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, 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:  September 30, 2015


Item 1. Schedule of Investments.
 
Blackstone / GSO Strategic Credit Fund

Portfolio of Investments
September 30, 2015 (Unaudited)

   
Principal
     
   
Amount
   
Market Value
 
     
FLOATING RATE LOAN INTERESTS(a) - 99.70%
 
Aerospace and Defense - 3.52%
 
Camp International Holding Company, Senior Secured First Lien 2013 Replacement Term Loan, 4.750%, 05/31/2019
 
$
5,331,171
   
$
5,302,303
 
Camp International Holding Company, Senior Secured Second Lien 2013 Replacement Term Loan, 8.250%, 12/02/2019
   
5,468,523
     
5,437,762
 
Landmark Aviation FBO Canada Inc, Senior Secured First Lien 2013 Specified Refinancing Canadian Term Loan, 4.750%, 10/25/2019
   
234,574
     
233,622
 
LM US Member LLC, Senior Secured First Lien 2013 Specified Refinancing US Term Loan, 4.750%, 10/25/2019
   
5,910,499
     
5,886,503
 
LM US Member LLC, Senior Secured Second Lien 2014 Specified Refinancing Term Loan, 8.250%, 01/25/2021
   
7,000,000
     
6,978,125
 
TurboCombustor Technology Inc, Senior Secured First Lien Initial Term Loan, 5.500%, 12/02/2020
   
2,763,281
     
2,694,199
 
             
26,532,514
 
                 
Automotive - 1.70%
 
American Tire Distributors Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 09/01/2021
   
1,798,437
     
1,804,426
 
Dealer Tire LLC, Senior Secured First Lien Initial Term Loan, 5.500%, 12/22/2021
   
4,464,803
     
4,501,102
 
Mitchell International Inc, Senior Secured Second Lien Term Loan, 8.500%, 10/11/2021
   
6,559,757
     
6,554,312
 
             
12,859,840
 
                 
Banking, Finance, Insurance and Real Estate - 4.18%
 
Acrisure LLC, Senior Secured First Lien Term B Loan, 5.250%, 05/19/2022
   
1,620,000
     
1,575,450
 
AmWins Group LLC, Senior Secured First Lien New Term Loan, 5.250%, 09/06/2019
   
2,659,973
     
2,674,363
 
AssuredPartners Capital Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 04/02/2021
   
2,596,734
     
2,598,357
 
AssuredPartners Capital Inc, Senior Secured Second Lien Initial Term Loan, 7.750%, 04/04/2022
   
1,995,000
     
2,017,444
 
Asurion LLC, Senior Secured First Lien Incremental Tranche B-1 Term Loan, 5.000%, 05/24/2019
   
3,765,017
     
3,601,239
 
Asurion LLC, Senior Secured Second Lien Term Loan, 8.500%, 03/03/2021
   
2,763,158
     
2,504,112
 
Confie Seguros Holding II Co, Senior Secured First Lien Term B Loan, 5.750%, 11/09/2018
   
2,017,273
     
2,022,316
 
Cunningham Lindsey US Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 12/10/2019
   
8,933,454
     
7,370,100
 
Opal Acquisition Inc, Senior Secured First Lien Term B Loan, 5.000%, 11/27/2020
   
4,249,395
     
4,173,968
 
Victory Capital Operating LLC, Senior Secured First Lien Initial Term Loan, 7.000%, 10/29/2021
   
3,102,041
     
3,024,490
 
             
31,561,839
 
                 
Beverage, Food and Tobacco - 4.07%
 
AdvancePierre Foods Inc, Senior Secured Second Lien Term Loan, 9.500%, 10/10/2017
   
7,344,444
     
7,353,625
 
CEC Entertainment Inc, Senior Secured First Lien Term B Loan, 4.000%, 02/15/2021
   
9,714,958
     
9,488,259
 
Fairway Group Acquisition Company, Senior Secured First Lien Term Loan, 5.000%, 08/17/2018
   
3,395,241
     
3,072,693
 
Performance Food Group Inc, Senior Secured First Lien Initial Term Loan, 6.250%, 11/14/2019
   
2,939,850
     
2,949,639
 
RGIS Services LLC, Senior Secured First Lien Extended Maturity Term Loan, 5.500%, 10/18/2017
   
2,931,646
     
2,638,481
 
Supervalu Inc, Senior Secured First Lien New Term Loan, 4.500%, 03/21/2019
   
2,892,564
     
2,900,519
 
Winebow Holdings Inc, Senior Secured Second Lien Initial Term Loan, 8.500%, 12/31/2021
   
2,387,283
     
2,303,728
 
             
30,706,944
 
                 
Capital Equipment - 0.88%
 
Sensus USA Inc, Senior Secured Second Lien Term Loan, 8.500%, 05/09/2018
   
6,450,000
     
6,417,750
 
Unifrax I LLC, Senior Secured First Lien New Term Dollar Loan, 4.250%, 11/28/2018
   
239,776
     
238,577
 
             
6,656,327
 


   
Principal
     
   
Amount
   
Market Value
 
     
Chemicals, Plastics and Rubber - 3.14%
 
Emerald Performance Materials LLC, Senior Secured First Lien Initial Term Loan, 4.500%, 08/02/2021
 
$
1,800,000
   
$
1,793,817
 
Pinnacle Operating Corporation, Senior Secured First Lien Term B Refinancing Loan, 4.750%, 11/15/2018
   
10,817,478
     
10,749,868
 
Royal Holdings Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 06/20/2022
   
3,759,422
     
3,750,494
 
Tekni-Plex Inc, Senior Secured First Lien Tranche B-1 Term Loan, 4.500%, 06/01/2022
   
2,230,435
     
2,227,089
 
Tekni-Plex Inc, Senior Seucred Second Lien Initial Term Loan, 8.750%, 06/01/2023
   
5,192,308
     
5,192,308
 
             
23,713,576
 
                 
Construction and Building - 5.23%
 
Atkore International Inc, Senior Secured First Lien Term Loan, 4.500%, 04/09/2021
   
4,147,500
     
3,971,231
 
Builders FirstSource Inc, Senior Secured First Lien Initial Term Loan, 6.000%, 07/22/2022
   
3,302,752
     
3,281,598
 
C.H.I. Overhead Doors Inc, Senior Secured Second Lien Initial Term Loan, 8.750%, 07/28/2023
   
7,368,421
     
7,331,579
 
Jeld-Wen Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 10/15/2021
   
3,970,000
     
3,970,000
 
Jeld-Wen Inc, Senior Secured First Lien Term B-1 Loan, 5.000%, 07/01/2022
   
2,873,563
     
2,869,986
 
Priso Acquisition Corporation, Senior Secured First Lien Initial Term Loan, 4.500%, 05/09/2022
   
