Edgar Filing: Blackstone / GSO Strategic Credit Fund

Fair Value at 3/31/13

Valuation Technique(s)

Unobservable Input(s)

Floating Rate Loan Interests

$143,349,076

Third-party vendor pricing service

Vendor quotes

Blackstone GSO Strategic Credit Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-22686

Blackstone / GSO Strategic Credit Fund

(exact name of Registrant as specified in charter)

345 Park Avenue, 31^st 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, 31^st 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: March 31, 2013

Item 1. Schedule of Investments.

Blackstone / GSO Strategic Credit Fund

Portfolio of Investments

March 31, 2013 (Unaudited)


	Moody’s Rating		Principal Amount		Market Value

FLOATING RATE LOAN INTERESTS^(a) - 108.55%
Aerospace and Defense - 3.86%
Booz Allen Hamilton, Inc., Senior Secured Tranche B First Lien Initial Term Loan, 4.500%, 7/27/2019		Ba2		$1,990,000		$2,022,129
Camp Systems International Holdings Co., Senior Secured First Lien Refinance Term Loan, 5.250%, 05/31/2019		B1		6,965,000		7,056,416
DAE Aviation Holdings, Inc., Senior Secured First Lien Term B-1 Loan, 6.250%, 11/02/2018		B3		4,092,238		4,168,968
DAE Aviation Holdings, Inc., Senior Secured First Lien Term B-2 Loan, 6.250%, 11/02/2018		B3		1,855,148		1,889,932
Digitalglobe, Inc., Senior Secured First Lien New Term Loan, 3.750%, 01/31/2020		Caa1		848,896		861,761
Landmark Aviation (LM U.S. Member LLC), Senior Secured First Lien Canadian Term Loan, 5.750%, 10/25/2019		B3		649,414		659,155
Landmark Aviation (LM U.S. Member LLC), Senior Secured First Lien Initial Term Loan, 5.750%, 10/25/2019		B3		7,663,086		7,778,032
Landmark Aviation (LM U.S. Member LLC), Senior Secured Second Lien Initial Term Loan, 9.500%, 10/26/2020		B3		2,000,000		2,050,000
Sequa Corp., Senior Secured First Lien Term Loan, 5.250%, 06/19/2017		B2		6,892,644		7,018,159

						33,504,552


Automotive - 2.13%
CCC Information Services, Inc., Senior Secured First Lien Term Loan, 5.250%, 12/20/2019		B1		3,030,380		3,070,532
Chrysler Group LLC, Senior Secured Tranche B First Lien Term Loan, 6.000%, 05/24/2017		Ba2		2,984,810		3,044,715
FRAM Group Holdings, Inc. (aka Autoparts Holdings), Senior Secured First Lien Term Loan, 6.500%, 07/31/2017		B2		2,920,209		2,965,225
Jason, Inc., Senior Secured First Lien Term Loan, 5.000%, 02/28/2019		B1		2,000,000		2,007,500
Navistar International Corp., Senior Secured Tranche B First Lien Term Loan, 7.000%, 08/17/2017		B3		4,987,500		5,054,208
TI Group Automotive Systems LLC, Senior Secured First Lien Additional Term Loan, 5.500%, 03/28/2019		Ba3		2,307,692		2,330,769

						18,472,949


Banking, Finance, and Real Estate - 5.25%
Alliant Holdings I, Inc., Senior Secured First Lien Term Loan, 5.000%, 12/20/2019		B2		9,821,429		9,966,737
AmWins Group LLC, Senior Secured First Lien Term B Loan, 5.000%, 09/06/2019		B2		1,995,000		2,023,060
Asurion LLC, Senior Secured Tranche B-1 First Lien Incremental Term Loan, 4.500%, 05/24/2019		Ba2		7,980,000		8,079,271
Cunningham Lindsey Corp., Senior Secured First Lien Term Loan, 5.000%, 12/10/2019		B1		9,351,563		9,532,796
Duff and Phelps Corp., Senior Secured First Lien Term Loan, 0.280%, 03/14/2020		B1		1,071,429		1,085,496
First Data Corp., Senior Secured First Lien Extended 2018 Dollar Term Loan, 5.204%, 03/26/2018		B1		1,909,091		1,905,874
HarbourVest Partners LP, Senior Secured First Lien New Term Loan, 4.750%, 11/21/2017		Ba3		3,069,952		3,085,301
Nuveen Investments, Inc., Senior Secured First Lien New Term Loan, 5.204%, 05/13/2017		B3		7,000,000		7,146,265
SNL Financial LC, Senior Secured First Lien Term Loan, 5.500%, 10/23/2018		B2		2,660,000		2,674,404

						45,499,204


Beverage, Food and Tobacco - 2.57%
Advance Pierre Foods, Inc., Senior Secured First Lien Term Loan, 5.750%, 07/10/2017		B1		4,394,392		4,464,702
Advance Pierre Foods, Inc., Senior Secured Second Lien Term Loan, 9.500%, 10/10/2017		B1		6,944,444		7,193,299
Del Monte Corp., Senior Secured First Lien Initial Term Loan, 4.000%, 03/08/2018		Ba3		3,990,000		4,032,713
Fairway Group Acquisition Co., Senior Secured First Lien Term Loan, 6.750%, 08/17/2018		B2		3,482,522		3,547,819
U.S. Foodservice, Inc., Senior Secured First Lien Term Loan, 5.750%, 03/31/2017		B3		2,981,830		3,024,216

						22,262,749


Capital Equipment - 2.39%
BakerCorp International, Inc., Senior Secured First Lien Replacement Term Loan, 4.250%, 02/07/2020		Ba3		5,000,000		5,045,075
Dematic S.A., Senior Secured First Lien Term Loan, 5.250%, 12/18/2019		B2		4,433,333		4,488,750


	Moody’s Rating		Principal Amount		Market Value

Capital Equipment (continued)
Edwards (Cayman Islands II) Ltd., Senior Secured First Lien Term B Loan, 4.750%, 03/22/2020		B3		$2,828,283		$2,842,424
Sensus U.S.A., Inc. (fka Sensus Metering Systems), Senior Secured Second Lien Term Loan, 8.500%, 05/09/2018		Ba2		6,450,000		6,494,344
Unifrax I LLC, Senior Secured First Lien Dollar Term Loan, 4.250%, 11/28/2018		Ba3		898,477		909,061
Unifrax I LLC, Senior Secured First Lien Euro Term Loan, 4.133%, 11/28/2018		Ba3		697,674		898,788

						20,678,442


Chemicals, Plastics and Rubber - 4.87%
Arizona Chemical U.S., Inc., Senior Secured First Lien Term Loan, 5.250%, 12/22/2017		Ba3		755,618		769,627
Berry Plastics Corp., Senior Secured First Lien Term D Loan, 3.500%, 02/08/2020		B2		9,146,341		9,142,180
Houghton International, Inc., Senior Secured First Lien Term Loan, 5.000%, 12/20/2019		B1		748,125		760,985
Ineos Finance PLC, Senior Secured First Lien Dollar Term Loan, 6.500%, 05/04/2018		B1		4,987,406		5,080,021
Nusil Technology LLC, Senior Secured First Lien Term Loan, 5.000%, 04/07/2017		B1		4,558,972		4,599,593
Pinnacle Operating Corp., Senior Secured First Lien Term B Loan, 6.750%, 11/15/2018		B2		11,193,750		11,333,672
Tronox, Senior Secured First Lien Term Loan, 4.500%, 03/13/2020		Ba2		1,974,724		2,006,191
U.S. Coastings Aquisition, Inc., Senior Secured First Lien Initial Term B Loan, 4.750%, 02/01/2020		B2		8,391,608		8,517,063

