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: 811-22488
 
Blackstone / GSO Long-Short Credit Income 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: : (877) 876-1121
 
Date of fiscal year end:     December 31

Date of reporting period:  September 30, 2016

Item 1. Schedule of Investments.
 
Blackstone / GSO Long-Short Credit Income Fund
 
Portfolio of Investments
September 30, 2016 (Unaudited)
 
 
Principal
Amount
     Value  
FLOATING RATE LOAN INTERESTS(a) - 120.19%
 
Aerospace and Defense - 2.45%
 
Camp International Holding Company, Senior Secured First Lien Term Loan, 4.750%, 08/18/2023
 
$
2,244,208
   
$
2,245,891
 
Camp International Holding Company, Senior Secured Second Lien Term Loan, 8.250%, 08/19/2024
   
987,409
     
991,729
 
Engility Corporation, Senior Secured First Lien Term B-2 Loan, 5.773%, 08/14/2023
   
577,731
     
584,231
 
Jazz Acquisition Inc, Senior Secured Second Lien Term Loan, 7.750%, 06/19/2022
   
1,732,833
     
1,455,580
 
 
           
5,277,431
 
 
               
Automotive - 0.99%
 
American Tire Distributors Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 09/01/2021
   
445,091
     
440,696
 
KAR Auction Services Inc, Senior Secured First Lien Tranche B-3 Term Loan, 4.250%, 03/09/2023
   
412,720
     
418,783
 
Mitchell International Inc, Senior Secured Second Lien Term Loan, 8.500%, 10/11/2021
   
1,294,266
     
1,268,788
 
 
           
2,128,267
 
 
               
Banking, Finance, Insurance and Real Estate - 9.99%
 
Acrisure LLC, Senior Secured First Lien Term B Loan, 6.500%, 05/19/2022
   
1,069,188
     
1,075,208
 
Alliant Holdings Intermediate LLC, Senior Secured First Lien 2016 Term Loan, 5.253%, 08/15/2022
   
1,068,750
     
1,074,895
 
AmWins Group LLC, Senior Secured First Lien New Term Loan, 4.750%, 09/06/2019
   
1,964,639
     
1,979,373
 
Arnhold and S Bleichroeder Holdings Inc, Senior Secured First Lien Initial Term Loan, 4.838%, 12/01/2022
   
1,439,125
     
1,443,917
 
AssuredPartners Capital Inc, Senior Secured First Lien Term Loan, 5.750%, 10/24/2022
   
1,506,851
     
1,517,678
 
Asurion LLC, Senior Secured Second Lien Term Loan, 8.500%, 03/03/2021
   
2,050,064
     
2,044,078
 
Confie Seguros Holding II Co, Senior Secured First Lien Term B Loan, 7.000%, 11/09/2018
   
499,120
     
500,056
 
Cunningham Lindsey US Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 12/10/2019
   
1,767,941
     
1,496,120
 
DTZ US Borrower LLC, Senior Secured First Lien 2015-1 Converted Term Loan, 4.250%, 11/04/2021
   
1,119,332
     
1,122,131
 
DTZ US Borrower LLC, Senior Secured Second Lien Initial Term Loan, 9.250%, 11/04/2022
   
1,956,522
     
1,972,829
 
EZE Software Group LLC, Senior Secured Second Lien Term Loan, 7.250%, 04/05/2021
   
470,905
     
460,310
 
Gold Merger Co Inc, Senior Secured First Lien Initial Term Loan, 4.750%, 07/27/2023
   
1,710,059
     
1,726,099
 
MPH Acquisition Holdings LLC, Senior Secured First Lien Initial Term Loan, 5.000%, 06/07/2023
   
1,784,191
     
1,809,000
 
Solera LLC (Solera Finance Inc), Senior Secured First Lien Dollar Term Loan, 5.750%, 03/03/2023
   
2,191,653
     
2,217,449
 
VF Holding Corp, Senior Secured First Lien Initial Term Loan, 4.750%, 06/30/2023
   
560,748
     
563,770
 
Victory Capital Operating LLC, Senior Secured First Lien Initial Term Loan, 8.500%, 10/29/2021
   
511,877
     
505,159
 
 
           
21,508,072
 
 
               
Beverage, Food and Tobacco - 2.07%
 
AdvancePierre Foods Inc, Senior Secured First Lien Effective Date Term Loan, 4.500%, 06/02/2023
   
892,511
     
901,102
 
Americold Realty Operating Partnership LP, Senior Secured First Lien Initial Term Loan, 5.750%, 12/01/2022
   
296,287
     
299,807
 
Candy Intermediate Holdings Inc, Senior Secured First Lien Initial Term Loan, L+4.50%, 06/15/2023(b)
   
792,750
     
799,520
 
Chobani LLC, Senior Secured First Lien Term Loan B, L+6.50%, 09/29/2023(b)
   
1,819,407
     
1,810,310
 
Winebow Holdings Inc, Senior Secured Second Lien Initial Term Loan, 8.500%, 12/31/2021
   
693,642
     
639,884
 
 
           
4,450,623
 

 
 
Principal
Amount
 
Value
 
Capital Equipment - 1.60%
 
Alfred Fueling Systems Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 06/21/2021
 
$
924,899
   
$
925,288
 
Diebold Inc, Senior Secured First Lien Dollar Term B Loan, 5.250%, 11/06/2023
   
1,000,000
     
1,012,295
 
Meter Reading Holding LLC, Senior Secured First Lien Term B Loan, 6.750%, 08/29/2023
   
1,500,000
     
1,500,000
 
 
           
3,437,583
 
 
               
Chemicals, Plastics and Rubber - 3.01%
 
Emerald Performance Materials LLC, Senior Secured First Lien Initial Term Loan, 4.500%, 08/02/2021
   
699,504
     
704,971
 
Emerald Performance Materials LLC, Senior Secured Second Lien Initial Term Loan, 7.750%, 08/01/2022
   
1,500,000
     
1,500,000
 
Pinnacle Operating Corporation, Senior Secured First Lien Term B Refinancing Loan, 4.750%, 11/15/2018
   
2,203,741
     
2,027,442
 
PQ Corporation, Senior Secured First Lien Dollar Tranche B-1 Term Loan, 5.750%, 11/04/2022
   
881,184
     
889,264
 
Royal Holdings Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 06/20/2022
   
210,249
     
211,957
 
Tekni-Plex Inc, Senior Secured Second Lien Initial Term Loan, 8.750%, 06/01/2023
   
1,153,846
     
1,141,823
 
 
           
6,475,457
 
 
               
Construction and Building - 8.68%
 
American Bath Group LLC, Senior Secured First Lien Term Loan, L+5.75%, 09/30/2023(b)
   
1,363,636
     
1,363,636
 
American Bath Group LLC, Senior Secured Second Lien term Loan, L+9.75%, 09/30/2024(b)
   
150,000
     
144,750
 
Builders Firstsource Inc, Senior Secured First Lien Tranche B Loan, 4.750%, 07/29/2022
   
