|
|
|
| ||||||
---|---|---|---|---|---|---|---|---|---|
|
|
|
|
|
|
| |||
|
|
|
|
|
|
| |||
|
|
|
|
|
|
| |||
|
|
|
|
|
|
| |||
|
|
|
|
|
|
| |||
|
|
|
|
|
|
| |||
|
|
|
|
|
|
| |||
|
|
|
|
|
|
| |||
|
|
|
|
|
|
| |||
|
|
|
|
|
|
| |||
|
|
|
|
|
|
| |||
| | | | | |
|
Weighted Average Loan Spread(4) |
|
|
5.35% |
|
|
Weighted Average Days to Reset |
|
|
51 |
|
|
Weighted Average Bond Coupon Rate |
|
|
9.50% |
|
|
Weighted Average Bond Duration (years) |
|
|
4.03 |
|
|
Average Position Size |
|
|
$1,578,783 |
|
|
Number of Positions |
|
|
117 |
|
| | | |
|
|
|
|
1 Month |
|
|
6 Month |
|
|
Since Inception(5) |
| ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
THL Credit Senior Loan Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
NAV(6) |
|
|
|
|
0.76 |
% |
|
|
|
|
|
4.57 |
% |
|
|
|
|
|
7.85 |
% |
|
|
|
Market Price |
|
|
|
|
0.70 |
% |
|
|
|
|
|
3.50 |
% |
|
|
|
|
|
(3.74 |
%) |
|
|
|
CS Leveraged Loan Index(7) |
|
|
|
|
0.60 |
% |
|
|
|
|
|
2.77 |
% |
|
|
|
|
|
4.41 |
% |
|
|
| | | | | | | | | | |
|
Fairpoint Communications, Inc., Term Loan - First Lien |
|
|
2.79% |
|
|
Mood Media Corporation, Term Loan - First Lien |
|
|
2.59% |
|
|
Cenage Learning Acquisitions, Inc., Term Loan - First Lien |
|
|
2.09% |
|
|
Harland Clarke Hldgs., Tranche B-3 Term Loan - First Lien |
|
|
2.06% |
|
|
Radio One, Inc., Term Loan - First Lien |
|
|
1.87% |
|
|
Merrill Communications LLC, Term Loan - First Lien |
|
|
1.76% |
|
|
Tech Finance, US Term Loan - First Lien |
|
|
1.63% |
|
|
Roundy’s Supermarkets, Inc., Term Loan - First Lien |
|
|
1.56% |
|
|
Checkout Holding Corp., Term Loan B - First Lien |
|
|
1.56% |
|
|
American Commercial Lines (Commercial Barge), Initial Term Loan - First Lien |
|
|
1.55% |
|
|
Total Top 10 Holdings |
|
|
19.46% |
|
| | | |
|
Business & Consumer Services |
|
|
16.34% |
|
|
Media: Advertising, Printing & Publishing |
|
|
6.74% |
|
|
Media: Diversified and Services |
|
|
6.62% |
|
|
Telecommunications |
|
|
6.40% |
|
|
Technology: Services |
|
|
5.31% |
|
|
Total Top 5 Industry Holdings |
|
|
41.41% |
|
| | | |
|
THL Credit Senior Loan Fund Schedule of Investments (unaudited) |
|
|
June 30, 2014 |
|
|
| |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Investments |
|
|
Principal |
|
|
Value |
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
Aerospace & Defense – 2.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
AM General LLC., Term B Facility − First Lien, 10.250%, 03/22/18 |
|
|
|
$ |
2,723,077 |
|
|
|
|
$ |
2,542,673 |
|
| ||
|
Pelican Products, Inc., Term Loan − Second Lien, 9.250%, 04/09/20(b) |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,015,000 |
|
| ||
|
Total Aerospace & Defense |
|
|
|
|
|
|
|
|
|
|
3,557,673 |
|
| ||
|
Automotive – 2.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Chrysler Group LLC, Tranche B Term Loan − First Lien, 3.500%, 05/24/17 |
|
|
|
|
748,077 |
|
|
|
|
|
751,642 |
|
| ||
|
Neenah Enterprises (Neenah Foundry), Term Loan − First Lien, 6.750%, 04/26/17 |
|
|
|
|
2,732,586 |
|
|
|
|
|
2,728,036 |
|
| ||
|
Total Automotive |
|
|
|
|
|
|
|
|
|
|
3,479,678 |
|
| ||
|
Banking, Finance, Insurance & Real Estate – 3.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Armor Holdco, Inc. (American Stock Transfer), Term Loan − First Lien, 5.750%, 06/26/20 |
|
|
|
|
485,705 |
|
|
|
|
|
486,919 |
|
| ||
|
Assured Partners Capital, Inc., Term Loan − First Lien, 4.500%, 03/19/21 |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,003,595 |
|
| ||
|
GENEX Services, Inc., Term Loan B − First Lien, 5.250%, 05/28/21(c) |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,008,125 |
|
| ||
|
GENEX Services, Inc., Initial Term Loan − Second Lien, 8.750%, 05/30/22(b) |
|
|
|
|
750,000 |
|
|
|
|
|
757,969 |
|
| ||
|
RJO Holdings Corp., Term Loan − First Lien, 6.900%, 12/10/15(b) |
|
|
|
|
1,166,568 |
|
|
|
|
|
1,102,407 |
|
| ||
|
Total Banking, Finance, Insurance & Real Estate |
|
|
|
|
|
|
|
|
|
|
4,359,015 |
|
| ||
|
Beverage, Food & Tobacco – 1.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Arctic Glacier U.S.A., Inc., 2014 Term B Loan − First Lien, 5.000%, 05/10/19(b) |
|
|
|
|
2,487,482 |
|
|
|
|
|
2,475,045 |
|
| ||
|
Candy Intermediate Holdings, Inc. (Ferrara Candy Co.), Initial Term Loan − First Lien, 7.500%, 06/18/18 |
|
|
|
|
248,731 |
|
|
|
|
|
246,140 |
|
| ||
|
Total Beverage, Food & Tobacco |
|
|
|
|
|
|
|
|
|
|
2,721,185 |
|
| ||
|
Business & Consumer Services – 21.7% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Affinion Group Holdings, Inc., Tranche B Term Loan − First Lien, 6.750%, 04/30/18 |
|
|
|
|
723,681 |
|
|
|
|
|
728,052 |
|
| ||
|
Arsloane Acquisition, LLC (Pitney Bowes), Tranche B Term Loan − First Lien, 7.500%, 10/01/19(b) |
|
|
|
|
992,500 |
|
|
|
|
|
1,003,666 |
|
| ||
|
Brickman Group Holdings, Inc., Initial Term Loan − First Lien, 4.000%, 12/18/20(c) |
|
|
|
|
1,748,750 |
|
|
|
|
|
1,734,244 |
|
| ||
|
Centerplate, Inc. (KPLT), Term Loan A − First Lien, 4.750%, 11/26/19 |
|
|
|
|
997,500 |
|
|
|
|
|
1,002,797 |
|
| ||
|
