investment adviser. BSL’s common shares are listed on the New York Stock Exchange (the “Exchange”) and trade under the ticker symbol “BSL.”

Absent shareholder approval to extend the term of BSL, BSL will dissolve on or about May 31, 2020. Upon dissolution, BSL will distribute substantially all of its net assets to shareholders, after making appropriate provision for any liabilities. Pursuant to BSL’s Amended and Restated Agreement and Declaration of Trust (the “Declaration of Trust”), prior to the date of dissolution a majority of the Board of Trustees, with the approval of a majority of the shareholders entitled to vote (as defined in the 1940 Act) may extend the life of BSL. If approved, the dissolution date of BSL may be extended by a period of two years or such shorter time as may be determined. However, the dissolution date of BSL may be extended an unlimited number of times.

Blackstone / GSO Long-Short Credit Income Fund (“BGX”) is a non-diversified closed-end management investment company. BGX was organized as a Delaware statutory trust on October 22, 2010. BGX was registered under the 1940 Act on October 26, 2010. BGX commenced operations on January 27, 2011. Prior to that, BGX had no operations other than matters relating to its organization and the sale and issuance of 5,236 common shares of beneficial interest in BGX to the Adviser at a price of $19.10 per share. The Adviser serves as the investment adviser for BGX. BGX’s common shares are listed on the Exchange and trade under the ticker symbol “BGX.”

Blackstone / GSO Strategic Credit Fund (“BGB” and collectively with BSL and BGX, the “Funds”) is a newly organized non-diversified closed-end management investment company. BGB was organized as a Delaware statutory trust on March 28, 2012. BGB was registered under the 1940 Act on April 6, 2012. BGB commenced operations on September 26, 2012. Prior to that, BGB had no operations other than matters relating to its organization and the sale and issuance of 5,236 common shares of beneficial interest in BGB to the Adviser at a price of $19.10 per share. The Adviser serves as the investment adviser for BGB. BGB’s common shares are listed on the Exchange and trade under the ticker symbol “BGB.”

BGB will dissolve on or about September 15, 2027, absent shareholder approval to extend such term. Upon dissolution, BGB will distribute substantially all of its net assets to shareholders, after making appropriate provision for any liabilities of the Fund. Pursuant to BGB’s Agreement and Declaration of Trust, prior to the date of dissolution a majority of the Board of Trustees, with the approval of a majority of the outstanding voting securities entitled to vote (as defined in the 1940 Act), may extend the life of BGB. If approved, the dissolution date of the Fund may be extended by a period of two years or such shorter time as may be determined. However, the dissolution date of the Fund may be extended an unlimited number of times.

BSL’s primary investment objective is to seek high current income, with a secondary objective to seek preservation of capital, consistent with its primary goal of high current income. Under normal market conditions, at least 80% of BSL’s assets will be invested in senior secured, floating rate loans (“Senior Loans”).

BGX’s primary investment objective is to provide current income, with a secondary objective of capital appreciation. BGX seeks to achieve its investment objectives by employing a dynamic long-short strategy in a diversified portfolio of loans and fixed-income instruments of predominantly U.S. corporate issuers, including first- and second-lien secured loans (“Secured Loans”) and high-yield corporate debt securities of varying maturities. BGX’s long positions in loans and fixed-income instruments will typically be rated below investment grade at the time of purchase. BGX’s long positions, either directly or through the use of derivatives, may total up to 130% of BGX’s net assets. BGX‘s short positions, either directly or through the use of derivatives, may total up to 30% of BGX’s net assets.

BGB’s primary investment objective is to seek high current income, with a secondary objective to seek preservation of capital, consistent with its primary goal of high current income. The Fund will seek to achieve its investment objectives by investing primarily in a diversified portfolio of loans and other fixed income instruments of predominantly U.S. corporate issuers, including first- and second-lien secured loans (‘‘Senior Secured Loans’’) and high yield corporate bonds of varying maturities. Under normal market conditions, at least 80% of BGB’s assets will be invested in credit investments comprised of corporate fixed income instruments and other investments (including derivatives) with similar economic characteristics.

Senior Loans, Secured Loans and Senior Secured Loans are referred to collectively as “Loans” throughout the Notes to Financial Statements.

The Funds are classified as “non-diversified” under the 1940 Act. As a result, each fund can invest a greater portion of its assets in obligations of a single issuer than a “diversified” fund. The Funds may therefore be more susceptible than a diversified fund to being adversely affected by any single corporate, economic, political, or regulatory occurrence.

 

  

 

Semi-Annual Report  |  June 30, 2013

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Table of Contents
Blackstone / GSO Funds   Notes to Financial Statements
 

 

June 30, 2013 (Unaudited)

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The preparation of their financial statements is in accordance with accounting principles generally accepted in the United States of America (“GAAP”), which requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and these differences could be material.

Portfolio Valuation: The Funds’ net asset value (“NAV”) is determined daily on each day that the Exchange is open for business, as of the close of the regular trading session on the Exchange. The Funds calculate NAV per share by subtracting liabilities (including accrued expenses or dividends) from the total assets of each Fund (the value of the securities plus cash or other assets, including interest accrued but not yet received) and dividing the result by the total number of outstanding common shares of the Funds.

Loans are primarily valued by using a composite loan price from a nationally recognized loan pricing service. The methodology used by the Funds’ nationally recognized loan pricing provider for composite loan prices is to value loans at the mean of the bid and ask prices from one or more brokers or dealers. Corporate bonds, other than short-term investments, are valued at the price provided by a nationally recognized pricing service. The prices provided by the nationally recognized service are typically based on the mean of bid and ask prices for each corporate bond security. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrices, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments. Short-term debt investments, if any, having a remaining maturity of 60 days or less when purchased would be valued at cost adjusted for amortization of premiums and accretion of discounts. Total return swaps are marked to market daily using prices of the underlying floating rate loans, which are then applied to the corresponding swap. Prices for the underlying floating rate loans are provided by the same nationally recognized loan pricing service. Credit default swaps are marked to market daily using quotations from pricing services, which are derived using daily swap curves and models that incorporate a number of factors such as the value of the underlying index. Any investments and other assets for which such current market quotations are not readily available are valued at fair value (“Fair Valued Assets”) as determined in good faith by management under procedures established by, and under the general supervision and responsibility of, the Funds’ Boards of Trustees.

Various inputs are used to determine the value of the Funds’ investments. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

Level 1— Unadjusted quoted prices in active markets for identical investments at the measurement date.

Level 2— Significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Level 3— Significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

The valuation techniques used by the Funds to measure fair value during the six months ended June 30, 2013 maximized the use of observable inputs and minimized the use of unobservable inputs. The categorization of a value determined for investments and other financial instruments is based on the pricing transparency of the investment and other financial instrument and does not necessarily correspond to the Funds’ perceived risk of investing in those securities.

 

 

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Blackstone / GSO Funds    Notes to Financial Statements
  

 

June 30, 2013 (Unaudited)

 

The following tables summarize the valuation of the Funds’ investments under the fair value hierarchy levels as of June 30, 2013:

Blackstone / GSO Senior Floating Rate Term Fund

 

Investments in Securities at Value*   Level 1 - Quoted Prices    

Level 2 - Significant

Observable Inputs

   

Level 3 - Significant

Unobservable Inputs

    Total  

Floating Rate Loan Interests

       

Aerospace and Defense

  $     –      $ 8,032,820      $ 4,096,138      $ 12,128,958   

Automotive

           7,648,028        1,886,528        9,534,556   

Banking, Finance, and Real Estate

           9,467,787        2,985,000        12,452,787   

Beverage, Food and Tobacco

           11,587,187        2,177,297        13,764,484   

Capital Equipment

           3,574,832        4,702,500        8,277,332   

Construction and Building

           1,671,008        5,928,155        7,599,163   

Containers, Packaging and Glass

           9,117,135        489,593        9,606,728   

Energy, Oil and Gas

           22,394,299        4,652,413        27,046,712   

Forest Products and Paper

                  1,995,000        1,995,000   

Healthcare and Pharmaceuticals

           41,986,877        4,375,175        46,362,052   

High Tech Industries

           40,285,726        10,604,342        50,890,068   

Hotels, Gaming and Leisure

           14,013,876        1,030,000        15,043,876   

Media Advertising, Printing and Publishing

           7,728,230        1,058,400        8,786,630   

Retail

           28,438,989        6,298,885        34,737,874   

Services - Business

           36,080,617        3,029,999        39,110,616   

Utilities Electric

                  936,545        936,545   

Other

           105,994,325               105,994,325   

Corporate Bonds

           23,808,410               23,808,410   

Total

  $      $ 371,830,146      $ 56,245,970      $ 428,076,116   
                                 

Blackstone / GSO Long-Short Credit Income Fund

  

   
Investments in Securities at Value*   Level 1 - Quoted Prices    

Level 2 - Significant

Observable Inputs

   

Level 3 - Significant

Unobservable Inputs

    Total  

Floating Rate Loan Interests

       

Aerospace and Defense

  $      $ 1,741,543      $ 3,259,716      $ 5,001,259   

Automotive

           5,994,649        1,131,917        7,126,566   

Banking, Finance, and Real Estate

           2,962,302        1,865,625        4,827,927   

Capital Equipment

           994,074        3,705,000        4,699,074   

Construction and Building

           1,860,887        3,396,342        5,257,229   

Consumer Goods Durable

           8,445,421        1,980,000        10,425,421   

Containers, Packaging and Glass

           3,014,850        326,395        3,341,245   

Energy, Oil and Gas

           4,025,351        2,465,848        6,491,199   

Healthcare and Pharmaceuticals

           13,714,947        2,432,888        16,147,835   

High Tech Industries

           23,892,752        6,880,487        30,773,239   

Media Advertising, Printing and Publishing

           2,207,235        1,407,600        3,614,835   

Retail

           14,871,458        4,366,249        19,237,707   

Services - Business

           14,270,590        1,638,394        15,908,984   

Utilities Electric

           700,440        624,364        1,324,804   

Other

           72,612,335               72,612,335   

Corporate Bonds

           75,019,162               75,019,162   

Total

  $      $ 246,327,996      $ 35,480,825      $ 281,808,821   
                                 

Other Financial Instruments**

                               

Assets

       

Total Return Swap Contracts

  $      $ 33,338      $      $ 33,338   

Liabilities

       

Total Return Swap Contracts

           (182,785            (182,785

Total

  $      $ (149,447   $      $ (149,447
                                 

All securities of the Fund were valued using Level 1 or Level 2 inputs during the six months ended June 30, 2013. Thus a reconciliation of assets in which significant unobservable inputs (Level 3) were used is not applicable for the Fund.