777,328
     
782,995
 
C.H.I. Overhead Doors Inc, Senior Secured Second Lien Initial Term Loan, 8.750%, 07/28/2023
   
2,105,263
     
2,075,000
 
GYP Holdings III Corp, Senior Secured First Lien Term Loan L+3.50%, 04/01/2021(b)
   
1,105,263
     
1,104,915
 
Henry Company LLC, Senior Secured First Lien Term Loan B, L+4.50%, 09/30/2023(b)
   
621,762
     
623,316
 
Jeld-Wen Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 10/15/2021
   
1,965,000
     
1,980,966
 
Jeld-Wen Inc, Senior Secured First Lien Term B-1 Loan, 4.750%, 07/01/2022
   
739,655
     
745,358
 
SiteOne Landscape Supply LLC, Senior Secured First Lien Initial Term Loan, 6.250%, 04/29/2022
   
1,046,852
     
1,057,975
 
SRS Distribution Inc, Senior Secured First Lien Tranche B-1 Loan, L+4.25%, 08/25/2022(b)
   
1,275,636
     
1,289,987
 
SRS Distribution Inc, Senior Secured Second Lien 06/16 Term Loan, 9.750%, 02/25/2023
   
547,945
     
554,452
 
Stardust Finance Holdings Inc, Senior Secured First Lien Junior Term Loan, L+9.50%, 03/13/2023(b)
   
505,740
     
506,056
 
Stardust Finance Holdings Inc, Senior Secured First Lien Term Loan, 6.500%, 03/13/2022
   
3,484,830
     
3,473,940
 
US LBM Holdings LLC, Senior Secured First Lien Initial Term Loan, 6.250%, 08/20/2022
   
2,977,462
     
2,983,670
 
 
           
18,687,016
 
 
               
Consumer Goods Durable - 1.41%
 
Apex Tool Group LLC, Senior Secured First Lien Term Loan, 4.500%, 01/31/2020
   
686,443
     
680,653
 
Hercules Achievement Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 12/13/2021
   
1,842,188
     
1,854,088
 
Hillman Group Inc (The), Senior Secured First Lien Initial Term Loan, 4.500%, 06/30/2021
   
497,455
     
499,632
 
 
           
3,034,373
 
 
               
Consumer Goods Non Durable - 1.88%
 
Inmar Inc, Senior Secured Second Lien Initial Term Loan, 8.000%, 01/27/2022
   
1,937,500
     
1,788,952
 
Revlon Consumer Products Corporation, Senior Secured First Lien New Term Loan, 4.250%, 09/07/2023
   
1,490,683
     
1,495,506
 
SRAM LLC, Senior Secured First Lien Term Loan, 4.011%, 04/10/2020
   
776,471
     
757,059
 
 
           
4,041,517
 
 
               
Containers, Packaging and Glass - 7.04%
 
Charter Nex US Holdings Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 02/07/2022
   
2,740,751
     
2,764,732
 
Coveris Holdings SA, Senior Secured First Lien USD Term Loan, L+3.50%, 05/08/2019(b)
   
2,885,391
     
2,887,656
 
Hilex Poly Co LLC, Senior Secured First Lien Term Loan, 6.000%, 12/06/2021
   
2,339,608
     
2,361,553
 
IBC Capital Limited, Senior Secured Second Lien Term Loan, 8.000%, 09/09/2022
   
291,176
     
265,699
 
Multi Packaging Solutions Inc, Senior Secured First Lien Initial Dollar Tranche B Term Loan, 4.250%, 09/30/2020
   
1,086,824
     
1,086,145
 
Plaze Inc, Senior Secured First Lien Term Loan, 5.254%, 07/31/2022
   
379,066
     
380,014
 
Printpack Holdings Inc, Senior Secured First Lien Term Loan, 5.000%, 07/26/2023
   
1,046,512
     
1,051,744
 

 
 
Principal
Amount
    Value  
Containers, Packaging and Glass (continued)
 
Prolampac Intermediate Inc, Senior Secured First Lien Initial Term Loan, 5.750%, 08/18/2022
 
$
2,027,708
   
$
2,044,183
 
Reynolds Group Holdings Inc, Senior Secured First Lien US Term Loan, L+3.25%, 02/06/2023(b)
   
2,312,328
     
2,322,803
 
 
           
15,164,529
 
 
               
Energy, Oil and Gas - 1.51%
 
Chief Exploration & Development LLC, Senior Secured Second Lien Term Loan, 7.753%, 05/17/2021
   
752,941
     
709,647
 
Sheridan Investment Partners I LLC, Senior Secured First Lien Tranche B-2 Term Loan, 4.340%, 10/01/2019
   
1,566,167
     
963,193
 
Sheridan Production Partners I-A LP, Senior Secured First Lien Tranche B-2 Term Loan, 4.340%, 10/01/2019
   
207,530
     
127,631
 
Sheridan Production Partners I-M LP, Senior Secured First Lien Tranche B-2 Term Loan, 4.340%, 10/01/2019
   
126,761
     
77,958
 
Utex Industries Inc, Senior Secured First Lien New Initial Term Loan, 5.000%, 05/24/2021
   
1,501,838
     
1,120,746
 
W3 Co, Senior Secured First Lien Term Loan, 5.750%, 03/13/2020
   
309,225
     
242,742
 
 
           
3,241,917
 
 
               
Environmental Industries - 1.16%
 
EnergySolutions LLC, Senior Secured First Lien Advance Term Loan, 6.750%, 05/29/2020
   
1,734,545
     
1,732,377
 
Infiltrator Water Technologies LLC, Senior Secured First Lien Term B-1 Loan, 4.500%, 05/27/2022
   
423,214
     
424,935
 
Wastequip LLC, Senior Secured First Lien Term Loan, 5.500%, 08/09/2019
   
329,970
     
330,382
 
 
           
2,487,694
 
 
               
Healthcare and Pharmaceuticals - 16.25%
 
Albany Molecular Research Inc, Senior Secured First Lien Term Loan, 5.750%, 07/16/2021
   
820,521
     
825,649
 
Alvogen Pharma US Inc, Senior Secured First Lien Term Loan, 6.000%, 04/01/2022
   
2,068,846
     
2,075,321
 
Amneal Pharmaceuticals LLC, Senior Secured First Lien Term B Loan, 4.501%, 11/01/2019
   
1,484,666
     
1,490,605
 
Arbor Pharmaceuticals LLC, Senior Secured First Lien Initial Term Loan, 6.000%, 07/05/2023
   
1,278,369
     
1,284,761
 
Avantor Performance Materials Holdings Inc, Senior Secured First Lien Initial Term Loan, L+5.00%, 06/17/2022(b)
   
3,044,990
     
3,056,408
 
CHG Healthcare Services Inc, Senior Secured First Lien Term Loan, 4.750%, 06/07/2023
   
902,836
     
912,568
 
Concordia Healthcare Corp, Senior Secured First Lien Dollar Term Loan, 5.250%, 10/21/2021
   
1,344,977
     
1,205,624
 
CT Technologies Intermediate Holdings Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 12/01/2021
   