CT Technologies Intermediate Holdings, Inc. (HealthPort), Initial Term Loan − Second Lien, 9.250%, 10/04/20(b) |
|
|
|
|
500,000 |
|
|
|
|
|
505,625 |
|
| ||
|
Energy Solutions, LLC (Envirocare of Utah), Term Advance − First Lien, 6.75%, 05/29/20 |
|
|
|
|
2,250,000 |
|
|
|
|
|
2,279,059 |
|
| ||
|
Extreme Reach Inc., Initial Term Loan − First Lien, 6.750%, 02/07/20 |
|
|
|
|
1,695,750 |
|
|
|
|
|
1,719,067 |
|
| ||
|
Fitness International, LLC (LA Fitness), Term Loan B − First Lien, 5.000%, 06/10/20(c) |
|
|
|
|
1,000,000 |
|
|
|
|
|
997,815 |
|
| ||
|
Inmar, Inc., Initial Term Loan − First Lien, 4.250%, 01/27/21 |
|
|
|
|
2,000,000 |
|
|
|
|
|
1,982,500 |
|
| ||
|
Interactive Data Corporation, Term Loan − First Lien, 4.750%, 05/03/21 |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,010,005 |
|
| ||
|
LTCG Holdings Corp. (Long Term Care Group), Initial Term Loan − First Lien, 6.000%, 06/09/20(b) |
|
|
|
|
500,000 |
|
|
|
|
|
506,250 |
|
| ||
|
Merrill Communications LLC, Term Loan − First Lien, 5.750%, 03/08/18(b) |
|
|
|
|
3,330,882 |
|
|
|
|
|
3,393,336 |
|
| ||
| | | | | | | | |
|
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) |
|
|
June 30, 2014 |
|
|
| |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Investments |
|
|
Principal |
|
|
Value |
| ||||||||
|
Business & Consumer Services – 21.7% (continued) |
| | | | | | | | | | | | | | |
|
Millennium Laboratories, LLC, Tranche B Term Loan − First Lien, 5.250%, 04/16/21 |
|
|
|
$ |
2,000,000 |
|
|
|
|
$ |
2,023,340 |
|
| ||
|
Mitchell International, Inc., Initial Term Loan − First Lien, 4.500%, 10/13/20 |
|
|
|
|
995,000 |
|
|
|
|
|
1,000,801 |
|
| ||
|
North American Lifting Holdings, Inc. (TNT Crane), Initial Term Loan − Second Lien, 10.000%, 11/26/21(b) |
|
|
|
|
500,000 |
|
|
|
|
|
505,000 |
|
| ||
|
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan − Second Lien, 9.750%, 07/01/20(b) |
|
|
|
|
2,000,000 |
|
|
|
|
|
2,046,250 |
|
| ||
|
Renaissance Learning, Inc., Initial Term Loan − First Lien, 4.500%, 04/09/21 |
|
|
|
|
2,000,000 |
|
|
|
|
|
2,002,500 |
|
| ||
|
Renaissance Learning, Inc., Initial Term Loan − Second Lien, 8.000%, 04/11/22 |
|
|
|
|
1,000,000 |
|
|
|
|
|
999,375 |
|
| ||
|
SNL Financial LC, Term Loan − First Lien, 4.500%, 10/23/18(b) |
|
|
|
|
420,595 |
|
|
|
|
|
422,567 |
|
| ||
|
SunGard Availability Services Capital, Inc., Tranche B Term Loan − First Lien, 6.000%, 03/31/19(b) |
|
|
|
|
1,995,000 |
|
|
|
|
|
1,985,653 |
|
| ||
|
TCH-2 Holdings LLC (TravelClick), Term Loan − First Lien, 5.500%, 05/12/21(b) |
|
|
|
|
2,000,000 |
|
|
|
|
|
2,002,500 |
|
| ||
|
TCH-2 Holdings LLC (TravelClick), Initial Term Loan − Second Lien, 8.750%, 11/08/21(b) |
|
|
|
|
1,750,000 |
|
|
|
|
|
1,732,500 |
|
| ||
|
Total Business & Consumer Services |
|
|
|
|
|
|
|
|
|
|
31,582,902 |
|
| ||
|
Capital Goods – 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Crosby US Acquisition Corp., Initial Term Loan − First Lien, 4.000%, 11/23/20 |
|
|
|
|
995,000 |
|
|
|
|
|
995,622 |
|
| ||
|
Chemicals, Plastics & Rubber – 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
PeroxyChem LLC, Initial Term Loan − First Lien, 7.500%, 02/28/20(b) |
|
|
|
|
1,496,250 |
|
|
|
|
|
1,511,213 |
|
| ||
|
Construction & Engineering – 2.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
FR Utility Services LLC (Utility Services), Initial Term Loan − First Lien, 6.750%, 10/18/19(b) |
|
|
|
|
497,500 |
|
|
|
|
|
503,097 |
|
| ||
|
Power Buyer, LLC (Powerteam Services), Initial Term Loan − Second Lien, 8.250%, 11/06/20(b) |
|
|
|
|
2,500,000 |
|
|
|
|
|
2,450,000 |
|
| ||
|
Total Construction & Engineering |
|
|
|
|
|
|
|
|
|
|
2,953,097 |
|
| ||
|
Consumer Products: Durables – 4.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
FGI Operating Company, LLC (Freedom Group), Term B Loan − First Lien, 5.500%, 04/19/19(b) |
|
|
|
|
992,436 |
|
|
|
|
|
1,002,366 |
|
| ||
|
Hillman Companies, Inc., Term Loan − First Lien, 4.500%, 06/30/21(c) |
|
|
|
|
1,500,000 |
|
|
|
|
|
1,508,438 |
|
| ||
|
Paladin Brands Holding, Inc., Initial Loan − First Lien, 6.750%, 08/16/19(b) |
|
|
|
|
1,926,948 |
|
|
|
|
|
1,953,444 |
|
| ||
|
Visant Corp., Tranche B Term Loan − First Lien, 5.250%, 12/22/16 |
|
|
|
|
2,000,000 |
|
|
|
|
|
1,994,500 |
|
| ||
|
Total Consumer Products: Durables |
|
|
|
|
|
|
|
|
|
|
6,458,748 |
|
| ||
| | | | | | | | |
|
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) |
|
|
June 30, 2014 |
|
|
| |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Investments |
|
|
Principal |
|
|
Value |
| ||||||||
|
Consumer Products: Non Durables – 5.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Calceus Acquisition, Inc. (Cole Haan), Term B-1 Loan − First Lien, 5.000%, 02/01/20 |
|
|
|
$ |
1,985,000 |
|
|
|
|
$ |
1,976,732 |
|
| ||
|
Insight Pharmaceuticals, Term Loan − First Lien, 6.250%, 08/25/16(b) |
|
|
|
|
2,904,831 |
|
|
|
|
|
2,910,277 |
|
| ||
|
Topps Company, Inc., Term Loan − First Lien, 7.250%, 09/27/20(b) |
|
|
|
|
1,990,000 |
|
|
|
|
|
1,970,100 |
|
| ||
|
