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 811-22874               

 

THL CREDIT SENIOR LOAN FUND

 

(Exact name of registrant as specified in charter)

 

100 Wall St., 11th Floor
New York, NY 10005

 

(Address of principal executive offices) (Zip code)

 

Stephanie Trell

100 Wall St., 11th Floor

New York, NY 10005

 

(Name and address of agent for service)

 

Copies of Communications to:

Stephen H. Bier

Allison M. Fumai

Dechert LLP

1095 Avenue of the Americas

New York, NY 10036

 

Registrant's telephone number, including area code: (212) 701-4500                 

 

Date of fiscal year end: December 31

 

Date of reporting period: September 30, 2014

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 
 

 

Item 1. Schedule of Investments

The Schedule(s) of Investment is attached herewith.

THL Credit Senior Loan Fund

Schedule of Investments (unaudited) September 30, 2014

 

 

 

Investments   Principal     Value  
SENIOR LOANS(a) – 124.3% (97.4% of Total Investments)                
                 
Aerospace & Defense – 2.4%                
AM General LLC., Term B Facility - First Lien, 10.250%, 03/22/18   $ 2,647,436     $ 2,462,115  
Pelican Products, Inc., Term Loan - Second Lien, 9.250%, 04/09/20(b)     1,000,000       1,003,750  
Total Aerospace & Defense             3,465,865  
                 
Automotive – 2.4%                
Chrysler Group LLC, Tranche B Term Loan - First Lien, 3.500%, 05/24/17     744,231       739,349  
Neenah Enterprises (Neenah Foundry), Term Loan - First Lien, 6.750%, 04/26/17     2,696,631       2,686,950  
Total Automotive             3,426,299  
                 
Banking, Finance, Insurance & Real Estate – 3.4%                
Armor Holdco, Inc. (American Stock Transfer), Term Loan - First Lien, 5.750%, 06/26/20     484,458       483,247  
Assured Partners Capital, Inc., Term Loan - First Lien, 4.500%, 03/19/21     1,000,000       988,755  
GENEX Services, Inc., Term Loan B - First Lien, 5.250%, 05/28/21     997,500       995,630  
GENEX Services, Inc., Initial Term Loan - Second Lien, 8.750%, 05/30/22(b)     250,000       248,751  
RJO Holdings Corp., Term Loan - First Lien, 6.900%, 12/10/15(b)     1,163,573       1,131,575  
SG Acquisition Inc. (Safe Gard), Initial Term Loan - First Lien, 6.250%, 08/19/21(b)     1,000,000       1,000,000  
Total Banking, Finance, Insurance & Real Estate             4,847,958  
                 
Beverage, Food & Tobacco – 1.7%                
Arctic Glacier U.S.A., Inc., 2014 Term B Loan - First Lien, 5.000%, 05/10/19(b)     2,481,223       2,450,208  
         
Business & Consumer Services – 20.0%                
Affinion Group Holdings, Inc., Tranche B Term Loan - First Lien, 6.750%, 04/30/18     721,867       703,481  
Brickman Group Holdings, Inc., Initial Term Loan - First Lien, 4.000%, 12/18/20     1,744,367       1,709,959  
Centerplate, Inc. (KPLT), Term Loan A - First Lien, 4.750%, 11/26/19     995,000       995,826  
Energy Solutions, LLC (Envirocare of Utah), Term Advance - First Lien, 6.750%, 05/29/20     2,244,375       2,282,249  
Extreme Reach Inc., Initial Term Loan - First Lien, 6.750%, 02/07/20(b)     1,649,000       1,657,245  
Fitness International, LLC (LA Fitness), Term Loan B - First Lien, 5.500%, 07/01/20     997,500       990,019  
Inmar, Inc., Initial Term Loan - First Lien, 4.250%, 01/27/21     1,995,000       1,965,075  
Merrill Communications LLC, Term Loan - First Lien, 5.750%, 03/08/18(b)     3,195,607       3,243,541  
Millennium Laboratories, LLC, Tranche B Term Loan - First Lien, 5.250%, 04/16/21     1,995,000       1,992,506  
Mitchell International, Inc., Initial Term Loan - First Lien, 4.500%, 10/13/20     992,500       984,853  
North American Lifting Holdings, Inc. (TNT Crane), Initial Term Loan - Second Lien, 10.000%, 11/26/21     500,000       501,875  

