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: March 31, 2015
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 Investments is attached herewith.
| THL Credit Senior Loan Fund | |
| Schedule of Investments (unaudited) | March 31, 2015 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) – 139.4% (96.4% of Total Investments) | ||||||||
| Aerospace & Defense – 2.2% | ||||||||
| AM General LLC., Term B Facility - First Lien, 10.250%, 03/22/18 | $ | 2,275,347 | $ | 2,104,696 | ||||
| Pelican Products, Inc., Term Loan - Second Lien, 9.250%, 04/09/21(b) | 1,000,000 | 995,000 | ||||||
| Total Aerospace & Defense | 3,099,696 | |||||||
| Automotive – 3.1% | ||||||||
| Chrysler Group LLC, Tranche B Term Loan - First Lien, 3.500%, 05/24/17 | 740,385 | 741,617 | ||||||
| MPG Holdco I, Inc.(Metaldyne), Initial Term Loan B - First Lien, 4.250%, 10/20/21 | 982,685 | 989,259 | ||||||
| Neenah Enterprises (Neenah Foundry), Term Loan - First Lien, 6.750%, 04/26/17 | 2,544,004 | 2,518,564 | ||||||
| Total Automotive | 4,249,440 | |||||||
| Banking, Finance, Insurance & Real Estate – 5.6% | ||||||||
| Armor Holdco, Inc. (American Stock Transfer), Term Loan - First Lien, 5.750%, 06/26/20 | 481,966 | 481,665 | ||||||
| Assured Partners Capital, Inc., Term Loan - First Lien, 5.000%, 04/02/21 | 995,002 | 994,385 | ||||||
| GENEX Services, Inc., Term Loan B - First Lien, 5.250%, 05/28/21 | 992,500 | 996,222 | ||||||
| GENEX Services, Inc., Initial Term Loan - Second Lien, 8.750%, 05/30/22(b) | 250,000 | 245,000 | ||||||
| Ocwen Loan Servicing LLC, Initial Term Loan - First Lien, 5.000%, 02/15/18(c) | 3,000,000 | 2,928,764 | ||||||
| RJO Holdings Corp., Term Loan - First Lien, 6.930%, 12/10/15(b) | 1,157,582 | 1,111,279 | ||||||
| SG Acquisition Inc. (Safe Gard), Initial Term Loan - First Lien, 6.250%, 08/19/21(b) | 980,714 | 980,714 | ||||||
| Total Banking, Finance, Insurance & Real Estate | 7,738,029 | |||||||
| Beverage, Food & Tobacco – 3.1% | ||||||||
| Arctic Glacier U.S.A., Inc., 2014 Term B Loan - First Lien, 6.000%, 05/10/19(b) | 2,468,705 | 2,456,362 | ||||||
| Flavors Holdings Inc., Tranche B Term Loan - First Lien, 6.750%, 10/03/20(b) | 975,000 | 946,969 | ||||||
| Flavors Holdings Inc., Initial Term Loan - Second Lien, 11.000%, 10/07/21(b) | 1,000,000 | 970,000 | ||||||
| Total Beverage, Food & Tobacco | 4,373,331 | |||||||
| Capital Goods – 0.7% | ||||||||
| Crosby US Acquisition Corp., Initial Term Loan - First Lien, 3.750%, 11/23/20 | 987,500 | 917,141 | ||||||
| Chemicals, Plastics & Rubber – 3.5% | ||||||||
| American Pacific Corp., Initial Term Loan - First Lien, 7.000%, 02/27/19 | 994,975 | 1,000,572 | ||||||
| Citadel Plastics Holdings, Inc. (Bulk Molding Compounds, Inc.), Term Loan - First Lien, 5.250%, 11/05/20(b) | 500,000 | 501,250 | ||||||
| Eco Services Operations LLC, Initial Term Loan - First Lien, 4.750%, 12/01/21(b) | 997,500 | 1,003,734 | ||||||
| PeroxyChem LLC, Initial Term Loan - First Lien, 7.500%, 02/28/20(b) | 1,485,000 | 1,490,569 | ||||||
| Vertellus Specialities, Inc., Term Loan - First Lien, 10.500%, 10/31/19 | 995,000 | 888,038 | ||||||