						42,209,332


Construction and Building - 1.84%
Custom Building Products, Inc., Senior Secured First Lien Term Loan, 6.000%, 12/16/2019		B1		12,818,222		13,074,587
SRS Distribution, Inc., Senior Secured First Lien Term Loan, 4.750%, 09/02/2019		B2		2,894,737		2,916,462

						15,991,049


Consumer Goods Durable - 2.52%
AOT Bedding Super Holdings LLC (AKA National Bedding/Serta), Senior Secured First Lien Term B Loan, 5.000%, 10/01/2019		B2		7,000,000		7,107,625
Apex Tool Group LLC, Senior Secured First Lien Term Loan, 4.500%, 01/31/2020		B2		1,779,935		1,806,634
Hupah Finance, Inc., Senior Secured First Lien Initial Term Loan, 4.500%, 01/21/2019		B2		2,466,945		2,505,491
MModal, Inc., Senior Secured First Lien Term B Loan, 6.750%, 08/15/2019		Ba3		8,462,909		8,206,399
Spectrum Brands, Inc., Senior Secured First Lien Term B Loan, 4.500%, 12/17/2019		Ba3		2,158,053		2,193,391

						21,819,540


Consumer Goods Non Durable - 1.81%
Acosta, Inc., Senior Secured First Lien Term D Loan, 5.000%, 03/01/2018		B1		4,901,836		4,979,971
Hostess Brands, Senior Secured First Lien Term Loan, 6.750%, 03/12/2020		B3		1,363,636		1,397,727
KIK Custom Products, Inc., Senior Secured First Lien Canadian Term Loan, 2.460%, 06/02/2014		B2		145,955		140,065
KIK Custom Products, Inc., Senior Secured First Lien U.S. Term Loan, 2.460%, 06/02/2014		B2		851,405		817,043
Sagittarius Brands, Inc., Senior Secured First Lien Term B Loan, 6.250%, 09/28/2018		B1		8,409,091		8,325,000

						15,659,806


Containers, Packaging and Glass - 3.66%
Berlin Packaging LLC, Senior Secured First Lien Term Loan, 4.750%, 04/02/2019		B1		3,548,387		3,586,089
Berlin Packaging LLC, Senior Secured Second Lien Term Loan, 8.750%, 03/28/2020		B2		714,286		721,875
Bway Corp. (aka ICL Industrial Containers), Senior Secured First Lien Term B Loan, 4.503%, 08/06/2017		Ba3		12,082,173		12,251,323
John Henry Holdings, Inc. (aka Multi Packaging Solutions), Senior Secured First Lien Term Loan, 6.000%, 12/06/2018		B2		11,970,000		12,239,325
Sealed Air Corp., Senior Secured First Lien Term B-1 Facility Loan, 4.000%, 10/03/2018		Ba1		2,919,960		2,966,563

						31,765,175


Energy Electricity - 1.83%
NXP B.V. (NXP Fundings LLC), Senior Secured Tranche C First Lien Term Loan, 4.750%, 01/10/2020		B1		4,987,500		5,107,200
Star West Generation LLC, Senior Secured First Lien Term B Advance Loan, 5.000%, 03/13/2020		Ba3		5,037,576		5,107,901
Topaz Power Holdings LLC, Senior Secured First Lien Term Loan, 5.250%, 02/26/2020		B1		5,543,484		5,640,494

						15,855,595


	Moody’s Rating		Principal Amount		Market Value

Energy, Oil and Gas - 5.71%
Ameriforge Group, Inc., Senior Secured First Lien Term Loan, 6.000%, 12/19/2019		B2		$6,982,500		$7,090,170
Boomerang Tube LLC, Senior Secured First Lien Term Loan, 11.009%, 10/11/2017		B3		1,975,000		1,999,687
Brock Holdings III, Inc., Senior Secured Second Lien Term Loan, 10.000%, 03/16/2018		B1		833,333		844,791
Buffalo Gulf Coast Terminals LLC, Senior Secured First Lien Term Loan, 5.250%, 10/31/2017		Ba1		2,653,333		2,713,033
EMG Utica LLC, Senior Secured First Lien Term Loan, 4.750%, 03/26/2020		B2		1,888,112		1,902,273
NFR Energy LLC (Sabine Oil & Gas LLC), Senior Secured First Lien Mission Term Loan, 8.750%, 12/31/2018		Caa1		3,276,596		3,364,671
Plains Exploration & Production Co., Senior Secured First Lien Term B Loan, 4.000%, 11/30/2019		Ba3		4,166,667		4,182,292
Ruby Western Pipeline Holdings LLC, Senior Secured First Lien Term Loan, 3.500%, 03/27/2020		Ba2		1,475,904		1,496,197
Samson Investment Co., Senior Secured Second Lien Initial Term Loan, 6.000%, 09/25/2018		B1		4,000,000		4,053,760
Sheridan Production Partners LP, Senior Secured Tranche B-2 First Lien Term Loan [PRT I], 5.000%, 10/01/2019		B1		5,739,857		5,804,430
Sheridan Production Partners LP, Senior Secured Tranche B-2 First Lien Term Loan [PRT I-A], 5.000%, 10/01/2019		B1		760,578		769,135
Sheridan Production Partners LP, Senior Secured Tranche B-2 First Lien Term Loan, 5.000%, 10/01/2019		B1		464,566		469,792
Tallgrass Energy Partners LP, Senior Secured First Lien Term Loan, 5.250%, 11/13/2018		Ba3		12,310,918		12,572,586
W3 Co., Senior Secured First Lien Term Loan, 5.750%, 03/13/2020		B1		1,118,012		1,129,662
W3 Co., Senior Secured Second Lien Term Loan, 9.250%, 09/13/2020		Caa1		1,058,824		1,085,294

						49,477,773


Environmental Industries - 1.70%
ADS Waste Holdings, Inc., Senior Secured Tranche B First Lien Term Loan, 4.250%, 10/09/2019		B2		8,977,500		9,090,661
Progressive Waste Solutions, Ltd., Senior Secured First Lien Term B Loan, 3.500%, 10/24/2019		Ba1		1,813,636		1,840,279
Tervita Corp., Senior Secured First Lien Term Loan, 6.250%, 05/15/2018		B2		3,761,905		3,814,816