789,848
     
781,950
 
Genoa a QoL Healthcare Company LLC, Senior Secured First Lien Initial Term Loan, 4.500%, 04/29/2022
   
1,243,255
     
1,246,363
 
Global Healthcare Exchange LLC, Senior Secured First Lien Initial Term Loan, L+4.25%, 08/15/2022(b)
   
997,500
     
1,003,420
 
Greatbatch Ltd, Senior Secured First Lien Term B Loan, 5.250%, 10/27/2022
   
386,259
     
381,995
 
inVentiv Health Inc, Senior Secured First Lien Term Loan B, L+3.75%, 09/29/2023(b)
   
1,650,485
     
1,657,360
 
Mediware Information Systems Inc, Senior Secured First Lien Tranche B Loan, L+4.75%, 07/28/2023(b)
   
471,698
     
475,531
 
Medpace Holdings Inc, Senior Secured First Lien Initial Term Loan, 4.750%, 04/01/2021
   
244,008
     
245,228
 
Netsmart Technologies Inc, Senior Secured First Lien Initial Term Loan, 5.750%, 04/19/2023
   
1,986,401
     
1,998,200
 
Onex Carestream Finance LP, Senior Secured First Lien Term Loan, 5.000%, 06/07/2019
   
362,702
     
338,026
 
Onex Carestream Finance LP, Senior Secured Second Lien Term Loan, 9.500%, 12/09/2019
   
2,190,287
     
1,996,808
 
Onex Schumacher Finance LP, Senior Secured First Lien Initial Term Loan, 5.000%, 07/29/2022
   
2,125,395
     
2,134,693
 
Packaging Coordinators Midco Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 06/29/2023
   
2,264,438
     
2,270,099
 
Precyse Acquisition Corp, Senior Secured First Lien Initial Term Loan, 6.500%, 10/20/2022
   
2,236,209
     
2,255,776
 
Press Ganey Holdings Inc, Senior Secured First Lien Term Loan, L+3.25%, 09/29/2023(b)
   
924,092
     
926,403
 
Press Ganey Holdings Inc, Senior Secured Second Lien Term Loan, L+0.00%, 09/30/2024(b)
   
681,818
     
686,932
 
Surgery Center Holdings Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 11/03/2020
   
1,444,057
     
1,446,764
 
U.S. Renal Care Inc, Senior Secured First Lien Initial Term Loan, 5.250%, 12/30/2022
   
2,541,419
     
2,446,116
 
Valeant Pharmaceuticals International, Senior Secured First Lien Series A-3 Tranche A Term Loan, 4.280%, 10/20/2018
   
851,303
     
851,835
 

   
Principal
Amount
    Value  
Healthcare and Pharmaceuticals (continued)
 
Valeant Pharmaceuticals International, Senior Secured First Lien Series D-2 Tranche B Term Loan, 5.000%, 02/13/2019
 
$
986,081
   
$
988,315
 
 
           
34,982,750
 
 
               
High Tech Industries - 17.94%
 
Ascend Learning LLC, Senior Secured First Lien Term Loan, 5.500%, 07/31/2019
   
958,900
     
963,694
 
Ascend Learning LLC, Senior Secured Second Lien Term Loan, 9.500%, 11/30/2020
   
1,000,000
     
990,000
 
Aspect Software Inc, Senior Secured First Lien Exit Term Loan, 10.000%, 05/25/2020
   
4,111,703
     
4,032,882
 
BMC Software Finance Inc, Senior Secured First Lien Initial US Term Loan, 5.000%, 09/10/2020
   
994,697
     
961,593
 
Ciena Corporation, Senior Secured First Lien 2016 Term Loan, 4.250%, 04/26/2021
   
482,661
     
485,075
 
Compuware Corporation, Senior Secured First Lien Tranche B-2 Term Loan, 6.250%, 12/15/2021
   
2,930,014
     
2,924,520
 
Cypress Semiconductor Corp, Senior Secured First Lien 2016 Incremental Term Loan, 6.500%, 07/05/2021
   
1,126,761
     
1,142,958
 
Epicor Software Corporation, Senior Secured First Lien Term B Loan, 4.750%, 06/01/2022
   
992,462
     
980,369
 
Flexera Software LLC, Senior Secured Second Lien Term Loan, 8.000%, 04/02/2021
   
200,000
     
197,250
 
Hyland Software Inc, Senior Secured Second Lien Term Loan, 8.250%, 07/03/2023
   
694,250
     
700,324
 
Informatica Corporation, Senior Secured First Lien Dollar Term Loan, 4.500%, 08/05/2022
   
915,776
     
893,261
 
Kronos Incorporated, Senior Secured Second Lien Initial Term Loan, 9.750%, 04/30/2020
   
3,000,000
     
3,058,740
 
Lanai Holdings III Inc, Senior Secured First Lien Initial Term Loan, L+4.75%, 08/29/2022(b)
   
1,134,826
     
1,123,477
 
Landesk Software Inc, Senior Secured First Lien Term Loan, 5.500%, 09/16/2022
   
1,390,728
     
1,402,028
 
Landesk Software Inc, Senior Secured Second Lien Term Loan, L+8.50%, 09/16/2023(b)
   
987,654
     
985,185
 
MA FinanceCo LLC, Senior Secured First Lien Tranche B-2 Term Loan, 4.502%, 11/19/2021
   
2,913,888
     
2,929,681
 
Peak 10 Inc, Senior Secured First Lien Term Loan, 5.000%, 06/17/2021
   
977,500
     
982,388
 
Peak 10 Inc, Senior Secured Second Lien Initial Term Loan, 8.250%, 06/17/2022
   
1,875,000
     
1,743,750
 
Pomeroy Group LLC, Senior Secured First Lien Initial Term Loan, 6.920%, 11/12/2021
   
1,000,000
     
978,750
 
ProQuest LLC, Senior Secured First Lien Initial Term Loan, 5.750%, 10/25/2021
   
1,768,448
     
1,773,974
 
SolarWinds Holdings Inc, Senior Secured First Lien 2016 Refinancing Term Loan, 5.500%, 02/03/2023
   
1,614,510
     
1,632,270
 
Sophia LP, Senior Secured First Lien Closing Date Term Loan, 4.750%, 09/30/2022
   
1,965,897
     
1,969,584
 
Sybil Software LLC, Senior Secured First Lien Term B-1 Loan, L+4.00%, 08/03/2022(b)
   
1,020,408
     
1,027,745
 
Tech Finance & Co SCA, Senior Secured First Lien US Term Loan, 5.000%, 07/13/2020
   
1,845,795
     
1,853,879
 
Trader Corporation, Senior Secured First Lien Term Loan, L+4.00%, 08/09/2023(b)
   
1,013,514
     
1,020,486
 
TTM Technologies Inc, Senior Secured First Lien Term B Loan, 6.000%, 05/31/2021
   
1,646,341
     
1,658,689
 
Western Digital Corporation, Senior Secured First Lien US Term B-1 Loan, 4.500%, 05/01/2023
   