| Total Chemicals, Plastics & Rubber | 4,884,163 | |||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments (unaudited) (continued) | March 31, 2015 |
| Investments | Principal | Value | ||||||
| Construction & Engineering – 2.1% | ||||||||
| FR Utility Services LLC (Utility Services), Initial Term Loan - First Lien, 6.750%, 10/18/19(b) | $ | 493,750 | $ | 494,059 | ||||
| Power Buyer, LLC (Powerteam Services), Initial Term Loan - Second Lien, 8.250%, 11/06/20 | 2,500,000 | 2,443,750 | ||||||
| Total Construction & Engineering | 2,937,809 | |||||||
| Consumer Products: Durables – 2.8% | ||||||||
| Paladin Brands Holding, Inc., Initial Loan - First Lien, 6.750%, 08/16/19 | 1,851,948 | 1,857,735 | ||||||
| Visant Corp., Term Loan - First Lien, 7.000%, 09/23/21 | 1,990,000 | 2,001,811 | ||||||
| Total Consumer Products: Durables | 3,859,546 | |||||||
| Consumer Products: Non Durables – 3.1% | ||||||||
| Calceus Acquisition, Inc. (Cole Haan), Term B-1 Loan - First Lien, 5.000%, 01/31/20 | 1,970,000 | 1,898,588 | ||||||
| Varsity Brands, Inc. (Hercules Achievement), Term B Loan - First Lien, 6.000%, 12/11/21 | 1,995,000 | 2,019,110 | ||||||
| Vince Intermediate Holding LLC, Initial Term Loan - First Lien, 5.750%, 11/27/19 | 357,143 | 358,259 | ||||||
| Total Consumer Products: Non Durables | 4,275,957 | |||||||
| Energy, Oil & Gas – 2.2% | ||||||||
| HGIM Corp. (Harvey Gulf), Term Loan B - First Lien, 5.500%, 06/18/20 | 2,959,950 | 2,071,965 | ||||||
| Stonewall Gas Gathering LLC, Term Loan - First Lien, 8.750%, 01/28/22(b) | 1,000,000 | 1,006,250 | ||||||
| Total Energy, Oil & Gas | 3,078,215 | |||||||
| Healthcare & Pharmaceuticals – 4.0% | ||||||||
| Alvogen Pharma US Inc., Term Loan - First Lien, 7.000%, 05/23/18 | 2,742,983 | 2,761,854 | ||||||
| BioScrip, Inc., Initial Term B Loan – First Lien, 6.500%, 07/31/20(c) | 1,250,000 | 1,243,363 | ||||||
| BioScrip, Inc., Term Loan – First Lien, 6.500%, 07/31/20(c) | 750,000 | 746,018 | ||||||
| Ikaria, Inc., Initial Term Loan - First Lien, 5.000%, 02/12/21 | 868,904 | 870,751 | ||||||
| Total Healthcare & Pharmaceuticals | 5,621,986 | |||||||
| Hotel, Gaming & Leisure – 3.2% | ||||||||
| ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-1 - First Lien, 7.000%, 02/28/19(b) | 817,736 | 817,736 | ||||||
| ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-2 - First Lien, 7.000%, 02/28/19(b) | 1,083,975 | 1,083,975 | ||||||
| Caesars Entertainment Resort Properties LLC, Term B Loan - First Lien, 7.000%, 10/12/20 | 987,500 | 936,891 | ||||||
| Parq Holdings LP, Term Loan - First Lien, 8.500%, 12/17/20(b) | 1,660,377 | 1,676,981 | ||||||
| Total Hotel, Gaming & Leisure | 4,515,583 | |||||||
| Manufacturing – 3.7% | ||||||||
| Gates Global Inc., Initial Term Loan - First Lien, 4.250%, 07/05/21 | 2,487,500 | 2,481,132 | ||||||
| Preferred Proppants LLC (Preferred Sands), Term Loan - First Lien, 6.750%, 07/27/20 | 2,985,000 | 2,638,740 | ||||||
| Total Manufacturing | 5,119,872 | |||||||
| Media: Advertising, Printing & Publishing – 6.8% | ||||||||
| Cenage Learning Acquisitions, Inc., Term Loan - First Lien, 7.000%, 03/31/20 | 3,960,000 | 3,981,581 | ||||||