4,137,973
     
4,101,766
 
SRS Distribution Inc, Senior Secured First Lien Tranche B-1 Loan, 5.250%, 08/25/2022
   
3,338,674
     
3,337,271
 
Stardust Finance Holdings Inc, Senior Secured First Lien Term Loan, 6.500%, 03/14/2022
   
5,000,733
     
4,966,353
 
US LBM Holdings LLC, Senior Secured First Lien Initial Term Loan, 6.250%, 08/20/2022
   
5,769,231
     
5,646,634
 
             
39,476,418
 
                 
Consumer Goods Durable - 1.48%
 
Apex Tool Group LLC, Senior Secured First Lien Term Loan, 4.500%, 01/31/2020
   
1,735,437
     
1,694,949
 
Hercules Achievement Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 12/13/2021
   
4,962,500
     
4,986,072
 
MModal LLC, Senior Secured First Lien Term B Loan, 9.000%, 01/31/2020
   
4,859,375
     
4,503,012
 
             
11,184,033
 
                 
Consumer Goods Non Durable - 1.99%
 
Acosta Inc, Senior Secured First Lien Tranche B-1 Loan, 4.250%, 09/27/2021
   
2,753,792
     
2,716,795
 
FGI Operating Company LLC, Senior Secured First Lien Term B Loan, 5.500%, 04/19/2019
   
1,949,793
     
1,771,874
 
Inmar Inc, Senior Secured Second Lien Initial Term Loan, 8.000%, 01/27/2022
   
9,034,198
     
8,861,058
 
Reddy Ice Corporation, Senior Secured First Lien Term B Loan, 6.750%, 05/01/2019
   
1,954,887
     
1,632,331
 
             
14,982,058
 
                 
Containers, Packaging and Glass - 3.00%
 
Berlin Packaging LLC, Senior Secured Second Lien Initial Term Loan, 7.750%, 10/03/2022
   
428,571
     
421,877
 
Charter Nex US Holdings Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 02/07/2022
   
1,008,486
     
1,017,300
 
Hilex Poly Co LLC, Senior Secured First Lien Term Loan, 6.000%, 12/06/2021
   
5,306,667
     
5,302,262
 
Hilex Poly Co LLC, Senior Secured Second Lien Term Loan, L+8.75%, 06/06/2022(b)
   
3,789,078
     
3,779,606
 
Multi Packaging Solutions Inc, Senior Secured First Lien Initial Dollar Tranche B Term Loan, 4.250%, 09/30/2020
   
10,138,835
     
10,083,071
 
Pelican Products Inc, Senior Secured First Lien New Term Loan, 5.250%, 04/10/2020
   
742,285
     
743,213
 
Pelican Products Inc, Senior Secured Second Lien Term Loan, 9.250%, 04/09/2021
   
1,312,500
     
1,305,938
 
             
22,653,267
 
                 
Energy, Oil and Gas - 7.25%
 
American Energy Marcellus LLC, Senior Secured First Lien Term Loan, 5.250%, 08/04/2020
   
7,407,407
     
4,277,778
 
Blackbrush Oil & Gas LP, Senior Secured Second Lien Term Loan, 7.500%, 07/30/2021
   
6,212,389
     
5,285,687
 
Brock Holdings III Inc, Senior Secured Second Lien Initial Term Loan, 10.000%, 03/16/2018
   
3,833,333
     
3,593,749
 
Chief Exploration & Development LLC, Senior Secured Second Lien Term Loan, 7.500%, 05/17/2021
   
752,941
     
624,941
 
CITGO Holding Inc, Senior Secured First Lien Term Loan, 9.500%, 05/12/2018
   
7,451,148
     
7,358,046
 
Crestwood Holdings LLC, Senior Secured First Lien Tranche B-1 Term Loan, 7.000%, 06/19/2019
   
5,235,473
     
4,685,748
 
Drillships Ocean Ventures Inc, Senior Secured First Lien Term Loan, 5.500%, 07/26/2021
   
3,324,627
     
2,235,812
 
EMG Utica LLC, Senior Secured First Lien Term Loan, 4.750%, 03/27/2020
   
1,632,256
     
1,550,643
 
Expro Finservices SARL, Senior Secured First Lien Initial Term Loan, 5.750%, 09/2/2021
   
1,598,825
     
1,303,706
 
Jonah Energy Inc, Senior Secured Second Lien Initial Term Loan, 7.500%, 05/12/2021
   
7,246,575
     
5,869,726
 


   
Principal
     
   
Amount
   
Market Value
 
     
Energy, Oil and Gas (continued)
 
Penn Products Terminals LLC, Senior Secured First Lien Tranche B Term Loan, 4.750%, 04/13/2022
 
$
2,985,000
   
$
2,947,688
 
Sheridan Investment Partners I LLC, Senior Secured First Lien Tranche B-2 Term Loan, 4.250%, 10/01/2019
   
5,581,217
     
4,185,913
 
Sheridan Production Partners I-A LP, Senior Secured First Lien Tranche B-2 Term Loan, 4.250%, 10/01/2019
   
739,557
     
554,668
 
Sheridan Production Partners I-M LP, Senior Secured First Lien Tranche B-2 Term Loan, 4.250%, 10/01/2019
   
451,726
     
338,794
 
Templar Energy LLC, Senior Secured Second Lien Term Loan, 8.500%, 11/25/2020
   
8,146,154
     
3,699,739
 
Utex Industries Inc, Senior Secured Second Lien New Term Loan, 8.250%, 05/23/2022
   
3,181,818
     
2,571,959
 
W3 Co, Senior Secured First Lien Term Loan, 5.750%, 03/13/2020
   
1,090,062
     
928,368
 
W3 Co, Senior Secured Second Lien Term Loan, 9.250%, 09/14/2020
   
3,385,430
     
2,680,126
 
             
54,693,091
 
                 
Environmental Industries - 0.74%
 
EnergySolutions LLC, Senior Secured First Lien Advance Term Loan, 6.750%, 05/29/2020
   
2,728,312
     
2,687,387
 
Infiltrator Water Technologies LLC, Senior Secured First Lien Term B Loan, 5.250%, 05/27/2022
   
1,710,000
     
1,711,428
 
Wastequip LLC, Senior Secured First Lien Term Loan, 5.500%, 08/09/2019
   
1,190,000
     
1,189,500
 
             
5,588,315
 
                 
Forest Products and Paper - 0.07%
 
W/S Packaging Group Inc, Senior Secured First Lien Term Loan, 5.000%, 08/09/2019
   
587,680
     
557,561
 
                 
Healthcare and Pharmaceuticals - 5.99%
 
Accellent Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 03/12/2021
   
3,003,049
     
3,003,049
 
Alvogen Pharma US Inc, Senior Secured First Lien Term Loan, 6.000%, 04/01/2022
   
5,899,217
     
5,884,469
 
CT Technologies Intermediate Holdings Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 12/01/2021
   