208,964
     
211,425
 
 
           
38,623,977
 
 
               
Hotels, Gaming and Leisure - 3.13%
 
Alpha Topco Limited - Delta 2 (Lux) Sarl, Senior Secured Second Lien Term Loan, 7.750%, 07/29/2022
   
2,717,400
     
2,731,666
 
Scientific Games International Inc, Senior Secured First Lien B-2 Term Loan, 6.000%, 10/01/2021
   
818,925
     
821,541
 
Travelport Finance (Luxembourg) Sarl, Senior Secured First Lien Term B Loan, 5.000%, 09/02/2021
   
1,950,118
     
1,961,088
 
UFC Holdings LLC, Senior Secured First Lien Term Loan, 5.000%, 08/18/2023
   
1,202,003
     
1,214,402
 
 
           
6,728,697
 
 
               
Media Advertising, Printing and Publishing - 0.33%
 
McGraw-Hill Global Education Holdings LLC, Senior Secured First Lien Term B Loan, 5.000%, 05/04/2022
   
712,500
     
718,200
 
 
               
Media Broadcasting and Subscription - 2.75%
 
Numericable US LLC, Senior Secured First Lien USD Term B-6 Loan, 4.752%, 02/10/2023
   
2,235,000
     
2,253,852
 
Numericable-SFR SA, Senior Secured First Lien USD TLB-7 Term Loan, 5.002%, 01/15/2024
   
942,390
     
953,698
 
Sable International Finance Ltd, Senior Secured First Lien Term B-1 Loan, 5.588%, 01/03/2023
   
1,100,000
     
1,112,204
 
Sable International Finance Ltd, Senior Secured First Lien Term B-2 Loan, 5.830%, 01/03/2023
   
900,000
     
909,986
 

 
 
Principal
Amount
  Value  
Media Broadcasting and Subscription (continued)
 
Telenet Financing USD LLC, Senior Secured First Lien Term AD Loan, 4.360%, 06/28/2024
 
$
675,676
   
$
682,392
 
 
           
5,912,132
 
 
               
Metals and Mining - 2.17%
 
Fairmount Santrol Inc, Senior Secured First Lien Tranche B-2 Term Loan, L+3.50%, 09/05/2019(b)
   
1,555,387
     
1,392,461
 
McJunkin Red Man Corporation, Senior Secured First Lien 2013 Term Loan, 5.000%, 11/08/2019
   
2,255,443
     
2,207,514
 
Murray Energy Corporation, Senior Secured First Lien Term B-1 Loan, 7.750%, 04/17/2017
   
453,995
     
439,999
 
Murray Energy Corporation, Senior Secured First Lien Term B-2 Non-PIK Loan, 8.250%, 04/16/2020
   
749,390
     
639,559
 
 
           
4,679,533
 
 
               
Retail - 5.77%
 
Albertson's LLC, Senior Secured First Lien 2016-1 Term B-4 Loan, 4.500%, 08/25/2021
   
1,381,006
     
1,393,324
 
Albertson's LLC, Senior Secured First Lien Term B-6 Loan, 4.750%, 06/22/2023
   
448,841
     
453,866
 
Ascena Retail Group Inc, Senior Secured First Lien Tranche B Term Loan, 5.250%, 08/19/2022
   
1,159,527
     
1,121,193
 
CEC Entertainment Inc, Senior Secured First Lien Term B Loan, 4.000%, 02/15/2021
   
992,366
     
981,207
 
CWGS Group LLC, Senior Secured First Lien Term Loan, L+4.75%, 02/20/2020(b)
   
1,083,333
     
1,086,551
 
Jill Acquisition LLC, Senior Secured First Lien Initial Term Loan, 6.000%, 05/09/2022
   
707,098
     
698,259
 
Men's Wearhouse Inc (The), Senior Secured First Lien Tranche B-1 Term Loan, 5.000%, 06/18/2021
   
746,199
     
731,275
 
Nine West Holdings Inc, Senior Secured First Lien Initial Term Loan, 4.750%, 10/08/2019
   
782,000
     
405,076
 
Payless Inc, Senior Secured First Lien Initial Term Loan, 5.000%, 03/11/2021
   
1,243,347
     
739,791
 
Payless Inc, Senior Secured Second Lien Initial Term Loan, 8.500%, 03/11/2022
   
2,000,000
     
420,000
 
Petco Animal Supplies Inc, Senior Secured First Lien Tranche B-2 Term Loan, 5.002%, 01/26/2023
   
1,933,255
     
1,956,357
 
Pier 1 Imports (US) Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 04/30/2021
   
2,036,458
     
1,858,268
 
Sports Authority (The), Senior Secured First Lien Term B Loan, 7.500%, 11/16/2017
   
2,370,777
     
580,841
 
 
           
12,426,008
 
 
               
Services - Business - 11.55%
 
Advantage Sales & Marketing Inc, Senior Secured Second Lien Initial Term Loan, 7.500%, 07/25/2022
   
2,000,000
     
1,908,130
 
Crossmark Holdings Inc, Senior Secured First Lien Term Loan, 4.500%, 12/20/2019
   
3,309,328
     
2,178,630
 
Crossmark Holdings Inc, Senior Secured Second Lien Term Loan, 8.750%, 12/21/2020
   
1,500,000
     
678,750
 
DTI Holdco Inc, Senior Secured First Lien Term Loan, L+5.25%, 09/25/2023(b)
   
2,756,757
     
2,737,225
 
Erie Acquisition Holdings Inc (GCA Services Group Inc), Senior Secured First Lien Term Loan, 5.809%, 03/01/2023
   
2,515,449
     
2,538,642
 
Neff Rental LLC, Senior Secured Second Lien Closing Date Term Loan, 7.250%, 06/09/2021
   
3,184,888
     
3,121,190
 
Outerwall Inc, Senior Secured First Lien Term Loan, L+4.25%, 09/26/2023(b)
   
317,221
     
319,996
 
Sedgwick Claims Management Services Inc, Senior Secured Second Lien Incremental Term Loan, 6.750%, 02/28/2022
   
3,160,377
     
3,134,699
 
SurveyMonkey.com LLC, Senior Secured First Lien Term Loan, 6.250%, 02/07/2019
   
1,548,861
     
1,554,670
 
Transaction Network Services, Senior Secured First Lien Initial Term Loan, 5.000%, 02/14/2020
   
722,360
     
728,233
 
Transaction Network Services, Senior Secured Second Lien Initial Term Loan, 9.000%, 08/14/2020
   
1,823,628
     
1,809,951
 
TravelCLICK Inc, Senior Secured Second Lien Initial Term Loan, 8.750%, 11/08/2021
   
3,000,000
     
2,970,000
 
USAGM Holdco LLC, Senior Secured First Lien Initial Term Loan, 4.750%, 07/28/2022
   
1,191,000
     
1,188,023
 
 
           
24,868,139
 
 
               
