Refugio Research · Audit · Synthetic financing (TRS + written credit protection)

Audit: Synthetic financing (TRS + written credit protection) — FS Credit Income Fund

Latest observation · Monthly portfolio report (Form N-PORT) · filed 2026-05-22 · period 2026-03-31

gross synthetic-financing notional = TRS on FS Specialty Lending Fund (Nomura Global Financial Products, Inc.) 11,100,255 + TRS on Delivery Hero SE (BNP Paribas Financial Markets) 2,000,000 + TRS on BCPE North Star U.S. HoldCo 2, Inc. (BNP Paribas Financial Markets) 6,910,374 + TRS on American Auto Auction Group LLC (BNP Paribas Financial Markets) 7,805,020 + TRS on IXS Holdings, Inc. (BNP Paribas Financial Markets) 1,995,000 + TRS on Level 3 Financing, Inc. (BNP Paribas Financial Markets) 2,007,500 + TRS on WH Borrower LLC (BNP Paribas Financial Markets) 2,010,000 + TRS on S&S Holdings LLC (BNP Paribas Financial Markets) 1,999,000 + TRS on Gloves Buyer, Inc. (BNP Paribas Financial Markets) 6,952,475 + TRS on CPM Holdings, Inc. (BNP Paribas Financial Markets) 6,880,788 + TRS on Veritiv Corp. (BNP Paribas Financial Markets) 1,990,000 + TRS on Wilsonart LLC (BNP Paribas Financial Markets) 1,945,000 + TRS on M2S Group Holdings, Inc. (BNP Paribas Financial Markets) 1,984,000 + TRS on KDC/ONE Development Corp., Inc. (BNP Paribas Financial Markets) 5,820,412 + TRS on LSCS Holdings, Inc. (BNP Paribas Financial Markets) 1,950,000 + TRS on Glatfelter Corp. (BNP Paribas Financial Markets) 3,584,522 + TRS on Weber-Stephen Products LLC (BNP Paribas Financial Markets) 3,333,333 = 70,267,680 (10.27% of N-PORT net assets 684,256,327) — RELATED-PARTY: $11,100,255 of this notional references FS Specialty Lending Fund -- managed by the same sponsor (FS Investments); classifications human-reviewed (FS Credit Income Fund: 17 TRS reviewed iteration 16 (BNP/Nomura financing legs); docs/obs_phase2_findings.md); N-PORT accession 0001410368-26-050434 filed 2026-05-22

Method Matched text template against the filing

Open the filing on SEC.gov

Technical locator

gross synthetic-financing notional = TRS on FS Specialty Lending Fund (Nomura Global Financial Products, Inc.) 11,100,255 + TRS on Delivery Hero SE (BNP Paribas Financial Markets) 2,000,000 + TRS on BCPE North Star U.S. HoldCo 2, Inc. (BNP Paribas Financial Markets) 6,910,374 + TRS on American Auto Auction Group LLC (BNP Paribas Financial Markets) 7,805,020 + TRS on IXS Holdings, Inc. (BNP Paribas Financial Markets) 1,995,000 + TRS on Level 3 Financing, Inc. (BNP Paribas Financial Markets) 2,007,500 + TRS on WH Borrower LLC (BNP Paribas Financial Markets) 2,010,000 + TRS on S&S Holdings LLC (BNP Paribas Financial Markets) 1,999,000 + TRS on Gloves Buyer, Inc. (BNP Paribas Financial Markets) 6,952,475 + TRS on CPM Holdings, Inc. (BNP Paribas Financial Markets) 6,880,788 + TRS on Veritiv Corp. (BNP Paribas Financial Markets) 1,990,000 + TRS on Wilsonart LLC (BNP Paribas Financial Markets) 1,945,000 + TRS on M2S Group Holdings, Inc. (BNP Paribas Financial Markets) 1,984,000 + TRS on KDC/ONE Development Corp., Inc. (BNP Paribas Financial Markets) 5,820,412 + TRS on LSCS Holdings, Inc. (BNP Paribas Financial Markets) 1,950,000 + TRS on Glatfelter Corp. (BNP Paribas Financial Markets) 3,584,522 + TRS on Weber-Stephen Products LLC (BNP Paribas Financial Markets) 3,333,333 = 70,267,680 (10.27% of N-PORT net assets 684,256,327) | RELATED-PARTY: $11,100,255 of this notional references FS Specialty Lending Fund -- managed by the same sponsor (FS Investments) | classifications human-reviewed (FS Credit Income Fund: 17 TRS reviewed iteration 16 (BNP/Nomura financing legs); docs/obs_phase2_findings.md) | N-PORT accession 0001410368-26-050434 filed 2026-05-22

Extraction tiers, explained

Every stored observation below, newest first, with its extraction tier, the exact filing it came from, and the verbatim snippet it was read from. Derived values state their formula and constituent figures in the source line. Tiers: T1 = structured XBRL tag; T2 = matched text template; T3/R3 = narrative/term extraction.

Period	Value	Tier	Source filing	Provenance
2026-03-31	70,267,680.26	T1	NPORT-P 2026-05-22	gross synthetic-financing notional = TRS on FS Specialty Lending Fund (Nomura Global Financial Products, Inc.)… gross synthetic-financing notional = TRS on FS Specialty Lending Fund (Nomura Global Financial Products, Inc.) 11,100,255 + TRS on Delivery Hero SE (BNP Paribas Financial Markets) 2,000,000 + TRS on BCPE North Star U.S. HoldCo 2, Inc. (BNP Paribas Financial Markets) 6,910,374 + TRS on American Auto Auction Group LLC (BNP Paribas Financial Markets) 7,805,020 + TRS on IXS Holdings, Inc. (BNP Paribas Financial Markets) 1,995,000 + TRS on Level 3 Financing, Inc. (BNP Paribas Financial Markets) 2,007,500 + TRS on WH Borrower LLC (BNP Paribas Financial Markets) 2,010,000 + TRS on S&S Holdings LLC (BNP Paribas Financial Markets) 1,999,000 + TRS on Gloves Buyer, Inc. (BNP Paribas Financial Markets) 6,952,475 + TRS on CPM Holdings, Inc. (BNP Paribas Financial Markets) 6,880,788 + TRS on Veritiv Corp. (BNP Paribas Financial Markets) 1,990,000 + TRS on Wilsonart LLC (BNP Paribas Financial Markets) 1,945,000 + TRS on M2S Group Holdings, Inc. (BNP Paribas Financial Markets) 1,984,000 + TRS on KDC/ONE Development Corp., Inc. (BNP Paribas Financial Markets) 5,820,412 + TRS on LSCS Holdings, Inc. (BNP Paribas Financial Markets) 1,950,000 + TRS on Glatfelter Corp. (BNP Paribas Financial Markets) 3,584,522 + TRS on Weber-Stephen Products LLC (BNP Paribas Financial Markets) 3,333,333 = 70,267,680 (10.27% of N-PORT net assets 684,256,327) \| RELATED-PARTY: $11,100,255 of this notional references FS Specialty Lending Fund -- managed by the same sponsor (FS Investments) \| classifications human-reviewed (FS Credit Income Fund: 17 TRS reviewed iteration 16 (BNP/Nomura financing legs); docs/obs_phase2_findings.md) \| N-PORT accession 0001410368-26-050434 filed 2026-05-22 extracted 2026-07-10T12:22:44 · confidence 1.0