						14,745,756


Healthcare and Pharmaceuticals - 12.23%
ABB Con-Cise Optical Group LLC, Senior Secured First Lien Term Loan, 5.500%, 02/06/2019		B2		2,941,176		2,965,088
Ardent Medical Services, Inc., Senior Secured First Lien Term Loan, 6.750%, 07/02/2018		B1		5,131,496		5,234,126
ATI Physical Therapy, Senior Secured First Lien Term Loan, 5.750%, 12/20/2019		B2		735,000		746,025
Axcan Pharmaceuticals, Inc., Senior Secured First Lien Term B-1 Loan, 5.500%, 02/10/2017		B1		2,979,683		3,010,969
Axcan Pharmaceuticals, Inc., Senior Secured First Lien Term B-2 Loan, 5.500%, 02/10/2017		B1		3,974,912		4,016,649
Bausch & Lomb, Inc., Senior Secured First Lien Bridge Loan, 0.283%, 01/01/2020		B1		3,000,000		3,022,500
Capsugel Holdings U.S., Inc., Senior Secured First Lien Initial Term Loan, 4.750%, 08/01/2018		B1		5,761,388		5,867,628
Carestream Health, Inc., (aka Onex Carestream Finance LP), Senior Secured First Lien Term B Loan, 5.000%, 02/27/2017		B1		5,963,104		5,998,793
CHG Buyer Corp., Senior Secured First Lien Term Loan, 5.000%, 11/19/2019		B2		4,976,188		5,050,060
CHG Buyer Corp., Senior Secured Second Lien Term Loan, 9.000%, 11/19/2020		B2		3,000,000		3,088,755
Convatec, Inc. (aka Cidron Healthcare, Ltd.), Senior Secured First Lien Dollar Term Loan, 5.000%, 12/22/2016		Ba3		4,038,047		4,116,789
Drumm Investors LLC (aka Golden Living), Senior Secured First Lien Term Loan, 5.000%, 05/04/2018		B1		6,963,509		6,751,366
Emergency Medical Services Corp., (aka AMR/EMCare), Senior Secured First Lien Initial Term Loan, 4.000%, 05/25/2018		B1		1,726,397		1,748,512
Harvard Drug Group LLC, Senior Secured First Lien Term Loan, 5.000%, 10/29/2019		B2		5,969,693		6,070,432
Ikaria Acquisition, Inc., Senior Secured First Lien Term Loan, 7.750%, 09/18/2017		B1		4,477,500		4,522,275
Immucor, Inc., Senior Secured First Lien Term B-2 Loan, 5.000%, 08/17/2018		Ba3		471,364		478,437
IMS Health, Inc., Senior Secured First Lien Tanche B-1 Term Loan, 3.750%, 09/01/2017		Ba3		2,062,667		2,087,677
National Mentor Holdings, Inc., Senior Secured Tranche B-1 First Lien Term Loan, 6.500%, 02/09/2017		Ba3		8,954,337		9,096,128
National Specialty Hospitals, Senior Secured First Lien Initial Term Loan, 8.250%, 02/03/2017		B2		4,000,000		3,990,000
Par Pharmaceutical Co., Inc., Senior Secured First Lien Additional Term B-1 Loan, 4.250%, 09/30/2019		B1		6,965,044		7,048,450
RadNet, Inc., Senior Secured Tranche B First Lien Term Loan, 6.500%, 10/10/2018		B2		7,214,477		7,315,948
Sheridan Healthcare, Inc., Senior Secured Second Lien Initial Term Loan, 9.000%, 07/01/2019		B1		2,727,273		2,786,373
Sheridan Holdings, Inc., Senior Secured First Lien Initial Term Loan, 4.500%, 06/29/2018		B1		2,128,046		2,148,337


	Moody’s Rating		Principal Amount		Market Value

Healthcare and Pharmaceuticals (continued)
Smile Brands Group, Inc., Senior Secured First Lien Term B Loan, 7.000%, 12/21/2017		Ba3		$4,987,277		$4,725,445
Surgery Center Holdings, Inc., Senior Secured First Lien Term Loan, 6.500%, 02/06/2017		B1		1,994,891		1,999,879
United Surgical Partners International, Inc., Senior Secured New Tranche B First Lien Term Loan, 7.000%, 04/03/2019		Ba3		2,132,143		2,150,138

						106,036,779


High Tech Industries - 14.16%
Aspect Software, Inc., Senior Secured First Lien Term B Loan, 7.000%, 05/09/2016		Ba3		5,906,976		5,993,099
Attachmante Corp., Senior Secured Second Lien Term Loan, 11.000%, 11/22/2018		B1		6,000,000		6,063,750
Audio Visual Services Group, Senior Secured First Lien Term Loan, 6.750%, 11/9/2018		B1		9,460,825		9,460,825
Blackboard, Inc., Senior Secured First Lien Term B-2 Loan, 6.250%, 10/04/2018		B1		13,939,650		14,166,169
CompuCom Systems, Inc., Senior Secured First Lien Term Loan, 6.500%, 10/04/2018		B2		8,805,517		8,987,131
Excelitas Technologies, Inc. (fka IDS Acquisition), Senior Secured First Lien Term B Loan, 5.000%, 11/29/2016		B1		4,939,756		4,989,154
EZE Software, Senior Secured First Lien Term Loan, 4.750%, 03/14/2020		B1		1,333,333		1,355,560
Hyland Software, Inc., Senior Secured First Lien Term Loan, 5.500%, 10/25/2019		B2		9,893,238		9,973,620
Kronos, Inc. (aka Seahawk Acquisition Corp.), Senior Secured First Lien Incremental Term Loan, 4.500%, 10/30/2019		B1		8,977,500		9,119,659
Kronos, Inc. (aka Seahawk Acquisition Corp.), Senior Secured Second Lien Term Loan, 9.750%, 04/30/2020		B1		3,076,923		3,223,077
Lawson Software, Inc. (kfa SoftBrands, Inc.), Senior Secured First Lien Term B-2 Loan, 5.250%, 04/05/2018		B2		3,980,000		4,049,650
Microsemi Corp., Senior Secured First Lien Term Loan, 3.750%, 02/19/2020		Ba2		2,151,047		2,174,708
Presidio, Inc., Senior Secured First Lien Term Loan, 5.750%, 03/31/2017		B1		4,477,500		4,527,872
Rocket Software, Inc., Senior Secured First Lien Term Loan, 5.750%, 02/08/2018		B1		2,874,351		2,894,112
Sirius Computer, Inc. (SCS Holdings I), Senior Secured First Lien Term Loan, 7.000%, 12/07/2018		Ba3		5,538,462		5,621,538
Sophia LP, Senior Secured First Lien Additional Term B Loan, 4.500%, 07/19/2018		Ba3		1,995,000		2,026,671
Technicolor SA, Senior Secured First Lien Term A2 Facility Loan, 7.000%, 05/26/2016		B3		1,504,172		1,520,470
Technicolor SA, Senior Secured First Lien Term B2 Facility Loan, 8.000%, 05/26/2017		B3		3,900,108		3,942,365
TriZetto Group, Inc. (TZ Merger Sub, Inc.), Senior Secured First Lien Term Loan, 4.750%, 05/02/2018		B1		1,796,546		1,809,059
TriZetto Group, Inc. (TZ Merger Sub, Inc.), Senior Secured Second Lien Term Loan, 8.500%, 03/28/2019		B1		1,288,768		1,308,100
Vertafore, Inc., Senior Secured Second Lien Term Loan, 9.750%, 10/27/2017		B1		9,250,000		9,481,250
Wall Street Systems Holdings, Inc., Senior Secured First Lien Term Loan, 5.750%, 10/25/2019		Ba3		7,125,000		7,218,516
Wesco Distribution, Senior Secured First Lien Term Loan, 4.503%, 12/04/2019		Ba3		2,857,143		2,895,828