Services - Consumer - 3.29%
 
Nord Anglia Education Finance LLC, Senior Secured First Lien Initial Term Loan, 5.002%, 03/31/2021
   
1,694,419
     
1,700,781
 
Prime Security Services Borrower LLC, Senior Secured First Lien Term B-1 Loan, 4.750%, 05/02/2022
   
1,728,689
     
1,747,998
 
Prime Security Services Borrower LLC, Senior Secured Second Lien Term B Loan, 9.750%, 07/01/2022
   
259,615
     
264,971
 

 
 
Principal
Amount
    Value  
Services - Consumer (continued)
 
Red Lobster Management LLC, Senior Secured First Lien Initial Term Loan, 6.250%, 07/28/2021
 
$
269,303
   
$
271,240
 
Renaissance Learning Inc, Senior Secured First Lien Initial Term Loan, 4.500%, 04/09/2021
   
684,211
     
683,071
 
Spin Holdco Inc, Senior Secured First Lien Initial Term Loan, 4.250%, 11/14/2019
   
2,415,999
     
2,409,053
 
 
           
7,077,114
 
 
               
Telecommunications - 6.72%
 
Alorica Inc, Senior Secured First Lien Term B Loan, 5.500%, 06/30/2022
   
837,063
     
848,572
 
Communications Sales & Leasing Inc, Senior Secured Term Loan, 5.000%, 10/24/2022
   
1,989,924
     
2,002,859
 
ConvergeOne Holdings Corporation, Senior Secured First Lien Initial Term Loan, 6.000%, 06/17/2020
   
1,766,345
     
1,759,721
 
Cortes NP Acquisition Corp, Senior Secured Term Loan, L+5.00%, 09/29/2023(b)
   
2,978,102
     
2,888,759
 
Fairpoint Communications Inc, Senior Secured First Lien Term Loan, 7.500%, 02/14/2019
   
319,258
     
320,482
 
Nextgen Finance LLC, Senior Secured First Lien Term B Loan, 5.000%, 05/31/2021
   
1,955,000
     
1,955,000
 
TierPoint LLC, Senior Secured First Lien Term B-1 Loan, 5.500%, 12/02/2021
   
2,722,286
     
2,688,271
 
Windstream Services LLC, Senior Secured First Lien Term Loan B, L+4.00%, 03/29/2021(b)
   
1,990,000
     
1,999,950
 
 
           
14,463,614
 
 
               
Transportation Cargo - 0.30%
 
XPO Logistics Inc, Senior Secured First Lien Term B-2 Loan, 4.250%, 11/01/2021
   
636,702
     
641,347
 
 
               
Transportation Consumer - 1.62%
 
Air Medical Group Holdings Inc, Senior Secured First Lien 2016 New Term Loan, 5.000%, 04/28/2022
   
482,661
     
486,281
 
Lineage Logistics LLC, Senior Secured First Lien Term Loan, 4.500%, 04/07/2021
   
3,038,355
     
3,007,972
 
 
           
3,494,253
 
 
               
Utilities Electric - 6.58%
 
Astoria Energy LLC, Senior Secured First Lien Advance Term B Loan, 5.000%, 12/24/2021
   
509,367
     
501,727
 
Exgen Texas Power LLC, Senior Secured First Lien Term Loan, 5.750%, 09/20/2021
   
987,402
     
809,981
 
Granite Acquisition Inc, Senior Secured Second Lien Term B Loan, 8.250%, 12/19/2022
   
2,691,729
     
2,552,648
 
Green Energy Partners / Stonewall LLC, Senior Secured First Lien Term B-1 Conversion Advance Loan, 6.500%, 11/15/2021
   
500,000
     
488,750
 
Moxie Patriot LLC, Senior Secured First Lien Construction B-1 Facility Term Loan, 6.750%, 12/18/2020
   
726,884
     
714,163
 
Panda Liberty LLC, Senior Secured First Lien Construction B-1 Facility Term Loan, 7.500%, 08/21/2020
   
1,461,688
     
1,443,417
 
Panda Temple Power II LLC, Senior Secured First Lien Construction Term Loan, 7.250%, 04/03/2019
   
1,980,013
     
1,846,362
 
Pike Corporation, Senior Secured First Lien Initial Term Loan, 5.500%, 12/22/2021
   
911,290
     
915,564
 
Sandy Creek Energy Associates LP, Senior Secured First Lien Term Loan, 5.000%, 11/09/2020
   
2,054,114
     
1,742,156
 
Texas Competitive Electric Holdings Company LLC, Senior Secured First Lien DIP Term B Loan, 5.000%, 10/31/2017
   
1,311,601
     
1,323,196
 
Texas Competitive Electric Holdings Company LLC, Senior Secured First Lien DIP Term C Loan, 5.000%, 10/31/2017
   
299,137
     
301,781
 
TPF II Power LLC, Senior Secured First Lien Term Loan, 5.000%, 10/02/2021
   
1,498,164
     
1,515,206
 
 
           
14,154,951
 
 
         
TOTAL FLOATING RATE LOAN INTERESTS
(Cost $265,616,782)
           
258,705,194
 

 
 
Principal
Amount
    Value  
Utilities Electric (continued)
 
CONVERTIBLE CORPORATE BONDS(a) - 1.03%
 
Energy, Oil and Gas - 1.03%
 
Comstock Resources Inc:
               
7.750%, 04/01/2019
 
$
1,000,000
   
$
735,000
 
9.500%, 06/15/2020
   
2,000,000
     
1,470,000
 
 
           
2,205,000
 
                 
TOTAL CONVERTIBLE CORPORATE BONDS
(Cost $2,560,221)
           
2,205,000
 
 
 
CORPORATE BONDS - 27.99%
 
Automotive - 0.27%
 
Omega US Sub LLC, Senior Unsecured Bond, 8.750%, 07/15/2023(c)
   
530,000
     
579,025
 
 
               
Banking, Finance, Insurance and Real Estate - 3.06%
 
Fly Leasing Limited, Senior Unsecured Bond, 6.750%, 12/15/2020
   
500,000
     
516,875
 
HUB Holdings LLC, Senior Unsecured Bond, 8.125%, 07/15/2019(c)(d)
   
2,025,000
     
1,984,500
 
National Financial Partners Corp, Senior Unsecured Bond, 9.000%, 07/15/2021(c)
   
1,300,000
     
1,340,462
 
Onex York Acquisition Co, Senior Unsecured Bond, 8.500%, 10/01/2022(c)
   
3,500,000
     
2,738,750
 
 
           
6,580,587
 
 
               
Beverage, Food and Tobacco - 2.27%
 
Dole Food Co Inc, Senior Secured Bond, 7.250%, 05/01/2019(c)
   
1,650,000
     
1,678,875
 
P F Chang's China Bistro Inc, Senior Unsecured Bond, 10.250%, 06/30/2020(c)
   
3,377,000
     
3,199,707
 
 
           
4,878,582
 
 
               
Capital Equipment - 0.63%
 
Hardwoods Acquisition Inc, Senior Secured Bond, 7.500%, 08/01/2021(c)
   