1,422,601
     
1,420,233
 
Genoa a QoL Healthcare Company LLC, Senior Secured First Lien Initial Term Loan, 4.500%, 04/29/2022
   
1,033,381
     
1,032,095
 
Medpace Holdings Inc, Senior Secured First Lien Initial Term Loan, 4.750%, 04/01/2021
   
1,301,377
     
1,297,310
 
National Mentor Holdings Inc, Senior Secured First Lien Initial Tranche B Term Loan, 4.250%, 01/29/2021
   
3,572,539
     
3,550,210
 
Onex Carestream Finance LP, Senior Secured Second Lien Term Loan, 9.500%, 12/09/2019
   
9,413,379
     
9,119,211
 
Onex Schumacher Finance LP, Senior Secured First Lien Term Loan, L+3.50%, 08/01/2022(b)
   
2,157,303
     
2,151,910
 
Physio-Control International Inc, Senior Secured First Lien Initial Term Loan, 5.500%, 06/06/2022
   
4,518,828
     
4,496,257
 
Progressive Solutions LLC, Senior Secured First Lien Initial Term Loan, 5.500%, 10/22/2020
   
2,286,735
     
2,298,180
 
Progressive Solutions LLC, Senior Secured Second Lien Initial Term Loan, 9.500%, 10/22/2021
   
4,187,374
     
4,169,054
 
Sage Products Holdings III LLC, Senior Secured Second Lien Initial Term Loan, 9.250%, 06/15/2020
   
754,717
     
759,434
 
Smile Brands Group Inc, Senior Secured First Lien Term B Loan, 8.500%, 08/16/2019
   
4,077,520
     
2,869,555
 
Surgery Center Holdings Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 11/03/2020
   
3,112,841
     
3,117,214
 
             
45,168,181
 
                 
High Tech Industries - 21.61%
 
Ascend Learning LLC, Senior Secured First Lien Term Loan, 5.500%, 07/31/2019
   
931,082
     
931,780
 
Ascend Learning LLC, Senior Secured Second Lien Term Loan, 9.500%, 11/30/2020
   
1,030,303
     
1,024,724
 
Aspect Software Inc, Senior Secured First Lien Tranche B Non-PIK Term Loan, 7.500%, 05/09/2016
   
15,671,411
     
15,357,983
 
Blackboard Inc, Senior Secured First Lien Term B-3 Loan, 4.750%, 10/04/2018
   
10,329,696
     
10,293,490
 
Blue Coat Holdings Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 05/20/2022
   
5,341,246
     
5,304,525
 
BMC Software Finance Inc, Senior Secured First Lien Initial US Term Loan, 5.000%, 09/10/2020
   
2,044,350
     
1,864,958
 
Compuware Corporation, Senior Secured First Lien Tranche B-2 Term Loan, 6.250%, 12/15/2021
   
3,970,000
     
3,836,012
 
Compuware Corporation, Senior Secured Second Lien Term Loan, 9.250%, 12/15/2022
   
4,000,000
     
3,620,000
 
Epicor Software Corporation, Senior Secured First Lien Term B Loan, 4.750%, 06/01/2022
   
5,711,176
     
5,682,621
 
EZE Software Group LLC, Senior Secured Second Lien Term Loan, 7.250%, 04/05/2021
   
2,956,466
     
2,922,585
 
Flexera Software LLC, Senior Secured Second Lien Term Loan, 8.000%, 04/02/2021
   
2,000,000
     
1,977,500
 
Hyland Software Inc, Senior Secured Second Lien Term Loan, 8.250%, 07/03/2023
   
2,524,544
     
2,513,499
 


   
Principal
     
   
Amount
   
Market Value
 
     
High Tech Industries (continued)
 
Informatica Corp, Senior Secured First Lien Dollar Term Loan, 4.500%, 08/05/2022
 
$
4,936,709
   
$
4,914,741
 
Kronos Incorporated, Senior Secured Second Lien Initial Term Loan, 9.750%, 04/30/2020
   
14,346,991
     
14,651,937
 
Landslide Holdings Inc, Senior Secured First Lien Term Loan, 5.000%, 02/25/2020
   
5,422,615
     
5,418,087
 
MA FinanceCo LLC, Senior Secured First Lien Initial Tranche B Term Loan, 5.250%, 11/19/2021
   
5,258,252
     
5,263,194
 
MSC Software Corporation, Senior Secured Second Lien Term Loan, 8.500%, 05/31/2021
   
4,095,833
     
3,983,198
 
P2 Upstream Acquisition Co, Senior Secured First Lien Term Loan, 5.000%, 10/30/2020
   
4,210,714
     
4,147,554
 
Peak 10 Inc, Senior Secured First Lien Term Loan, 5.000%, 06/17/2021
   
2,449,000
     
2,445,927
 
Peak 10 Inc, Senior Secured Second Lien Initial Term Loan, 8.250%, 06/17/2022
   
4,750,000
     
4,536,250
 
ProQuest LLC, Senior Secured First Lien Initial Term Loan, 5.250%, 10/24/2021
   
2,381,971
     
2,387,926
 
Rocket Software Inc, Senior Secured First Lien Term Loan, 5.750%, 02/08/2018
   
2,775,058
     
2,784,896
 
Serena Software Inc, Senior Secured First Lien Term Loan, 7.500%, 04/14/2020
   
950,000
     
949,406
 
Ship Luxco 3 Sarl - WorldPay US Finance LLC, Senior Secured First Lien Facility B2A-II Term Loan, 5.250%, 11/29/2019
   
1,011,411
     
1,016,155
 
Sirius Computer Solutions Inc, Senior Secured First Lien Term Loan, 6.250%, 12/07/2018
   
3,673,419
     
3,678,010
 
Sophia LP, Senior Secured First Lien Term B Loan, L+3.75%, 09/16/2022(b)
   
10,106,145
     
10,098,262
 
Sungard Availability Services Capital Inc, Senior Secured First Lien Tranche B Term Loan, 6.000%, 03/29/2019
   
889,353
     
759,285
 
Tech Finance & Co SCA, Senior Secured First Lien US Term Loan, 5.000%, 07/13/2020
   
8,852,405
     
8,837,666
 
Telx Group Inc (The), Senior Secured First Lien Initial Term Loan, 4.500%, 04/09/2020
   