*

   For detailed descriptions of classifications, see the accompanying Portfolio of Investments.

**

Other financial instruments are derivative instruments not reflected in the Portfolio of Investments.

 

  

 

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Table of Contents

Blackstone / GSO Funds

  Notes to Financial Statements
 

 

June 30, 2013 (Unaudited)

 

Blackstone / GSO Strategic Credit Fund

 

Investments in Securities at Value*   Level 1 - Quoted Prices     Level 2 - Significant
Observable Inputs
    Level 3 - Significant
Unobservable Inputs
    Total  

Floating Rate Loan Interests

       

Aerospace and Defense

  $      $ 17,951,037      $ 14,331,009      $ 32,282,046   

Automotive

           10,789,055        3,773,056        14,562,111   

Banking, Finance, and Real Estate

           37,810,993        9,328,125        47,139,118   

Capital Equipment

           10,120,494        6,433,875        16,554,369   

Construction and Building

                  15,717,540        15,717,540   

Containers, Packaging and Glass

           31,934,842        3,008,782        34,943,624   

Energy, Oil and Gas

           37,180,104        26,132,205        63,312,309   

Forest Products and Paper

                  1,995,000        1,995,000   

Healthcare and Pharmaceuticals

           87,376,020        16,173,716        103,549,736   

High Tech Industries

           88,191,301        36,236,098        124,427,399   

Hotels, Gaming and Leisure

           22,542,280        3,090,000        25,632,280   

Media Broadcasting and Subscription

           23,333,509        2,476,672        25,810,181   

Retail

           79,219,482        3,984,351        83,203,833   

Services - Business

           50,781,421        23,631,213        74,412,634   

Telecommunications

           46,857,287        2,996,250        49,853,537   

Utilities Electric

           1,996,232        6,150,968        8,147,200   

Other

           220,458,460               220,458,460   

Corporate Bonds

       

Telecommunications

           39,797,769        3,180,000        42,977,769   

Other

           235,882,160               235,882,160   

Total

  $      $ 1,042,222,446      $ 178,638,860      $ 1,220,861,306   
                                 

The changes of the fair value of investments for which the Funds have used Level 3 inputs to determine the fair value are as follows:

 

   

Blackstone / GSO
Senior Floating

Rate Fund

   

Blackstone / GSO
Long-Short Credit

Income Fund

   

Blackstone / GSO Strategic Credit Fund

 
Investments in Securities   Floating Rate
Loan Interests
   

Floating Rate

Loan Interests

    Floating Rate
Loan Interests
   

Corporate

Bonds

    Total  
 

 

 

 

Balance as of December 31, 2012

  $ 65,489,833      $ 43,588,334      $ 101,343,064      $      $ 101,343,064   

Accrued discount/ premium

    53,828        15,363        39,732               39,732   

Realized Gain/(Loss)

    160,988        144,240        842,812               842,812   

Change in Unrealized Appreciation/(Depreciation)

    (41,084     (104,672     146               146   

Purchases

    20,437,531        14,371,068        99,004,530               99,004,530   

Sales Proceeds

    (21,029,723     (9,509,886     (44,399,288            (44,399,288

Transfer into Level 3

    14,836,522        3,538,469        51,329,984        3,180,000        54,509,984   

Transfer out of Level 3

    (23,661,925     (16,562,091     (32,702,120            (32,702,120
 

 

 

 

Balance as of June 30, 2013

  $ 56,245,970      $ 35,480,825      $ 175,458,860      $ 3,180,000      $ 178,638,860   
 

 

 

 

Net change in unrealized appreciation/(depreciation) included in the Statements of Operations attributable to Level 3 investments held at June 30, 2013

  $ 284,963      $ 52,943      $ 1,246,243      $ (481,424   $ 764,819   
 

 

 

 

Information about Level 3 fair value measurements as of June 30, 2013:

 

Blackstone / GSO Senior Floating Rate Term Fund   Fair Value     Valuation Technique(s)   Unobservable Input(s)

Assets

     

Floating Rate Loan Interests

  $ 56,245,970      Third-party vendor pricing service   Vendor quotes
Blackstone / GSO Long-Short Credit Income Fund       Fair Value         Valuation Technique(s)   Unobservable Input(s)

Assets

     

Floating Rate Loan Interests

  $ 35,480,825      Third-party vendor pricing service   Vendor quotes

 

 

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Blackstone / GSO Funds    Notes to Financial Statements
  

 

June 30, 2013 (Unaudited)

 

Blackstone / GSO Strategic Credit Fund    Fair Value      Valuation Technique(s)    Unobservable Input(s)

Assets

        

Floating Rate Loan Interests

   $ 175,458,860       Third-party vendor pricing service    Vendor quotes

Corporate Bonds

   $ 3,180,000       Third-party vendor pricing service    Vendor quotes

The Funds evaluate transfers into or out of Level 1, 2 and 3 as of the end of the reporting period. There were no transfers between Level 1 and 2 during the period. Securities were transferred from Level 2 to Level 3 because of a lack of observable market data due to decrease in market activity and information for these securities. Other securities were moved from Level 3 to Level 2 as observable inputs were available for purposes of valuing those assets.

Securities Transactions and Investment Income: Securities transactions are recorded on trade date for financial reporting purposes and amounts payable or receivable for trades not settled at the time of period end are reflected as liabilities and assets, respectively. Interest income, including accretion of discount and amortization of premium, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statement of Operations.

When the Funds sell a floating rate loan interest they may pay an agency fee. The Funds earn facility and other fees on floating rate loan interests, and facility fees are typically amortized to income over the term of the loan. Consent and amendment fees are also recorded to income as earned. All of these fees are shown on the Statement of Operations under Facility and other fees.

Federal Income Taxes: It is the policy of the Funds to continue to qualify as regulated investment companies by complying with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their earnings to their shareholders. While no federal income tax provision is required, in early 2013 BGX paid an excise tax liability of $32,140 relating to the tax year 2012. No federal income or excise tax provision is required for BSL or BGB.

Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Funds, timing differences and differing characterization of distributions made by the Funds as a whole.

As of and during the six month period ended June 30, 2013, the Funds did not have a liability for any unrecognized tax benefits. The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations which is generally three years after the filing of the tax return for federal purposes and four years for most state returns. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

Distributions to Shareholders: The Funds make monthly cash distributions of all or a portion of their net investment income to common shareholders. The Funds will distribute to common shareholders at least annually all or substantially all of their net investment income after the payment of dividends and interest, if any, owed with respect to outstanding preferred shares and/or borrowings. The Funds intend to pay any capital gains distributions at least annually. If BSL realizes a long-term capital gain, it will be required to allocate such gain between the common shares and term preferred shares issued by BSL in proportion to the total dividends paid to each class for the year in which the income is realized.

NOTE 3. MANAGEMENT FEES, ADMINISTRATION FEES, AND OTHER AGREEMENTS

 

The Adviser, a wholly-owned subsidiary of GSO Capital Partners LP (collectively with its affiliates, “GSO”), is a registered investment adviser and is responsible for the day-to-day management of, and providing administrative and compliance oversight services to, the Funds. GSO is an affiliate of The Blackstone Group L.P. (collectively with its affiliates, “Blackstone”).

For BSL, the Adviser receives a monthly fee at the annual rate of 1.00% of the average daily value of BSL’s total assets (including any assets attributable to any leverage used) minus the sum of the BSL’s accrued liabilities (other than Fund liabilities incurred for any leverage) (“Managed Assets”). For BGX, the Adviser receives a monthly fee at the annual rate of 1.20% of the average daily value of BGX’s net assets (total assets of BGX minus liabilities including accrued expenses or dividends). For BGB, the Adviser receives a monthly fee at the annual rate of 1.00% of the average daily value of BGB’s Managed Assets.

Each Fund pays every Trustee who is not a director, officer, employee, or affiliate of GSO or ALPS (as defined below), a fee of $16,667 per annum, plus $2,500 per joint meeting of the Board of Trustees. The Chairman of the Audit Committee and Chairman of the Nominating and Governance Committee also each receive $2,500 per annum from each fund. The Lead Independent Trustee receives $2,667 from each Fund. In addition, for each joint meeting of a committee of the Board of Trustees that does not occur on a regular meeting or special meeting of the Funds, the Funds will each pay every committee member $750 for each such committee meeting attended. If such committee meeting is not held jointly, the respective

 

  

 

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Fund will pay each committee member $1,000 for each such meeting attended. The Funds will also reimburse independent Trustees for travel and out-of-pocket expenses incurred in connection with such meetings.

ALPS Fund Services, Inc. (“ALPS”) serves as administrator to the Funds. Under the administration agreement, ALPS is responsible for calculating the net asset value of the common shares and generally managing the administrative affairs of the Funds. For BSL and BGB, ALPS receives a monthly fee at the annual rate of 0.15% of the average daily value of Managed Assets, subject to a minimum annual fee of $350,000, plus out-of-pocket expenses. For BGX, ALPS receives a monthly fee at the annual rate of 0.18% of the average daily value of BGX’s net assets, also subject to a minimum annual fee of $350,000, plus out-of-pocket expenses. ALPS is not considered an affiliate of the Funds, as defined under the 1940 Act.

The Bank of New York Mellon serves as BSL’s and BGB’s custodian and JP Morgan Chase Bank, National Association serves as BGX’s custodian. Computershare Shareowner Services, LLC, serves as the Funds’ transfer agent. The Bank of New York Mellon, Computershare Shareowner Services, LLC, and JP Morgan Chase are not considered affiliates of the Funds as defined under the 1940 Act.

NOTE 4. SECURITIES TRANSACTIONS

 

Investment transactions for the six months ended June 30, 2013, excluding temporary short-term investments, were as follows:

 

Fund   

Cost of Investments

Purchased

    

Proceeds from

Investments Sold

 

Blackstone / GSO Senior Floating Rate Term Fund

   $ 234,526,215       $ 223,330,836   

Blackstone / GSO Long-Short Credit Income Fund

     144,161,087         137,383,535   

Blackstone / GSO Strategic Credit Fund

     716,049,967         444,063,613   

NOTE 5. CAPITAL

 

The Funds have authorized an unlimited number of $0.001 par value common shares.