179,000
     
135,593
 
NWH Escrow Corp, Senior Secured Bond, 7.500%, 08/01/2021(c)
   
1,600,000
     
1,212,000
 
 
           
1,347,593
 
 
               
Commercial Services - 0.58%
 
The Hertz Corp, Senior Unsecured Bond, 5.500%, 10/15/2024(c)
   
1,260,000
     
1,256,850
 
 
               
Construction and Building - 4.14%
 
BMC East LLC, Senior Unsecured Bond, 5.500%, 10/01/2024(c)
   
1,190,000
     
1,192,975
 
Builders FirstSource Inc, Senior Unsecured Bond, 10.750%, 08/15/2023(c)
   
2,150,000
     
2,477,875
 
FBM Finance Inc, Senior Secured Bond, 8.250%, 08/15/2021(c)
   
580,000
     
609,000
 
PriSo Acq Corp / Bldng Pro, Senior Unsecured Bond, 9.000%, 05/15/2023(c)
   
3,477,000
     
3,390,075
 
Zachry Holdings Inc, Senior Unsecured Bond, 7.500%, 02/01/2020(c)
   
1,250,000
     
1,250,000
 
 
           
8,919,925
 
 
               
Consumer Goods Durable - 0.07%
 
Apex Tool Group LLC, Senior Unsecured Bond, 7.000%, 02/01/2021(c)
   
150,000
     
144,187
 
 
               
Containers, Packaging and Glass - 0.41%
 
ARD Finance SA, Senior Unsecured Bond, 7.125%, 09/15/2023(c)
   
400,000
     
399,000
 
Coveris Holdings SA, Senior Unsecured Bond, 7.875%, 11/01/2019(c)
   
331,000
     
340,102
 
Reynolds GRP ISS / Reynold, Senior Unsecured Bond, 7.000%, 07/15/2024(c)
   
140,000
     
150,413
 
 
           
889,515
 
 
               
Energy, Oil and Gas - 1.65%
 
Calumet Specialty Prod, Senior Unsecured Bond, 7.750%, 04/15/2023
   
1,600,000
     
1,288,000
 
Comstock Resources Inc, Senior Unsecured Bond, 10.000%, 03/15/2020
   
1,250,000
     
1,162,500
 
CSI Compressco LP / CSI Compressco Finance Inc, Senior Unsecured Bond, 7.250%, 08/15/2022
   
500,000
     
475,000
 
SandRidge Energy Inc, Senior Secured Bond, 8.750%, 06/01/2020(c)(e)
   
1,750,000
     
634,375
 
 
           
3,559,875
 

 
 
Principal
Amount
    Value  
Forest Products and Paper - 0.34%
 
Tembec Industries Inc, Senior Secured Bond, 9.000%, 12/15/2019(c)
 
$
955,000
   
$
728,188
 
 
               
Healthcare and Pharmaceuticals - 2.00%
 
Concordia Healthcare Corp, Senior Unsecured Bond, 7.000%, 04/17/2023(c)
   
1,500,000
     
967,500
 
Double Eagle Acquisition Sub Inc, Senior Unsecured Bond, 7.500%, 10/01/2024(c)
   
250,000
     
255,312
 
Kinetic Concepts / KCI USA Inc, Senior Unsecured Bond, 9.625%, 10/01/2021(c)
   
1,020,000
     
1,022,550
 
Surgery Center Holdings Inc, Senior Unsecured Bond, 8.875%, 04/15/2021(c)
   
1,500,000
     
1,605,000
 
Valeant Pharmaceuticals, Senior Unsecured Bond:
               
5.375%, 03/15/2020(c)
   
350,000
     
325,500
 
6.125%, 04/15/2025(c)
   
150,000
     
129,563
 
 
           
4,305,425
 
 
               
High Tech Industries - 2.14%
 
BMC Software Inc, Senior Unsecured Bond, 7.250%, 06/01/2018
   
670,000
     
670,000
 
Global A&T Electronics, Senior Unsecured Bond, 10.000%, 02/01/2019(c)
   
1,500,000
     
1,196,250
 
Infor US Inc, Senior Unsecured Bond, 6.500%, 05/16/2022
   
1,000,000
     
1,017,500
 
Riverbed Technology Inc, Senior Unsecured Bond, 8.875%, 03/01/2023(c)
   
1,604,000
     
1,722,295
 
 
           
4,606,045
 
 
               
Hotels, Gaming and Leisure - 2.19%
 
Scientific Games Corp, Senior Unsecured Bond, 8.125%, 09/15/2018
   
4,000,000
     
4,015,000
 
Scientific Games International Inc, Senior Secured Bond, 7.000%, 01/01/2022(c)
   
650,000
     
690,625
 
 
           
4,705,625
 
 
               
Media - 0.33%
 
Gray Television Inc, Senior Unsecured Bond, 5.125%, 10/15/2024(c)
   
720,000
     
708,300
 
 
               
Media Broadcasting and Subscription - 2.64%
 
Altice Financing SA, Senior Secured Bond, 7.500%, 05/15/2026(c)
   
910,000
     
949,812
 
Cablevision Systems Corp, Senior Unsecured Bond, 8.000%, 04/15/2020
   
1,400,000
     
1,470,000
 
Cequel Communications Holdings I, Senior Unsecured Bond, 5.125%, 12/15/2021(c)
   
1,500,000
     
1,503,765
 
Numericable-SFR SA, Senior Secured Bond, 7.375%, 05/01/2026(c)
   
1,720,000
     
1,760,317
 
 
           
5,683,894
 
 
               
Media, Advertising, Printing and Publishing - 0.12%
 
McGraw-Hill Global Education, Senior Unsecured Bond, 7.875%, 05/15/2024(c)
   
230,000
     
249,263
 
 
               
Metal Fabricate/Hardware - 0.21%
 
Novelis Inc, Senior Unsecured Bond, 5.875%, 09/30/2026(c)
   
450,000
     
461,813
 
 
               
Retail - 0.16%
 
CEC Entertainment Inc, Senior Unsecured Bond, 8.000%, 02/15/2022
   
345,000
     
345,431
 
 
               
Services - Business - 0.64%
 
Modular Space Corp, Senior Secured Bond, 10.250%, 01/31/2019(c)
   
3,250,000
     
1,381,250
 
 
               
Telecommunications - 2.26%
 
Communications Sales & Leasing Inc, Senior Secured Bond, 6.000%, 04/15/2023(c)
   
375,000
     
390,000
 
Fairpoint Communications Inc, Senior Secured Bond, 8.750%, 08/15/2019(c)
   
2,580,000
     
2,641,275
 
Frontier Communications, Senior Unsecured Bond, 10.500%, 09/15/2022
   
1,250,000
     
1,329,687
 
Windstream Corporation Inc, Senior Unsecured Bond, 7.750%, 10/15/2020
   
500,000
     
512,500
 
 
           
4,873,462
 
 
               
Transportation Consumer - 0.76%
 
Air Canada, Senior Unsecured Bond, 7.750%, 04/15/2021(c)
   