| Getty Images, Inc., Initial Term Loan - First Lien, 4.750%, 10/18/19 | 1,989,822 | 1,684,633 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments (unaudited) (continued) | March 31, 2015 |
| Investments | Principal | Value | ||||||
| Harland Clarke Hldgs., Tranche B-3 Term Loans - First Lien, 7.000%, 05/22/18 | $ | 3,825,000 | $ | 3,859,673 | ||||
| Total Media: Advertising, Printing & Publishing | 9,525,887 | |||||||
| Media: Broadcasting & Subscription – 6.6% | ||||||||
| Charter Communications Operating LLC, Term Loan G - First Lien, 4.250%, 09/13/21 | 3,000,000 | 3,029,174 | ||||||
| Radio One, Inc., Term Loan - First Lien, 7.500%, 03/31/16 | 3,497,049 | 3,498,499 | ||||||
| Tribune Company, Initial Term Loan - First Lien, 4.000%, 12/27/20 | 1,844,227 | 1,848,377 | ||||||
| TWCC Holding Corp., Term Loan - Second Lien, 7.000%, 06/26/20 | 1,000,000 | 888,750 | ||||||
| Total Media: Broadcasting & Subscription | 9,264,800 | |||||||
| Media: Diversified and Services – 6.8% | ||||||||
| Extreme Reach, Inc., Initial Term Loan - First Lien, 6.750%, 02/07/20(b) | 1,583,833 | 1,599,672 | ||||||
| IMG Worldwide, Inc., Term Loan - First Lien, 5.250%, 05/03/21 | 1,985,000 | 1,973,090 | ||||||
| Learfield Communications, Inc., 2014 Replacement Term Loan - First Lien, 4.500%, 10/09/20 | 994,366 | 1,000,168 | ||||||
| Mood Media Corporation, Term Loan - First Lien, 7.000%, 05/01/19 | 4,950,000 | 4,919,062 | ||||||
| Total Media: Diversified and Services | 9,491,992 | |||||||
| Metals & Mining – 0.4% | ||||||||
| TMS International Corp. (Tube City), Term Loan B - First Lien, 4.500%, 10/16/20(b) | 493,750 | 483,875 | ||||||
| Packaging – 1.4% | ||||||||
| BWAY Holding Co. (ICL Industrial Containers ULC/ICL), Initial Term Loan - First Lien, 5.500%, 08/14/20 | 1,985,000 | 2,006,507 | ||||||
| Paper & Forest Products – 0.7% | ||||||||
| Caraustar Industries, Inc., Term Loan C – First Lien, 8.000%, 05/01/19 | 997,500 | 993,759 | ||||||
| Restaurants – 5.7% | ||||||||
| 1011778 BC ULC (Burger King), Term Loan - First Lien, 4.500%, 10/27/21 | 993,674 | 1,004,575 | ||||||
| CEC Entertainment, Inc., Tranche B Term Loan - First Lien, 4.000%, 02/15/21 | 1,980,000 | 1,961,616 | ||||||
| Portillio's Holdings LLC, Term Loan B - First Lien, 4.750%, 08/01/21 | 1,990,000 | 1,992,488 | ||||||
| Steak n Shake Operations, Inc., Term Loan - First Lien, 4.750%, 03/19/21(b) | 1,980,000 | 1,977,525 | ||||||
| TGI Friday's, Inc., Term Loan - Second Lien, 9.250%, 07/15/21 | 1,000,000 | 1,006,250 | ||||||
| Total Restaurants | 7,942,454 | |||||||
| Retail – 8.6% | ||||||||
| Albertson's Holdings LLC, Term Loan B-4 - First Lien, 5.500%, 08/25/21 | 2,000,000 | 2,019,480 | ||||||
| Charming Charlie LLC, Initial Term Loan - First Lien, 9.000%, 12/24/19(b) | 990,000 | 997,425 | ||||||
| CWGS Group LLC (Camping World), Term Loan B - First Lien, 5.750%, 02/20/20 | 2,415,446 | 2,440,095 | ||||||
| Dollar Tree, Inc., Initial Term B Loan – First Lien, 4.250%, 03/09/22 | 1,500,000 | 1,517,603 | ||||||
| New Albertson's Inc., Term Loan B - First Lien, 4.750%, 06/28/21 | 1,194,000 | 1,199,719 | ||||||