Transactions in shares were as follows:

 

Blackstone / GSO Senior Floating Rate Term Fund   

For the Six

Months Ended

June 30, 2013

(Unaudited)

    

For the

Year Ended

December 31, 2012

 

Common shares outstanding - beginning of period

     15,193,991         15,166,193   

Common shares issued as reinvestment of dividends

     11,448         27,798   

Common shares outstanding - end of period

     15,205,439         15,193,991   
                   
Blackstone / GSO Long-Short Credit Income Fund   

For the Six

Months Ended

June 30, 2013

(Unaudited)

    

For the

Year Ended

December 31, 2012

 

Common shares outstanding - beginning of period

     12,700,248         12,694,664   

Common shares issued as reinvestment of dividends

     1,912         5,584   

Common shares outstanding - end of period

     12,702,160         12,700,248   
                   
Blackstone / GSO Strategic Credit Fund   

For the Six

Months Ended

June 30, 2013

(Unaudited)

    

For the Period

September 26, 2012

(Commencement of

Operations) to

December 31, 2012

 

Common shares outstanding - beginning of period

     44,616,577         5,236   

Common shares issued in connection with initial public offering

             44,605,000   

Common shares issued as reinvestment of dividends

     47,805         6,341   

Common shares outstanding - end of period

     44,664,382         44,616,577   
                   

 

 

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NOTE 6. SENIOR AND SECURED FLOATING RATE LOANS

 

BSL defines “Senior Loans” as first lien senior secured, floating rate loans that are made to U.S. and, to a limited extent, non-U.S. corporations, partnerships and other business entities (“Borrowers”), which operate in various industries and geographical regions. BGX includes first and second lien secured, floating rate loans in its definition of “Secured Loans”. Under normal market conditions, at least 80% of BSL’s Managed Assets will be invested in Senior Loans and 70% of BGX’s managed assets will be invested in Secured Loans. Under normal market conditions, at least 80% of BGB’s Managed Assets will be invested in credit investments comprised of corporate fixed income instruments and other investments (including derivatives) with similar economic characteristics. BGX defines its managed assets as net assets plus effective leverage obtained through securities lending, swap contract arrangements, and short selling or other derivative transactions (“BGX Managed Assets”). At June 30, 2013, 88.37% of BSL’s Managed Assets were held in Senior Loans, 75.51% of BGX’s Managed Assets were held in Secured Loans, and 98.40% of BGB’s Managed Assets were held in corporate fixed income instruments including Loans.

Loans hold a senior position in the capital structure of a business entity, are secured with specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by unsecured creditors, subordinated debt holders and stockholders of the Borrower.

Loans often require prepayments from Borrowers’ excess cash flows or permit the Borrowers to repay at their election. The degree to which Borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, floating rate loans typically have an expected average life of two to four years. Floating rate loans typically have rates of interest which are re-determined periodically, either daily, monthly, quarterly or semi-annually by reference to a floating base lending rate, primarily the London Interbank Offered Rate (LIBOR), plus a premium or credit spread.

Loans are subject to the risk of payment defaults of scheduled interest or principal. Such non-payment could result in a reduction of income, a reduction in the value of the investment and a potential decrease in the net asset value of either Fund. Risk of loss of income is generally higher for subordinated unsecured loans or debt, which are not backed by a security interest in any specific collateral. There can be no assurance that the liquidation of any collateral securing a Loan would satisfy the Borrower’s obligation to the Fund in the event of non-payment of scheduled interest or principal payments, or that such collateral could be readily liquidated.

Second lien loans generally are subject to similar risks as those associated with investments in first lien loans except that such loans are subordinated in payment and/or lower in lien priority to first lien holders. In the event of default on a second lien loan, the first priority lien holder has first claim to the underlying collateral of the loan. Second lien loans are subject to the additional risk that the cash flow of the Borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior unsecured or senior secured obligations of the Borrower. At June 30, 2013, BSL, BGX and BGB had invested $18,841,789, $7,447,794 and $69,865,951, respectively, in second lien secured loans. Second lien secured loans are considered Secured Loans for BGX and Senior Secured Loans for BGB, but are not considered Senior Loans for BSL.

Loans can be rated below investment grade or may also be unrated. As a result, the risks associated with Loans may be similar to the risks of other below investment grade securities, although they are senior and secured in contrast to other below investment grade securities, which are often subordinated or unsecured. BSL, BGX and BGB typically invest in Loans rated below investment grade, which are considered speculative because of the credit risk of the Borrowers. Such companies are more likely than investment grade issuers to default on their payments of interest and principal owed to BSL, BGX and BGB, and such defaults could reduce net asset value and income distributions. The amount of public information available with respect to below investment grade loans will generally be less extensive than that available for registered or exchange-listed securities. In evaluating the creditworthiness of Borrowers, the Adviser will consider, and may rely in part, on analyses performed by others. The Adviser’s established best execution procedures and guidelines require trades to be placed for execution only with broker-dealer counterparties approved by the risk and valuation committee of the Adviser. The factors considered by the committee when selecting and approving brokers and dealers include, but are not limited to: (i) quality, accuracy, and timeliness of execution, (ii) review of the reputation, financial strength and stability of the financial institution, (iii) willingness and ability of the counterparty to commit capital, (iv) ongoing reliability and (v) access to underwritten offerings and secondary markets.

BSL, BGX and BGB may acquire Loans through assignments or participations. BSL, BGX and BGB typically acquire these Loans through assignment, and if a Fund acquires a Loan through participation, will seek to elevate a participation interest into an assignment as soon as practicably possible. The purchaser of an assignment typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the purchaser’s rights can be more restricted than those of the assigning institution, and BSL, BGX or BGB may not be able to unilaterally enforce all rights and remedies under the Loan and with regard to any associated collateral. A participation typically results in a contractual relationship only with the institution participating out the interest, not with the Borrower. Sellers of participations typically include banks, broker-dealers, other financial institutions and lending institutions. The Adviser has adopted best execution procedures and guidelines to mitigate credit and counterparty risk in a typical situation when BSL, BGX or BGB must acquire a Loan through a

 

  

 

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participation. None of the Funds had outstanding participations as of June 30, 2013. The Adviser has established a counterparty and liquidity sub-committee that regularly reviews each broker-dealer counterparty for, among other things, its quality and the quality of its execution.

NOTE 7. TOTAL RETURN SWAPS

 

BGX has entered into total return swaps as of June 30, 2013 in an aggregate notional amount equal to $17,890,749. In a total return swap, BGX pays another party a fixed or floating short-term interest rate and receives in exchange the total return of underlying loans or debt securities. If the other party to a total return swap defaults, BGX’s risk of loss consists of the net amount of total return payments that BGX is contractually entitled to receive. BGX bears the risk of default on the underlying loans or debt securities, based on the notional amount of the swap. BGX is required to post collateral to cover this potential obligation. BGX may use total return swaps for financing, hedging or investment purposes (see further information in Note 9 – Leverage). For the purposes of Managed Assets, BGX will treat the value of a total return swap as the notional amount of the swap.

The periodic swap payments received or made by BGX are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value, including the accrual of periodic amounts of interest, are recorded as unrealized appreciation (depreciation) and shown on BGX’s Statement of Operations. When the swap is terminated, BGX will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and BGX’s basis in the contract, if any. Generally, the basis of the contracts is the unamortized premium received or paid.

International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions. The Adviser selects only those counterparties that it believes are credit-worthy. BGX segregates sufficient assets as collateral to satisfy the current obligations with respect to total return and credit default swaps, and this is reflected as Deposit held with broker for swap contracts on BGX’s Statement of Assets and Liabilities.

The effect of derivative instruments on the Statements of Assets and Liabilities as of June 30, 2013 is as follows:

Blackstone / GSO Long-Short Credit Income Fund

 

Risk Exposure    Statements of Assets and Liabilities Location    Asset Derivatives
Gross Unrealized Appreciation
   Liability Derivatives
Gross Unrealized Depreciation

 

Credit Contracts (Total Return

Swap Contracts)

  

 Unrealized appreciation/
(depreciation) on total return
swap contracts

   $            33,338    $            182,785

 

Total

      $            33,338    $            182,785
     

 

The effect of derivative instruments on the Statements of Operations as of June 30, 2013 is as follows:

Blackstone / GSO Long-Short Credit Income Fund

 

Risk Exposure    Statements of Operations Location    Net Realized Gain/(Loss)    Net Change in Unrealized
Appreciation/(Depreciation)

 

Credit Contracts

(Total Return

Swap Contracts)

  

Net realized gain/(loss) on total return
swap contracts/change in
unrealized appreciation/
(depreciation) on total return
swap contracts

   $            408,805    $            51,143

 

Total

      $            408,805    $            51,143
     

 

 

 

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NOTE 8. SECURITIES LENDING

 

BGX may make secured loans of its marginable securities to brokers, dealers and other financial institutions amounting to no more than 30% of its net assets. The risks in lending portfolio securities, as with other extensions of credit, consist of possible delay in recovery of the securities or possible loss of rights in the collateral should the borrower fail financially. However, such loans will be made only to broker-dealers and other financial institutions that are believed by the Adviser to be of relatively high credit standing.

Loans of securities are made to broker-dealers pursuant to agreements requiring that loans be continuously secured by collateral consisting of U.S. Government securities, cash or cash equivalents (negotiable certificates of deposit, bankers’ acceptances or letters of credit) maintained on a daily mark-to-market basis in an amount at least equal at all times to the market value of the securities lent. The borrower pays to BGX, as the lender, an amount equal to any dividends or interest received on the securities lent. The collateral must have a market value at least equal to 100% of the market value of the loaned securities at all times during the duration of the loan.

BGX invests the cash collateral received in accordance with its investment objectives, subject to BGX’s agreement with the borrower of the securities. In the case of cash collateral, BGX typically pays a rebate to the borrower. The reinvestment of cash collateral will result in a form of effective leverage for BGX.

Although voting rights or rights to consent with respect to the loaned securities pass to the borrower, BGX, as the lender, retains the right to call the loans and obtain the return of the securities loaned at any time on reasonable notice, and it will do so in order that the securities may be voted by BGX if the holders of such securities are asked to vote upon or consent to matters materially affecting the investment. BGX may also call such loans in order to sell the securities involved. When engaged in securities lending, BGX’s performance will continue to reflect changes in the value of the securities loaned and will also reflect the receipt of interest through investment of cash collateral by BGX in permissible investments.