 

See Notes to Schedule of Investments

 

 
 

 

THL Credit Senior Loan Fund

Schedule of Investments (unaudited) (continued) September 30, 2014

 

 

Investments   Principal     Value  
Business & Consumer Services – 20.0% (continued)                
Novitex Acquisition LLC (Pitney Bowes), Tranche B-2 Term Loan - First Lien, 7.500%, 07/07/20(b)   $ 2,000,000     $ 1,970,000  
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan - Second Lien, 9.750%, 07/01/20(b)     1,000,000       1,015,000  
Renaissance Learning, Inc., Initial Term Loan - First Lien, 4.500%, 04/09/21     1,990,000       1,953,941  
Renaissance Learning, Inc., Initial Term Loan - Second Lien, 8.000%, 04/11/22     1,000,000       981,250  
SunGard Availability Services Capital, Inc., Tranche B Term Loan - First Lien, 6.000%, 03/31/19     1,990,000       1,846,720  
TCH-2 Holdings LLC (TravelClick), Term Loan - First Lien, 5.500%, 05/12/21(b)     1,995,127       1,985,151  
TCH-2 Holdings LLC (TravelClick), Initial Term Loan - Second Lien, 8.750%, 11/08/21(b)     1,750,000       1,706,250  
Total Business & Consumer Services             28,484,941  
                 
Capital Goods – 0.7%                
Crosby US Acquisition Corp., Initial Term Loan - First Lien, 4.000%, 11/23/20(b)     992,500       950,319  
                 
Chemicals, Plastics & Rubber – 1.1%                
PeroxyChem LLC, Initial Term Loan - First Lien, 7.500%, 02/28/20(b)     1,492,500       1,514,888  
                 
Construction & Engineering – 2.1%                
FR Utility Services LLC (Utility Services), Initial Term Loan - First Lien, 6.750%, 10/18/19(b)     496,250       498,731  
Power Buyer, LLC (Powerteam Services), Initial Term Loan - Second Lien, 8.250%, 11/06/20(b)     2,500,000       2,437,500  
Total Construction & Engineering             2,936,231  
                 
Consumer Products: Durables – 3.8%                
Hillman Companies, Inc., Term Loan - First Lien, 4.500%, 06/30/21     1,496,250       1,492,509  
Paladin Brands Holding, Inc., Initial Loan - First Lien, 6.750%, 08/16/19     1,901,948       1,903,146  
Visant Corp., Initial Term Loan - First Lien, 7.000%, 09/23/21     2,000,000       1,981,670  
Total Consumer Products: Durables             5,377,325  
                 
Consumer Products: Non Durables – 3.2%                
Calceus Acquisition, Inc. (Cole Haan), Term B-1 Loan - First Lien, 5.000%, 02/01/20     1,980,000       1,953,597  
Topps Company, Inc., Term Loan - First Lien, 7.250%, 09/27/20(b)     1,985,000       1,960,188  
Vince Intermediate Holding, LLC, Initial Term Loan - First Lien, 6.000%, 11/27/19     668,571       669,825  
Total Consumer Products: Non Durables             4,583,610  
                 
Energy, Oil & Gas – 2.7%                
HGIM Corp. (Harvey Gulf), Term Loan B - First Lien, 5.500%, 06/18/20     2,974,975       2,935,006  
ProPetro Services, Inc., Term Advance - First Lien, 7.250%, 09/30/19(b)     950,000       950,000  
Total Energy, Oil & Gas             3,885,006  

 