| PetSmart, Inc., Term Loan - First Lien, 5.000%, 03/11/22 | 1,000,000 | 1,008,660 | ||||||
| Roundy's Supermarkets, Inc., Tranche B Term Loan - First Lien, 5.750%, 03/03/21 | 2,900,217 | 2,797,810 | ||||||
| Total Retail | 11,980,792 | |||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments (unaudited) (continued) | March 31, 2015 |
| Investments | Principal | Value | ||||||
| Services: Business – 18.3% | ||||||||
| Affinion Group Holdings, Inc., Tranche B Term Loan - First Lien, 6.750%, 04/30/18 | $ | 718,239 | $ | 683,046 | ||||
| Brickman Group Holdings, Inc., Initial Term Loan - First Lien, 4.000%, 12/18/20 | 1,735,601 | 1,730,898 | ||||||
| Centerplate, Inc. (KPLT), Term Loan A - First Lien, 4.750%, 11/26/19(b) | 990,000 | 980,100 | ||||||
| Checkout Holding Corp., Term Loan B - First Lien, 4.500%, 04/09/21 | 2,977,500 | 2,610,270 | ||||||
| CT Technologies Intermediate Holdings, Inc. (Health Port), Initial Term Loan - First Lien, 6.000%, 12/01/21(b) | 1,995,000 | 2,014,950 | ||||||
| Deluxe Entertainment Services Group, Inc., Initial Term Loan - First Lien, 6.50%, 02/28/20(b) | 1,899,801 | 1,847,556 | ||||||
| INC Research LLC, Term Loan - First Lien, 4.500%, 11/15/21 | 997,500 | 1,006,228 | ||||||
| Inmar, Inc., Initial Term Loan - First Lien, 4.250%, 01/27/21 | 1,985,000 | 1,957,706 | ||||||
| Mitchell International, Inc., Initial Term Loan - First Lien, 4.500%, 10/13/20 | 976,469 | 978,706 | ||||||
| Novitex Acquisition LLC (Pitney Bowes), Tranche B-2 Term Loan - First Lien, 7.500%, 07/07/20(b) | 1,990,000 | 1,895,475 | ||||||
| RentPath, Inc., Term Loan - First Lien, 6.250%, 12/17/21(b) | 1,995,000 | 1,999,987 | ||||||
| RentPath, Inc., Term Loan - Second Lien, 10.000%, 12/16/22 | 1,000,000 | 929,165 | ||||||
| SourceHOV LLC, Term B Loan - First Lien, 7.750%, 10/31/19(b) | 1,500,000 | 1,466,250 | ||||||
| SunGard Availability Services Capital, Inc., Tranche B Term Loan - First Lien, 6.000%, 03/29/19 | 1,980,000 | 1,752,300 | ||||||
| TCH-2 Holdings LLC (TravelClick), Term Loan - First Lien, 5.500%, 05/12/21(b) | 1,985,380 | 1,982,898 | ||||||
| TCH-2 Holdings LLC (TravelClick), Initial Term Loan - Second Lien, 8.750%, 11/12/21 | 1,750,000 | 1,719,375 | ||||||
| Total Services: Business | 25,554,910 | |||||||
| Services: Consumer – 6.9% | ||||||||
| Fitness International LLC (LA Fitness), Term Loan B - First Lien, 5.500%, 07/01/20(b) | 992,500 | 927,987 | ||||||
| Millennium Laboratories LLC, Tranche B Term Loan - First Lien, 5.250%, 04/16/21 | 1,985,000 | 2,002,369 | ||||||
| Pre-Paid Legal Services, Inc. (Legalshield), Term Loan (2013) – First Lien, 6.250%, 07/01/19(c) | 3,068,015 | 3,074,396 | ||||||
| Pre-Paid Legal Services, Inc. (Legalshield), Term Loan - Second Lien, 9.750%, 07/01/20 | 750,000 | 751,253 | ||||||
| Renaissance Learning, Inc., Initial Term Loan - First Lien, 4.500%, 04/09/21 | 1,980,000 | 1,942,875 | ||||||
| Renaissance Learning, Inc., Initial Term Loan - Second Lien, 8.000%, 04/11/22 | 1,000,000 | 975,000 | ||||||
| Total Services: Consumer | 9,673,880 | |||||||
| Services: Rental – 0.3% | ||||||||