As of June 30, 2013, BGX had securities on loan valued at $48,098,073 and received cash collateral with a value of $48,880,313 representing 20.01% and 20.34% of net assets, respectively.

NOTE 9. LEVERAGE

 

On August 13, 2010, BSL issued $96 million in aggregate principal amount of senior secured notes and 48,000 term preferred shares with an aggregate liquidation preference of $48 million, both rated “AAA” by Fitch Ratings. The senior secured notes and term preferred shares in combination represent total leverage of approximately 33% of BSL’s Managed Assets. BSL used the proceeds of the offerings to purchase additional assets for BSL’s portfolio. The final maturity date of the senior secured notes and the final redemption date of the term preferred shares is May 31, 2020, which coincides with the scheduled dissolution date of BSL.

Both the senior secured notes and the term preferred shares may be prepaid or redeemed at the option of BSL commencing the second anniversary of issuance. In addition, both the senior secured notes and the term preferred shares are subject to mandatory prepayment or redemption a) if BSL fails to meet certain overcollateralization tests, b) after the expiration of the BSL’s reinvestment period, which ends on May 31, 2017, c) if the senior secured notes and term preferred shares have not been fully prepaid/redeemed six months prior to the final maturity date (May 31, 2020), or d) if BSL fails to pay dividends on the term preferred shares for six consecutive months. Should either the senior secured notes or the term preferred shares be prepaid/redeemed, either through an optional or mandatory prepayment/redemption, the remainder of the term preferred shares or the senior secured notes shall also become payable/redeemable on a pro-rata basis.

In connection with BSL’s issuance of senior secured notes and term preferred shares, certain costs were incurred by BSL and have been recorded as a deferred asset. These costs are being amortized over the period beginning August 13, 2010 (day of issuance) through May 31, 2017, the date on which mandatory prepayments commence. The deferred asset balance as of June 30, 2013 is shown on BSL’s Statement of Assets and Liabilities under Deferred financing costs. The amount of expense amortized during the six months ended June 30, 2013 is shown on BSL’s Statement of Operations under Amortization of deferred financing costs.

The average interest rate of the $144 million aggregate amount of senior secured notes and term preferred shares is 1.78% over 3 month LIBOR. BSL pays quarterly, a floating rate interest of 1.55% over 3 month LIBOR on the senior secured notes and a floating rate dividend of 2.25% over 3 month LIBOR on the term preferred shares. Due to the short term nature of the floating rate payments on the senior secured notes and term preferred shares, face value approximates fair value at June 30, 2013. This fair value is based on Level 2 inputs under the three-tier fair valuation hierarchy (see Note 2).

BSL may prepay the senior secured notes or term preferred shares in whole or in part at any time on or after the second anniversary of the issuance date at an optional prepayment price. The redemption price per share of the term preferred shares and secured notes, respectively is at a premium to the issuance price. The redemption price is equal to 102% of the issuance price from the second anniversary date of the issuance date to but excluding the third anniversary date of the issuance date, and 101% of the issuance price from the third anniversary date of the issuance

 

  

 

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  Notes to Financial Statements
 

 

June 30, 2013 (Unaudited)

 

date to but excluding the fourth anniversary date of the issuance date and on or after the fourth anniversary date of the issuance date, 100% plus, in each case, an amount equal to accrued, accumulated and unpaid dividends thereon, to, but not including, the applicable redemption date.

According to the governing documents for the senior secured notes and term preferred shares, BSL must adhere to certain limitations and restrictions while the leverage is outstanding. These compliance tests are performed by BSL’s custodian, The Bank of New York Mellon Trust Company. These tests are in addition to any requirements outlined in BSL’s registration statement and the 1940 Act. As of June 30, 2013, BSL was in compliance with all required limitations and restrictions related to its leverage.

The holders of the term preferred shares are entitled to one vote per share and will vote with holders of common stock as a single class, except that the term preferred shares will vote separately as a class on certain matters, as required by law or BSL’s Declaration of Trust. The holders of term preferred shares, voting as a separate class, are entitled at all times to elect two Trustees of BSL.

On December 21, 2012, BGB entered into a Credit Agreement (“Agreement”) with a bank to borrow up to a limit of $425 million pursuant to a 364 day revolving line of credit. Borrowings under the Agreement are secured by the assets of BGB. Interest is charged at a rate of 0.875% above LIBOR, the period commencing on the date of the making of such LIBOR Loan (or the last date upon which any other Loan was converted to, or continued as, such LIBOR Loan) and ending on the numerically corresponding day in the calendar month that is one (1) week or one (1), two (2), three (3), six (6) or nine (9) months thereafter, as BGB may elect, or such other period as the lender may agree in its sole and absolute discretion. Under the terms of the Agreement, BGB must pay a commitment fee on any undrawn amounts. The commitment fee payable is 0.15% on the undrawn amounts when drawn amounts exceed 50% of the borrowing limit and 0.25% on the undrawn amounts at any other time. Interest and fees are payable quarterly. The Fund may elect to extend the Agreement for a further 364-day period with the consent of the lending bank. At June 30, 2013, BGB had borrowings outstanding under the Agreement of $390 million at an interest rate of 1.07%. Due to the short term nature of the Agreement, face value approximates fair value at June 30, 2013. This fair value is based on Level 2 inputs under the three-tier fair valuation hierarchy (see Note 2). For the six months ended June 30, 2013, the average borrowings under the Agreement and the average interest rate were $320,219,780 and 1.07%, respectively.

Under the Agreement, BGB has agreed to certain covenants and additional investment limitations while the leverage is outstanding. The Fund agrees to maintain asset coverage of three times over borrowings. Compliance with the investment restrictions and calculations are performed by BGB’s custodian, The Bank of New York Mellon. As of June 30, 2013, BGB was in compliance with all required investment limitations and asset coverage requirements related to its leverage.

The use of borrowings to leverage the common shares can create risks. Changes in the value of BSL’s and BGB’s portfolio, including securities bought with the proceeds of leverage, are borne entirely by the holders of common shares. All costs and expenses related to any form of leverage used by BSL and BGB are borne entirely by common shareholders. If there is a net decrease or increase in the value of BSL’s or BGB’s investment portfolio, the leverage may decrease or increase, as the case may be, the net asset value per common share to a greater extent than if BSL or BGB did not utilize leverage. During periods when BSL or BGB is using leverage, the fees paid to the Adviser for advisory services and to ALPS for administrative services are higher than if BSL or BGB did not use leverage because the fees paid are calculated on the basis of BSL’s or BGB’s Managed Assets, which include the assets purchased through leverage. As of June 30, 2013, BSL’s and BGB’s effective leverage represented 33.07% and 31.48% of each fund’s Managed Assets, respectively.

BGX currently employs leverage through securities lending arrangements (see Note 8 – Securities Lending) and swap arrangements (see Note 7 – Total Return Swaps). All costs and expenses related to any form of leverage used by BGX are borne entirely by holders of common shares. Although certain forms of effective leverage used by BGX, such as leverage incurred in securities lending, total return and credit default swap arrangements, other derivative transactions or short selling, may not be considered senior securities under the 1940 Act, such effective leverage will be considered leverage for BGX’s leverage limits. BGX’s use of these forms of effective leverage will not exceed 30% of its net assets. As of June 30, 2013, BGX’s effective leverage represented 25.42% of net assets. BGX’s total leverage and short sale exposure, through securities lending, total return and credit default swap arrangements, other derivative transactions or short selling (including the market value of securities BGX is obligated to repay through short sales even in transactions that do not result in leverage), will not exceed 67% of BGX’s net assets.

Leverage creates risk for the common shareholders, including the likelihood of greater volatility of NAV and market price of the common shares, and may affect the return to the common shareholders or result in fluctuations in the dividends paid on the common shares. To the extent total return exceeds the cost of leverage, the Funds’ return will be greater than if leverage had not been used. Conversely, if the total return derived from the use of leverage is less than the cost of leverage, the Funds’ return will be less than if leverage had not been used, and therefore the amount available for distribution to common shareholders as dividends and other distributions will be reduced. In the latter case, the Adviser in its best judgment nevertheless may determine to maintain the Funds’ leveraged position if it expects that the benefits to the Funds’ common shareholders of maintaining the leveraged position will outweigh the current reduced return.

 

 

 

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NOTE 10. TAX BASIS DISTRIBUTIONS

 

Ordinary income (inclusive of short-term capital gains) and long-term capital gains are allocated to common stockholders after payment of the available amounts on any outstanding term preferred shares. To the extent that the amount distributed to common stockholders exceeds the amount of available ordinary income and long-term capital gains after allocation to any outstanding term preferred shares, these distributions are treated as a tax return of capital. Additionally, to the extent that the amount distributed on any outstanding term preferred shares exceeds the amount of available ordinary income and long-term capital gains, these distributions are treated as a tax return of capital.

The amounts and characteristics of tax basis distributions and composition of distributable earnings/(accumulated losses) are finalized at fiscal year end; accordingly, tax basis balances have not been determined as of June 30, 2013.

As determined on December 31, 2012, certain permanent differences between financial and tax accounting were reclassified. These differences were primarily due to the differing tax treatment of certain investments. The amounts reclassified did not affect net assets. The reclassifications were as follows:

 

      Increase/(Decrease) Paid-in capital      Increase/(Decrease)
Accumulated net investment
income/(loss)
     Increase/(Decrease) Accumulated
net realized gain/(loss)
 

Blackstone / GSO
Senior Floating
Rate Term Fund

     $        (23,764)             $        (756,241)             $        780,005       

Blackstone / GSO
Long-Short
Credit Income Fund

     (20,278)             1,352,328             (1,332,050)       

Blackstone / GSO
Strategic Credit Fund

     0             0             0       

The tax character of distributions paid by the Funds during the fiscal years ended December 31, 2012 were as follows:

 

Blackstone / GSO Senior Floating Rate Term Fund            2012          

Distributions paid from:

            

Ordinary income

   $        21,274,807        

Long-term capital gain

            1,607,742          

Total

   $        22,882,549        
                        
Blackstone / GSO Long-Short Credit Income Fund            2012          

Distributions paid from:

            

Ordinary income

   $        16,455,664        

Tax return of capital

            0          

Total

   $        16,455,664        
                        
Blackstone / GSO Strategic Credit Fund            2012          

Distributions paid from:

            

Ordinary income

   $        6,586,517        

Tax return of capital

            3,852,602          

Total

   $        10,439,119        
                        

At December 31, 2012, the Funds had available for federal tax purposes unused capital loss carryforwards, which are available to offset future realized gains. To the extent that these carryforwards are used to offset future gains, it is probable that the amount offset will not be distributed to shareholders. The carryforward losses are as follows:

 

      Short Term      Long Term  

Blackstone / GSO Senior Floating Rate Term Fund

     $                0             $                0   

Blackstone / GSO Long-Short Credit Income Fund

     148,416             3,047   

Blackstone / GSO Strategic Credit Fund

     0             0   

Additionally, the Blackstone /GSO Long-Short Credit Income Fund elects to defer to the period ending December 31, 2013, capital losses recognized during the period November 1, 2012 through December 31, 2012 in the amount of $32,571.