See Notes to Schedule of Investments

 

 
 

 

THL Credit Senior Loan Fund

Schedule of Investments (unaudited) (continued) September 30, 2014

 

Investments   Principal     Value  
Healthcare & Pharmaceuticals – 4.0%                
Alvogen Pharma US Inc., Term Loan - First Lien, 7.000%, 05/23/18   $ 2,761,969     $ 2,793,041  
Bioscrip, Inc., Del Draw Term Loan - First Lien, 7.250%, 07/31/20     626,504       628,854  
Bioscrip, Inc., Initial Term Loan - First Lien, 7.250%, 07/31/20     1,044,174       1,048,090  
Ikaria, Inc., Initial Term Loan - First Lien, 5.000%, 02/12/21     941,320       941,471  
Ikaria, Inc., Initial Term Loan - Second Lien, 8.750%, 02/14/22     250,000       253,750  
Total Healthcare & Pharmaceuticals             5,665,206  
                 
Hotel, Gaming & Leisure – 2.2%                
ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-1 - First Lien, 7.000%, 02/28/19(b)     822,217       818,106  
ALG USA Holdings, LLC (Apple Leisure Group),Term Loan B-2 - First Lien, 7.000%, 02/28/19(b)     1,089,916       1,084,466  
Caesars Entertainment Operating Company, Inc., Term Loan B-7 - First Lien, 9.750%, 03/01/17     249,375       237,000  
Caesars Entertainment Resort Properties, LLC, Term B Loan - First Lien, 7.000%, 10/12/20     992,500       952,800  
Total Hotel, Gaming & Leisure             3,092,372  
                 
Manufacturing – 4.1%                
Gates Global, Inc., Initial Term Loan - First Lien, 4.250%, 06/11/21     2,500,000       2,458,850  
Preferred Proppants LLC (Preferred Sands), Term Loan - First Lien, 6.750%, 07/27/20(b)     3,000,000       2,962,500  
Veyance Technologies, Inc., Term Loan - First Lien, 5.250%, 09/08/17     462,545       462,256  
Total Manufacturing             5,883,606  
                 
Media: Advertising, Printing & Publishing – 9.0%                
Cengage Learning Acquisitions, Inc., Term Loan - First Lien, 7.000%, 03/31/20     3,980,000       3,984,975  
Checkout Holding Corp., Term Loan B - First Lien, 4.500%, 04/09/21     2,992,500       2,919,932  
Harland Clarke Hldgs., Tranche B-3 Term Loans - First Lien, 7.000%, 05/22/18     3,875,000       3,922,643  
RentPath, Inc., Term Loan - First Lien, 6.250%, 05/29/20(b)     1,975,000       1,977,469  
Total Media: Advertising, Printing & Publishing             12,805,019  
                 
Media: Broadcasting & Subscription – 7.3%                
Charter Communications Operating LLC, Term Loan G - First Lien, 4.250%, 09/13/21     3,000,000       2,996,415  
ION Media Networks, Inc., Term Loan - First Lien, 5.000%, 12/18/20(b)     992,500       988,778  
Radio One, Inc., Term Loan - First Lien, 7.500%, 03/31/16     3,515,262       3,574,582  
Tribune Company, Initial Term Loan - First Lien, 4.000%, 12/27/20     1,844,227       1,822,622  
TWCC Holding Corp., Term Loan - Second Lien, 7.000%, 06/26/20     1,000,000       982,500  
Total Media: Broadcasting & Subscription             10,364,897  
                 
Media: Diversified and Services – 7.5%                
Deluxe Entertainment Services Group, Inc., Initial Term Loan - First Lien, 6.500%, 02/28/20(b)     2,962,500       2,755,125  
IMG Worldwide, Inc., Term Loan - First Lien, 5.250%, 05/06/21     1,995,000       1,970,062  

 

See Notes to Schedule of Investments

 

 
 

 

THL Credit Senior Loan Fund

 