						122,802,183


Hotels, Gaming and Leisure - 3.16%
AMC Entertainment, Inc., Senior Secured First Lien Term B3 Loan, 4.750%, 02/22/2018		B2		994,962		1,004,041
Centaur LLC, Senior Secured First Lien Term Loan, 5.250%, 02/20/2019		B1		3,333,333		3,387,500
Corner Investment Propco LLC, Senior Secured First Lien Term B Loan, 11.000%, 11/04/2019		B3		3,000,000		3,045,000
MGM Resorts, Inc., Senior Secured First Lien Term A Loan, 3.284%, 12/20/2017		B2		2,493,750		2,502,478
MGM Resorts, Inc., Senior Secured First Lien Term B Loan, 4.250%, 12/20/2019		B2		5,782,609		5,885,973
OSI Restaurant Partners LLC, Senior Secured First Lien Term Loan, 4.750%, 10/28/2019		B3		4,156,579		4,220,549
Zuffa LLC, Senior Secured First Lien Term B Loan, 4.000%, 02/25/2020		Ba3		7,241,379		7,350,000

						27,395,541


Media Advertising, Printing and Publishing - 2.61%
Cenveo Corp., Senior Secured First Lien Term B Facility Loan, 7.000%, 12/21/2016		Ba3		1,989,822		1,999,771
Getty Images, Inc., Senior Secured First Lien Initial Term Loan, 4.750%, 10/18/2019		B1		6,982,500		7,088,110
McGraw-Hill Global Education Holdings LLC, Senior Secured First Lien Term Loan, 9.000%, 03/18/2019		B2		4,166,667		4,036,479
Playboy Enterprises, Inc., Senior Secured First Lien Term B Loan, 8.250%, 03/06/2017		B2		3,430,422		3,464,727
SGS International, Inc. (aka Southern Graphics/Logo Merger Sub), Senior Secured First Lien Term Loan, 5.000%, 10/17/2019		B1		5,985,000		6,056,072

						22,645,159


Media Broadcasting and Subscription - 3.01%
Cumulus Media Holdings, Inc., Senior Secured First Lien Term Loan, 4.500%, 09/17/2018		Caa1		4,975,000		5,051,690
Entercom Radio LLC, Senior Secured First Lien Term B Loan, 5.000%, 11/23/2018		B2		2,107,190		2,149,007


	Moody’s Rating		Principal Amount		Market Value

Media Broadcasting and Subscription (continued)
FoxCo Acquisition Sub. LLC, Senior Secured First Lien Term Loan, 5.500%, 07/14/2017		B1		$2,742,658		$2,796,648
Hubbard Radio LLC, Senior Secured First Lien Term Loan, 4.500%, 04/28/2017		Ba3		1,018,082		1,030,808
NEP/NCP Holdco, Inc., Senior Secured First Lien Term Loan, 4.750%, 01/22/2020		B1		1,671,788		1,694,775
Nexstar Broadcasting, Inc. (aka MIssion Broadcasting, Inc.), Senior Secured First Lien Mission Term Loan, 4.500%, 12/03/2019		Ba3		907,636		925,226
Nexstar Broadcasting, Inc. (aka Mission Broadcasting, Inc.), Senior Secured First Lien Term B Loan, 4.500%, 12/03/2019		Ba3		2,146,909		2,188,516
RCN Corp., Senior Secured First Lien Term B Loan, 5.250%, 03/02/2020		B1		3,690,593		3,756,341
SESAC Holdings, Inc., Senior Secured First Lien Term Loan, 6.000%, 02/15/2019		B1		2,464,412		2,490,596
Univision Communications, Inc., Senior Secured First Lien Term C1 Loan, 4.750%, 03/01/2020		B2		4,000,000		4,026,860

						26,110,467


Metals and Mining - 1.05%
MRC Global (aka McJunkin Corp.), Senior Secured First Lien Term B Loan, 6.250%, 11/08/2019		Ba2		8,993,269		9,133,789


Retail - 11.18%
Academy, Ltd., Senior Secured First Lien Initial Term Loan, 4.750%, 08/03/2018		B2		9,950,000		10,105,469
Albertson’s, Inc., Senior Secured First Lien Term Loan, 5.750%, 02/26/2016		B1		3,333,333		3,394,933
Bass Pro Group LLC, Senior Secured First Lien New Term Loan, 4.042%, 11/20/2019		B1		8,673,913		8,779,908
BJ’s Wholesale Club, Inc., Senior Secured First Lien Replacement Term Loan, 4.250%, 09/26/2019		B2		5,985,000		6,052,631
Burlington Coat Factory Warehouse Corp., Senior Secured First Lien Term B-1 Loan, 5.500%, 02/23/2017		B3		2,776,843		2,819,148
Chinos Acquisition Corp. (aka J. Crew Group, Inc.), Senior Secured First Lien New Term B1 Loan, 4.000%, 03/07/2018		B1		3,979,747		4,031,742
Cole Haan LLC, Senior Secured First Lien Term Loan, 5.750%, 01/30/2020		B2		1,333,333		1,352,500
Collective Brands Finance, Inc. (aka Payless ShoeSource), Senior Secured First Lien Term Loan, 7.250%, 10/09/2019		B1		10,142,162		10,299,062
Container Store, Inc., Senior Secured First Lien Term B3 Loan, 6.250%, 04/08/2019		B3		1,892,593		1,911,519
DBP Holdings Corp, Senior Secured First Lien Initial Term Loan, 5.000%, 10/11/2019		B2		7,260,870		7,365,208
Leslie’s Poolmart, Inc., Senior Secured Tranche B First Lien Term Loan, 5.250%, 10/16/2019		B2		9,952,400		10,111,041
Neiman Marcus Group, Inc., Senior Secured First Lien Extended Term Loan, 4.000%, 05/16/2018		B2		6,562,500		6,631,144
Renfro Corp., Senior Secured First Lien New Term B Loan, 5.750%, 01/30/2019		B2		666,667		675,833
Smart & Final Stores LLC, Senior Secured First Lien Term Loan, 5.750%, 11/15/2019		B3		15,391,113		15,636,448
Sports Authority, Inc. (aka TSA), Senior Secured First Lien Term B Loan, 7.500%, 11/16/2017		B3		3,979,644		4,019,460
The Gymboree Corp., Senior Secured First Lien Term Loan, 5.000%, 02/23/2018		B1		1,937,036		1,882,043
Yankee Candle Co., Inc., Senior Secured First Lien Term B Loan, 5.250%, 04/02/2019		Ba2		1,814,244		1,829,801