 

  

 

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Blackstone / GSO Funds   Notes to Financial Statements
 

 

June 30, 2013 (Unaudited)

 

At December 31, 2012, the components of distributable earnings on a tax basis for the Funds were as follows:

 

      Blackstone / GSO Senior
Floating Rate Term Fund
   Blackstone / GSO Long-Short
Credit Income Fund
   Blackstone / GSO
Strategic Credit Fund
       

Undistributed ordinary income

   $ 1,132,402           $ 1,033,002           $ 0        

Accumulated capital gains/(loss)

     175,364             (184,034          0        

Unrealized appreciation

     2,686,607             932,664             9,838,733        

Other Cumulative Effect of Timing Differences

     (109,248          216,746             0        

Total

   $ 3,885,125         $ 1,998,378         $ 9,838,733      
                                         

The amount of net unrealized appreciation (depreciation) and the cost of investment securities for tax purposes, including short-term securities at June 30, 2013, were as follows:

 

     

Blackstone / GSO Senior
Floating Rate Term Fund

  

Blackstone / GSO Long-Short
Credit Income Fund

            Blackstone / GSO
Strategic Credit Fund
 

Gross appreciation on investments (excess of value over tax cost)

   $           3,937,764           $           4,235,439      $           10,113,185   

Gross depreciation (excess of tax cost over value)

              (5,491,334                   (5,021,032              (8,003,005

Net unrealized appreciation (depreciation)

   $           (1,553,570      $           (785,593   $           2,110,180   
                                                          

Cost of investments for income tax purposes

   $           429,629,686         $           282,594,414      $           1,218,751,126   
                                                          

NOTE 11. OFFSETTING AGREEMENTS

 

Certain derivative contracts are executed under either standardized netting agreements or, for exchange-traded derivatives, the relevant contracts for a particular exchange which contain enforceable netting provisions. A derivative netting arrangement creates an enforceable right of offset that becomes effective, and affects the realization of settlement on individual assets, liabilities and collateral amounts, only following a specified event of default or early termination. Default events may include the failure to make payments or deliver securities timely, material adverse changes in financial condition or insolvency, the breach of minimum regulatory capital requirements, or loss of license, charter or other legal authorization necessary to perform under the contract. The Funds also manage counterparty risk by entering into enforceable collateral arrangements with counterparties to securities lending agreements. These agreements mitigate counterparty credit risk by providing for a single net settlement with a counterparty of all financial transactions covered by the agreement in an event of default as defined under such agreement.

The following table presents derivative financial instruments and securties lending arrangements that are subject to enforceable netting arrangements, collateral arrangments or other similar agreements as of June 30, 2013.

 

                          Gross Amounts Not Offset in The Statement of
Financial Position
 
Description    Gross
Amounts of
Recognized
Assets
     Gross
Amounts
Offset In The
Statements of
Assets And
Liabilities
     Net Amounts
Presented In The
Statements of
Assets And
Liabilities
     Financial
Instruments*
     Cash
Collateral
Received*
    Net Amount  

Blackstone / GSO Long-Short Credit Income Fund

                

Total Return Swap Contracts

   $     33,338       $     –         $     33,338         $     –         $ (33,338   $   33,338   

Total

   $     33,338       $     –         $     33,338         $     –         $   (33,338   $ 33,338   
                                                      

 

 

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June 30, 2013 (Unaudited)

 

                          Gross Amounts Not Offset in The Statement of
Financial Position
 
Description   

Gross

Amounts of
Recognized
Liabilities

    

Gross

Amounts
Offset In The
Statements of
Assets And
Liabilities

     Net Amounts
Presented In The
Statements of
Assets And
Liabilities
     Financial
Instruments*
    Cash
Collateral
Pledged*
    Net Amount  

Blackstone / GSO Long-Short Credit Income Fund

               

Total Return Swap Contracts

   $ 182,785       $     –         $ 182,785       $ –        $ (182,785   $     –   

Securities Lending

     48,880,313         –           48,880,313         (48,880,313              

Total

   $  49,063,098       $ –         $ 49,063,098       $ (48,880,313   $ (182,785   $   
                                                     

* These amounts do not include the excess collateral received/pledged.

NOTE 12. SUBSEQUENT EVENTS

 

Shareholder Distributions for BSL: On July 31, 2013, BSL paid regularly scheduled distributions in the amount of $0.11 per share to shareholders of record as of July 18, 2013.

Shareholder Distributions for BGX: On July 31, 2013, BGX paid regularly scheduled distributions in the amount of $0.108 per share to shareholders of record as of July 18, 2013.

Shareholder Distributions for BGB: On July 31, 2013, BGB paid regularly scheduled distributions in the amount of $0.117 per share to shareholders of record as of July 18, 2013.

 

  

 

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Blackstone / GSO Funds   Summary of Dividend Reinvestment Plan
 

 

June 30, 2013 (Unaudited)

 

Pursuant to the Funds’ Dividend Reinvestment Plan (the “DRIP”), shareholders whose shares are registered in their own name may ‘‘opt-in’’ to the plan and elect to reinvest all or a portion of their distributions in common shares by providing the required enrollment notice to Computershare, the DRIP administrator. Shareholders whose shares are held in the name of a broker or other nominee may have distributions reinvested only if such a service is provided by the broker or the nominee or if the broker or the nominee permits participation in the DRIP. Shareholders whose shares are held in the name of a broker or other nominee should contact the broker or nominee for details. A shareholder may terminate participation in the DRIP at any time by notifying the DRIP administrator before the record date of the next distribution through the Internet, by telephone or in writing. All distributions to shareholders who do not participate in the DRIP, or have elected to terminate their participation in the DRIP, will be paid by check mailed directly to the record holder by or under the direction of the DRIP administrator when the Funds’ Board of Trustees declares a distribution.

When the Funds declare a distribution, shareholders who are participants in the applicable DRIP receive the equivalent of the amount of the distribution in common shares. If you participate in the DRIP, the number of common shares of the Funds that you will receive will be determined as follows:

(1) If the market price of the common shares plus any brokerage commissions on the payable date (or, if the payable date is not a New York Stock Exchange trading day, the immediately preceding trading day) for determining shareholders eligible to receive the relevant distribution (the ‘‘determination date’’) is equal to or exceeds 98% of the net asset value per common share, the Fund will issue new common shares at a price equal to the greater of:

(a) 98% of the net asset value per share at the close of trading on the New York Stock Exchange on the determination date or

(b) 95% of the market price per common share on the determination date.

(2) If 98% of the net asset value per common share exceeds the market price of the common shares plus any brokerage commissions on the determination date, the DRIP administrator will receive the distribution in cash and will buy common shares in the open market, on the New York Stock Exchange or elsewhere, for your account as soon as practicable commencing on the trading day following the determination date and terminating no later than the earlier of (a) 30 days after the distribution payment date, or (b) the record date for the next succeeding distribution to be made to the shareholders; except when necessary to comply with applicable provisions of the federal securities laws. If during this period: (i) the market price plus any brokerage commissions rises so that it equals or exceeds 98% of the net asset value per common share at the close of trading on the New York Stock Exchange on the determination date before the DRIP administrator has completed the open market purchases or (ii) the DRIP administrator is unable to invest the full amount eligible to be reinvested in open market purchases, the DRIP administrator will cease purchasing common shares in the open market and the Fund will issue the remaining common shares at a price per share equal to the greater of (a) 98% of the net asset value per share at the close of trading on the New York Stock Exchange on the determination date or (b) 95% of the then current market price per share.

The DRIP administrator maintains all shareholder accounts in the dividend reinvestment plan and furnishes written confirmations of all transactions in the account, including information needed by shareholders for personal and tax records. Common shares in the account of each DRIP participant are held by the DRIP administrator in non-certificated form in the name of the participant, and each shareholder’s proxy includes shares purchased pursuant to the DRIP.

There is no charge to participants for reinvesting regular distributions and capital gains distributions. The fees of the DRIP administrator for handling the reinvestment of regular distributions and capital gains distributions are included in the fee to be paid by us to our transfer agent. There are no brokerage charges with respect to shares issued directly by us as a result of regular distributions or capital gains distributions payable either in shares or in cash. However, each participant bears a pro rata share of brokerage commissions incurred with respect to the DRIP administrator’s open market purchases in connection with the reinvestment of such distributions. Shareholders that opt-in to the DRIP will add to their investment through dollar cost averaging. Because all dividends and distributions paid to such shareholder will be automatically reinvested in additional common shares, the average cost of such shareholder’s common shares will decrease over time. Dollar cost averaging is a technique for lowering the average cost per share over time if the Fund’s net asset value declines. While dollar cost averaging has definite advantages, it cannot assure profit or protect against loss in declining markets.

The automatic reinvestment of such dividends or distributions does not relieve participants of any income tax that may be payable on such dividends or distributions.

You may obtain additional information by contacting the DRIP administrator at the following address: Computershare, Attn: Sales Dept., P.O. Box 358035, Pittsburgh, PA 15252.

 

 

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Blackstone / GSO Funds    Additional Information
  

 

June 30, 2013 (Unaudited)

 

Portfolio Information. The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q will be available (1) on the Funds’ website located at http://www.blackstone-gso.com; (2) on the SEC’s website at http://www.sec.gov; or (3) for review and copying at the SEC’s Public Reference Room (the “PRR”) in Washington, DC. Information regarding the operation of the PRR may be obtained by calling 1-800-SEC-0330.

Proxy Information. The policies and procedures used to determine how to vote proxies relating to securities held by the Funds are available (1) without charge, upon request, by calling 1-877-876-1121, or (2) on the Funds’ website located at http://www.blackstone-gso.com, and (3) on the SEC’s website at http://www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available on Form N-PX by August 31 of each year (1) without charge, upon request, by calling 1-877-876-1121, or (2) on the Funds’ website located at http://www.blackstone-gso.com, and (3) on the SEC’s website at http://www.sec.gov.