Vince Intermediate Holding, LLC, Initial Term Loan − First Lien, 6.000%, 11/27/19(b) |
|
|
|
|
685,714 |
|
|
|
|
|
695,143 |
|
| ||
|
Total Consumer Products: Non Durables |
|
|
|
|
|
|
|
|
|
|
7,552,252 |
|
| ||
|
Energy, Oil & Gas – 2.7% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
HGIM Corp. (Harvey Gulf), Term Loan B − First Lien, 5.500%, 06/18/20 |
|
|
|
|
2,982,487 |
|
|
|
|
|
2,970,065 |
|
| ||
|
ProPetro Services, Inc., Term Advance − First Lien, 7.250%, 09/30/19(b) |
|
|
|
|
962,500 |
|
|
|
|
|
974,531 |
|
| ||
|
Total Energy, Oil & Gas |
|
|
|
|
|
|
|
|
|
|
3,944,596 |
|
| ||
|
Healthcare & Pharmaceuticals – 4.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Alvogen Pharma US Inc., Term Loan − First Lien, 7.000%, 05/23/18(b) |
|
|
|
|
2,761,969 |
|
|
|
|
|
2,820,661 |
|
| ||
|
Bioscrip, Inc., Del Draw Term Loan − First Lien, 7.250%, 07/31/20(b) |
|
|
|
|
626,504 |
|
|
|
|
|
634,727 |
|
| ||
|
Bioscrip, Inc., Initial Term Loan − First Lien, 7.250%, 07/31/20(b) |
|
|
|
|
1,044,174 |
|
|
|
|
|
1,057,879 |
|
| ||
|
Ikaria, Inc., Initial Term Loan − First Lien, 5.000%, 02/12/21 |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,008,000 |
|
| ||
|
Ikaria, Inc., Initial Term Loan − Second Lien, 8.750%, 02/14/22 |
|
|
|
|
500,000 |
|
|
|
|
|
509,845 |
|
| ||
|
Total Healthcare & Pharmaceuticals |
|
|
|
|
|
|
|
|
|
|
6,031,112 |
|
| ||
|
Hotel, Gaming & Leisure – 4.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-1 − First Lien, 7.000%, 02/28/19(b) |
|
|
|
|
822,217 |
|
|
|
|
|
826,328 |
|
| ||
|
ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-2 − First Lien, 7.000%, 02/28/19(b) |
|
|
|
|
1,089,916 |
|
|
|
|
|
1,095,365 |
|
| ||
|
Caesars Entertainment Operating Company, Inc., Term Loan B-4 − First Lien, 9.500%, 10/31/16 |
|
|
|
|
989,637 |
|
|
|
|
|
995,699 |
|
| ||
|
Caesars Entertainment Operating Company, Inc., Term Loan B-7 − First Lien, 9.750%, 03/01/17 |
|
|
|
|
375,000 |
|
|
|
|
|
370,590 |
|
| ||
|
Caesars Entertainment Resort Properties, LLC, Term B Loans − First Lien, 7.000%, 10/12/20 |
|
|
|
|
995,000 |
|
|
|
|
|
1,002,776 |
|
| ||
|
Caesars Growth Properties Holdings, LLC, Term Loan − First Lien, 6.250%, 05/07/21 |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,001,980 |
|
| ||
|
Marina District Finance (Borgata), Term Loan B − First Lien, 6.750%, 08/15/18 |
|
|
|
|
995,000 |
|
|
|
|
|
1,009,144 |
|
| ||
|
Total Hotel, Gaming & Leisure |
|
|
|
|
|
|
|
|
|
|
6,301,882 |
|
| ||
|
Manufacturing – 4.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Ameriforge Group Inc., Initial Term Loan − Second Lien, 8.750%, 12/21/20(b) |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,025,000 |
|
| ||
|
Brand Energy & Infrastructure Services, Inc., Initial Term Loan − First Lien, 4.750%, 11/26/20 |
|
|
|
|
995,000 |
|
|
|
|
|
1,001,219 |
|
| ||
|
Gates Global Inc., Initial Term Loan − First Lien, 4.250%, 06/11/21(c) |
|
|
|
|
2,500,000 |
|
|
|
|
|
2,494,925 |
|
| ||
|
Phillips-Medisize Corp., Initial Term Loan − First Lien, 4.750%, 05/28/21(c) |
|
|
|
|
1,500,000 |
|
|
|
|
|
1,503,750 |
|
| ||
|
Veyance Technologies, Inc., Term Loan − First Lien, 5.250%, 09/08/17 |
|
|
|
|
481,621 |
|
|
|
|
|
483,123 |
|
| ||
|
Total Manufacturing |
|
|
|
|
|
|
|
|
|
|
6,508,017 |
|
| ||
| | | | | | | | |
|
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) |
|
|
June 30, 2014 |
|
|
| |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Investments |
|
|
Principal |
|
|
Value |
| ||||||||
|
Media: Advertising, Printing & Publishing – 9.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Cenage Learning Acquisitions, Inc., Term Loan − First Lien, 7.000%, 03/31/20 |
|
|
|
$ |
3,990,000 |
|
|
|
|
$ |
4,040,512 |
|
| ||
|
Checkout Holding Corp., Term Loan B − First Lien, 4.500%, 04/09/21 |
|
|
|
|
3,000,000 |
|
|
|
|
|
3,006,870 |
|
| ||
|
Harland Clarke Hldgs., Tranche B-3 Term Loans − First Lien, 7.000%, 05/22/18 |
|
|
|
|
3,900,000 |
|
|
|
|
|
3,973,145 |
|
| ||
|
RentPath, Inc., Term Loan − First Lien, 6.250%, 05/29/20(b) |
|
|
|
|
1,980,000 |
|
|
|
|
|
1,999,800 |
|
| ||
|
Total Media: Advertising, Printing & Publishing |
|
|
|
|
|
|
|
|
|
|
13,020,327 |
|
| ||
|
Media: Broadcasting & Subscription – 5.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
ION Media Networks, Inc., Term Loan − First Lien, 5.000%, 12/18/20 |
|
|
|
|
995,000 |
|
|
|
|
|
1,003,084 |
|
| ||
|
Radio One, Inc., Term Loan − First Lien, 7.500%, 03/31/16 |
|
|
|
|
3,524,369 |
|
|
|
|
|
3,608,073 |
|
| ||
|
Tribune Company, Initial Term Loan − First Lien, 4.000%, 12/27/20 |
|
|
|
|
1,990,000 |
|
|
|
|
|
1,996,836 |
|
| ||
|
TWCC Holding Corp., Term Loan − Second Lien, 7.000%, 06/26/20 |
|
|
|
|
2,000,000 |
|
|
|
|
|
1,985,940 |
|
| ||
|
Total Media: Broadcasting & Subscription |
|
|
|
|
|
|
|
|
|
|
8,593,933 |
|
| ||
|
Media: Diversified and Services – 8.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Deluxe Entertainment Services Group, Inc., Initial Term Loan − First Lien, 6.500%, 02/28/20 |
|
|
|
|
2,981,250 |
|
|
|
|
|
2,981,250 |
|
| ||
|
IMG Worldwide, Inc., Term Loan − First Lien, 5.250%, 05/06/21 |