5,925,000
     
5,917,594
 
TIBCO Software Inc, Senior Secured First Lien Term Loan, 6.500%, 12/04/2020
   
5,187,772
     
5,148,864
 
TTM Technologies Inc, Senior Secured First Lien Term B Loan, 6.000%, 05/31/2021
   
12,223,350
     
11,428,832
 
Vertafore Inc, Senior Secured Second Lien Term Loan, 9.750%, 10/27/2017
   
9,250,000
     
9,325,156
 
             
163,022,617
 
                 
Hotels, Gaming and Leisure - 3.08%
 
Alpha Topco Limited - Delta 2 (Lux) Sarl, Senior Secured First Lien Facilitiy B3 (USD) Term Loan, 4.750%, 07/30/2021
   
2,373,451
     
2,335,630
 
Alpha Topco Limited - Delta 2 (Lux) Sarl, Senior Secured Second Lien Term Loan, 7.750%, 07/29/2022
   
4,000,000
     
3,863,340
 
Caesars Entertainment Resort Properties LLC, Senior Secured First Lien Term B Loan, 7.000%, 10/11/2020
   
7,411,411
     
6,942,898
 
Corner Investment Propco LLC, Senior Secured First Lien Term B Loan, 11.000%, 11/04/2019
   
2,886,863
     
2,843,560
 
Scientific Games International Inc, Senior Secured First Lien B-2 Term Loan, 6.000%, 10/01/2021
   
7,339,496
     
7,258,064
 
             
23,243,492
 
                 
Media Advertising, Printing and Publishing - 0.26%
 
Penton Media Inc, Senior Secured First Lien B-1 Term Loan, 5.000%, 10/03/2019
   
1,990,362
     
1,986,640
 
                 
Media Broadcasting and Subscription - 2.59%
 
Clear Channel Communications, Senior Secured First Lien Tranche D Term Loan, 6.944%, 01/30/2019
   
7,291,667
     
6,066,885
 
Clear Channel Communications, Senior Secured First Lien Tranche E Term Loan, 7.694%, 07/30/2019
   
2,708,333
     
2,268,229
 
Cumulus Media Holdings Inc, Senior Secured First Lien Term Loan, 4.250%, 12/23/2020
   
3,535,520
     
2,987,515
 
Neptune Finco Corp, Senior Secured First Lien Term B Loan, L+4.00%, 09/23/2022(b)
   
8,219,178
     
8,184,247
 
             
19,506,876
 
                 
Metals and Mining - 1.54%
 
Arch Coal Inc, Senior Secured First Lien Term Loan, 6.250%, 05/16/2018
   
5,923,644
     
3,383,052
 
McJunkin Red Man Corporation, Senior Secured First Lien 2013 Term Loan, 4.750%, 11/08/2019
   
3,477,457
     
3,405,022
 
Murray Energy Corporation, Senior Secured First Lien Term B-1 Loan, 7.000%, 04/17/2017
   
1,841,538
     
1,638,969
 
Murray Energy Corporation, Senior Secured First Lien Term B-2 Loan, 7.500%, 04/16/2020
   
4,127,586
     
3,225,255
 
             
11,652,298
 
                 
Retail - 6.30%
 
Albertson's LLC, Senior Secured First Lien Term B-2 Loan, 5.375%, 03/21/2019
   
2,680,598
     
2,684,310
 
Albertson's LLC, Senior Secured First Lien Term B-4 Loan, 5.500%, 08/25/2021
   
3,970,708
     
3,976,604
 
Ascena Retail Group Inc, Senior Secured First Lien Term B Loan, 5.250%, 08/19/2022
   
6,929,348
     
6,660,836
 
DBP Holding Corp, Senior Secured First Lien Initial Term Loan, 5.250%, 10/11/2019
   
5,937,368
     
5,205,083
 


   
Principal
     
   
Amount
   
Market Value
 
     
Retail (continued)
 
Jill Acquisition LLC, Senior Secured First Lien Initial Term Loan, 6.000%, 05/09/2022
 
$
3,859,459
   
$
3,849,811
 
Neiman Marcus Group Ltd LLC, Senior Secured First Lien Other Term Loan, 4.250%, 10/26/2020
   
3,486,423
     
3,418,874
 
New Albertson's Inc, Senior Secured First Lien Term B Loan, 4.750%, 06/28/2021
   
5,990,485
     
5,991,234
 
Nine West Holdings Inc, Senior Secured First Lien Initial Term Loan, 4.750%, 10/08/2019
   
4,944,925
     
4,079,563
 
Payless Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 03/11/2021
   
6,614,612
     
5,291,689
 
Payless Inc, Senior Secured Second Lien Initial Term Loan, 8.500%, 03/11/2022
   
1,845,543
     
1,476,434
 
Pier 1 Imports (US) Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 04/30/2021
   
2,057,292
     
2,000,716
 
Sports Authority (The), Senior Secured First Lien Term B Loan, 7.500%, 11/16/2017
   
3,755,182
     
2,882,103
 
             
47,517,257
 
                 
Services - Business - 9.31%
 
Crossmark Holdings Inc, Senior Secured First Lien Term Loan, 4.500%, 12/20/2019
   
7,985,078
     
7,050,824
 
Crossmark Holdings Inc, Senior Secured Second Lien Term Loan, 8.750%, 12/21/2020
   
4,000,000
     
3,140,000
 
eResearch Technology Inc, Senior Secured First Lien Term Loan, 5.500%, 05/08/2022
   
5,320,000
     
5,307,525
 
FHC Health Systems Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 12/23/2021
   
5,682,230
     
5,614,782
 
FR Dixie Acquisition Corp, Senior Secured First Lien Initial Term Loan, 5.750%, 12/18/2020
   
5,171,053
     
4,085,132
 
Neff Rental LLC, Senior Secured Second Lien Closing Date Term Loan, 7.250%, 06/09/2021
   
6,112,791
     
5,746,024
 
Packaging Coordinators Inc, Senior Secured First Lien Term B Loan, 5.250%, 08/02/2021
   
4,636,098
     
4,615,838
 
Sedgwick Claims Management Services Inc, Senior Secured Second Lien Incremental Term Loan, 6.750%, 02/28/2022
   
8,481,132
     
8,035,873
 
Sedgwick Claims Management Services Inc, Senior Secured Second Lien Initial Term Loan, 6.750%, 02/28/2022
   
2,545,455
     
2,411,818
 
SurveyMonkey.com LLC, Senior Secured First Lien Term Loan, 6.250%, 02/07/2019
   
5,477,190
     
5,353,953
 
Transaction Network Services, Senior Secured First Lien Initial Term Loan, 5.000%, 02/14/2020
   
2,863,058
     
2,865,749
 
Transaction Network Services, Senior Secured Second Lien Initial Term Loan, 9.000%, 08/14/2020
   