Schedule of Investments (unaudited) (continued) September 30, 2014

 

Investments   Principal     Value  
Media: Diversified and Services – 7.5% (continued)                
Learfield Communications, Inc. 2014 Replacement Term Loan - First Lien, 4.500%, 10/09/20(b)   $ 999,375     $ 995,627  
Mood Media Corporation, Term Loan - First Lien, 7.000%, 05/01/19     4,975,000       4,900,375  
Total Media: Diversified and Services             10,621,189  
                 
Metals & Mining – 0.3%                
TMS International Corp. (Tube City), Term Loan B - First Lien, 4.500%, 10/16/20     496,250       496,563  
                 
Packaging – 1.4%                
BWAY Holding Co., Initial Term Loan - First Lien, 5.500%, 08/14/20     1,995,000       1,996,257  
                 
Restaurants – 5.5%                
1011778 BC ULC (Burger King), Term Loan - First Lien, 4.500%, 09/25/21(c)     1,000,000       994,580  
CEC Entertainment, Inc., Tranche B Term Loan - First Lien, 4.250%, 02/15/21     1,990,000       1,935,275  
Portillo's Holdings LLC, Term Loan B - First Lien, 4.750%, 08/01/21(b)     2,000,000       1,977,500  
Steak n Shake Operations, Inc., Term Loan - First Lien, 4.750%, 03/17/21(b)     1,990,000       1,991,244  
TGI Friday's, Inc., Term Loan - Second Lien, 9.250%, 06/20/21     1,000,000       997,500  
Total Restaurants             7,896,099  
                 
Retail – 6.3%                
Albertson's Holdings LLC, Term Loan B-4 - First Lien, 6.500%, 08/25/21     2,000,000       1,993,540  
Charming Charlie LLC, Initial Term Loan - First Lien, 9.000%, 12/18/19(b)     995,000       998,731  
CWGS Group, LLC (Camping World), Term Loan B - First Lien, 5.750%, 02/20/20     1,962,500       1,970,674  
New Albertson's Inc., Term Loan B - First Lien, 4.750%, 06/28/21     1,200,000       1,181,256  
Roundy's Supermarkets, Inc., Tranche B Term Loan - First Lien, 5.750%, 03/03/21     2,985,000       2,835,123  
Total Retail             8,979,324  
                 
Technology: Hardware – 2.1%                
Eastman Kodak Company, Term Loan - First Lien, 7.250%, 09/03/19     989,975       998,637  
Zebra Technologies Corp., Term Loan B - First Lien, 4.750%, 09/30/21(b)(c)     2,000,000       2,000,000  
Total Technology: Hardware             2,998,637  
                 
Technology: Semiconductor – 0.4%                
M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan - First Lien, 4.500%, 05/08/21     635,906       637,897  
                 
Technology: Services – 9.7%                
Ascensus, Inc., Initial Term Loan - Second Lien, 9.000%, 12/02/20(b)     500,000       507,500  
ConvergeOne Holdings Corporation, Term Loan - First Lien, 6.000%, 06/17/20     1,496,250       1,492,509  
First Data Corporation, 2018B  New Term Loan - First Lien, 3.655%, 09/24/18     1,500,000       1,471,095  

 

See Notes to Schedule of Investments

 

 
 

 

THL Credit Senior Loan Fund

Schedule of Investments (unaudited) (continued) September 30, 2014

 

Investments   Principal     Value  
Technology: Services – 9.7% (continued)                
MH Sub I, LLC & Micro (Internet Brands), Delayed Draw Term Loan - First Lien, 5.000%, 09/26/21(c)   $ 196,078     $ 195,282  
MH Sub I, LLC & Micro (Internet Brands), Term Loan - First Lien, 5.000%, 06/26/21     1,799,412       1,792,106  
PGX Holding Inc. (Progrexion), Initial Term Loan - First Lien, 6.250%, 09/30/20(b)(c)     2,000,000       2,000,000  
Presidio, Inc., Term Loan - First Lien, 5.000%, 03/31/17     2,469,733       2,472,833  
Scientific Games International, Inc., Term Loan B-2 - First Lien, 6.000%, 09/17/21(c)     4,000,000       3,928,560  
Total Technology: Services             13,859,885  
                 