| North American Lifting Holdings, Inc. (TNT Crane), Initial Term Loan - Second Lien, 10.000%, 11/26/21 | 500,000 | 468,750 | ||||||
| Technology: Hardware – 2.1% | ||||||||
| Eastman Kodak Company, Term Loan - First Lien, 7.250%, 09/03/19 | 984,962 | 986,194 | ||||||
| Zebra Technologies Corp., Term Loan B - First Lien, 4.750%, 10/27/21 | 1,954,545 | 1,979,710 | ||||||
| Total Technology: Hardware | 2,965,904 | |||||||
| Technology: Semiconductor – 0.5% | ||||||||
| M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan - First Lien, 4.500%, 05/07/21 | 632,719 | 639,176 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments (unaudited) (continued) | March 31, 2015 |
| Investments | Principal | Value | ||||||
| Technology: Services – 10.4% | ||||||||
| Ability Networks, Inc., Initial Term Loan - Second Lien, 9.250%, 05/16/22(b) | $ | 1,000,000 | $ | 995,000 | ||||
| Ascensus, Inc., Initial Term Loan - Second Lien, 9.000%, 12/02/20 | 500,000 | 500,520 | ||||||
| ConvergeOne Holdings Corporation, Initial Term Loan - First Lien, 6.000%, 06/17/20(b) | 1,488,750 | 1,487,820 | ||||||
| First Data Corp., 2018B New Term Loan - First Lien, 3.674%, 09/24/18 | 1,500,000 | 1,500,623 | ||||||
| MH Sub I LLC & Micro (Internet Brands), Term Loan - First Lien, 5.000%, 07/08/21 | 1,985,847 | 1,989,570 | ||||||
| PGX Holdings, Inc. (Progrexion), Initial Term Loan - First Lien, 6.250%, 09/29/20 | 1,975,000 | 1,992,281 | ||||||
| Scientific Games International, Inc., Term Loan B-2 - First Lien, 6.000%, 10/01/21 | 3,990,000 | 4,004,682 | ||||||
| TransFirst Holdings, Inc., Term Loan - First Lien, 5.500%, 11/12/21 | 1,995,000 | 2,014,950 | ||||||
| Total Technology: Services | 14,485,446 | |||||||
| Technology: Software – 8.1% | ||||||||
| Compuware Corp., Tranche B2 Term Loan - First Lien, 6.250%, 12/15/21 | 1,500,000 | 1,458,128 | ||||||
| Deltek, Inc., Term Loan - Second Lien, 10.000%, 10/10/19 | 1,000,000 | 1,011,250 | ||||||
| GTCR Valor Companies, Inc. (Cision Vocus), Incremental B-1 Term Loans - First Lien, 6.000%, 05/30/21 | 1,989,995 | 1,985,030 | ||||||
| Lanyon Solutions, Inc., Term Loan - First Lien, 5.500%, 11/13/20 | 2,477,440 | 2,475,384 | ||||||
| Riverbed Technology, Inc., Term Loan - First Lien, 6.000%, 03/25/22(c) | 1,000,000 | 1,011,000 | ||||||
| RP Crown Parent LLC (Red Prairie), Term Loan B - First Lien, 6.000%, 12/21/18 | 1,477,528 | 1,457,981 | ||||||
| RP Crown Parent LLC (Red Prairie), Term Loan - Second Lien, 11.250%, 12/21/19 | 2,000,000 | 1,820,010 | ||||||
| Total Technology: Software | 11,218,783 | |||||||
| Telecommunications – 6.1% | ||||||||
| Avaya, Inc., Term Loan B-6 - First Lien, 6.500%, 03/31/18 | 1,976,588 | 1,974,947 | ||||||
| Birch Communications, Inc., Term Loan - First Lien, 7.750%, 07/17/20(b) | 1,943,056 | 1,933,340 | ||||||
| Fairpoint Communications, Inc., Term Loan - First Lien, 7.500%, 02/14/19 | 989,551 | 1,008,931 | ||||||
| IPC Corp., Term Loan B - First Lien, 6.500%, 08/06/21 | 1,000,000 | 1,008,125 | ||||||
| IPC Corp., Term Loans - Second Lien, 10.500%, 02/06/22 | 1,000,000 | 933,750 | ||||||
| Ntelos Inc., Term B Advance - First Lien, 5.750%, 11/09/19(b) | 1,964,736 | 1,689,673 | ||||||