|
|
|
|
2,000,000 |
|
|
|
|
|
2,017,500 |
|
| ||
|
Learfield Communications, Inc., 2014 Replacement Term Loan − First Lien, 4.500%, 10/09/20(b)(c) |
|
|
|
|
1,745,000 |
|
|
|
|
|
1,762,450 |
|
| ||
|
Learfield Communications, Inc., Initial Term Loan − Second Lien, 8.750%, 10/11/21(b) |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,020,625 |
|
| ||
|
Mood Media Corporation, Term Loan – First Lien, 7.000%, 05/01/19 |
|
|
|
|
4,987,500 |
|
|
|
|
|
5,003,085 |
|
| ||
|
Total Media: Diversified and Services |
|
|
|
|
|
|
|
|
|
|
12,784,910 |
|
| ||
|
Metals & Mining – 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
TMS International Corp. (Tube City), Term Loan B − First Lien, 4.500%, 10/16/20 |
|
|
|
|
497,500 |
|
|
|
|
|
500,923 |
|
| ||
|
Restaurants – 3.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
CEC Entertainment, Inc., Tranche B Term Loan − First Lien, 4.250%, 02/15/21 |
|
|
|
|
1,995,000 |
|
|
|
|
|
1,985,025 |
|
| ||
|
Steak n Shake Operations, Inc., Term Loan − First Lien, 4.750%, 03/17/21 |
|
|
|
|
1,995,000 |
|
|
|
|
|
2,002,481 |
|
| ||
|
TGI Friday’s, Inc., Term Loan − Second Lien, 9.250%, 06/20/21(c) |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,003,750 |
|
| ||
|
Total Restaurants |
|
|
|
|
|
|
|
|
|
|
4,991,256 |
|
| ||
|
Retail – 5.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Albertson’s LLC, Term Loan B-2 − First Lien, 4.750%, 03/21/19(c) |
|
|
|
|
1,200,000 |
|
|
|
|
|
1,207,998 |
|
| ||
|
Charming Charlie LLC, Initial Term Loan − First Lien, 9.000%, 12/18/19(b) |
|
|
|
|
997,500 |
|
|
|
|
|
1,009,969 |
|
| ||
|
CWGS Group, LLC (Camping World), Term Loan B − First Lien, 5.750%, 02/20/20 |
|
|
|
|
1,975,000 |
|
|
|
|
|
1,997,229 |
|
| ||
|
Roundy’s Supermarkets, Inc., Tranche B Term Loan − First Lien, 5.750%, 03/03/21 |
|
|
|
|
3,000,000 |
|
|
|
|
|
3,013,125 |
|
| ||
|
Total Retail |
|
|
|
|
|
|
|
|
|
|
7,228,321 |
|
| ||
|
Sovereign & Public Finance – 0.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
St. George’s University Scholastic Services LLC, Term Loan − First Lien, 8.500%, 12/20/17(b) |
|
|
|
|
1,313,908 |
|
|
|
|
|
1,328,690 |
|
| ||
| | | | | | | | |
|
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) |
|
|
June 30, 2014 |
|
|
| |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Investments |
|
|
Principal |
|
|
Value |
| ||||||||
|
Technology: Hardware – 2.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Eastman Kodak Company, Term Loan − First Lien, 7.250%, 09/03/19 |
|
|
|
$ |
992,481 |
|
|
|
|
$ |
1,009,850 |
|
| ||
|
Tech Finance, US Term Loan − First Lien, 7.250%, 07/11/20 |
|
|
|
|
3,112,649 |
|
|
|
|
|
3,155,464 |
|
| ||
|
Total Technology: Hardware |
|
|
|
|
|
|
|
|
|
|
4,165,314 |
|
| ||
|
Technology: Semiconductor – 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan − First Lien, 4.500%, 05/08/21(b) |
|
|
|
|
637,500 |
|
|
|
|
|
643,078 |
|
| ||
|
Technology: Services – 7.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Ability Networks Inc., Initial Term Loan − Second Lien, 9.250%, 05/16/22(b) |
|
|
|
|
400,000 |
|
|
|
|
|
402,000 |
|
| ||
|
Ascensus, Inc., Initial Term Loan − Second Lien, 9.000%, 12/02/20(b) |
|
|
|
|
500,000 |
|
|
|
|
|
511,250 |
|
| ||
|
ConvergeOne Holdings Corporation, Term Loan − First Lien, 6.000%, 06/17/20 |
|
|
|
|
1,500,000 |
|
|
|
|
|
1,503,750 |
|
| ||
|
First Data Corporation, 2018B New Term Loan − First Lien, 4.155%, 09/24/18 |
|
|
|
|
1,500,000 |
|
|
|
|
|
1,503,480 |
|
| ||
|
MH Sub I, LLC & Micro (Internet Brands), Delayed Draw Term Loan − First Lien, 5.000%, 09/26/21(c) |
|
|
|
|
196,078 |
|
|
|
|
|
195,996 |
|
| ||
|
MH Sub I, LLC & Micro (Internet Brands), Term Loan − First Lien, 5.000%, 06/26/21(c) |
|
|
|
|
1,803,922 |
|
|
|
|
|
1,803,164 |
|
| ||
|
Micro Holding, L.P. (Internet Brands), Initial Term Loan − First Lien, 6.250%, 03/18/19 |
|
|
|
|
1,492,443 |
|
|
|
|
|
1,493,839 |
|
| ||
|
Presidio, Inc., Term Loan − First Lien, 5.000%, 03/31/17 |
|
|
|
|
2,830,031 |
|
|
|
|
|
2,848,158 |
|
| ||
|
Total Technology: Services |
|
|
|
|
|
|
|
|
|
|
10,261,637 |
|
| ||
|
Technology: Software – 7.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Attachmate Corporation, Term Loan − Second Lien, 11.000%, 11/22/18 |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,015,000 |
|
| ||
|
Deltek, Inc., Term Loan − Second Lien, 10.000%, 10/10/19 |
|
|
|
|
2,650,000 |
|
|
|
|
|
2,711,281 |
|
| ||
|
Hyland Software, Inc., Term Loan − First Lien, 4.750%, 02/19/21 |
|
|
|
|
997,500 |
|
|
|
|
|
1,004,991 |
|
| ||
|
Lanyon Solutions, Inc., Term Loan − First Lien, 5.500%, 11/13/20(b) |
|
|
|
|
1,994,989 |
|
|
|
|
|
1,988,765 |
|
| ||
|
RP Crown Parent, LLC (Red Prairie), Term Loan B − First Lien, 6.000%, 12/21/18 |
|
|
|
|
1,488,750 |
|
|
|
|
|
1,491,541 |
|
| ||
|
RP Crown Parent, LLC (Red Prairie), Term Loan − Second Lien, 11.250%, 12/21/19 |
|
|
|
|
2,000,000 |
|
|
|
|
|
2,022,500 |
|
| ||
|
Total Technology: Software |
|
|
|
|
|
|
|
|
|
|
10,234,078 |
|
| ||
|
Telecommunications – 8.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