5,189,527
     
5,146,298
 
TravelCLICK Inc, Senior Secured Second Lien Initial Term Loan, 8.750%, 11/08/2021
   
7,750,000
     
7,643,438
 
Truven Health Analytics Inc, Senior Secured First Lien New Tranche B Term Loan, 4.500%, 06/06/2019
   
3,221,010
     
3,200,879
 
             
70,218,133
 
                 
Services - Consumer - 1.90%
 
California Pizza Kitchen Inc, Senior Secured First Lien Term Loan 5.250%, 03/29/2018
   
4,591,440
     
4,528,307
 
Monitronics International Inc, Senior Secured First Lien Term B-1 Loan, 4.500%, 04/11/2022
   
3,438,512
     
3,426,701
 
Nord Anglia Education Finance LLC, Senior Secured First Lien Initial Term Loan, 4.500%, 03/31/2021
   
2,816,399
     
2,772,407
 
NVA Holdings Inc, Senior Secured First Lien Delayed Draw Term Loan, 1.875%, 08/14/2021
   
63,689
     
63,756
 
NVA Holdings Inc, Senior Secured Second Lien Term Loan, 8.000%, 08/14/2022
   
826,001
     
820,838
 
Renaissance Learning Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 04/09/2021
   
2,764,912
     
2,691,186
 
             
14,303,195
 
                 
Telecommunications - 2.00%
 
ConvergeOne Holdings Corporation, Senior Secured First Lien Initial Term Loan, 6.000%, 06/17/2020
   
3,568,829
     
3,548,755
 
Fairpoint Communications Inc, Senior Secured First Lien Term Loan, 7.500%, 02/14/2019
   
4,131,502
     
4,157,757
 
IPC Corp, Senior Secured First Lien Term B-1 Loan, 5.500%, 08/06/2021
   
5,723,227
     
5,670,745
 
Nextgen Finance LLC, Senior Secured First Lien Term B Loan, 5.000%, 05/31/2021
   
1,980,000
     
1,722,600
 
             
15,099,857
 
                 
Transportation Cargo - 0.72%
 
Navistar International Corporation, Senior Secured First Lien Tranche B Term Loan, 6.500%, 08/06/2020
   
5,571,429
     
5,455,348
 
                 
Transportation Consumer - 1.03%
 
Lineage Logistics LLC, Senior Secured First Lien Term Loan, 4.500%, 04/07/2021
   
8,045,898
     
7,794,464
 
                 
Utilities Electric - 6.12%
 
Atlantic Power Limited Partnership, Senior Secured First Lien Term Loan, 4.750%, 02/24/2021
   
458,894
     
457,173
 


   
Principal
     
   
Amount
   
Market Value
 
     
Utilities Electric (continued)
 
Chief Power Finance LLC, Senior Secured First Lien Term B Advance Loan, 5.750%, 12/31/2020
 
$
4,903,989
   
$
4,903,989
 
Exgen Texas Power LLC, Senior Secured First Lien Term Loan, L+4.75%, 09/20/2021(b)
   
6,339,072
     
5,348,592
 
Granite Acquisition Inc, Senior Secured Second Lien Term B Loan, 8.250%, 12/19/2022
   
3,383,459
     
3,159,305
 
Moxie Patriot LLC, Senior Secured First Lien Construction B-1 Facility Term Loan, 6.750%, 12/18/2020
   
462,963
     
442,130
 
Panda Liberty LLC, Senior Secured First Lien Construction B-1 Facility Term Loan, 7.500%, 08/21/2020
   
6,941,176
     
6,663,529
 
Panda Sherman Power LLC, Senior Secured First Lien Term Loan, 9.000%, 09/14/2018
   
4,218,055
     
3,859,520
 
Panda Temple Power II LLC, Senior Secured First Lien Construction Term Loan, 7.250%, 04/03/2019
   
10,045,455
     
9,040,909
 
Pike Corporation, Senior Secured First Lien Initial Term Loan, 5.500%, 12/22/2021
   
2,352,621
     
2,358,503
 
Sandy Creek Energy Associates LP, Senior Secured First Lien Term Loan, 5.000%, 11/09/2020
   
8,453,143
     
7,481,031
 
TPF II Power LLC, Senior Secured First Lien Term Loan, 5.500%, 10/02/2021
   
2,437,637
     
2,440,440
 
             
46,155,121
 
                 
TOTAL FLOATING RATE LOAN INTERESTS
         
(Cost $790,057,319)
           
752,289,262
 
 
CORPORATE BONDS - 48.53%
 
Automotive - 0.87%
 
Omega US Sub LLC, Senior Unsecured Bond, 8.750%, 07/15/2023(c)
   
7,400,000
     
6,586,000
 
                 
Banking, Finance, Insurance and Real Estate - 4.94%
 
Fly Leasing Limited, Senior Unsecured Bonds, 6.375%, 10/15/2021
   
4,100,000
     
4,151,250
 
Hockey Merger Sub 2 Inc, Senior Unsecured Bond, 7.875%, 10/01/2021(c)
   
4,000,000
     
3,830,000
 
HUB Holdings LLC, Senior Unsecured Bond, 8.125%, 07/15/2019(c)(d)
   
8,100,000
     
7,857,000
 
National Financial Partners Corp, Senior Unsecured Bond, 9.000%, 07/15/2021(c)
   
8,750,000
     
8,476,563
 
Onex York Acquisition Co, Senior Unsecured Bond, 8.500%, 10/01/2022(c)
   
12,200,000
     
10,415,750
 
Opal Acquisition Inc, Senior Unsecured Bond, 8.875%, 12/15/2021(c)
   
2,685,000
     
2,537,325
 
             
37,267,888
 
                 
Beverage, Food and Tobacco - 2.58%
 
Alphabet Holding Co Inc, Senior Unsecured Bond, 7.750%, 11/01/2017(d)
   
1,328,000
     
1,294,800
 
Dole Food Co Inc, Senior Secured Bond, 7.250%, 05/01/2019(c)
   
2,500,000
     
2,500,000
 
P F Chang's China Bistro Inc, Senior Unsecured Bond, 10.250%, 06/30/2020(c)
   
13,415,000
     
13,113,162
 
US Foods Inc, Senior Unsecured Bond, 8.500%, 06/30/2019
   
2,500,000
     
2,593,750
 
             
19,501,712
 
                 
Capital Equipment - 1.30%
 
Hardwoods Acquisition Inc, Senior Secured Bond, 7.500%, 08/01/2021(c)
   
3,100,000
     
2,914,000
 
NWH Escrow Corp, Senior Secured Bond, 7.500%, 08/01/2021(c)
   