| Total Telecommunications | 8,548,766 | |||||||
| Transportation: Services – 5.7% | ||||||||
| American Commercial Lines (Commercial Barge), Initial Term Loan - First Lien, 7.500%, 09/22/19(b) | 2,947,368 | 2,954,738 | ||||||
| American Commercial Lines (Commercial Barge), Initial Term Loan - Second Lien, 10.750%, 03/22/20(b)(c) | 1,000,000 | 1,005,000 | ||||||
| Coyote Logistics LLC, Term Loan B - First Lien, 6.250%, 03/10/22(c) | 2,000,000 | 2,015,000 | ||||||
| Sirva Worldwide, Inc., Term Loan - First Lien, 7.500%, 03/27/19(b) | 1,968,728 | 1,968,728 | ||||||
| Total Transportation: Services | 7,943,466 | |||||||
| Waste Management – 1.5% | ||||||||
| Energy Solutions LLC (Envirocare of Utah), Term Advance - First Lien, 6.750%, 05/29/20 | 2,110,179 | 2,122,048 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments (unaudited) (continued) | March 31, 2015 |
| Investments | Principal | Value | ||||||
| Wholesale – 3.2% | ||||||||
| 4L Technologies, Inc. (Clover Technologies), Initial Term Loan - First Lien, 5.500%, 05/08/20 | $ | 1,491,253 | $ | 1,453,510 | ||||
| Envision Acquisition Company LLC, Initial Term Loan - First Lien, 5.750%, 11/04/20 | 988,722 | 992,434 | ||||||
| FPC Holdings, Inc. (Fleetpride), Initial Term Loan - First Lien, 5.250%, 11/19/19 | 1,181,854 | 1,177,056 | ||||||
| P2 Lower Acquisition, Inc. (Progresive Solutions), Initial Term Loan - First Lien, 5.500%, 10/22/20(b) | 813,398 | 814,415 | ||||||
| Total Wholesale | 4,437,415 | |||||||
| Total Senior Loans (Cost $196,358,099) | 194,419,378 | |||||||
| CORPORATE BONDS – 1.8% (1.3% of Total Investments) | ||||||||
| Beverage, Food & Tobacco – 0.3% | ||||||||
| Innovation Ventures (5 Hour Energy), 9.500%, 08/15/19‡ | 500,000 | 512,500 | ||||||
| Chemicals - Specialty – 1.2% | ||||||||
| Aruba Investments, Inc., 8.750%, 02/15/23‡ | 1,500,000 | 1,500,000 | ||||||
| Media: Advertising, Printing & Publishing – 0.3% | ||||||||
| Getty Images, Inc., 7.000%, 10/15/20‡(b) | 1,000,000 | 511,875 | ||||||
| Total Corporate Bonds (Cost $2,821,349) | 2,524,375 | |||||||
| MONEY MARKET FUND – 3.3% (2.3% of Total Investments) | ||||||||
| Shares | ||||||||
| Morgan Stanley Institutional Liquidity Treasury Portfolio - Institutional Share Class, 0.03%(d) (Cost $4,556,836) | 4,556,836 | 4,556,836 | ||||||
| Total Investments in Securities - 144.5% (Cost $203,736,284) | 201,500,589 | |||||||
| Line of Credit Payable (Cost $51,000,000) – (36.6)% | (51,000,000 | ) | ||||||
| Liabilities in Excess of Other Assets – (7.9%) | (11,027,329 | ) | ||||||
| Net Assets – 100.0% | $ | 139,473,260 | ||||||
| ‡ |
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 fair value of Rule 144A securities amounts to $2,524,375 which represents approximately 1.8% of net assets as of March 31, 2015. Unless otherwise noted, 144A securities are deemed to be liquid. |
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments (unaudited) (continued) | March 31, 2015 |
| (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 a 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 March 31, 2015. |