4L Technologies Inc. (Clover Technologies), Initial Term Loan − First Lien, 5.500%, 05/08/20 |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,001,965 |
|
| ||
|
Alcatel-Lucent USA Inc., US Term Loan − First Lien, 4.500%, 01/30/19 |
|
|
|
|
1,989,899 |
|
|
|
|
|
1,994,098 |
|
| ||
|
Avaya, Inc., Term Loan B-6 − First Lien, 6.500%, 03/31/18 |
|
|
|
|
2,000,000 |
|
|
|
|
|
2,005,000 |
|
| ||
|
Fairpoint Communications, Inc., Term Loan − First Lien, 7.500%, 02/14/19 |
|
|
|
|
5,190,528 |
|
|
|
|
|
5,386,262 |
|
| ||
|
Ntelos Inc., Term B Advance − First Lien, 5.750%, 11/09/19 |
|
|
|
|
1,979,887 |
|
|
|
|
|
1,984,836 |
|
| ||
|
Total Telecommunications |
|
|
|
|
|
|
|
|
|
|
12,372,161 |
|
| ||
|
Transportation: Services – 3.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
American Commercial Lines (Commercial Barge), Initial Term Loan − First Lien, 7.500%, 09/22/19(b) |
|
|
|
|
2,969,925 |
|
|
|
|
|
2,992,199 |
|
| ||
|
Sirva Worldwide, Inc., Term Loan − First Lien, 7.500%, 03/27/19(b) |
|
|
|
|
1,481,250 |
|
|
|
|
|
1,514,578 |
|
| ||
|
Total Transportation: Services |
|
|
|
|
|
|
|
|
|
|
4,506,777 |
|
| ||
| | | | | | | | |
|
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (concluded) |
|
|
June 30, 2014 |
|
|
| |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Investments |
|
|
Principal |
|
|
Value |
| ||||||||
|
Wholesale – 3.9% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Envision Acquisition Company, LLC, Initial Term Loan − First Lien, 5.750%, 11/04/20(b) |
|
|
|
$ |
496,250 |
|
|
|
|
$ |
501,833 |
|
| ||
|
Envision Acquisition Company, LLC, Initial Term Loan − Second Lien, 9.750%, 11/04/21 |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,015,000 |
|
| ||
|
FPC Holdings, Inc. (Fleetpride), Initial Term Loan − First Lien, 5.250%, 11/19/19(b) |
|
|
|
|
1,190,922 |
|
|
|
|
|
1,187,945 |
|
| ||
|
P2 Lower Acquisition, Inc. (Progressive Solutions), Initial Term Loan − First Lien, 5.500%, 10/22/20 |
|
|
|
|
900,266 |
|
|
|
|
|
904,205 |
|
| ||
|
P2 Lower Acquisition, Inc. (Progressive Solutions), Initial Term Loan − Second Lien, 9.500%, 10/22/21(b)(c) |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,005,000 |
|
| ||
|
P2 Upstream Acquisition Co., Term Loan − Second Lien, 9.000%, 04/30/21 |
|
|
|
|
1,000,000 |
|
|
|
|
|
1,019,580 |
|
| ||
|
Total Wholesale |
|
|
|
|
|
|
|
|
|
|
5,633,563 |
|
| ||
|
Total Senior Loans (Cost $182,233,647) |
|
|
|
|
|
|
|
|
|
|
184,221,960 |
|
| ||
|
CORPORATE BONDS – 0.3% (0.3% of Total Investments) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Beverage, Food & Tobacco – 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Innovation Ventures (5 Hour Energy), 9.500%, 08/15/19‡ (Cost $463,769) |
|
|
|
|
500,000 |
|
|
|
|
|
495,625 |
|
| ||
|
MONEY MARKET FUND – 5.9% (4.4% of Total Investments) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
Shares |
|
|
|
|
|
|
| |||||
|
Morgan Stanley Institutional Liquidity Treasury Portfolio − Institutional Share Class, 0.03%(d) (Cost $8,522,405) |
|
|
|
|
8,522,405 |
|
|
|
|
|
8,522,405 |
|
| ||
|
Total Investments in Securities − 133.0% (Cost $191,219,821) |
|
|
|
|
|
|
|
|
|
|
193,239,990 |
|
| ||
|
Line of Credit Payable (Cost $36,000,000) – (24.8)% |
|
|
|
|
|
|
|
|
|
|
(36,000,000 |
) |
|
| |
|
Liabilities in Excess of Other Assets – (8.2%) |
|
|
|
|
|
|
|
|
|
|
(12,009,304 |
) |
|
| |
|
Net Assets – 100.0% |
|
|
|
|
|
|
|
|
|
$ |
145,230,686 |
|
| ||
| | | | | | | | |
|
SUMMARY OF SCHEDULE OF INVESTMENTS (unaudited) |
|
|
% of Net Assets |
| ||||
---|---|---|---|---|---|---|---|---|---|
|
Aerospace & Defense |
|
|
|
|
2.4 |
% |
|
|
|
Automotive |
|
|
|
|
2.4 |
|
| |
|
Banking, Finance, Insurance & Real Estate |
|
|
|
|
3.0 |
|
| |
|
Beverage, Food & Tobacco |
|
|
|
|
2.2 |
|
| |
|
Business & Consumer Services |
|
|
|
|
21.7 |
|
| |
|
Capital Goods |
|
|
|
|
0.7 |
|
| |
|
Chemicals, Plastics & Rubber |
|
|
|
|
1.0 |
|
| |
|
Construction & Engineering |
|
|
|
|
2.0 |
|
| |
|
Consumer Products: Durables |
|
|
|
|
4.4 |
|
| |
|
Consumer Products: Non Durables |
|
|
|
|
5.2 |
|
| |
|
Energy, Oil & Gas |
|
|
|
|
2.7 |
|
| |
|
Healthcare & Pharmaceuticals |
|
|
|
|
4.2 |
|
| |
|
Hotel, Gaming & Leisure |
|
|
|
|
4.3 |
|
| |
|
Manufacturing |
|
|
|
|
4.5 |
|
| |
|
Media: Advertising, Printing & Publishing |
|
|
|
|
9.0 |
|
| |
|
Media: Broadcasting & Subscription |
|
|
|
|
5.9 |
|
| |
|
Media: Diversified and Services |
|
|
|
|
8.8 |
|
| |
|
Metals & Mining |
|
|
|
|
0.4 |
|
| |
|
Restaurants |
|
|
|
|
3.4 |
|
| |
|
Retail |
|
|
|
|
5.0 |
|
| |
|
Sovereign & Public Finance |
|
|
|
|
0.9 |
|
| |
|
Technology: Hardware |
|
|
|
|
2.9 |
|
| |
|
Technology: Semiconductor |
|
|
|
|
0.4 |
|
| |
|
Technology: Services |
|
|
|
|
7.1 |
|
| |
|
Technology: Software |
|
|
|
|
7.1 |
|
| |
|
Telecommunications |
|
|
|
|
8.5 |
|
| |
|
Transportation: Services |
|
|
|
|
3.1 |
|
| |
|
Wholesale |
|
|
|
|
3.9 |
|
| |
|
Money Market Fund |
|
|
|
|
5.9 |
|
| |
|
Total Investments |
|
|
|
|
133.0 |
|
| |
|
Line of Credit Payable |
|