Senior Officer Code of Ethics. The Funds file a copy of their code of ethics that applies to the Funds’ principal executive officer, principal financial officer or controller, or persons performing similar functions, with the SEC as an exhibit to each annual report on Form N-CSR. This will be available on the SEC’s website at http://www.sec.gov.

Privacy Procedures. Privacy is very important to the Funds. To ensure our shareholders’ privacy the Funds have developed policies that are designed to protect confidentiality while allowing their shareholders’ needs to be served. In the course of providing their shareholders with products and services, the Funds may obtain non-public personal information, such as address, social security number, assets and/or income information: (i) in the subscription document and related support documents; (ii) in correspondence and conversations with the Funds or their representatives; and (iii) through transactions in and relating to the investment with the Funds.

The Funds do not disclose any of this personal information about shareholders to anyone other than to their affiliates, except as required for everyday purposes or as permitted by law, such as to their attorneys, auditors, brokers, bankers, regulators, administrators and certain service providers, in each such case, only as necessary to facilitate the acceptance of the shareholder’s investment or the management of the Funds. The Funds will also release information about a shareholder if such shareholder directs the Funds to do so, if compelled to do so by law, or in connection with any government or self-regulatory organization request or investigation.

The Funds seek to carefully safeguard private information and, to that end, restrict access to non-public personal information about the shareholders to those employees and other persons who need to know the information to enable the Funds to provide services to the shareholders. The Funds maintain physical, electronic and procedural safeguards to protect each shareholder’s non-public personal information.

Tax Information. Of the ordinary income (including short-term capital gains) distributions made by BSL during the year ended December 31, 2012, 0% qualifies for the dividend received deduction available to stockholders. The amount of long-term capital gains paid for the year ended December 31, 2012 was $1,607,742. For the year ended December 31, 2012, 0% of the taxable investment income qualifies for the 15% dividend tax rate.

Of the ordinary income (including short-term capital gain) distributions made by BGX during the fiscal period ended December 31, 2012, 0% qualifies for the dividend received deduction available to stockholders. The amount of long-term capital gains paid for the fiscal period ended December 31, 2012 was $0. For the fiscal period ended December 31, 2012, 0% of the taxable investment income qualifies for the 15% dividend tax rate.

Of the ordinary income (including short-term capital gain) distributions made by BGB during the fiscal period ended December 31, 2012, 0% qualifies for the dividend received deduction available to stockholders. The amount of long-term capital gains paid for the fiscal period ended December 31, 2012 was $0. For the fiscal period ended December 31, 2012, 0% of the taxable investment income qualifies for the 15% dividend tax rate.

 

 

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Blackstone / GSO Funds   Additional Information
 

 

June 30, 2013 (Unaudited)

 

BSL Meeting of Shareholders – Voting Results

On April 24, 2013, BSL held its Annual Meeting of Shareholders to consider the proposal set forth below. The following votes were recorded:

Proposal 1: The election of three (3) Trustees of BSL, to hold office for the term indicated and until his successor shall have been elected and qualified.

Election of Gary S. Schpero as Class I Trustee of BSL, term to expire at 2015 Annual Meeting (both common and preferred shareholders vote)

 

      Number of Shares    % of Shares Voted

Affirmative

   10,766,682.151    98.591%

Withheld

        153,878.841      1.409%

TOTAL

   10,920,560.992    100.00%

Election of Daniel H. Smith, Jr. as Class II Trustee of BSL, term to expire at 2016 Annual Meeting (both common and preferred shareholders vote)

 

      Number of Shares    % of Shares Voted

Affirmative

   10,780,304.060    98.716%

Withheld

        140,256.932      1.284%

TOTAL

   10,920,560.992    100.00%

Election of Michael F. Holland as Class II Trustee of BSL, term to expire at 2016 Annual Meeting (only preferred shareholders vote)

 

      Number of Shares    % of Shares Voted

Affirmative

   48,000.00    100.00%

Withheld

                –                –

TOTAL

   48,000.00    100.00%

BGX Meeting of Shareholders – Voting Results

On April 24, 2013, BGX held its Annual Meeting of Shareholders to consider the proposal set forth below. The following votes were recorded:

Proposal 1: The election of three (3) Trustees of BGX, each to hold office for the term indicated and until his successor shall have been elected and qualified.

Election of Michael F. Holland as Class I Trustee of BGX, term to expire at 2016 Annual Meeting

 

      Number of Shares    % of Shares Voted

Affirmative

    8,870,606.708    97.522%

Withheld

       225,423.874      2.478%

TOTAL

    9,096,030.582    100.00%

Election of Gary S. Schpero as Class III Trustee of BGX, term to expire at 2015 Annual Meeting

 

      Number of Shares    % of Shares Voted

Affirmative

    9,025,209.007    99.222%

Withheld

         70,821.575      0.778%

TOTAL

    9,096,030.582    100.00%

Election of Daniel H. Smith, Jr. as Class I Trustee of BGX, term to expire at 2016 Annual Meeting

 

      Number of Shares    % of Shares Voted

Affirmative

    9,079,341.104    99.817%

Withheld

         16,689.478      0.183%

TOTAL

    9,096,030.582    100.00%

 

 

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Blackstone / GSO Funds    Additional Information
  

 

June 30, 2013 (Unaudited)

 

BGB Meeting of Shareholders – Voting Results

On April 24, 2013, BGB held its Annual Meeting of Shareholders to consider the proposal set forth below. The following votes were recorded:

Proposal 1: The election of five (5) Trustees of BGB, each to hold office for the term indicated and until his successor shall have been elected and qualified.

Election of Edward H. D’Alelio as Class I Trustee of BGB, term to expire at 2014 Annual Meeting

 

      Number of Shares    % of Shares Voted

Affirmative

   39,216,096.555    98.484%

Withheld

        604,062.201      1.516%

TOTAL

   39,820,158.756    100.00%

Election of Michael F. Holland as Class III Trustee of BGB, term to expire at 2016 Annual Meeting

 

      Number of Shares    % of Shares Voted

Affirmative

   39,048,104.279    98.062%

Withheld

        772,054.477      1.938%

TOTAL

   39,820,158.756    100.00%

Election of Thomas W. Jasper as Class II Trustee of BGB, term to expire at 2015 Annual Meeting

 

      Number of Shares    % of Shares Voted

Affirmative

   39,227,628.777    98.512%

Withheld

        592,529.979      1.488%

TOTAL

   39,820,158.756    100.00%

Election of Gary S. Schpero as Class II Trustee of BGB, term to expire at 2015 Annual Meeting

 

      Number of Shares    % of Shares Voted

Affirmative

   39,137,809.764    98.287%

Withheld

        682,348.992      1.713%

TOTAL

   39,820,158.646    100.00%

Election of Daniel H. Smith, Jr. as Class III Trustee of BGB, term to expire at 2016 Annual Meeting

 

      Number of Shares    % of Shares Voted

Affirmative

   39,272,136.110    98.624%

Withheld

        548,022.646      1.376%

TOTAL

   39,820,158.756    100.00%

 

 

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Blackstone / GSO Funds   Approval of Investment Advisory Agreement
 

 

June 30, 2013 (Unaudited)

 

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the Board of Trustees (together, the “Board”) of each of Blackstone / GSO Senior Floating Rate Term Fund (“BSL”) and Blackstone /GSO Long-Short Credit Income Fund (“BGX”, together with BSL, the “Funds” and each a “Fund”), including a majority of its members who are not considered to be “interested persons” under the 1940 Act (the “Independent Trustees”) voting separately, approve on an annual basis the continuation of the Fund’s investment advisory agreement (the “Agreement”) with the Fund’s investment adviser, GSO /Blackstone Debt Funds Management LLC (the “Adviser”). At meetings (the “Contract Renewal Meetings”) held in person on May 24, 2013 and May 29, 2013, the Board of each Fund, including the Independent Trustees, considered and approved the continuation of the Agreement for an additional one-year term (at the May 24, 2013 meeting, the Board approved the continuation of the Agreement through June 1, 2013 and at the May 29, 2013 meeting, the Board approved the continuation of the Agreement for a one-year term commencing June 1, 2013). To assist in its consideration of the renewal of the Agreement, the Board requested, received and considered a variety of information (together with the information provided at the Contract Renewal Meetings, the “Contract Renewal Information”) about the Adviser, as well as the advisory arrangements for the Funds, certain portions of which are discussed below. The presentation made by the Adviser to the Board of each Fund at the Contract Renewal Meetings in connection with its evaluation of the Agreement encompassed both Funds. In addition to the Contract Renewal Information, the Board received performance and other information since each Fund’s inception related to the services rendered by the Adviser to such Fund. The Board’s evaluation took into account the information received since each Fund’s inception and also reflected the knowledge and familiarity gained as members of the Board with respect to the investment advisory and other services provided to each Fund by the Adviser under its Agreement.

Board Approval of the Agreement

In its deliberations regarding renewal of the Agreement, the Board of each Fund, including the Independent Trustees, considered various factors, including those set forth below.

Nature, Extent and Quality of the Services Provided to each Fund under the Agreements

The Board received and considered Contract Renewal Information regarding the nature, extent and quality of services provided to the Funds by the Adviser under the Agreements since each Fund’s inception. The Board also reviewed Contract Renewal Information regarding the Funds’ compliance policies and procedures established pursuant to the 1940 Act and each Fund’s compliance record since its inception.

The Board reviewed the qualifications, backgrounds and responsibilities of the Funds’ senior personnel and the portfolio management team primarily responsible for the day-to-day portfolio management of each Fund. The Board also considered, based on its knowledge of the Adviser and its affiliates, the Contract Renewal Information and the Board’s discussions with the Adviser at the Contract Renewal Meetings, the general reputation and investment performance records of the Adviser and its affiliates and the financial resources of the corporate parent of the Adviser, The Blackstone Group L.P., available to support its activities in respect of the Funds.

The Board considered the responsibilities of the Adviser under each Fund’s Agreement, including the Adviser’s coordination and oversight of the services provided to such Fund by other unaffiliated parties.

In reaching its determinations regarding continuation of each Fund’s Agreement, the Board took into account that such Fund’s shareholders, in pursuing their investment goals and objectives, likely considered the reputation and the investment style, philosophy and strategy of the Adviser, as well as the resources available to the Adviser, in purchasing their shares.