Technology: Software – 5.6%                
Deltek, Inc., Term Loan - Second Lien, 10.000%, 10/10/19     2,650,000       2,691,950  
Lanyon Solutions, Inc., Term Loan - First Lien, 5.500%, 11/13/20     1,989,979       1,979,611  
RP Crown Parent, LLC (Red Prairie), Term Loan B - First Lien, 6.000%, 12/21/18     1,485,009       1,449,206  
RP Crown Parent, LLC (Red Prairie), Term Loan - Second Lien, 11.250%, 12/21/19     2,000,000       1,911,070  
Total Technology: Software             8,031,837  
                 
Telecommunications – 9.3%                
4L Technologies Inc. (Clover Technologies), Initial Term Loan - First Lien, 5.500%, 05/08/20     2,000,000       1,994,170  
Avaya, Inc., Term Loan B-6 - First Lien, 6.500%, 03/31/18     1,988,294       1,976,284  
Birch Communications, Inc., Term Loan - First Lien, 7.750%, 07/17/20(b)     2,000,000       1,960,000  
Fairpoint Communications, Inc., Term Loan - First Lien, 7.500%, 02/14/19     5,177,388       5,264,781  
Ntelos Inc., Term B Advance - First Lien, 5.750%, 11/09/19     1,974,811       1,973,982  
Total Telecommunications             13,169,217  
                 
Transportation: Services – 3.2%                
American Commercial Lines (Commercial Barge), Initial Term Loan - First Lien, 7.500%, 09/22/19     2,962,406       2,979,070  
Sirva Worldwide, Inc., Term Loan - First Lien, 7.500%, 03/27/19(b)     1,477,500       1,507,050  
Total Transportation: Services             4,486,120  
                 
Wholesale – 2.9%                
Envision Acquisition Company, LLC, Initial Term Loan - First Lien, 5.750%, 11/04/20     993,741       992,503  
FPC Holdings, Inc. (Fleetpride), Initial Term Loan - First Lien, 5.250%, 11/19/19     1,187,900       1,180,107  
P2 Lower Acquisition, Inc. (Progresive Solutions), Initial Term Loan - First Lien, 5.500%, 10/22/20     873,416       876,421  
P2 Upstream Acquisition Co., Term Loan - Second Lien, 9.000%, 04/30/21(b)     1,000,000       1,010,000  
Total Wholesale             4,059,031  
                 
Total Senior Loans
(Cost $177,392,902) 		            176,965,806  

 

See Notes to Schedule of Investments

 

 
 

 

THL Credit Senior Loan Fund

 

Schedule of Investments (unaudited) (continued) September 30, 2014

 

Investments   Principal     Value  
CORPORATE BONDS – 0.9% (0.7% of Total Investments)                
                 
Beverage, Food & Tobacco – 0.4%                
Innovation Ventures (5 Hour Energy), 9.500%, 08/15/19‡   $ 500,000     $ 490,000  
                 
Media: Advertising, Printing & Publishing – 0.5%                
Getty Images, Inc., 7.000%, 10/15/20‡     1,000,000       740,027  
                 
Total Corporate Bonds
(Cost $1,309,031)		             1,230,027  
                 
MONEY MARKET FUND – 2.5% (1.9% of Total Investments)                

 

    Shares        
Morgan Stanley Institutional Liquidity Treasury Portfolio - Institutional Share Class, 0.03%(d)
(Cost $3,526,730)		     3,526,730       3,526,730  
         
                 
Total Investments in Securities – 127.7%
(Cost $182,228,663)		             181,722,563  
Line of Credit Payable (Cost $42,000,000) – (29.5)%             (42,000,000 )
Other Assets in Excess of Liabilities – 1.8%             2,635,161  
Net Assets – 100.0%           $ 142,357,724  