|
|
|
(24.8 |
) |
|
|
|
Liabilities in Excess of Other Assets |
|
|
|
|
(8.2 |
) |
|
|
|
Net Assets |
|
|
|
|
100.0 |
% |
|
|
| | | | | |
|
THL Credit Senior Loan Fund Statement of Assets and Liabilities |
|
|
June 30, 2014 (unaudited) |
| ||||
---|---|---|---|---|---|---|---|---|---|
|
|
|
|
|
|
|
| ||
|
Investments, at value (cost $191,219,821) |
|
|
|
$ |
193,239,990 |
|
| |
|
Cash |
|
|
|
|
650,211 |
|
| |
|
Receivable for investments sold |
|
|
|
|
1,382,267 |
|
| |
|
Interest receivable |
|
|
|
|
680,490 |
|
| |
|
Prepaid expenses |
|
|
|
|
37,011 |
|
| |
|
Total Assets |
|
|
|
|
195,989,969 |
|
| |
|
LIABILITIES |
|
|
|
|
|
|
| |
|
Borrowings (Note 4) |
|
|
|
|
36,000,000 |
|
| |
|
Payable for investments purchased |
|
|
|
|
14,358,292 |
|
| |
|
Advisory fee payable (Note 5) |
|
|
|
|
159,117 |
|
| |
|
Investor support services fee payable (Note 5) |
|
|
|
|
7,577 |
|
| |
|
Accrued interest on borrowings |
|
|
|
|
34,477 |
|
| |
|
Other accrued expenses |
|
|
|
|
199,820 |
|
| |
|
Total Liabilities |
|
|
|
|
50,759,283 |
|
| |
|
Net Assets |
|
|
|
$ |
145,230,686 |
|
| |
|
COMPOSITION OF NET ASSETS |
|
|
|
|
|
|
| |
|
Paid-in-capital |
|
|
|
$ |
141,400,891 |
|
| |
|
Undistributed net investment income |
|
|
|
|
372,444 |
|
| |
|
Accumulated net realized gain on investments |
|
|
|
|
1,437,182 |
|
| |
|
Net unrealized appreciation on investments |
|
|
|
|
2,020,169 |
|
| |
|
Net Assets |
|
|
|
$ |
145,230,686 |
|
| |
|
Common Shares Outstanding (unlimited shares authorized; $0.001 per share par value) |
|
|
|
|
7,418,714 |
|
| |
|
Net Asset Value Per Share |
|
|
|
$ |
19.58 |
|
| |
| | | | | |
|
THL Credit Senior Loan Fund Statement of Operations |
|
|
For the Six Months Ended June 30, 2014 (unaudited) |
| ||||
---|---|---|---|---|---|---|---|---|---|
|
|
|
|
|
|
|
| ||
|
Interest |
|
|
|
$ |
6,696,404 |
|
| |
|
Dividends |
|
|
|
|
849 |
|
| |
|
Total Investment Income |
|
|
|
|
6,697,253 |
|
| |
|
EXPENSES: |
|
|
|
|
|
|
| |
|
Advisory fees |
|
|
|
|
967,974 |
|
| |
|
Interest expense & fees on borrowings |
|
|
|
|
249,819 |
|
| |
|
Professional fees |
|
|
|
|
123,973 |
|
| |
|
Administration fees |
|
|
|
|
55,644 |
|
| |
|
Insurance expense |
|
|
|
|
53,426 |
|
| |
|
Trustees’ fees and expenses |
|
|
|
|
50,956 |
|
| |
|
Investor support services fees |
|
|
|
|
46,094 |
|
| |
|
Compliance fees |
|
|
|
|
24,785 |
|
| |
|
Printing and mailing expense |
|
|
|
|
17,257 |
|
| |
|
Custodian fees |
|
|
|
|
15,855 |
|
| |
|
NYSE listing fee |
|
|
|
|
12,403 |
|
| |
|
Transfer agent fees |
|
|
|
|
7,526 |
|
| |
|
Other expenses |
|
|
|
|
48,548 |
|
| |
|
Total Expenses |
|
|
|
|
1,674,260 |
|
| |
|
Net Investment Income |
|
|
|
|
5,022,993 |
|
| |
|
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS: |
|
|
|
|
|
|
| |
|
Net realized gain on investments |
|
|
|
|
1,046,801 |
|
| |
|
Net change in unrealized appreciation of investments |
|
|
|
|
411,744 |
|
| |
|
Net realized and unrealized gain on investments |
|
|
|
|
1,458,545 |
|
| |
|
Net Increase in Net Assets on investments |
|
|
|
$ |
6,481,538 |
|
| |
| | | | | |
|
THL Credit Senior Loan Fund Statement of Changes in Net Assets |
|
|
For the Six Months Ended June 30, 2014 (unaudited) |
|
|
For the Period September 20, 2013 to December 31, 2013 |
| ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
|
|
|
|
|
|
| | | | | | | | ||
|
Net investment income |
|
|
|
$ |
5,022,993 |
|
|
|
|
$ |
2,409,756 |
|
| ||
|
Net realized gain on investments |
|
|
|
|
1,046,801 |
|
|
|
|
|
392,692 |
|
| ||
|
Net change in unrealized appreciation on investments |
|
|
|
|
411,744 |
|
|
|
|
|
1,608,425 |
|
| ||
|
Net increase in net assets from operations |
|
|
|
|
6,481,538 |
|
|
|
|
|
4,410,873 |
|
| ||
|
DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
| | | | | | | | |
|
From net investment income |
|
|
|
|
(5,296,962 |
) |
|
|
|
|
|
(1,765,654 |
) |
|
|
|
CAPITAL STOCK TRANSACTION: |
|
|
|
|
|
|
| | | | | | | | |
|
Proceeds from sale of Common Shares (net of offering costs of $296,539) |
|
|
|
|
— |
|
|
|
|
|
141,400,891 |
|
| ||
|
Net Increase in Net Assets |
|
|
|
|
1,184,576 |
|
|
|
|
|
144,046,110 |
|
| ||
|
Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Beginning of Period |
|
|
|
$ |
144,046,110 |
|
|
|
|
|
— |
|
| ||
|
End of Period |
|
|
|
$ |
145,230,686 |
|
|
|
|
$ |
144,046,110 |
|
| ||
|
Undistributed Net Investment Income |
|
|
|
$ |
372,444 |
|
|
|
|
$ |
646,527 |
|
| ||
| | | | | | | | |
|
|
|
|
|
|
|
| ||
|
Net increase in net assets from operations |
|
|
|
$ |
6,481,538 |
|
| |
|
Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: |
| | | | | | | |
|
Purchases of long-term investments |
|
|
|
|
(114,662,432 |
) |
|
|
|
Proceeds from sales of long-term investments |
|
|
|
|
119,878,081 |
|
| |
|
Net increase in short-term investments |
|
|
|
|
(3,703,852 |
) |
|
|
|
Net change in unrealized appreciation on investments |
|
|
|
|
(411,744 |
) |
|
|
|
Net accretion/amortization of premium or discount |
|
|
|
|
(166,947 |
) |
|
|
|
Net decrease in realized gains from principal paydowns |