1,500,000
     
1,627,500
 
 
               
Utilities Electric - 1.12%
 
GenOn Energy Inc, Senior Secured Bond, 9.875%, 10/15/2020
   
2,100,000
     
1,575,000
 

 
 
Principal
Amount
   
Value
 
Utilities Electric (continued)
 
RRI Energy Inc, Senior Unsecured Bond, 7.875%, 06/15/2017
 
$
1,000,000
   
$
832,500
 
 
           
2,407,500
 
 
               
TOTAL CORPORATE BONDS
(Cost $63,383,244)
           
60,239,835
 
 
 
WARRANTS - 0.01%
               
Energy, Oil and Gas - 0.01%
               
Comstock Resources Inc expires 9/6/2018 at $995.12
   
3,438
     
26,198
 
 
               
TOTAL WARRANTS
(Cost $–)
           
26,198
 
 
               
Total Investments - 149.22%
(Cost $331,560,247)
           
321,176,227
 
 
               
Assets in Excess of Other Liabilities - 3.35%
     
7,198,425
 
Term Preferred Shares - (9.36)%
               
(plus distributions payable on term preferred shares)
     
(20,132,367
)
 
               
Leverage Facility - (43.21)%
     
(93,000,000
)
 
               
Net Assets - 100.00%           $ 215,242,285  
 
Amounts above are shown as a percentage of net assets as of September 30, 2016.
 
(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, 2016. 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 $45,029,842, which represents approximately 20.92% of net assets as of September 30, 2016. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(d)
Option to convert to pay-in-kind security.
(e)
Security is currently in default and is therefore non-income producing.

NOTE 1. ORGANIZATION

Blackstone / GSO Long-Short Credit Income Fund (the "Fund" or “BGX”) is a diversified, closed-end management investment company. BGX was organized as a Delaware statutory trust on October 22, 2010. BGX was registered under the Investment Company Act of 1940, as amended (the “1940 Act”), on October 26, 2010. BGX commenced operations on January 27, 2011. Prior to that date, BGX had no operations other than matters relating to its organization and the sale and issuance of 5,236 common shares of beneficial interest in BGX to GSO / Blackstone Debt Funds Management LLC (the “Adviser”) at a price of $19.10 per share. The Adviser serves as the investment adviser for BGX. BGX’s common shares are listed on the New York Stock Exchange (the “Exchange”) and trade under the ticker symbol “BGX.”

BGX’s primary investment objective is to provide current income, with a secondary objective of capital appreciation. BGX seeks to achieve its investment objectives by employing a dynamic long-short strategy in a diversified portfolio of loans and fixed-income instruments of predominantly U.S. corporate issuers, including first and second lien secured loans (‘‘Secured Loans’’ or “Loans”) and high-yield corporate debt securities of varying maturities. BGX’s long positions in loans and fixed-income instruments will typically be rated below investment grade at the time of purchase.

On December 19, 2014 the Board of Trustees approved a change to BGX’s investment guidelines that took effect in January 2015. Under the new investment guidelines, BGX’s long positions, either directly or through the use of derivatives, may total up to 150% of BGX’s net assets. The Fund’s short positions, either directly or through the use of derivatives, may total up to 30% of the Fund’s net assets. Subject to the preceding restrictions, the Fund’s total long and short positions, either directly or through the use of derivatives, may total up to 160% of the Fund’s net assets. Prior to the approval of such change, BGX’s long positions, either directly or through the use of derivatives, may have totaled up to 130% of the Fund's net assets, and its short positions, either directly or through the use of derivatives, may have totaled up to 30% of BGX’s net assets.

BGX was previously classified as a non-diversified investment company for purposes of the 1940 Act. As a result of ongoing operations, BGX is now classified as a diversified company, which 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. BGX 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. BGX is considered an investment company for financial reporting purposes under GAAP.
 
Portfolio Valuation: BGX’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 BGX’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. Collateralized Loan Obligations (“CLOs”) are valued at the price provided by a nationally recognized service. The prices provided by the nationally recognized service are typically based on the evaluated mid‐price of each of the CLOs. 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. Equity securities for which market quotations are available are generally valued at the last sale price or official closing price on the primary market or exchange on which they trade.  Any investments and other assets for which such current market quotations are not readily available are generally valued at fair value (“Fair Valued Assets”) as determined in good faith by a committee of the Adviser (“Fair Valued Asset Committee”) under procedures established by, and under the general supervision and responsibility of, the Fund’s Board of Trustees. A Fair Valued Asset Committee meeting may be called at any time by any member of the Fair Valued Asset Committee. The pricing of all Fair Valued Assets and determinations thereof shall be reported by the Fair Valued Asset Committee to the Board at each regularly scheduled quarterly meeting.


Various inputs are used to determine the value of BGX’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, 2016 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 BGX’s perceived risk of investing in those securities.
 
The following table summarizes the valuation of BGX’s investments under the fair value hierarchy levels as of September 30, 2016:
 
Blackstone / GSO Long-Short Credit Income Fund
 
Investments in Securities at Value*
 
Level 1 -
Quoted Prices
   
Level 2 -
Significant
Observable
Inputs
   
Level 3 -
Significant
Unobservable
Inputs
   
Total
 
Floating Rate Loan Interests
                       
Beverage, Food and Tobacco
 
$
   
$
2,000,429
   
$
2,450,194
   
$
4,450,623
 
Capital Equipment
   
     
1,937,583
     
1,500,000
     
3,437,583
 
Chemicals, Plastics and Rubber
   
     
4,448,015
     
2,027,442
     
6,475,457
 
Construction and Building
   
     
16,555,314
     
2,131,702
     
18,687,016
 
Consumer Goods Non Durable
   
     
3,284,458
     
757,059
     
4,041,517
 
Containers, Packaging and Glass
   
     
14,784,515
     
380,014
     
15,164,529
 
Environmental Industries
   
     
755,317
     
1,732,377
     
2,487,694
 
Healthcare and Pharmaceuticals
   
     
30,362,760
     
4,619,990
     
34,982,750
 
High Tech Industries
   
     
35,356,736
     
3,267,241
     
38,623,977
 
Services ‐ Business
   
     
20,343,469
     
4,524,670
     
24,868,139
 
Telecommunications
   
     
11,574,855
     
2,888,759
     
14,463,614
 
Transportation Consumer
   
     
486,281
     
3,007,972
     
3,494,253
 
Other
   
     
87,528,042
     
     
87,528,042
 
Convertible Corporate Bonds
   
     
2,205,000
     
     
2,205,000
 
Corporate Bonds
   
     
60,239,835
     
     
60,239,835
 
Warrants
   
     
26,198
     
     
26,198
 
Total
 
$
   
$
291,888,807
   
$
29,287,420
   
$
321,176,227
 


The changes of the fair value of investments for which BGX has used Level 3 inputs to determine the fair value are as follows:
 