7,500,000
     
6,862,500
 
             
9,776,500
 
                 
Chemicals, Plastics and Rubber - 1.28%
 
Pinnacle Operating Corporation, Senior Secured Bond, 9.000%, 11/15/2020(c)
   
2,000,000
     
1,945,000
 
Sawgrass Merg Sub, Senior Secured Bond, 8.750%, 12/15/2020(c)
   
9,000,000
     
7,740,000
 
             
9,685,000
 
                 
Construction and Building - 3.90%
 
Builders FirstSource Inc, Senior Unsecured Bond, 10.750%, 08/15/2023(c)
   
15,000,000
     
15,056,250
 
PriSo Acq Corp / Bldng Pro, Senior Unsecured Bond, 9.000%, 05/15/2023(c)
   
12,000,000
     
11,700,000
 
Zachry Holdings Inc, Senior Unsecured Bond, 7.500%, 02/01/2020(c)
   
2,700,000
     
2,679,750
 
             
29,436,000
 
                 
Consumer Goods Durable - 1.00%
 
Hillman Group Inc (The), Senior Unsecured Bond, 6.375%, 07/15/2022(c)
   
1,300,000
     
1,202,500
 
Serta Simmons Holdings LLC, Senior Unsecured Bond, 8.125%, 10/01/2020(c)
   
6,000,000
     
6,322,500
 
             
7,525,000
 


   
Principal
     
   
Amount
   
Market Value
 
     
Consumer Goods Non Durable - 1.21%
 
Anna Merger Sub Inc, Senior Unsecured Bond, 7.750%, 10/01/2022(c)
 
$
6,575,000
   
$
6,196,937
 
Revlon Consumer Products Corporation, Senior Unsecured Bond, Series WI, 5.750%, 02/15/2021
   
3,000,000
     
2,925,000
 
             
9,121,937
 
                 
Containers, Packaging and Glass - 3.29%
 
Beverage Packaging Holdings Luxembourg II SA, Senior Unsecured Bond, 6.000%, 06/15/2017(c)
   
1,000,000
     
982,500
 
Bway Holding Company, Senior Unsecured Bond, 9.125%, 08/15/2021(c)
   
9,850,000
     
9,554,500
 
Coveris Holdings SA, Senior Unsecured Bond, 7.875%, 11/01/2019(c)
   
15,000,000
     
14,287,500
 
             
24,824,500
 
                 
Energy, Oil and Gas - 4.65%
 
Atlas EN Hldgs OP Co / ATL, Senior Unsecured Bond:
               
7.750%, 01/15/2021
   
2,550,000
     
1,083,750
 
9.250%, 08/15/2021
   
1,800,000
     
765,000
 
Calumet Specialty Prod, Senior Unsecured Bond, 7.750%, 04/15/2023(c)
   
6,600,000
     
6,092,592
 
Comstock Resources Inc, Senior Unsecured Bond, 7.750%, 04/01/2019
   
1,000,000
     
255,000
 
CSI Compressco LP / CSI Compressco Finance Inc, Senior Unsecured Bond, 7.250%, 08/15/2022
   
800,000
     
656,000
 
Genesis Energy LP, Senior Unsecured Bond, 6.750%, 08/01/2022
   
3,650,000
     
3,443,775
 
Jupiter Resources Inc, Senior Unsecured Bond, 8.500%, 10/01/2022(c)
   
8,000,000
     
4,540,000
 
Lightstream Resources, Senior Unsecured Bond, Series AI, 9.875%, 06/15/2019
   
7,808,742
     
6,754,562
 
NGL Energy Partners LP / Fin Corp, Senior Secured Bond, Series WI, 5.125%, 07/15/2019
   
2,200,000
     
2,013,000
 
Oneok Inc, Senior Unsecured Bond, 7.500%, 09/01/2023
   
2,500,000
     
2,414,050
 
Sanchez Energy Corp, Senior Unsecured Bond, 6.125%, 01/15/2023
   
2,800,000
     
1,890,000
 
SandRidge Energy Inc, Senior Secured Bond, 8.750%, 06/01/2020(c)
   
6,250,000
     
3,800,781
 
Talos Production LLC, Senior Unsecured Bond, 9.750%, 02/15/2018(c)
   
2,000,000
     
1,370,000
 
             
35,078,510
 
                 
Forest Products and Paper - 0.40%
 
Tembec Industries Inc, Senior Secured Bond, 9.000%, 12/15/2019(c)
   
3,961,000
     
2,990,555
 
                 
Healthcare and Pharmaceuticals - 0.88%
 
Aurora Diagnostics Holdings LLC, Senior Unsecured Bond, 10.750%, 01/15/2018
   
500,000
     
393,750
 
JLL / Delta Dutch Pledgeco BV, Senior Unsecured Bond, 8.750%, 05/01/2020(c)(d)
   
6,200,000
     
6,254,250
 
             
6,648,000
 
                 
High Tech Industries - 0.92%
 
BMC Software Inc, Senior Unsecured Bond, 7.250%, 06/01/2018
   
5,330,000
     
4,816,988
 
Boxer Parent Co Inc, Senior Unsecured Bond, 9.000%, 10/15/2019(c)(d)
   
3,000,000
     
2,141,250
 
             
6,958,238
 
                 
Hotels, Gaming and Leisure - 5.28%
 
Caesars Entertainment Resort Prop, Senior Secured Bond, 8.000%, 10/01/2020
   
1,000,000
     
955,000
 
Mood Media Corporation, Senior Unsecured Bond, 9.250%, 10/15/2020(c)
   
9,850,000
     
7,239,750
 
Palace Entertainment Holdings LLC, Senior Secured Bond, 8.875%, 04/15/2017(c)
   
13,074,000
     
12,902,404
 
Scientific Games Corp, Senior Secured Bond, 8.125%, 09/15/2018
   
19,000,000
     
17,765,000
 
Scientific Games International Inc, Senior Secured Bond, 7.000%, 01/01/2022(c)
   
1,000,000
     
992,500
 
             
39,854,654
 
                 
Media Advertising, Printing and Publishing - 0.13%
 
Southern Graphics Inc, Senior Unsecured Bond, 8.375%, 10/15/2020(c)
   
1,000,000
     
1,005,000
 
                 
Media Broadcasting and Subscription - 1.16%
 
Cequel Communications Holdings I, Senior Unsecured Bond, 6.375%, 09/15/2020(c)
   
5,500,000
     
5,211,250
 
Neptune Finco Corp, Senior Unsecured Bond, 6.625%, 10/15/2025(c)
   