|
|
|
|
6,409 |
|
| |
|
Net realized gain on investments |
|
|
|
|
(1,046,801 |
) |
|
|
|
Decrease in receivable for investments sold |
|
|
|
|
2,100,814 |
|
| |
|
Decrease in interest receivable |
|
|
|
|
378,997 |
|
| |
|
Decrease in prepaid expenses |
|
|
|
|
40,529 |
|
| |
|
Increase in payable for investments purchased |
|
|
|
|
6,121,366 |
|
| |
|
Decrease in advisory fee payable |
|
|
|
|
(8,451 |
) |
|
|
|
Decrease in investor support services fee payable |
|
|
|
|
(402 |
) |
|
|
|
Increase in accrued interest on borrowing |
|
|
|
|
13,207 |
|
| |
|
Increase in other accrued expenses |
|
|
|
|
60,534 |
|
| |
|
Net cash provided for operating activities |
|
|
|
|
15,080,846 |
|
| |
|
Cash Flows from Financing Activities: |
|
|
|
|
|
|
| |
|
Net repayments of borrowings |
|
|
|
|
(10,000,000 |
) |
|
|
|
Cash distributions paid |
|
|
|
|
(5,296,962 |
) |
|
|
|
Net cash used by financing activities |
|
|
|
|
(15,296,962 |
) |
|
|
|
Net decrease in cash |
|
|
|
|
(216,116 |
) |
|
|
|
Cash, beginning of period |
|
|
|
|
866,327 |
|
| |
|
Cash, end of period |
|
|
|
$ |
650,211 |
|
| |
|
Supplemental disclosure of cash flow information: |
|
|
|
|
|
|
| |
|
Cash paid for interest on borrowings |
|
|
|
$ |
236,476 |
|
| |
| | | | | |
|
THL Credit Senior Loan Fund Financial Highlights |
|
|
For the Six Months Ended June 30, 2014 (unaudited) |
|
|
For the Period September 20, 2013 to December 31, 2013 |
| ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
|
|
|
|
|
|
| | | | | | | | ||
|
Per Share Operating Performance |
| | | | | | | | | | | | | | |
|
Net asset value, beginning of period |
|
|
|
$ |
19.42 |
|
|
|
|
$ |
19.06 |
|
| ||
|
Operations: |
|
|
|
|
|
|
| | | | | | | | |
|
Net investment income(1) |
|
|
|
|
0.68 |
|
|
|
|
|
0.33 |
|
| ||
|
Net realized and unrealized gain on investments(2) |
|
|
|
|
0.19 |
|
|
|
|
|
0.27 |
|
| ||
|
Total income from operations |
|
|
|
|
0.87 |
|
|
|
|
|
0.60 |
|
| ||
|
Distributions to shareholders from: |
|
|
|
|
|
|
| | | | | | | | |
|
Net investment income |
|
|
|
|
(0.71 |
) |
|
|
|
|
|
(0.24 |
) |
|
|
|
Net assets value per share, end of period |
|
|
|
$ |
19.58 |
|
|
|
|
$ |
19.42 |
|
| ||
|
Market price per share, end of period |
|
|
|
$ |
18.28 |
|
|
|
|
$ |
18.36 |
|
| ||
|
Total investment return:(3) |
|
|
|
|
|
|
| | | | | | | | |
|
Net asset value(4) |
|
|
|
|
4.57 |
% |
|
|
|
|
|
3.15 |
% |
|
|
|
Market value |
|
|
|
|
3.50 |
% |
|
|
|
|
|
(7.00 |
)% |
|
|
|
Ratios/Supplemental Data: |
|
|
|
|
|
|
| | | | | | | | |
|
Net assets, end of period (000s) |
|
|
|
$ |
145,231 |
|
|
|
|
$ |
144,046 |
|
| ||
|
Ratio of expenses, including interest on borrowings, to average net assets(5) |
|
|
|
|
2.33 |
% |
|
|
|
|
|
2.46 |
% |
|
|
|
Ratio of expenses, excluding interest on borrowings, to average net assets(5) |
|
|
|
|
1.98 |
% |
|
|
|
|
|
2.18 |
% |
|
|
|
Ratio of net investment income, including interest on borrowings, to average net assets(5) |
|
|
|
|
6.99 |
% |
|
|
|
|
|
6.14 |
% |
|
|
|
Ratio of net investment income, excluding interest on borrowings, to average net assets(5) |
|
|
|
|
7.34 |
% |
|
|
|
|
|
6.41 |
% |
|
|
|
Portfolio turnover rate |
|
|
|
|
61 |
% |
|
|
|
|
|
20 |
% |
|
|
|
Borrowings: |
|
|
|
|
|
|
| | | | | | | | |
|
Aggregate principal amount, end of period (000s) |
|
|
|
$ |
36,000 |
|
|
|
|
$ |
46,000 |
|
| ||
|
Average borrowings outstanding during the period (since the first borrowing was made on October 15, 2013) (000s) |
|
|
|
$ |
40,978 |
|
|
|
|
$ |
40,308 |
|
| ||
|
Asset coverage, end of period per $1,000 of debt(6) |
|
|
|
$ |
5,034 |
|
|
|
|
$ |
4,131 |
|
| ||
| | | | | | | | |
|
Asset Type |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
| ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Senior Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
Aerospace & Defense |
|
|
|
$ |
— |
|
|
|
|
$ |
2,542,673 |
|
|
|
|
$ |
1,015,000 |
|
|
|
|
$ |
3,557,673 |
|
| ||||
|
Automotive |
|
|
|
|
— |
|
|
|
|
|
3,479,678 |
|
|
|
|
|
— |
|
|
|
|
|
3,479,678 |
|
| ||||
|
Banking, Finance, Insurance & Real Estate |
|
|
|
|
— |
|
|
|
|
|
2,498,639 |
|
|
|
|
|
1,860,376 |
|
|
|
|
|
4,359,015 |
|
| ||||
|
Beverage, Food & Tobacco |
|
|
|
|
— |
|
|
|
|
|
246,140 |
|
|
|
|
|
2,475,045 |
|
|
|
|
|
2,721,185 |
|
| ||||
|
Business & Consumer Services |
|
|
|
|
— |
|
|
|
|
|
17,479,555 |
|
|
|
|
|
14,103,347 |
|
|
|
|
|
31,582,902 |
|
| ||||
|
Capital Goods |
|
|
|
|
— |
|
|
|
|
|
995,622 |
|
|
|
|
|
— |
|
|
|
|
|
995,622 |
|
| ||||
|
Chemicals, Plastics & Rubber |
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
1,511,213 |
|
|
|
|
|
1,511,213 |
|
| ||||
|
Construction & Engineering |
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
2,953,097 |
|
|
|
|
|
2,953,097 |
|
| ||||
|
Consumer Products: Durables |
|
|
|
|
— |
|
|
|
|
|
3,502,938 |
|
|
|
|
|
2,955,810 |
|
|
|
|
|
6,458,748 |
|
| ||||
|
Consumer Products: Non Durables |
|
|
|
|
— |
|
|
|
|
|
1,976,732 |
|
|
|
|
|
5,575,520 |
|
|
|
|
|
7,552,252 |
|
| ||||
|
Energy, Oil & Gas |
|
|
|
|
— |
|
|
|
|
|
2,970,065 |