 

 

 

 

See Notes to Schedule of Investments

 

 
 

 

THL Credit Senior Loan Fund

Schedule of Investments (unaudited) (concluded) September 30, 2014

 

‡   Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.  Total market value of Rule 144A securities amounts to $1,230,027 which represents approximately 0.9% of net assets as of September 30, 2014.  Unless otherwise noted, 144A securities are deemed to be liquid.
(a)   Senior loans pay interest at rates that are periodically determined on the basis of a floating benchmark lending rate plus a spread.  The most popular benchmark lending rate is the London Interbank Offered Rate (“LIBOR”).  LIBOR is based on rates that contributor banks in London charge each other for interbank deposits and is typically used to set coupon rates on floating rate debt securities.  The rate shown represents the contractual rate (benchmark rate or floor plus spread) in effect at period end.  Senior Loans often require prepayments from excess cash flow or permit the borrower to repay at its 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 maturity may be substantially less than the stated maturity shown.
(b)   Fair Value Level 3 security. All remaining securities are categorized as Level 2.
(c)   All or portion of this position has not settled. The full contract rates reflected do not take effect until settlement date.
(d)   Rate shown reflects the 7-day yield as of September 30, 2014.

 

See Notes to Schedule of Investments

 

 
 

 

THL CREDIT SENIOR LOAN FUND

 

Schedule of Investments (unaudited) (concluded) September 30, 2014

 

SUMMARY OF SCHEDULE OF INVESTMENTS   % of Net Assets  
Aerospace & Defense     2.4 %
Automotive     2.4  
Banking, Finance, Insurance & Real Estate     3.4  
Beverage, Food & Tobacco     2.1  
Business & Consumer Services     20.0  
Capital Goods     0.7  
Chemicals, Plastics & Rubber     1.1  
Construction & Engineering     2.1  
Consumer Products: Durables     3.8  
Consumer Products: Non Durables     3.2  
Energy, Oil & Gas     2.7  
Healthcare & Pharmaceuticals     4.0  
Hotel, Gaming & Leisure     2.2  
Manufacturing     4.1  
Media: Advertising, Printing & Publishing     9.5  
Media: Broadcasting & Subscription     7.3  
Media: Diversified and Services     7.5  
Metals & Mining     0.3  
Packaging     1.4  
Restaurants     5.5  
Retail     6.3  
Technology: Hardware     2.1  
Technology: Semiconductor     0.4  
Technology: Services     9.7  
Technology: Software     5.6  
Telecommunications     9.3  
Transportation: Services     3.2  
Wholesale     2.9  
Money Market Fund     2.5  
Total Investments     127.7  
Line of Credit Payable     (29.5 )
Other Assets in Excess of Liabilities     1.8  
Net Assets     100.0 %

 

See Notes to Schedule of Investments

 

 
 

 

 

THL Credit Senior Loan Fund

 

Notes to the Schedule of Investments (unaudited) (continued) September 30, 2014

 

1. ORGANIZATION

 

THL Credit Senior Loan Fund (the “Fund”) is a non-diversified, closed-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund is an unincorporated business trust established under the laws of Delaware by an Agreement and Declaration of Trust dated July 30, 2013. The Fund commenced operations on September 20, 2013. The Fund’s investment objective is to provide current income and preservation of capital primarily through investments in U.S. dollar-denominated senior secured corporate loans and notes (“Senior Loans”). Four Wood Capital Advisors LLC (the “Adviser” or “FWCA”) serves as the Fund’s investment adviser (the “Adviser”). FWCA has engaged THL Credit Advisors LLC (the “Sub-adviser” or “THL Credit”) to serve as the sub-adviser to the Fund.

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

These financial statements are prepared in accordance with accounting principles generally accepted in the United States (“GAAP”), which require management to make estimates and assumptions that affect the reported amounts and disclosures in these financial statements. Actual results could differ from these estimates.