3,500,000
     
3,526,250
 
             
8,737,500
 
                 
Metals and Mining - 0.86%
 
AK Steel Corp, Senior Unsecured Bond, 7.625%, 10/01/2021
   
3,000,000
     
1,627,500
 


   
Principal
     
   
Amount
   
Market Value
 
     
Metals and Mining (continued)
 
Novelis Inc, Senior Unsecured Bond, 8.375%, 12/15/2017
 
$
5,000,000
   
$
4,856,250
 
             
6,483,750
 
                 
Retail - 2.09%
 
Logan's Roadhouse Inc, Senior Unsecured Bond, 10.750%, 10/15/2017
   
6,044,000
     
4,019,260
 
Nine West Holdings Inc, Senior Unsecured Bond, 8.250%, 03/15/2019(c)
   
5,600,000
     
2,604,000
 
Petco Holdings Inc, Senior Unsecured Bond, 8.500%, 10/15/2017(c)(d)
   
9,050,000
     
9,140,500
 
             
15,763,760
 
                 
Services - Business - 2.26%
 
Global A&T Electronics, Senior Unsecured Bond, 10.000%, 02/01/2019(c)
   
10,230,000
     
8,056,125
 
Modular Space Corp, Senior Secured Bond, 10.250%, 01/31/2019(c)
   
12,840,000
     
8,988,000
 
             
17,044,125
 
                 
Services - Consumer - 1.62%
 
Monitronics International Inc, Senior Unsecured Bond, 9.125%, 04/01/2020
   
13,500,000
     
12,217,500
 
                 
Telecommunications - 3.79%
 
Avaya Inc, Senior Secured Bond, 10.500%, 03/01/2021(c)
   
20,000,000
     
9,300,000
 
Cyrusone LP / Cyrusone Fin, Senior Unsecured Bond, 6.375%, 11/15/2022(c)
   
3,350,000
     
3,417,000
 
Fairpoint Communications Inc, Senior Secured Bond, 8.750%, 08/15/2019(c)
   
7,350,000
     
7,671,562
 
Frontier Communications, Senior Unsecured Bond, 7.125%, 01/15/2023
   
4,000,000
     
3,307,600
 
Numericable Group SA, Senior Secured Bond, 6.000%, 05/15/2022(c)
   
2,250,000
     
2,174,063
 
Sorenson Communications Inc, Senior Secured Bond, 9.000%, 10/31/2020(c)(d)
   
1,530,612
     
1,492,347
 
Sorenson Holdings LLC, Senior Unsecured Bond, 13.000%, 10/31/2021(c)(d)
   
1,163,265
     
1,215,612
 
             
28,578,184
 
                 
Transportation Cargo - 1.32%
 
Algeco Scotsman Global Finance, Senior Unsecured Bond, 8.500%, 10/15/2018(c)
   
700,000
     
616,140
 
OPE KAG Finance Sub, Senior Unsecured Bond, 7.875%, 07/31/2023(c)
   
9,200,000
     
9,361,000
 
             
9,977,140
 
                 
Transportation Consumer - 0.98%
 
Air Canada, Senior Unsecured Bond, 7.750%, 04/15/2021(c)
   
7,000,000
     
7,385,000
 
                 
Utilities Electric - 1.82%
 
GenOn Energy Inc, Senior Secured Bond, 9.875%, 10/15/2020
   
7,400,000
     
6,919,000
 
NRG Energy Inc, Senior Secured Bond, 6.250%, 05/01/2024
   
3,500,000
     
3,106,250
 
RRI Energy Inc, Senior Unsecured Bond, 7.875%, 06/15/2017
   
3,900,000
     
3,675,750
 
             
13,701,000
 
                 
TOTAL CORPORATE BONDS
         
(Cost $409,073,400)
           
366,147,453
 
 
   
Shares
   
Market Value
 
COMMON STOCK - 0.40%
               
Consumer Goods Durable - 0.14%
               
New MMI Holdings Inc(e)
   
63,870
   
$
1,077,806
 
                 
Telecommunications - 0.26%
               
Sorenson Holdings LLC(e)
   
3,551
     
1,944,184
 
                 
TOTAL COMMON STOCK
               
(Cost $2,570,748)
           
3,021,990
 
 

           
Market Value
 
Total Investments - 148.63%
         
(Cost $1,201,701,467)
         
$
1,121,458,705
 
                 
Assets in Excess of Other Liabilities - 1.07%
     
8,059,833
 
               
Leverage Facility - (49.70)%
     
(375,000,000
)
               
Net Assets - 100.00%
         
$
754,518,538
 
 
Amounts above are shown as a percentage of net assets as of September 30, 2015.

(a) The interest rate shown represents the rate at period end.
(b) All or a portion of this position has not settled as of September 30, 2015. The interest rate shown represents the stated spread over the London Interbank Offered Rate ("LIBOR" or "L") or the applicable LIBOR floor; the Fund will not accrue interest until the settlement date, at which point LIBOR will be established.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $272,247,668, which represents approximately 36.08% of net assets as of September 30, 2015.
(d) Option to convert to pay-in-kind security.
(e) Non-income producing security.


Blackstone / GSO Strategic Credit Fund
Notes to Quarterly Portfolio of Investments
September 30, 2015 (Unaudited)

NOTE 1. ORGANIZATION

Blackstone / GSO Strategic Credit Fund (the “Fund” or “BGB”) is a 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 date, 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’’ or “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 the Fund by a period of two years or such shorter time as may be determined. The dissolution date of the Fund may be extended an unlimited number of times.

BGB was previously classified as a non-diversified investment company for purposes of the 1940 Act. As a result of ongoing operations, BGB is now classified as a diversified company as of September 25, 2015. This means that with respect to 75% of the Fund’s total assets, no more than 5% of the Fund’s total assets may be invested in any one issuer, excepting cash and cash items, U.S. government securities and securities of other investment companies. BGB may not resume operating in a non-diversified manner without first obtaining shareholder approval in accordance with the 1940 Act.

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.  BGB is considered an investment company for financial reporting purposes under GAAP.