						96,897,890


Services - Business - 7.78%
4L Holdings Corp. (aka Clover Technology), Senior Secured First Lien Term Loan, 6.765%, 05/07/2018		B2		4,364,269		4,364,269
Alix Partners LLP, Senior Seucred First Lien Refinancing Term B-2 Loan, 4.500%, 06/28/2019		Ba3		5,404,040		5,460,323
Crossmark Holdings, Inc., Senior Secured First Lien Term Loan, 4.500%, 12/20/2019		B1		2,358,491		2,365,130
Crossmark Holdings, Inc., Senior Secured Second Lien Term Loan, 8.750%, 12/21/2020		B1		2,000,000		2,007,500
eResearch Technology, Inc., Senior Secured First Lien Term Loan, 6.000%, 05/02/2018		B1		3,161,290		3,181,048
Garda Worldwide Security Corp., Senior Secured First Lien Term Loan, 4.500%, 11/13/2019		B1		3,206,250		3,252,340
Ipreo Holdings LLC, Senior Secured Tranche B-2 First Lien Term Loan, 6.500%, 08/07/2017		B1		988,223		1,000,575
MoneyGram Payment Systems Worldwide, Inc., Senior Secured First Lien Term B Loan, 4.250%, 03/27/2020		Ba1		2,375,810		2,401,065
Monitronics International, Inc., Senior Secured First Lien Term B Loan, 4.250%, 03/23/2018		B2		6,385,403		6,489,166
Scitor Corp., Senior Secured First Lien Term Loan, 5.000%, 02/15/2017		B2		3,864,747		3,885,675
Sedgwick Claims Management Services, Inc., Senior Secured First Lien Term B-2 Loan, 4.000%, 12/31/2016		B1		1,783,679		1,798,162
SI Organization, Inc., Senior Secured New Tranche B First Lien Term Loan, 4.500%, 11/22/2016		Ba3		2,992,347		2,998,571
SurveyMonkey.com LLC, Senior Secured First Lien Term Loan, 5.500%, 02/07/2019		B1		5,727,273		5,827,500
Transaction Network Services, Senior Secured First Lien Term Loan, 5.000%, 02/14/2020		B1		3,525,641		3,526,752
Transaction Network Services, Senior Secured Second Lien Term Loan, 9.000%, 08/14/2020		B1		1,654,412		1,657,514


	Moody’s Rating		Principal Amount		Market Value

Services - Business (continued)
TravelCLICK Holdings (aka TCH-2 Holdings), Senior Secured First Lien Term B Loan, 5.750%, 03/16/2016		B1		$1,502,154		$1,504,031
TravelCLICK Holdings (aka TCH-2 Holdings), Senior Secured Second Lien Term Loan, 9.750%, 03/25/2018		B1		1,074,627		1,109,552
Truven Health Analytics, Inc., Senior Secured New Tranche B First Lien Term Loan, 5.750%, 06/06/2019		Ba3		7,996,224		8,116,167
Web.com Group, Inc., Senior Secured First Lien Term Loan, 4.500%, 10/27/2017		B1		6,444,356		6,512,827

						67,458,167


Services - Consumer - 1.72%
Alliance Laundry Systems LLC, Senior Secured First Lien Term Loan, 4.500%, 12/10/2018		B1		2,973,374		3,001,621
Aramark Corp., Senior Secured First Lien Term D Loan, 4.000%, 08/22/2019		Ba3		6,999,747		7,077,374
Bright Horizons Family Solutions LLC, Senior Secured First Lien Term Loan, 4.000%, 01/30/2020		B2		1,408,451		1,423,063
California Pizza Kitchen, Inc., Senior Secured First Lien Term Loan, 0.284%, 04/15/2018		B2		3,418,605		3,435,698

						14,937,756


Telecommunications - 5.23%
Avaya, Inc., Senior Secured B-3 Extended First Lien Term B-3 Loan, 4.788%, 10/26/2017		B1		3,972,637		3,759,108
Fairpoint Communications, Inc., Senior Secured First Lien Term Loan, 7.500%, 02/14/2019		Ba2		6,000,000		5,861,670
Fibertech Networks, LLC (Firefox), Senior Secured First Lien New Term Loan, 5.750%, 12/18/2019		B2		5,374,972		5,435,441
Greeneden U.S. Holdings II LLC, Senior Secured First Lien Dollar Term Loan, 4.000%, 02/08/2020		B2		252,439		254,490
Leap Wireless International, Inc. (Cricket Communications), Senior Secured First Lien Term Loan, 4.750%, 10/10/2019		Ba2		8,312,500		8,365,783
Sorenson Communications, Inc., Senior Secured First Lien Term Loan, 9.500%, 10/31/2014		B2		5,923,563		6,022,902
Wide Open West Finance LLC, Senior Secured First Lien Term B Loan, 4.750%, 03/26/2019		B1		5,001,091		5,058,403
Zayo Group LLC (Zayo Capital, Inc.), Senior Secured First Lien Term Loan, 4.500%, 07/02/2019		B2		10,488,770		10,609,758

						45,367,555


Transportation Cargo - 1.01%
Kenan Advantage Group, Inc., Senior Secured First Lien Term Loan, 3.750%, 06/13/2016		Ba3		8,680,556		8,767,361


Transportation Consumer - 3.43%
Air Medical Group Holdings, Inc., Senior Secured First Lien Term B-1 Loan, 6.500%, 06/30/2018		B2		5,353,043		5,486,870
Delta Airlines, Inc., Senior Secured First Lien 6 Year Term Loan, 5.250%, 10/18/2018		Ba2		10,000,000		10,181,250
Sabre, Inc., Senior Secured First Lien Term B Loan, 5.243%, 02/19/2019		B1		6,031,254		6,121,149
Travelport, Inc. (aka TDS Investors), Senior Secured First Lien Extended Delayed Draw Term Loan, 5.056%, 08/21/2015		B1		2,050,000		2,041,995
Travelport, Inc. (aka TDS Investors), Senior Secured First Lien Extended Tranche B Dollar Term Loan, 5.056%, 08/21/2015		B1		3,129,429		3,117,208
Travelport, Inc. (aka TDS Investors), Senior Secured Tranche S First Lien Term Loan, 5.034%, 08/21/2015		B1		1,509,932		1,504,036
United Airlines, Inc., Senior Secured First Lien Term B Loan, 4.250%, 04/01/2019		Ba3		1,254,400		1,269,559

						29,722,067


Utilities Electric - 1.10%
Calpine Corp., Senior Secured First Lien Term B3 Loan, 4.000%, 10/09/2019		B1		9,406,149		9,548,229


Wholesale - 0.74%
VWR International, Inc., Senior Secured First Lien Eur Term Loan, 4.369%, 04/03/2017		B1		4,987,500		6,405,267


TOTAL FLOATING RATE LOAN INTERESTS (Cost $927,331,037)						941,170,132


	Moody’s Rating		Principal Amount		Market Value

CONVERTIBLE CORPORATE BONDS - 0.23%
Semiconductors - 0.23%
Advanced Micro Devices, Inc., Senior Unsecured Bond, 6.000%, 05/01/2015^(b)(d)		NR		$2,000,000		$1,997,500


