FS Credit Opportunities Corp. · NYSE:FSCO
FS Credit Opportunities — Investor Presentation (June 2022)
23 slides from FS Credit Opportunities's investor presentation, Jun 9, 2022
Slide 1: Q1 2022 performance summary & listing overview
“Ss FS INVESTMENTS" FS Credit Opportunities Corp. Q1 2022 performance summary & listing overview June 9, 2022
Slide 2: Agenda
Agenda 1 Credit market update Fund performance & portfolio positioning Listing overview Listing considerations Timeline of key events Investor resources 2 3 4 5 6
Slide 3: Credit market returns
Credit market returns High yield bond returns by credit rating Senior secured loan returns by credit rating 4% 14% _ syTo 2022 «2021 — om "YTD.2022. 92021 * 10% hsaded 488% a 2% | | o — —— 110% 740% 726% Hi |_| | 11% % ATI 105% 2.56% 285% “* 387% 16% % . ccc IE BotAML US, 88 8 ce SepLSTA 88 igh Vil
Slide 4: YTD high yield bond performance by industry
YTD high yield bond performance by industry Diversiied media Eneroy Paper and packaging Metals and mining Industrials ‘Transportation Gaming, odging & leisure Chemicals a Financials —eeeeeeees Services ee Telecommunications — Utility eI Food and beverages oe Healthcare —eeeeee Technology SSeS ‘Consu
Slide 5: Credit fundamentals remain solid
Credit fundamentals remain solid EBITDA growth Default rates 100% ™ ox —_Sihebont nm tees serene ee 10% s won 7 ws os om . Nl * 208 os 8 o coe are ase ane oxo aw ax oe eS ee cee Se JP Mea. Aol May 31,2022 a a 5
Slide 6: Spreads bounce off tights
Spreads bounce off tights High yield bond spreads (basis points) Senior secured loan spreads (basis points) lead Hy bond spreads 2500 ‘Loan spreads posters tht post csstoht 2.000 atime test co — nrtime ie 1,500 1,000 ° : Jan-07 Jan09 Jan Jan-t3 Janet Jan-t7 Jan-19 Jan-2t Jan-07 Jan-09 Jan-11 Jan-t3
Slide 7: Fund performance & portfolio positioning
Fund performance & portfolio positioning
Slide 8: Portfolio summary as of March 31, 2022
Portfolio summary as of March 31, 2022 $2.4B 98 64% 83% 1.3 years Total assets? Portfolio Floating rate? Secured debt?? duration companies ‘Asset type! Rate type 54% Senior Secured Loans ~ 1st Lien 8% Senior Secured Loans ~2nd Lien 64% _ Floating 21% Senior Secured Bonds 33% Fired 5% Subordinated De
Slide 9: Relative performance
Relative performance Total returns Annualized Since Distribution Q1'22 FY'21._1Year® 3Year® SYear® Inception” Rate’ Not pa EO OES om SPE Iiigh yield bonds? “ASK 54% -03% 4.4% 4.8% ‘senior secured loans” 0.1% 5.4% 3.2% 4.1% 4.0% Kcccrnedhihyilstonds” am 104% 10% 34% 10% 1.2% ICCCrratedsenior securedl
Slide 10: Progress since 2018
Progress since 2018 Focus areas + Continue to focus on catalyst-driven investments to seek to generate strong total return + Opportunistically deploy “dry powder” by investing in cash-replacement securities + Selectively enter into investments as portfolio hedge Asset allocation changes (417-Q122)'
Slide 11: Listing overview
Listing overview
Slide 12: FS Credit Opportunities Corp. listing overview
FS Credit Opportunities Corp. listing overview Company name Expected timeline Quarterly repurchase offer Fee structure changes & enhanced dividend Post-listing liquidity 1 Tal nd yl atatg my pe rd et NY done Fu a ak fy 22 Te pape ln eb SCD nt een FSD ‘Meo ate nots often ecco pees amare get aanare ey
Slide 13: Why a listing makes sense now
Why a listing makes sense now & platform $2.billion assets under ‘management, ranking as one ofthe largest credit focused closed-end funds! Potential benefits from the felationships and infrastructure Of FS Investments, a $34 ‘The FS Liquid Credit & Special Situations Group is a <edicated portiolo t
Slide 14: Track record of generating strong risk-adjusted returns
Track record of generating strong risk-adjusted returns FS Liquid Credit & Special Situations Group took over management responsibilities in January 2018 2013-2017: Adviser / Sub-Adviser management! Growth of $100,000 140,000 190,000 $120,000 110,000 $100,000 $90,000 20,000 Deo-13 reco Hon ls —S bee
Slide 15: Key considerations for the listing
Key considerations for the listing Current NAV FSCO vs. public peers
Slide 16: What is the difference between a direct listing and IPO?
What is the difference between a direct listing and IPO? Initial trading price New shares issued New capital raised by company Road shows with new potential investors FSCO’s direct listing Market-driven (supply & demand) No No Yes Initial public offering (IPO) Set price prior to listing Yes Yes Yes
Slide 17: Prior listings in perspective
Prior listings in perspective Valuations and stock prices have generally increased after initial downward pressure Price-to-book value (indexed) Daily trading volume as % of shares outstanding 0.90% 1.85% aon 16% 14% 0.88. 1.2% 084 10% 0.82% 0.80% oe. Day Day Day Day Day Day Day Day Day Day Day Day
Slide 18: Net asset value vs. public share price
Net asset value vs. public share price 1 imped osrate (Right hand sido) — FSCO’ sora dfaultrate (Right hand ie) an core “se cerpse Annem sie a meena ae, seco fss00 : Ben H 3ssu0 $200 s100 s000 ee vox bem osteo TH tae 2 Inne man ee nk a ty Waste ck sen ene pt a Key considerations If there is a high d
Slide 19: FSCO has significant scale vs. closed-end fund peers
FSCO has significant scale vs. closed-end fund peers Assets under management (§ millions) $2,401 $1,064 $614 $539 $408 FS | ares KKR spout FScoO BGB ARDC KIO AIF Sox cay os list ey tb etn SCD 88 ARI at AF we ae, 202 WO obey. 500 FS inst a 885 Basen Sang et Find NIC Nes ra: Ont Nn Fd
Slide 20: FSCO offers an attractive, fully-funded distribution
FSCO offers an attractive, fully-funded distribution Dividend yield based on net asset value Dividend coverage Annualized dividend as % of last reported NAV’ Net investment income as % of most recent distribution? | Potential dividend postistng 125% 117% 8.4% 10% 110% . 75% 700% : | I L L KIO ARDC F
Slide 21: Projected timeline of key events
Projected timeline of key events ‘Seek shareholder approval of listing-related proposals May June a Filed initial proxy Apri 29 May 12 une 22 Listing ‘statement Filed definitive Processed at tenders Shareholsermeeting | ERTSHSY proxy statement NYSE with the SEC Mid-May ‘Commenced shareholder - ‘Open
Slide 22: Investor resources
Investor resources ES www.fsproxy.com [EE] seems OQ
Slide 23: Disclosures
Disclosures FORWARD-LOOKING STATEMENTS ‘Statements included herein may constitute “Yorward-ooking” statements as that term is defined in Section 27A of the Securities Act of 1983, as amended (the Securities ‘Ac)), and Section 21€ ofthe Securities Exchange Act of 1834, as amended by the Private Secur
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