Portfolio Valuation: BGB’s 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 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 as determined in good faith by a committee of the Adviser 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 September 30, 2015 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 September 30, 2015:

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
 
$
   
$
23,838,315
   
$
2,694,199
   
$
26,532,514
 
Beverage, Food and Tobacco
   
     
28,403,216
     
2,303,728
     
30,706,944
 
Capital Equipment
   
     
238,577
     
6,417,750
     
6,656,327
 
Chemicals, Plastics and Rubber
   
     
12,963,708
     
10,749,868
     
23,713,576
 
Construction and Building
   
     
35,505,187
     
3,971,231
     
39,476,418
 
Containers, Packaging and Glass
   
     
21,347,329
     
1,305,938
     
22,653,267
 
Energy, Oil and Gas
   
     
45,875,677
     
8,817,414
     
54,693,091
 
Healthcare and Pharmaceuticals
   
     
43,016,271
     
2,151,910
     
45,168,181
 
High Tech Industries
   
     
139,396,327
     
23,626,290
     
163,022,617
 
Hotels, Gaming and Leisure
   
     
20,399,932
     
2,843,560
     
23,243,492
 
Services - Business
   
     
57,220,742
     
12,997,391
     
70,218,133
 
Utilities Electric
   
     
35,189,942
     
10,965,179
     
46,155,121
 
Other
   
     
200,049,581
     
     
200,049,581
 
Corporate Bonds
                               
Energy, Oil and Gas
   
     
28,323,948
     
6,754,562
     
35,078,510
 
Other
   
     
331,068,943
     
     
331,068,943
 
Common Stock
                               
Telecommunications
   
     
     
1,944,184
     
1,944,184
 
Other
   
     
1,077,806
     
     
1,077,806
 
Total
 
$
   
$
1,023,915,501
   
$
97,543,204
   
$
1,121,458,705
 

*
Refer to the Fund's Portfolio of Investments for a listing of securities by type.


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

Blackstone/GSO Strategic Credit Fund
 
Floating Rate
Loan Interests
   
Corporate
Bonds
   
Common
Stock
   
Total
 
Balance as of December 31, 2014
 
$
74,549,136
   
$
   
$
1,659,382
   
$
76,208,518
 
Accrued discount/ premium
   
119,659
     
(4,842
)
   
     
114,817
 
Realized Gain/(Loss)
   
(482,237
)
   
     
     
(482,237
)
Change in Unrealized Appreciation/(Depreciation)
   
(2,349,895
)
   
(1,054,998
)
   
284,802
     
(3,120,091
)
Purchases
   
40,263,581
     
7,814,402 - 48,077,983
                 
Sales Proceeds
   
(20,486,012
)
   
     
     
(20,486,012
)
Transfer into Level 3
   
41,882,462
     
     
     
41,882,462
 
Transfer out of Level 3
   
(44,652,236
)
   
     
     
(44,652,236
)
Balance as of September 30, 2015
 
$
88,844,458
   
$
6,754,562
   
$
1,944,184
   
$
97,543,204
 
Net change in unrealized appreciation/(depreciation)
attributable to Level 3 investments held at September
30, 2015
 
$
(3,104,998
)
 
$
(1,054,998
)
 
$
284,802
   
$
(3,875,194
)

Information about Level 3 fair value measurements as of September 30, 2015:

 
Fair Value at 9/30/2015
Valuation Technique(s)
Unobservable Input(s)
Floating Rate Loan Interests
$88,844,458
Third-party vendor pricing service
Vendor Quote
Corporate Bonds
$6,754,562
Discounted Cash Flows
Discount Rate
Common Stock
$1,944,184
Performance Multiple
EBITDA Multiple (a)

(a)
A change to the unobservable input may result in a significant change to the value of the investment as follows:

Unobservable Input
Impact to Value if Input Increases
Impact to Value if Input Decreases
Discount Rate
Decrease
Increase
EBITDA Multiple
Increase
Decrease

The Fund evaluates 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. 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 bonds 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 total assets (Including any assets attributable to any leverage used) minus the sum of BGB's accrued liabilities (other than liabilities incurred for any leverage). At September 30, 2015, 99.02% of BGB’s Managed Assets were held in corporate fixed income instruments, including Senior Secured 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 of the Loan (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 loan remaining maturities may be substantially less than their stated maturities. 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 property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to senior obligations of the Borrower. At September 30, 2015, BGB had invested $191,028,166 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 Counterparty Committee of the Adviser. The factors considered by the Counterparty 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. The Counterparty Committee regularly reviews each broker-dealer counterparty based on the foregoing factors.

BGB may acquire Loans through assignments or participations. BGB typically acquires these Loans through assignment, and if BGB acquires a Loan through participation, it 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 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. BGB had no outstanding participations as of September 30, 2015.

NOTE 4. LEVERAGE

The Fund entered into a Credit Agreement (the "Agreement") with a bank to borrow money pursuant to a 364day revolving line of credit ("Leverage Facility") dated December 21, 2012, as amended at December 20, 2013 and December 19, 2014, to borrow up to a limit of $425 million. Borrowings under the Agreement are secured by the assets of the Fund. Interest is charged at a rate of 0.75% above LIBOR, with LIBOR measured for 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 the Fund may elect, or such other periods as the lender may agree in its sole and absolute discretion. Under the terms of the Agreement, the Fund 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 364day period with the consent of the lending bank. At September 30, 2015, BGB had borrowings outstanding under its Leverage Facility of $375 million, at an interest rate of 0.96%. Due to the short term nature of the Agreement, face value approximates fair value at September 30, 2015. This fair value is based on Level 2 inputs under the threetier fair valuation hierarchy (see Note 2). For the quarter ended September 30, 2015, the average borrowings under BGB's Leverage Facility and the average interest rate were $390,580,586 and 0.93%, respectively.

Under the Agreement, the Fund has agreed to certain covenants and additional investment limitations while the leverage is outstanding. The Fund agreed to maintain asset coverage of three times over borrowings. Compliance with the investment restrictions and calculations are performed by the Fund's custodian. As of September 30, 2015, the Fund 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 of the Fund can create risks. Changes in the value of the Fund's portfolio, including securities bought with the proceeds of leverage, are borne entirely by the holders of common shares of the Fund. All costs and expenses related to any form of leverage used by the Fund are borne entirely by common shareholders. If there is a net decrease or increase in the value of the Fund'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 the Fund did not utilize leverage. During periods when BGB is using leverage, the fees paid to the Adviser for advisory services and to ALPS for administrative services are higher than if the Fund did not use leverage because the fees paid are calculated on the basis of the Fund's Managed Assets, which include the assets purchased through leverage. As of September 30, 2015, BGB's leverage represented 33.20% of the Fund’s Managed Assets.

NOTE 5.  UNREALIZED APPRECIATION/(DEPRECIATION)
 
On September 30, 2015, based on a cost of $1,201,705,479 for federal income tax purposes, aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $6,024,414 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $86,271,188, resulting in net unrealized depreciation of $80,246,774.


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:
November 24, 2015
 
     
By:
/s/ Eric Rosenberg
 
Eric Rosenberg (Principal Financial Officer)
 
Treasurer and Chief Financial Officer
 
     
Date:
November 24, 2015
 

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:
November 24, 2015
 
     
By:
/s/ Eric Rosenberg
 
 
Eric Rosenberg (Principal Financial Officer)
 
 
Treasurer and Chief Financial Officer
 
     
Date:
November 24, 2015