TOTAL CONVERTIBLE CORPORATE BONDS (Cost $1,959,703)						1,997,500


CORPORATE BONDS - 34.31%
Banking, Finance, and Real Estate - 0.96%
Felcor Lodging Trust, Inc., Senior Unsecured Bond, 5.625%, 03/01/2023^(b)		B2		4,000,000		4,085,000
Hub International, Ltd., Senior Unsecured Bond, 8.125%, 10/15/2018^(b)		Caa2		4,000,000		4,230,000

						8,315,000


Beverage, Food and Tobacco - 1.36%
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		1,576,875
Del Monte Foods Co., Senior Unsecured Bond, 7.625%, 01/15/2019		Caa1		5,000,000		5,212,500
Land O’ Lakes, Inc., Senior Unsecured Bond, 6.000%, 11/15/2022^(b)		Ba2		750,000		802,500
U.S. Foods, Inc., Senior Unsecured Bond, 8.500%, 06/30/2019^(b)		Caa2		2,500,000		2,665,625

						11,798,750


Capital Equipment - 0.15%
Bombardier, Inc., Senior Unsecured Bond, 6.125%, 01/15/2023^(b)		Ba2		750,000		781,875
Gibraltar Steel Corp., Senior Unsecured Bond, 6.250%, 02/01/2021^(b)		B2		500,000		532,500

						1,314,375


Chemicals, Plastics and Rubber - 0.53%
Nufarm Australia, Ltd., Senior Unsecured Bond, 6.375%, 10/15/2019^(b)		Ba3		3,000,000		3,090,000
PetroLogistics LP (PetroLogistics Finance Corp.), Senior Unsecured Bond, 6.250%, 04/01/2020^(b)		B2		1,000,000		1,011,250
U.S. Coatings Acquisition, Inc., Senior Unsecured Bond, 7.375%, 05/01/2021^(b)		Caa1		500,000		528,125

						4,629,375


Construction and Building - 0.18%
Zachry Holdings, Inc., Senior Unsecured Bond, 7.500%, 02/01/2020^(b)		B2		1,450,000		1,533,375

Consumer Goods Durable - 0.99%
Reynolds Group Holdings, Inc., Senior Unsecured Bond,
8.500%, 05/15/2018		Ba2		4,000,000		4,225,000
5.750%, 10/15/2020		Ba2		4,000,000		4,085,000
Spectrum Brands Escrow Corp. (f/k/a Reyovac), Senior Unsecured Bond, 6.625%, 11/15/2020^(b)		B3		250,000		271,875

						8,581,875


Consumer Goods Non Durable - 0.70%
Revlon Consumer Products Corp., Senior Unsecured Bond, 5.750%, 02/15/2021^(b)		B1		6,000,000		6,045,000


Energy Electricity - 1.12%
Advanced Micro Devices, Inc., Senior Unsecured Bond, 7.500%, 08/15/2022^(b)		B2		4,000,000		3,650,000
Amkor Technology, Inc., Senior Unsecured Bond, 6.375%, 10/01/2022		Ba3		4,000,000		4,010,000
NXP B.V. (NXP Fundings LLC), Senior Unsecured Bond, 5.750%, 03/15/2023^(b)		B3		2,000,000		2,045,000

						9,705,000


Energy, Oil and Gas - 7.17%
Alta Mesa Holdings LP, Senior Unsecured Bond, 9.625%, 10/15/2018		B3		8,000,000		8,480,000
Atlas Pipeline Partners LLC, Senior Unsecured Bond, 6.625%, 10/01/2020^(b)		B2		5,000,000		5,237,500
BreitBurn Energy Partners LP, Senior Unsecured Bond, 7.875%, 04/15/2022		B3		4,500,000		4,837,500
CVR Refining LLC / Coffeyville Finance, Inc., Senior Unsecured Bond, 6.500%, 11/01/2022^(b)		B2		5,000,000		5,137,500
Everest Acquisition LLC, Senior Unsecured Bond, 7.750%, 09/01/2022		Ba3		2,000,000		2,220,000
Forest Oil Corp., Senior Unsecured Bond, 7.500%, 09/15/2020^(b)		B2		4,000,000		4,240,000


	Moody’s Rating		Principal Amount		Market Value

Energy, Oil and Gas (continued)
Genesis Energy LP/Finance Corp., Senior Unsecured Bond, 5.750%, 02/15/2021^(b)		B1		$2,000,000		$2,068,750
Linn Energy LLC, Senior Unsecured Bond, 6.250%, 11/01/2019^(b)		B2		8,000,000		8,220,000
Resolute Energy Corp., Senior Unsecured Bond, 8.500%, 05/01/2020^(b)		B3		2,900,000		3,016,000
Samson Investment Co., Senior Unsecured Bond, 9.750%, 02/15/2020^(b)		B3		4,000,000		4,270,000
SandRidge Energy, Inc., Senior Unsecured Bond, 7.500%, 02/15/2023		B2		4,000,000		4,170,000
Sidewinder Drilling, Inc., Senior Unsecured Bond, 9.750%, 11/15/2019^(b)		B3		4,250,000		4,292,500
Vanguard Natural Resources LLC, Senior Unsecured Bond, 7.875%, 04/01/2020		Caa1		2,250,000		2,424,375
Western Refining, Inc., Senior Unsecured Bond, 6.250%, 04/01/2021^(b)		B2		3,500,000		3,583,125

						62,197,250


Healthcare and Pharmaceuticals - 1.01%
Amsurg Corp., Senior Unsecured Bond, 5.625%, 11/30/2020^(b)		Ba3		1,000,000		1,057,500
Aurora Diagnostics LLC, Senior Unsecured Bond, 10.750%, 01/15/2018		B3		2,000,000		1,590,000
Kinetic Concepts, Inc., Senior Unsecured Bond, 12.500%, 11/01/2019		Caa1		4,000,000		3,980,000
Valeant Pharmaceuticals, Inc., Senior Unsecured Bond, 6.375%, 10/15/2020^(b)		B1		2,000,000		2,117,500

						8,745,000


High Tech Industries - 3.57%
Allen Systems Group, Inc., Senior Secured Bond, 10.500%, 11/15/2016^(b)		Caa2		1,875,000		1,209,375
Brocade Communications Systems, Inc., Senior Unsecured Bond, 4.625%, 01/15/2023^(b)		B1		1,250,000		1,215,625
IMS Health, Inc., Senior Unsecured Bond, 6.000%, 11/01/2020^(b)		B3		2,600,000		2,717,000
MModal, Inc., Senior Unsecured Bond, 10.750%, 08/15/2020^(b)		Caa1		3,017,000		2,639,875
Mood Media Corp., Senior Unsecured Bond, 9.250%, 10/15/2020^(b)		B3		6,700,000		7,353,250
Sanmina-SCI Corp., Senior Unsecured Bond, 7.000%, 05/15/2019^(b)		B1		4,000,000		4,200,000
Southern Graphics, Inc., Senior Unsecured Bond, 8.375%, 10/15/2020^(b)		Caa1		1,000,000		1,040,000
Technicolor SA, Senior Unsecured Bond,
9.350%, 04/23/2016		B3		544,009		597,955
9.350%, 05/26/2017		B3		1,455,991		1,600,375
Viasystems, Inc., Senior Unsecured Bond, 7.875%, 05/01/2019^(b)		B2		8,002,000		8,402,100