 

The following summarizes the significant accounting policies followed by the Fund in the preparation of its financial statements.

 

Securities Valuation: The Fund holds portfolio securities that are fair valued at the close of each day on the New York Stock Exchange (“NYSE”), normally at 4:00 P.M., Eastern Time. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has delegated fair valuation responsibilities to a valuation committee (“Committee”), subject to the Board’s supervision and direction, through the adoption of procedures for valuation of the Fund’s securities (“Valuation Procedures”). The Committee consists of certain designated individuals of the Fund’s Adviser and Sub-adviser. Under the current Valuation Procedures, the Committee is responsible for, among other things, determining and monitoring the value of the Fund’s assets. The Valuation Procedures allow the Fund to utilize independent pricing vendor services, quotations from market makers and other valuation methods in events when market quotations are not readily available or not representative of the fair value of the securities.

 

The Fund’s securities are valued by various methods, as described below:

 

Senior Loans shall be valued at prices supplied by the Fund’s pricing agent based on broker-dealer supplied valuations (including mid or average prices) and other criteria or directly by independent brokers when the pricing agent does not provide a price or the Valuation Committee does not believe that the pricing agent price reflects the current market value. If a price of a position is sought using independent brokers, the Sub-adviser shall seek to obtain an evaluation bid price from at least two independent brokers who are knowledgeable about the position. The price of the position would be deemed to be an average of such bid prices.

 

Fixed income securities shall be valued at prices supplied by the Fund’s pricing agent based on broker-dealer supplied valuations, or in the absence of broker-dealer supplied valuations, matrix pricing, a method of valuing securities by reference to the value of other securities with similar characteristics, such as rating, interest rate and maturity.

 

Certain short-term debt instruments will be valued on an amortized cost basis. Under this method of valuation, the instrument is initially valued at cost. For securities purchased at a discount or premium, the Fund assumes a constant proportionate amortization in value until maturity, regardless of the impact of fluctuating interest rates on the market value of the instrument. While the amortized cost method provides certainty in valuation, it may result in periods during which value, as determined by amortized cost, is higher or lower than the price that would be received upon sale of the instrument.

 

 
 

 

THL Credit Senior Loan Fund

 

Notes to the Schedule of Investments (unaudited) (continued) September 30, 2014

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

Fair Value Measurement

 

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:

 

Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities at the measurement date.

 

Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, quoted prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.

 

Level 3 — Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions that a market participant would use in valuing the asset or liability based on the best information available.

 

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933 as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which a Fund’s net asset value is computed and that may materially affect the value of the Fund’s investment). Examples of events that may be “significant events” are government actions, natural disasters, armed conflicts and acts of terrorism.

 

The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Fund’s perceived risk of investing in those securities.

 

The valuation techniques used by the Fund to measure fair value during the period ended September, 30, 2014 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.

 

The following table summarizes the valuation of the Fund’s investments under the fair value hierarchy levels as of September 30, 2014:

 

 
 

 

THL Credit Senior Loan Fund

 

Notes to the Schedule of Investments (unaudited) (continued) September 30, 2014

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

Fair Value Measurement (continued)

 