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments (unaudited) (concluded) | March 31, 2015 |
| SUMMARY OF SCHEDULE OF INVESTMENTS | % of Net Assets | |||
| Aerospace & Defense | 2.2 | % | ||
| Automotive | 3.1 | |||
| Banking, Finance, Insurance & Real Estate | 5.6 | |||
| Beverage, Food & Tobacco | 3.4 | |||
| Capital Goods | 0.7 | |||
| Chemicals, Plastics & Rubber | 3.5 | |||
| Chemicals - Specialty | 1.2 | |||
| Construction & Engineering | 2.1 | |||
| Consumer Products: Durables | 2.8 | |||
| Consumer Products: Non Durables | 3.1 | |||
| Energy, Oil & Gas | 2.2 | |||
| Healthcare & Pharmaceuticals | 4.0 | |||
| Hotel, Gaming & Leisure | 3.2 | |||
| Manufacturing | 3.7 | |||
| Media: Advertising, Printing & Publishing | 7.1 | |||
| Media: Broadcasting & Subscription | 6.6 | |||
| Media: Diversified and Services | 6.8 | |||
| Metals & Mining | 0.4 | |||
| Packaging | 1.4 | |||
| Paper & Forest Products | 0.7 | |||
| Restaurants | 5.7 | |||
| Retail | 8.6 | |||
| Services: Business | 18.3 | |||
| Services: Consumer | 6.9 | |||
| Services: Rental | 0.3 | |||
| Technology: Hardware | 2.1 | |||
| Technology: Semiconductor | 0.5 | |||
| Technology: Services | 10.4 | |||
| Technology: Software | 8.1 | |||
| Telecommunications | 6.1 | |||
| Transportation: Services | 5.7 | |||
| Waste Management | 1.5 | |||
| Wholesale | 3.2 | |||
| Money Market Fund | 3.3 | |||
| Total Investments | 144.5 | |||
| Line of Credit Payable | (36.6 | ) | ||
| Liabilities in Excess of Other Assets | (7.9 | ) | ||
| Net Assets | 100.0 | % | ||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Notes to the Schedule of Investments (unaudited) | March 31, 2015 |
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”). Under normal market conditions, the Fund will invest 100% of its Managed Assets in the securities of issuers located in North America and does not currently intend to invest a material amount of its Managed Assets outside the United States. For the purposes of complying with these requirements, an issuer will be located in North America if its legal domicile is in North America or if the legal domicile of any co-issuer that is controlling, controlled by or under common control with the issuer is in North America where the co-issuer is (i) 100% responsible for the payment of principal and interest on the loan or security and (ii) the Fund has direct recourse against the co-issuer in the United States courts in the event that 100% of the payment of principal and interest on the securities is not made. Investments in issuers deemed to be located in the United States for these purposes will be deemed to be investments in the United States. 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 (the “Committee”), subject to the Board’s supervision and direction, through the adoption of procedures for valuation of the Fund’s securities (the “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.
| THL Credit Senior Loan Fund | |
| Notes to the Schedule of Investments (unaudited) (continued) | March 31, 2015 |
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
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.