The Board concluded that, overall, the nature, extent and quality of the advisory and other services provided to each Fund since each its inception under its Agreement have been of high quality.

Fund Performance

The Board received and considered performance information and analyses (the “Morningstar Performance Information”) for the Funds, as well as for a group of funds identified by the Adviser as comparable to the Funds in their focus on bank loans in their portfolios regardless of asset size (the “Performance Peer Group”), prepared by Morningstar DirectSM (“Morningstar”), an independent provider of investment company data. The Performance Peer Group consisted of eighteen funds, including BSL, BGX and BGB. The Board noted that it had received and discussed with the Adviser information at periodic intervals since each Fund’s inception comparing such Fund’s performance against its benchmarks and its peer funds.

BSL

The Morningstar Performance Information comparing BSL’s performance to that of the Performance Peer Group based on net asset value per share showed, among other things, that BSL’s performance for the 1-year and 2-year periods ended March 31, 2013 and since inception was in the fourth quartile of its Performance Peer Group. The Board also considered BSL’s performance relative to its benchmarks and in absolute terms and noted that BSL outperformed its benchmark for the 1-year and 2-year periods and the period since inception.

BGX

The Morningstar Performance Information comparing BGX’s performance to that of the Performance Peer Group based on net asset value per share showed, among other things, that BGX’s performance for the 1-year period ended March 31, 2013 and since inception was in the fourth quartile of its

 

 

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June 30, 2013 (Unaudited)

 

Performance Peer Group. The Board also considered BGX’s performance relative to its benchmarks and in absolute terms and noted that BGX outperformed its benchmark for the 1-year period and the period since inception.

The Board further noted for each Fund that, while its investment program is complex, the Fund’s performance was achieved in a risk-aware manner. In addressing each Fund’s performance relative to its Performance Peer Group, the Adviser explained that the Fund has invested less of its portfolio in low-rated assets (those rated CCC or below or that are unrated) than the average among the other Performance Peer Group funds in light of prevailing conditions and uncertainties in credit markets and interest rate environment. While the higher credit quality orientation of each Fund’s portfolio was appropriate under the circumstances, the Adviser noted that strategy put the Fund at a relative disadvantage during the performance periods measured to the other Performance Peer Group funds maintaining riskier, but higher yielding, portfolios. The Board gave significant weight to the Adviser’s explanation. In assessing Fund performance, the Board also considered the Adviser’s success to date in maintaining each Fund’s level of distributions to shareholders since its inception in light of the low interest rate environment and prevailing credit market conditions. The Board noted, however, that there could be no assurance that the Adviser’s success in this regard would continue in light of the prevailing low interest rate environment and each Fund’s orientation toward a higher credit quality, but lower yielding, portfolio.

Based on its review, the Board concluded that, under the circumstances, each Fund’s performance supported continuation of its Agreement for an additional period of one year.

Management Fees and Expenses

The Board reviewed and considered the investment advisory fee (the “Advisory Fee”) payable under each Fund’s Agreement by each Fund to the Adviser in light of the nature, extent and overall high quality of the investment advisory and other services provided by the Adviser to the Fund.

Additionally, the Board received and considered information and analyses (the “Lipper Expense Information”) prepared by Lipper Inc. (“Lipper”), an independent provider of investment company data, comparing the Advisory Fee and each Fund’s overall expenses with those of funds in an expense group (the “Expense Group”) selected and provided by Lipper with the input of the Adviser. The comparison was based upon the constituent funds’ latest fiscal years. The Expense Group consisted of six leveraged loan closed-end funds, as classified by Lipper, including the Funds. The Expense Group funds had net common share assets ranging from $123.1 million to $869.2 million.

BSL

Two of the other funds in the Expense Group were larger than BSL and three of the other funds were smaller. The Lipper Expense Information, comparing BSL’s actual total expenses to the Expense Group, showed, among other things, that the Fund’s actual Advisory Fee (i.e., including the administrator’s fee and giving effect to any voluntary fee waivers implemented by the Adviser with respect to the Fund and by the managers of the other Expense Group funds), whether compared on the basis of common assets only or on the basis of common and leveraged assets, was ranked last (i.e., highest) among the funds in the Expense Group. The Fund’s actual total expenses whether compared on the basis of common assets or on the basis of common and leveraged assets were ranked fifth out of six funds in the Expense Group and were significantly higher than the Expense Group median.

BGX

Four of the other funds in the Expense Group were larger than BGX and one of the other funds was smaller. The Adviser noted that the Lipper report did not consider BGX’s leverage, consisting of total return swaps and securities lending, as a form of leverage for the purposes of the report. The Board concluded that comparisons of BGX’s expenses to Expense Group funds on the basis of common and leverage assets were not meaningful because BGX was not considered in the Lipper report to have leveraged assets and focused on comparisons of BGX’s expenses to Expense Group funds on a common assets basis. The Lipper Expense Information, comparing BGX’s actual total expenses to the Fund’s Expense Group, showed, among other things, that the Fund’s actual Advisory Fee (i.e., including the administrator’s fee and giving effect to any voluntary fee waivers implemented by the Adviser with respect to the Fund and by the managers of the other Expense Group funds) compared on the basis of common assets only was ranked third among the funds in the Expense Group and was better (i.e., lower) than the Expense Group median. BGX’s actual total expenses compared on the basis of common assets were ranked second among the funds in the Expense Group and were also better than the Expense Group median.

In addition, in its evaluation of the Advisory Fee for each Fund, the Board took into account the complexity of such Fund’s investment program. The Board further noted that the small number and varying sizes of funds in the Expense Group made meaningful expense comparisons difficult. The Board also considered information provided by the Adviser showing that other Expense Group funds are parts of larger fund complexes than the Funds’ fund complex, which contributes to reduced cost opportunities for those funds owing to economies of scale. The Board also considered information provided by the Adviser showing BSL’s cost of leverage compared to the cost of leverage of other peer funds and noted that newer funds such as BSL tended to have higher costs of leverage than funds of earlier vintage, several of which used low-cost auction rate preferred share leverage, which under current market conditions would not be available to BSL.

The Board also reviewed Contract Renewal Information regarding fees charged by the Adviser to other U.S. clients investing primarily in an asset class similar to that of the Funds, including, where applicable, institutional and separate accounts. The Board was advised that the base fees paid by such institutional, separate account and other clients generally are lower, and may be significantly lower, than the Advisory Fee. The Contract Renewal Information discussed the significant differences in scope of services provided to the Funds and to these other clients, noting that the Funds were subject to heightened regulatory requirements relative to institutional clients; that the Funds were provided with administrative services, office facilities and Fund

 

 

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Table of Contents
Blackstone / GSO Funds   Approval of Investment Advisory Agreement
 

 

June 30, 2013 (Unaudited)

 

officers (including each Fund’s chief executive, chief financial and chief compliance officers); and that the Adviser coordinates and oversees the provision of services to the Funds by other fund service providers. In addition, the Board was advised that several institutional clients pay performance fees, which the Funds do not pay. The Board considered the fee comparisons in light of the different services provided in managing these other types of clients and funds.

Taking all of the above into consideration, the Board determined that the Advisory Fee for each Fund was reasonable in light of the nature, extent and overall quality of the investment advisory and other services provided to such Fund under its Agreement.

Profitability

The Board, as part of the Contract Renewal Information, received an analysis of the profitability to the Adviser and its affiliates in providing services to each Fund for the past year and since such Fund’s inception. In addition, the Board received Contract Renewal Information with respect to the Adviser’s revenue and cost allocation methodologies used in preparing such profitability data. The profitability analysis, among other things, indicated that the profitability to the Adviser in providing investment advisory and other services to each Fund was at a level which was not considered excessive by the Board in light of the nature, extent and overall high quality of such services.

Economies of Scale

The Board received and discussed Contract Renewal Information concerning whether the Adviser would realize economies of scale if either the Funds’ assets grow. The Board noted that because each Fund is a closed-end fund with no current plans to seek additional assets beyond maintaining its dividend reinvestment plan, any significant growth in its assets generally will occur through appreciation in the value of each Fund’s investment portfolio, rather than sales of additional shares in the Fund. The Board determined that the Advisory Fee structure was appropriate under present circumstances.

Other Benefits to the Adviser

The Board considered other benefits received by the Adviser and its affiliates as a result of the Adviser’s relationship with each of the Funds and did not regard such benefits as excessive.

* * * * *

In light of all of the foregoing and other relevant factors, the Board determined that, under the circumstances, continuation of each Fund’s Agreement would be in the interests of the Fund and its shareholders and unanimously voted to continue the Agreement for a period of one additional year.

The principal factor in the Board’s determination at its May 24, 2013 meeting to continue each Agreement until June 1, 2013 was the need to provide continuity of investment adviser services to each Fund pending completion of the Board’s evaluation of each Agreement. Otherwise, no single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve continuation of each Agreement for the next year, and each Board member attributed different weights to the various factors. The Independent Trustees were advised by separate independent legal counsel throughout the process. Prior to the Contract Renewal Meetings, the Board received a memorandum prepared by counsel to the Funds discussing its responsibilities in connection with the proposed continuation of the Agreement as part of the Contract Renewal Information and the Independent Trustees separately received a memorandum discussing such responsibilities from their independent counsel. Prior to voting, the Independent Trustees discussed the proposed continuation of each Agreement in a private session with their independent legal counsel at which no representatives of the Adviser were present.

 

 

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Blackstone / GSO Funds    Trustees & Officers
  

 

June 30, 2013 (Unaudited)

 

The oversight of the business and affairs of the Funds is vested in the Board of Trustees. The Board of Trustees is classified into three classes—Class I, Class II and Class III—as nearly equal in number as reasonably possible, with the Trustees in each class to hold office until their successors are elected and qualified. At each annual meeting of shareholders, the successors to the class of Trustees whose terms expire at that meeting shall be elected to hold office for terms expiring at the later of the annual meeting of shareholders held in the third year following the year of their election or the election and qualification of their successors. The Funds’ executive officers will be chosen each year at a regular meeting of the Board of Trustees to hold office until their respective successors are duly elected and qualified.

Below is a list of the Trustees and officers of the Funds and their present positions and principal occupations during the past five years. The business address of the Funds, the Trustees, the Funds’ officers, and the Adviser is 345 Park Avenue, 31st Floor, New York, NY 10154, unless specified otherwise below.