|
|
|
|
|
974,531 |
|
|
|
|
|
3,944,596 |
|
| ||||
|
Healthcare & Pharmaceuticals |
|
|
|
|
— |
|
|
|
|
|
1,517,845 |
|
|
|
|
|
4,513,267 |
|
|
|
|
|
6,031,112 |
|
| ||||
|
Hotel, Gaming & Leisure |
|
|
|
|
— |
|
|
|
|
|
4,380,189 |
|
|
|
|
|
1,921,693 |
|
|
|
|
|
6,301,882 |
|
| ||||
|
Manufacturing |
|
|
|
|
— |
|
|
|
|
|
5,483,017 |
|
|
|
|
|
1,025,000 |
|
|
|
|
|
6,508,017 |
|
| ||||
|
Media: Advertising, Printing & Publishing |
|
|
|
|
— |
|
|
|
|
|
11,020,527 |
|
|
|
|
|
1,999,800 |
|
|
|
|
|
13,020,327 |
|
| ||||
|
Media: Broadcasting & Subscription |
|
|
|
|
— |
|
|
|
|
|
8,593,933 |
|
|
|
|
|
— |
|
|
|
|
|
8,593,933 |
|
| ||||
|
Media: Diversified and Services |
|
|
|
|
— |
|
|
|
|
|
10,001,835 |
|
|
|
|
|
2,783,075 |
|
|
|
|
|
12,784,910 |
|
| ||||
|
Metals & Mining |
|
|
|
|
— |
|
|
|
|
|
500,923 |
|
|
|
|
|
— |
|
|
|
|
|
500,923 |
|
| ||||
|
Restaurants |
|
|
|
|
— |
|
|
|
|
|
4,991,256 |
|
|
|
|
|
— |
|
|
|
|
|
4,991,256 |
|
| ||||
|
Retail |
|
|
|
|
— |
|
|
|
|
|
6,218,352 |
|
|
|
|
|
1,009,969 |
|
|
|
|
|
7,228,321 |
|
| ||||
|
Sovereign & Public Finance |
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
1,328,690 |
|
|
|
|
|
1,328,690 |
|
| ||||
|
Technology: Hardware |
|
|
|
|
— |
|
|
|
|
|
4,165,314 |
|
|
|
|
|
— |
|
|
|
|
|
4,165,314 |
|
| ||||
|
Technology: Semiconductor |
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
643,078 |
|
|
|
|
|
643,078 |
|
| ||||
|
Technology: Services |
|
|
|
|
— |
|
|
|
|
|
9,348,387 |
|
|
|
|
|
913,250 |
|
|
|
|
|
10,261,637 |
|
| ||||
|
Technology: Software |
|
|
|
|
— |
|
|
|
|
|
8,245,313 |
|
|
|
|
|
1,988,765 |
|
|
|
|
|
10,234,078 |
|
| ||||
|
Telecommunications |
|
|
|
|
— |
|
|
|
|
|
12,372,161 |
|
|
|
|
|
— |
|
|
|
|
|
12,372,161 |
|
| ||||
|
Transportation: Services |
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
4,506,777 |
|
|
|
|
|
4,506,777 |
|
| ||||
|
Wholesale |
|
|
|
|
— |
|
|
|
|
|
2,938,785 |
|
|
|
|
|
2,694,778 |
|
|
|
|
|
5,633,563 |
|
| ||||
|
Corporate Bonds* |
|
|
|
|
— |
|
|
|
|
|
495,625 |
|
|
|
|
|
— |
|
|
|
|
|
495,625 |
|
| ||||
|
Money Market Fund |
|
|
|
|
— |
|
|
|
|
|
8,522,405 |
|
|
|
|
|
— |
|
|
|
|
|
8,522,405 |
|
| ||||
|
Total Investments |
|
|
|
$ |
— |
|
|
|
|
$ |
134,487,909 |
|
|
|
|
$ |
58,752,081 |
|
|
|
|
$ |
193,239,990 |
|
| ||||
| | | | | | | | | | | | | | |
|
|
|
|
Senior Loans |
| ||||
---|---|---|---|---|---|---|---|---|---|
|
Balance as of December 31, 2013 |
|
|
|
$ |
60,807,408 |
|
| |
|
Realized gain |
|
|
|
|
(192 |
) |
|
|
|
Change in unrealized appreciation |
|
|
|
|
433,682 |
|
| |
|
Amortization (accretion) |
|
|
|
|
156,676 |
|
| |
|
Purchases |
|
|
|
|
18,879,172 |
|
| |
|
Sales and principal paydowns |
|
|
|
|
(16,781,531 |
) |
|
|
|
Transfers in and/or out of Level 3 |
|
|
|
|
(4,743,134 |
) |
|
|
|
Balance as of June 30, 2014 |
|
|
|
$ |
58,752,081 |
|
| |
| | | | | |
|
|
|
|
Fair Value |
|
|
Valuation Technique |
|
|
Unobservable Input |
|
|
Input Values |
| ||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Senior Loans |
|
|
$58,752,081 |
|
|
Third-party vendor service |
|
|
Vendor quotes |
|
|
|
$ |
94.50 - $102.50 |
|
| |
| | | | | | | | | | | | | | |
|
Shares of common stock, beginning of period |
|
|
|
|
7,814,714 |
|
| |
|
Increase in shares of common stock outstanding from new share issuance ($0.001 par value) |
|
|
|
|
— |
|
| |
|
Shares of common stock, end of period |
|
|
|
|
7,814,714 |
|
| |
| | | | | |
|
Undistributed Net Investment Income |
|
|
Accumulated Capital and Other Gains |
|
|
Net Unrealized Appreciation |
|
---|---|---|---|---|---|---|---|---|
|
$646,527 |
|
|
$390,267 |
|
|
$1,608,425 |
|
| | | | | |
|
Trustees |
|
|
|
|
|
Steven A. Baffico |
|
|
|
|
|
Joseph L. Morea*# |
|
|
|
|
|
S. James Coppersmith*# |
|
|
|
|
|
Ronald J. Burton*# |
|
|
|
|
|
Michael Perino*# |
|
|
|
|
|
Officers |
|
|
|
|
|
Steven A. Baffico |
|
|
|
|
|
Jennifer Wilson |
|
|
|
|
|
Stephanie Trell |
|
|
|
|
|
Robert Cowles |
|
|
|
|
|
Investment Adviser |
|
|
|
|
|
Four Wood Capital Advisors LLC |
|
|
|
|
|
Sub-Adviser |
|
|
|
|
|
THL Credit Advisors LLC |
|
|
|
|
|
Administrator, Custodian & Accounting Agent |
|
|
|
|
|
The Bank of New York Mellon |
|
|
|
|
|
Transfer Agent, Dividend Paying Agent and Registrar |
|
|
|
|
|
American Stock Transfer and Trust Company |
|
|
|
|
|
Independent Registered Public Accounting Firm |
|
|
|
|
|
McGladrey LLP |
|
|
|
|
|
Legal Counsel |
| | | |
|
Dechert LLP |
|
|
|
|
| | | |
|
(Registrant) |
|
|
THL CREDIT SENIOR LOAN FUND |
|
| | | |
|
By (Signature and Title)* |
|
|
/s/ Steven A. Baffico |
|
|
|
|
|
Steven A. Baffico, President (principal executive officer) |
|
| | | |
|
Date |
|
|
Sept. 2, 2014 |
|
| | | |
|
By (Signature and Title)* |
|
|
/s/ Steven A. Baffico |
|
|
|
|
|
Steven A. Baffico, President (principal executive officer) |
|
| | | |
|
Date |
|
|
Sept. 2, 2014 |
|
| | | |
|
By (Signature and Title)* |
|
|
/s/ Jennifer Wilson |
|
|
|
|
|
Jennifer Wilson, Treasurer and Principal Financial Officer (principal financial officer) |
|
| | | |
|
Date |
|
|
9/2/14 |
|
| | | |