						30,975,555


Hotels, Gaming and Leisure - 1.43%
NCL Corp., Ltd., Senior Unsecured Bond, 5.000%, 02/15/2018^(b)		B3		3,250,000		3,327,187
Sabre Holdings, Corp., Senior Unsecured Bond, 8.500%, 05/15/2019^(b)		B1		4,000,000		4,355,000
Six Flags Theme Parks, Inc., Senior Unsecured Bond, 5.250%, 01/15/2021^(b)		B3		3,250,000		3,262,188
Viking Cruises, Ltd., Senior Unsecured Bond, 8.500%, 10/15/2022^(b)		B3		1,350,000		1,491,750

						12,436,125


Media Diversified and Production - 3.42%
Cablevision Systems Corp., Senior Unsecured Bond, 5.875%, 09/15/2022		B1		4,000,000		3,975,000
CCO Holdings, Inc., Senior Unsecured Bond, 5.125%, 02/15/2023		B1		3,650,000		3,558,750
Cequel Communications LLC, Senior Unsecured Bond, 6.375%, 09/15/2020^(b)		B3		8,500,000		8,861,250
LIN Television Corp., Senior Unsecured Bond, 6.375%, 01/15/2021^(b)		B3		1,250,000		1,337,500
Mediacom Broadband Group (aka MCC Iowa), Senior Unsecured Bond, 6.375%, 04/01/2023^(b)		B3		2,225,000		2,319,563
Quebecor Media, Inc., Senior Unsecured Bond, 5.750%, 01/15/2023^(b)		B2		1,500,000		1,537,500
Sinclair Television Group, Inc., Senior Unsecured Bond, 6.125%, 10/01/2022^(b)		B2		3,500,000		3,683,750
Univision Communications, Inc., Senior Unsecured Bond, 6.750%, 09/15/2022^(b)		B2		4,000,000		4,340,000

						29,613,313


Metals and Mining - 0.62%
Prince Mineral Holding Corp., Senior Unsecured Bond, 11.500%, 12/15/2019^(b)		Caa1		1,000,000		1,122,500
Terex Corp., Senior Unsecured Bond, 6.000%, 05/15/2021		B3		4,000,000		4,230,000

						5,352,500


Retail - 1.90%
Logan’s Roadhouse, Inc., Senior Unsecured Bond, 10.750%, 10/15/2017		B3		2,494,000		2,344,360
Petco Holdings, Inc., Senior Unsecured Bond, 8.500%, 10/15/2017^(b)(c)		Caa1		2,300,000		2,383,375
Ruby Tuesday, Inc., Senior Unsecured Bond, 7.625%, 05/15/2020^(b)		B3		4,000,000		3,990,000
Serta Simmons Holdings LLC, Senior Unsecured Bond, 8.125%, 10/01/2020^(b)		Caa1		6,000,000		6,262,500


	Moody’s Rating		Principal Amount		Market Value

Retail (continued)
Wolverine World Wide, Inc., Senior Unsecured Bond, 6.125%, 10/15/2020^(b)		B2		$1,400,000		$1,492,750

						16,472,985


Services - Business - 2.37%
FTI Consulting, Inc., Senior Unsecured Bond, 6.000%, 11/15/2022^(b)		Ba2		1,800,000		1,912,500
Global A&T Electronics, Ltd., Senior Unsecured Bond, 10.000%, 02/01/2019^(b)		B1		4,000,000		4,320,000

Hertz Corp., Senior Unsecured Bond,
5.875%, 10/15/2020		B2		1,000,000		1,060,000
6.250%, 10/15/2022		B2		1,000,000		1,090,000
Neff Rental LLC, Senior Unsecured Bond, 9.625%, 05/15/2016^(b)		Caa1		6,408,000		6,840,540
NES Rentals Holdings, Inc., Senior Unsecured Bond, 12.250%, 04/15/2015^(b)		Caa2		5,000,000		5,312,500

						20,535,540


Telecommunications - 4.98%
Avaya, Inc., Senior Secured Bond, 7.000%, 04/01/2019^(b)		B1		4,000,000		3,930,000
Cincinnati Bell, Inc. (aka Broadwing, Inc.), Senior Unsecured Bond, 8.750%, 03/15/2018		B3		4,643,000		4,631,392
Crown Castle International Corp., Senior Unsecured Bond, 5.250%, 01/15/2023		B1		5,000,000		5,106,250
DigitalGlobe, Inc., Senior Unsecured Bond, 5.250%, 02/01/2021^(b)		B1		1,350,000		1,346,625
Fairpoint Communications, Inc., Senior Secured Bond, 8.750%, 08/15/2019^(b)		B2		3,000,000		2,925,000
Frontier Communications Corp., Senior Unsecured Bond, 7.125%, 01/15/2023		Ba2		4,000,000		4,065,000
GCI, Inc., Senior Unsecured Bond, 6.750%, 06/01/2021		B2		6,000,000		5,655,000
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		3,470,000
Sprint Nextel Corp., Senior Unsecured Bond, 6.000%, 11/15/2022		B3		4,750,000		4,904,375
Virgin Media Finance PLC, Senior Unsecured Bond,
5.375%, 04/15/2021^(b)		Ba3		1,500,000		1,567,500
6.375%, 04/15/2023^(b)		B2		500,000		526,250
Windstream Corp., Senior Unsecured Bond, 6.375%, 08/01/2023^(b)		Ba3		3,000,000		2,992,500

						43,162,392


Transportation Cargo - 0.87%
Gulfmark Offshore, Inc., Senior Unsecured Bond, 6.375%, 03/15/2022		B1		1,900,000		1,985,500
Kenan Advantage Group, Inc., Senior Unsecured Bond, 8.375%, 12/15/2018^(b)		B3		5,250,000		5,538,750

						7,524,250


Utilities Electric - 0.49%
NRG Energy, Inc., Senior Unsecured Bond, 6.625%, 03/15/2023^(b)		B1		4,000,000		4,260,000


Wholesale - 0.49%
VWR Funding, Inc. Senior Unsecured Bond, 7.250%, 09/15/2017^(b)		Caa1		4,000,000		4,255,000


TOTAL CORPORATE BONDS (Cost $289,545,002)						297,452,660


Total Investments - 143.09% (Cost $1,218,835,742)						1,240,620,292

Assets in Excess of Other Liabilities - 1.89%						16,371,978


Senior Secured Notes - (44.98)%						(390,000,000	)


Net Assets - 100.00%					$	866,992,270

Amounts above are shown as a percentage of net assets as of March 31, 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 $209,411,828, which represents approximately 24.15% of net assets as of March 31, 2013.

^(c)

Option to convert to pay-in-kind security.

^(d)

Security not rated by Moody’s.

See Notes to Quarterly Portfolio of Investments.