NON-INTERESTED TRUSTEES

Name, Address

and Year of

Birth(1)

 

Position(s) Held

with the Funds

 

Term of Office

and Length of

Time Served

 

Principal

Occupation(s)

During Past 5 Years

 

Number of
Portfolios

in Fund
Complex
Overseen by
Trustee(2)

 

Other

Directorships

Held by Trustee

Edward H. D’Alelio

Birth Year: 1952

  Lead Independent Trustee and member of Audit and Nominating and Governance Committees  

Trustee Since:

BSL: April 2010 BGX: November 2010

BGB: May 2012

 

Term Expires:

BSL: 2014

BGX: 2014

BGB: 2014

  Mr. D’Alelio was formerly a Managing Director and CIO for Fixed Income at Putnam Investments, Boston where be retired in 2002. He currently is an Executive in Residence with the School of Management, Univ. of Mass Boston.   3   None

Michael Holland

Birth Year: 1944

  Trustee and member of Audit and Nominating and Governance Committees  

Trustee Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term Expires:

BSL: 2016

BGX: 2016

BGB: 2016

  Mr. Holland is the Chairman of Holland & Company, a private investment firm he founded in 1995. He is also President and Founder of the Holland Balanced Fund.   3   The China Fund, Inc.; The Taiwan Fund, Inc.; State Street Master Funds; Reaves Utility Income Fund.

Thomas W. Jasper

Birth Year: 1948

  Trustee, Chairman of Audit Committee and member of Nominating and Governance Committee  

Trustee Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term Expires:

BSL: 2015

BGX:2015

BGB: 2015

  Mr. Jasper is the Managing Partner of Manursing Partners LLC. He was Chief Executive Officer of Primus Guaranty, Ltd. from 2001-2010.   3   None

Gary S. Schpero

Birth Year: 1953

  Trustee, member of Audit Committee and Chairman of Nominating and Governance Committee  

Trustee Since:

BSL: May 2012

BGX: May 2012

BGB: May 2012

 

Term Expires:

BSL: 2015

BGX:2015

BGB: 2015

  Retired. Prior to January 2000, Mr. Schpero was a partner at the law firm of Simpson Thacher & Bartlett LLP where he served as managing partner of the Investment Management and Investment Company Practice Group.   3   EQ Advisors Trust

 

 

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Blackstone / GSO Funds   Trustees & Officers
 

 

June 30, 2013 (Unaudited)

 

INTERESTED TRUSTEE(3)

Name, Address

and Year of

Birth(1)

 

Position(s) Held

with the Funds

 

Term of Office

and Length of

Time Served

 

Principal

Occupation(s)

During Past 5 Years

 

Number of
Portfolios

in Fund
Complex
Overseen by
Trustee(2)

 

Other

Directorships

Held by Trustee

Daniel H. Smith, Jr. Birth Year: 1963   Chairman of the Board, President, Chief Executive Officer, Trustee and member of Pricing and Valuation Committees  

Trustee Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term Expires:

BSL: 2016

BGX: 2016

BGB: 2016

  Mr. Smith is a Senior Managing Director of GSO and is Head of GSO /Blackstone Debt Funds Management LLC. Mr. Smith joined GSO from the Royal Bank of Canada in July 2005 where he was a Managing Partner and Co- head of RBC Capital Market’s Alternative Investments Unit.   3   None

OFFICERS

Name, Address

and Year of

Birth

 

Position(s) Held

with the Funds

 

Term of Office and

Length of Time Served

  Principal Occupation During the Past Five Years

Daniel H. Smith, Jr.

Birth Year: 1963

  Trustee, Chairman of the Board, President, Chief Executive Officer  

Officer Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term of Office:

Indefinite

  Mr. Smith is a Senior Managing Director of GSO and is Head of GSO /Blackstone Debt Funds Management LLC. Mr. Smith joined GSO from the Royal Bank of Canada in July 2005 where he was a Managing Partner and Co-head of RBC Capital Market’s Alternative Investments Unit.

Eric Rosenberg

Birth Year: 1968

  Chief Financial Officer and Treasurer  

Officer Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term of Office:

Indefinite

  Mr. Rosenberg is a Managing Director and Chief Financial Officer of GSO. He joined GSO in 2008. Prior to that time he spent over 10 years in the prime brokerage business of Goldman, Sachs & Co.

Lee M. Shaiman

Birth Year: 1956

  Executive Vice President and Assistant Secretary  

Officer Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term of Office:

Indefinite

  Mr. Shaiman is a Managing Director of GSO. Mr. Shaiman joined GSO from Royal Bank of Canada in July 2005 where he was a Managing Partner and Head of Portfolio Management and Credit Research in the Debt Investments group.

Marisa Beeney

Birth Year: 1970

  Chief Compliance Officer, Chief Legal Counsel and Secretary  

Officer Since:

BSL: April 2010

BGX: November 2010

BGB: May 2012

 

Term of Office:

Indefinite

  Ms. Beeney is a Managing Director, Chief Legal Officer and Chief Compliance Officer of GSO. From March 2007 to December 2008, she served as Counsel and Director of GSO. Prior to that time she was with the finance group of DLA Piper since 2005.

 

 

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Blackstone / GSO Funds    Trustees & Officers
  

 

June 30, 2013 (Unaudited)

 

OFFICERS (continued)

Name, Address

and Year of

Birth

 

Position(s) Held

with the Funds

 

Term of Office and

Length of Time Served

  Principal Occupation During the Past Five Years

Jane Lee

Birth Year: 1972

  Public Relations Officer  

Officer Since:

BSL: November 2010

BGX: November 2010

BGB: May 2012

 

Term of Office:

Indefinite

  Ms. Lee is a Managing Director of GSO. Ms. Lee joined GSO from Royal Bank of Canada in July 2005, where she was most recently a partner in the Debt Investments Group and was responsible for origination of new CLO transactions and investor relations.

 

(1) 

The address of each Trustee and Officer, unless otherwise noted, is GSO Capital Partners LP, 345 Park Avenue, 31st Floor, New York, NY 10154.

(2) 

The “Fund Complex” consists of the Funds, Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund and Blackstone / GSO Strategic Credit Fund.

(3) 

“Interested person” of the Funds as defined in Section 2(a)(19) of the 1940 Act. Mr. Smith is an interested person due to his employment with the Adviser.

 

 

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Table of Contents

Blackstone / GSO

 

LOGO

 

 

Trustees

  

Fund Officers

 

Daniel H. Smith, Jr.

Chairman of the Board of Trustees

Thomas W. Jasper

Michael Holland

Edward H. D’Alelio

Gary S. Schpero

 

Investment Manager

GSO / Blackstone Debt Funds

Management LLC

345 Park Avenue, 31st Floor

New York, New York 10154

 

Administrator

ALPS Fund Services, Inc.

1290 Broadway, 11th Floor

Denver, Colorado 80203

 

Custodian

BSL & BGB:

The Bank of New York Mellon, N.A.

2 Hanson Place, 8th Floor

Brooklyn, New York 11217

 

BGX:

J.P. Morgan Chase Bank, N.A.

14201 N. Dallas Pkwy, 2nd Floor

Dallas, Texas 75254

 

Transfer Agent

Computershare

480 Washington Blvd.

Jersey City, New Jersey 07310

  

Daniel H. Smith, Jr.

President and Chief Executive Officer

Eric Rosenberg

Chief Financial Officer

Lee M. Shaiman

Executive Vice President and Assistant Secretary

Marisa Beeney

Chief Compliance Officer,

Chief Legal Officer and Secretary

Jane Lee

Public Relations Officer

 

DRIP Administrator

Computershare

P.O. Box 358035

Pittsburgh, Pennsylvania 15252

 

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

555 17th Street, Ste 3600

Denver, Colorado 80202

 

Legal Counsel

Simpson Thacher & Bartlett LLP

425 Lexington Avenue

New York, New York 10017

    
    
    

This report, including the financial information herein, is transmitted to the shareholders of Blackstone / GSO Senior Floating Rate Income Fund, Blackstone / GSO Long-Short Credit Income Fund and Blackstone / GSO Strategic Credit Fund for their information. It is not a prospectus, circular or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that from time to time the Funds may purchase their common shares in the open market.

Information on the Funds is available at www.blackstone-gso.com.

1.877.876.1121 | WWW.BLACKSTONE–GSO.COM


Table of Contents
Item 2. Code of Ethics.

Not applicable to this Report.

 

Item 3. Audit Committee Financial Expert.

Not applicable to this Report.

 

Item 4. Principal Accountant Fees and Services.

Not applicable to this Report.

 

Item 5. Audit Committee of Listed Registrants.

Not applicable to this Report.

 

Item 6. Investments.

 

  (a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the Report to Stockholders filed under Item 1 of this Form N-CSR.

 

  (b) Not applicable.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this Report.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this Report.


Table of Contents
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

None.

 

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2) of Regulation S-K, or this Item.

 

Item 11. Controls and Procedures.

 

  (a) The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective as of a date within 90 days of the filing date of this Report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Investment Company Act of 1940, as amended, and Rule 15d-15(b) under the Securities Exchange Act of 1934.

 

  (b) There was no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the second fiscal quarter of the period covered by this Report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.  

 

Item 12. Exhibits.

 

  (a)(1) Not applicable to this Report.

 

  (a)(2) The certifications required by Rule 30a-2(a) of the Investment Company Act of 1940, as amended, and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.Cert.

 

  (a)(3) Not applicable to Registrant.

 

  (b) The certifications by the Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) of the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.906Cert.


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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Blackstone / GSO Senior Floating Rate Term Fund

 

By:          

/s/ Daniel H. Smith, Jr.

 
  Daniel H. Smith, Jr. (Principal Executive Officer)
  Chairman, Chief Executive Officer and President
Date:   September 6, 2013
By:  

/s/ Eric Rosenberg

 
  Eric Rosenberg (Principal Financial Officer)
  Treasurer and Chief Financial Officer
Date:   September 6, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

Blackstone / GSO Senior Floating Rate Term Fund

 

By:          

/s/ Daniel H. Smith, Jr.

 
  Daniel H. Smith, Jr. (Principal Executive Officer)
  Chairman, Chief Executive Officer and President
Date:   September 6, 2013
By:  

/s/ Eric Rosenberg

 
  Eric Rosenberg (Principal Financial Officer)
  Treasurer and Chief Financial Officer
Date:   September 6, 2013