Asset Type   Level 1     Level 2     Level 3     Total  
Senior Loans                                
Aerospace & Defense   $ -     $ 2,462,115     $ 1,003,750     $ 3,465,865  
Automotive     -       3,426,299       -       3,426,299  
Banking, Finance, Insurance & Real Estate     -       2,467,632       2,380,326       4,847,958  
Beverage, Food & Tobacco     -       -       2,450,208       2,450,208  
Business & Consumer Services     -       16,907,754       11,577,187       28,484,941  
Capital Goods     -       -       950,319       950,319  
Chemicals, Plastics & Rubber     -       -       1,514,888       1,514,888  
Construction & Engineering     -       -       2,936,231       2,936,231  
Consumer Products: Durables     -       5,377,325       -       5,377,325  
Consumer Products: Non Durables     -       2,623,422       1,960,188       4,583,610  
Energy, Oil & Gas     -       2,935,006       950,000       3,885,006  
Healthcare & Pharmaceuticals     -       5,665,206       -       5,665,206  
Hotel, Gaming & Leisure     -       1,189,800       1,902,572       3,092,372  
Manufacturing     -       2,921,106       2,962,500       5,883,606  
Media: Advertising, Printing & Publishing     -       10,827,550       1,977,469       12,805,019  
Media: Broadcasting & Subscription     -       9,376,119       988,778       10,364,897  
Media: Diversified and Services     -       6,870,437       3,750,752       10,621,189  
Metals & Mining     -       496,563       -       496,563  
Packaging     -       1,996,257       -       1,996,257  
Restaurants     -       3,927,355       3,968,744       7,896,099  
Retail     -       7,980,593       998,731       8,979,324  
Technology: Hardware     -       998,637       2,000,000       2,998,637  
Technology: Semiconductor     -       637,897       -       637,897  
Technology: Services     -       11,352,385       2,507,500       13,859,885  
Technology: Software     -       8,031,837       -       8,031,837  
Telecommunications     -       11,209,217       1,960,000       13,169,217  
Transportation: Services     -       2,979,070       1,507,050       4,486,120  
Wholesale     -       3,049,031       1,010,000       4,059,031  
Corporate Bonds*     -       1,230,027       -       1,230,027  
Money Market Fund     -       3,526,730       -       3,526,730  
Total Investments     -     $ 130,465,370     $ 51,257,193     $ 181,722,563  

 

*Please refer to Schedule of Investments for breakdown of valuation by industry.

 

 
 

 

THL Credit Senior Loan Fund

 

Notes to the Schedule of Investments (unaudited) (continued) September 30, 2014

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

Fair Value Measurement (continued)

 

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

 

    Senior Loans  
Balance as of December 31, 2013   $ 60,807,408  
Realized gain     40,971  
Change in unrealized appreciation (depreciation)     (292,743 )
Amortization (accretion)     127,733  
Purchases     32,723,599  
Sales and principal paydowns     (31,752,058 )
Transfers in and/or out of Level 3     (10,397,717 )
Balance as of September 30, 2014   $ 51,257,193  

 

Net change in unrealized depreciation attributable to level 3 investments held at September 30, 2014 was $292,743.

 

There were no transfers between Level 1 and 2 during the period. It is the Fund’s policy to recognize transfers into and out of all levels at the beginning of the reporting period.

 

Information about Level 3 fair value measurements as of September 30, 2014:

 

    Fair Value     Valuation Technique   Unobservable Input   Input Values  
                     
Senior Loans   $ 51,257,193     Third-party vendor service   Vendor quotes     $92.80 – $102.000  

 

NOTE 4. UNREALIZED APPRECIATION/(DEPRECIATION)

 

On September 30, 2014 based on cost of $182,228,663 for federal income tax purposes, aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $998,628 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,504,728 resulting in net unrealized depreciation of $506,100.

 

 
 

 

Item 2. Controls and Procedures.

 

(a)The registrant’s principal executive and principal financial officers, or persons performing similar functions, 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 (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b)There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 

 
 

 

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.

 

(Registrant)  THL CREDIT SENIOR LOAN FUND

 

By (Signature and Title)* /s/ Steven A. Baffico
  Steven A. Baffico, President
  (principal executive officer)

 

Date 11/25/2014

 

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 (Signature and Title)* /s/ Steven A. Baffico
  Steven A. Baffico, President
  (principal executive officer)

 

Date 11/25/2014

 

By (Signature and Title)* /s/ Jennifer Wilson
  Jennifer Wilson, Treasurer and Principal Financial Officer
  (principal financial officer)

 

Date 11/25/2014

 

* Print the name and title of each signing officer under his or her signature.