Blackstone / GSO Strategic Credit Fund

Notes to Quarterly Portfolio of Investments

March 31, 2013 (Unaudited)

NOTE 1. ORGANIZATION

Blackstone / GSO Strategic Credit Fund (the “Fund” or “BGB”) 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 Investment Company Act of 1940, as amended (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 GSO / Blackstone Debt Funds Management LLC (the “Adviser”) at a price of $19.10 per share. The Adviser serves as BGB’s investment adviser. BGB’s common shares are listed on the New York Stock Exchange (the “Exchange”) and trade under the ticker symbol “BGB.”

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.

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.

BGB is classified as “non-diversified” under the 1940 Act. As a result, it can invest a greater portion of its assets in obligations of a single issuer than a “diversified” fund. BGB may therefore be more susceptible than a diversified fund to being adversely affected by any single corporate, economic, political, or regulatory occurrence.

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The preparation of its 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: BGB’s net asset value (“NAV”) will be 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 Fund calculates NAV per share by subtracting liabilities (including accrued expenses or dividends) from the total assets (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 Fund.

Loans are primarily valued by using a composite loan price from a nationally recognized loan pricing service. The methodology used by BGB’s 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. 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 under procedures established by, and under the general supervision and responsibility of, the Fund’s Board of Trustees.

Various inputs are used to determine the value of BGB’s 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 Fund’s own assumption in determining the fair value of investments).

The valuation techniques used by the Fund to measure fair value during the period ended March 31, 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 instruments and does not necessarily correspond to BGB’s perceived risk of investing in those securities.

The following table summarizes the valuation of the BGB’s investments under the fair value hierarchy levels as of March 31, 2013:


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	$ –	$ 27,445,652	$ 6,058,900	$	33,504,552
Automotive	–	16,142,180	2,330,769		18,472,949
Beverage, Food and Tobacco	–	18,714,930	3,547,819		22,262,749
Capital Equipment	–	12,448,480	8,229,962		20,678,442
Chemicals, Plastics and Rubber	–	30,875,660	11,333,672		42,209,332
Construction and Building	–	2,916,462	13,074,587		15,991,049
Consumer Goods Non Durable	–	7,334,806	8,325,000		15,659,806
Containers, Packaging and Glass	–	27,457,211	4,307,964		31,765,175
Energy Electricity	–	10,215,101	5,640,494		15,855,595
Energy, Oil and Gas	–	43,679,759	5,798,014		49,477,773
Healthcare and Pharmaceuticals	–	97,024,400	9,012,379		106,036,779
High Tech Industries	–	98,673,183	24,129,000		122,802,183
Hotels, Gaming and Leisure	–	17,000,541	10,395,000		27,395,541
Media Advertising, Printing and Publishing	–	13,124,360	9,520,799		22,645,159
Services - Business	–	58,016,509	9,441,658		67,458,167
Services - Consumer	–	11,502,058	3,435,698		14,937,756
Transportation Cargo	–	–	8,767,361		8,767,361
Other	–	305,249,764	–		305,249,764
Corporate Bonds	–	297,452,660	–		297,452,660
Convertible Corporate Bonds	–	1,997,500	–		1,997,500
Total	$ –	$ 1,097,271,216	$ 143,349,076	$	1,240,620,292

The changes of the fair value of investments for which BGB has used Level 3 inputs to determine the fair value are as follows:

Investments

in Securities

at Value^

Balance as
of December

31, 2012

Accrued
Discount/

Premium

Realize

d gain/

(loss)

Change in
unrealized
appreciation/
(depreciation)

Net

purchases

Net sales
proceeds

Transfer in
and/or (out)
of Level 3*

Balance as
March 31,

2013

Net change

in unrealized
appreciation

/
(depreciatio

n)
attributable
to Level 3
investments
still held at
3/31/2013

Floating Rate Loan Interests

$101,343,064

$24,728

$391,425

$1,063,956

$42,345,565

$(19,330,666)

$17,511,004

$143,349,076

$2,449,295

Total

$101,343,064

$24,728

$391,425

$1,063,956

$42,345,565

$(19,330,666)

$17,511,004

$143,349,076

$2,449,295

Information about Level 3 fair value measurements as of March 31, 2013:

There were no transfers between Level 1 and 2 during the period. It is the Fund’s policy to recognize transfers into and out of all Levels at the end of the reporting period.

^For detailed descriptions of classifications, see the accompanying Portfolio of Investments.

*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. Transferred from Level 3 to Level 2 as observable inputs are available for purposes of valuing those assets.

Securities Transactions and Investment Income: Securities transactions are recorded on trade date for financial reporting purposes. 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.

NOTE 3. Senior Secured LOANS

BGB will seek to achieve its investment objectives by investing primarily in U.S. corporate fixed income instruments, including Loans and high yield corporate bond of varying maturities. Under normal market conditions, at least 80% of BGB’s Managed Assets (as defined below) will be invested in credit investments comprised of corporate fixed income instruments and other investments (including derivatives) with similar economic characteristics. BGB defines Managed Assets as net assets plus any borrowing for investment purposes. At March 31, 2013, 98.72% of BGB’s Managed Assets were held in corporate fixed income instruments and Loans.

First lien secured loans hold a senior position in the capital structure of a business entity, are typically secured with specific collateral and typically 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 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 the Fund. Risk of loss of income is generally higher for 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 collateral 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 March 31, 2013, BGB had invested $53,169,234 in second lien secured loans.

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. BGB typically invests in Loans rated below investment grade, which are considered speculative because of the credit risk of their issuers. Such companies are more likely than investment grade issuers to default on their payments of interest and principal owed to 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.

BGB may acquire Loans through assignments or participations. BGB typically acquires these Loans through assignment, and if it acquires a Loan through participation, will 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 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 the atypical situation when BGB must acquire a Loan through a participation. The Adviser has established a risk and valuation committee that regularly reviews each broker-dealer counterparty for, among other things, its quality and the quality of its execution.

NOTE 4. UNREALIZED APPRECIATION/ (DEPRECIATION)

On March 31, 2013, based on cost of $1,218,835,742 for federal income tax purposes, aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $24,391,747 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,607,197, resulting in net unrealized depreciation of $21,784,550.

Item 2. 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 based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this Report.

(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 Registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 3. Exhibits.

Separate certifications for the Registrant’s principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached as Exhibit 99.CERT.

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 Strategic Credit Fund

By:		/s/ Daniel H. Smith, Jr.
		Daniel H. Smith, Jr. (Principal Executive Officer)
		Chairman, Chief Executive Officer and President

Date:		May 30, 2013

By:		/s/ Eric Rosenberg
		Eric Rosenberg (Principal Financial Officer)
		Treasurer and Chief Financial Officer

Date:		May 30, 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.


By:		/s/ Daniel H. Smith, Jr.
		Daniel H. Smith, Jr. (Principal Executive Officer)
		Chairman, Chief Executive Officer and President

Date:		May 30, 2013

By:		/s/ Eric Rosenberg
		Eric Rosenberg (Principal Financial Officer)
		Treasurer and Chief Financial Officer

Date:		May 30, 2013