Blackstone/GSO Long-Short Credit Income Fund
 
Floating Rate
Loan Interests
   
Collateralized
Loan Obligation
   
Total
 
Balance as of December 31, 2015
 
$
46,007,744
   
$
5,848,889
   
$
51,856,633
 
Accrued Discount/ Premium
   
68,941
     
21,779
     
90,720
 
Return of Capital
   
-
     
-
     
-
 
Realized Gain/(Loss)
   
(721,570
)
   
(526,895
)
   
(1,248,465
)
Change in Unrealized Appreciation/(Depreciation)
   
2,594,945
     
670,227
     
3,265,172
 
Purchases
   
14,997,908
     
-
     
14,997,908
 
Sales Proceeds
   
(18,629,867
)
   
(6,014,000
)
   
(24,643,867
)
Transfer into Level 3
   
3,735,801
     
-
     
3,735,801
 
Transfer out of Level 3
   
(18,766,482
)
   
-
     
(18,766,482
)
Balance as of September 30, 2016
 
$
29,287,420
   
$
-
   
$
29,287,420
 
Net change in unrealized appreciation/(depreciation) included in the Statements of Operations attributable to Level 3 investments held at September 30, 2016
 
$
794,654
   
$
-
   
$
794,654
 
 
Information about Level 3 fair value measurements as of September 30, 2016:
 
 
Fair Value at 9/30/2016
Valuation Technique(s)
Unobservable Input(s)
Value/Range
Floating Rate Loan Interests
$29,287,420
Third-party vendor pricing service
Vendor quotes
N/A
 
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. SECURED LOANS
 
BGX includes first and second lien secured, floating rate loans that are made to U.S. and, to a limited extent, non-U.S. corporations, partnerships, and other business entities ("Borrowers"), in its definition of "Secured Loans". Under normal market conditions, at least 70% of BGX’s Managed Assets (defined below) will be invested in Secured Loans. BGX defines its "Managed Assets" as total assets (including any assets attributable to any leverage used) minus the sum of BGX's accrued liabilities (other than liabilities related to the principal amount of leverage). At September 30, 2016, 78.75% of BGX’s Managed Assets were held in 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 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 loan 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 the senior obligations of the Borrower. At September 30, 2016, BGX had invested $46,964,516 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. BGX 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 BGX, 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.
 
Loans may not be considered "securities," and purchasers, such as the Fund, therefore may not be entitled to rely on the anti-fraud protections of the federal securities laws.
 
BGX may acquire Loans through assignments or participations. BGX typically acquires these Loans through assignment, and if BGX 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 BGX 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 BGX must acquire a Loan through a participation. BGX had no outstanding participations as of September 30, 2016.

NOTE 4. COLLATERALIZED LOAN OBLIGATIONS
 
BGX has invested in Collateralized Loan Obligations ("CLOs"). A CLO is a financing company (generally called a Special Purpose Vehicle ("SPV")), created to reapportion the risk and return characteristics of a pool of assets. While the assets underlying CLOs are typically Secured Loans, the assets may also include (i) unsecured loans, (ii) debt securities that are rated below investment grade, and (iii) equity securities incidental to investments in Secured Loans. When investing in CLOs, BGX will not invest in equity tranches, which are the lowest tranche. However, BGX may invest in lower tranches of CLOs, which typically experience a lower recovery, greater risk of loss or deferral or nonpayment of interest than more senior tranches of the CLO. In addition, BGX intends to invest in CLOs consisting primarily of individual Secured Loans of Borrowers and not repackaged CLO obligations from other high risk pools. The underlying Secured Loans purchased by CLOs are generally performing at the time of purchase but may become non-performing, distressed or defaulted. CLOs with underlying assets of non-performing, distressed or defaulted loans are not contemplated to comprise a significant portion of BGX’s investments in CLOs. The key feature of the CLO structure is the prioritization of the cash flows from a pool of debt securities among the several classes of the CLO. The SPV is a company founded solely for the purpose of securitizing payment claims arising out of this diversified asset pool. On this basis, marketable securities are issued by the SPV which, due to the diversification of the underlying risk, generally represent a lower level of risk than the original assets. The redemption of the securities issued by the SPV typically takes place at maturity out of the cash flow generated by the collected claims.
 
NOTE 5. LEVERAGE
 
The Fund entered into a Credit Agreement (the "Agreement") with a bank to borrow money pursuant to a 364‐day revolving line of credit ("Leverage Facility") dated July 29, 2014, as amended on January 26, 2015, July 28, 2015 and July 26, 2016, to borrow up to a limit of $112 million. Borrowings under the Agreement are secured by the assets of the Fund. Interest is charged at a rate of 0.80% 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 0.20% commitment fee on any undrawn amounts. Interest and fees are payable quarterly. The Fund may elect to extend the Agreement for a further 364‐day period with the consent of the lending bank. At September 30, 2016, BGX had borrowings outstanding under its Leverage Facility of $93 million, at an interest rate of 1.32%. Due to the short term nature of the Agreement, face value approximates fair value at September 30, 2016. This fair value is based on Level 2 inputs under the three‐tier fair valuation hierarchy (see Note 2). For the quarter ended September 30, 2016 the average borrowings under BGX's Leverage Facility and the average interest rate were $93,914,234 and 1.21%, respectively.
 
On July 27, 2016, BGX issued 20,000 Mandatory Redeemable Preferred Shares (“MRPS”) with an aggregate liquidation preference of $20 million, rated “AA” by Fitch Ratings. BGX used the proceeds of the offering to make additional investments for BGX’s portfolio. The final redemption date of the MRPS is July 27, 2023.  BGX makes quarterly dividend payments on the MRPS at an annual dividend rate of 3.61%.
 
Under the Agreement and the governing documents of the MRPS, 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, 2016, the Fund was in compliance with all required investment limitations and asset coverage requirements related to its leverage.
 
The use of leverage by 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. As of September 30, 2016, BGX's leverage represented 34.43% of the Fund’s Managed Assets (with the borrowings under the Leverage Facility representing 28.33% of Managed Assets and the MRPS representing 6.10% of Managed Assets).

NOTE 6. UNREALIZED APPRECIATION/(DEPRECIATION)
 
On September 30, 2016, based on a cost of $311,568,724 for federal income tax purposes, aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $5,575,563 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $15,968,060, resulting in net unrealized depreciation of $10,392,497.

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.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Blackstone / GSO Long-Short Credit Income Fund
 
     
By:
/s/ Daniel H. Smith, Jr.
 
 
Daniel H. Smith, Jr. (Principal Executive Officer)
 
 
Chairman, Chief Executive Officer and President
 
     
Date:
November 29, 2016
 
     
By:
/s/ Doris Lee-Silvestri
 
 
Doris Lee-Silvestri (Principal Financial Officer)
 
 
Treasurer and Chief Financial Officer
 
     
Date:
November 29, 2016
 
 
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 29, 2016
 
     
By:
/s/ Doris Lee-Silvestri
 
 
Doris Lee-Silvestri (Principal Financial Officer)
 
 
Treasurer and Chief Financial Officer
 
     
Date:
November 29, 2016
 
 
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