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 March 31, 2015 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 March 31, 2015:
| THL Credit Senior Loan Fund | |
| Notes to the Schedule of Investments (unaudited) (continued) | March 31, 2015 |
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
Fair Value Measurement (continued)
The following table summarizes the valuation of the Fund’s investments under the fair value hierarchy levels as of March 31, 2015:
| Asset Type | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Senior Loans | ||||||||||||||||
| Aerospace & Defense | $ | - | $ | 2,104,696 | $ | 995,000 | $ | 3,099,696 | ||||||||
| Automotive | - | 4,249,440 | - | 4,249,440 | ||||||||||||
| Banking, Finance, Insurance & Real Estate | - | 5,401,036 | 2,336,993 | 7,738,029 | ||||||||||||
| Beverage, Food & Tobacco | - | - | 4,373,331 | 4,373,331 | ||||||||||||
| Capital Goods | - | 917,141 | - | 917,141 | ||||||||||||
| Chemicals, Plastics & Rubber | - | 1,888,610 | 2,995,553 | 4,884,163 | ||||||||||||
| Construction & Engineering | - | 2,443,750 | 494,059 | 2,937,809 | ||||||||||||
| Consumer Products: Durables | - | 3,859,546 | - | 3,859,546 | ||||||||||||
| Consumer Products: Non Durables | - | 4,275,957 | - | 4,275,957 | ||||||||||||
| Energy, Oil & Gas | - | 2,071,965 | 1,006,250 | 3,078,215 | ||||||||||||
| Healthcare & Pharmaceuticals | - | 5,621,986 | - | 5,621,986 | ||||||||||||
| Hotel, Gaming & Leisure | - | 936,891 | 3,578,692 | 4,515,583 | ||||||||||||
| Manufacturing | - | 5,119,872 | - | 5,119,872 | ||||||||||||
| Media: Advertising, Printing & Publishing | - | 9,525,887 | - | 9,525,887 | ||||||||||||
| Media: Broadcasting & Subscription | - | 9,264,800 | - | 9,264,800 | ||||||||||||
| Media: Diversified and Services | - | 7,892,320 | 1,599,672 | 9,491,992 | ||||||||||||
| Metals & Mining | - | - | 483,875 | 483,875 | ||||||||||||
| Packaging | - | 2,006,507 | - | 2,006,507 | ||||||||||||
| Paper & Forest Products | - | 993,759 | - | 993,759 | ||||||||||||
| Restaurants | - | 5,964,929 | 1,977,525 | 7,942,454 | ||||||||||||
| Retail | - | 10,983,367 | 997,425 | 11,980,792 | ||||||||||||
| Services: Business | - | 13,367,694 | 12,187,216 | 25,554,910 | ||||||||||||
| Services: Consumer | - | 8,745,893 | 927,987 | 9,673,880 | ||||||||||||
| Services: Rental | - | 468,750 | - | 468,750 | ||||||||||||
| Technology: Hardware | - | 2,965,904 | - | 2,965,904 | ||||||||||||
| Technology: Semiconductor | - | 639,176 | - | 639,176 | ||||||||||||
| Technology: Services | - | 12,002,626 | 2,482,820 | 14,485,446 | ||||||||||||
| Technology: Software | - | 11,218,783 | - | 11,218,783 | ||||||||||||
| Telecommunications | - | 4,925,753 | 3,623,013 | 8,548,766 | ||||||||||||
| Transportation: Services | - | 2,015,000 | 5,928,466 | 7,943,466 | ||||||||||||
| Waste Management | - | 2,122,048 | - | 2,122,048 | ||||||||||||
| Wholesale | - | 3,623,000 | 814,415 | 4,437,415 | ||||||||||||
| Corporate Bonds* | - | 2,012,500 | 511,875 | 2,524,375 | ||||||||||||
| Money Market Fund | - | 4,556,836 | - | 4,556,836 | ||||||||||||
| Total Investments | $ | - | $ | 154,186,422 | $ | 47,314,167 | $ | 201,500,589 | ||||||||
*Please refer to Schedule of Investments for breakdown of valuations by industry.
| THL Credit Senior Loan Fund | |
| Notes to the Schedule of Investments (unaudited) (continued) | March 31, 2015 |
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, 2014 | $ | 62,554,307 | ||
| Realized gain | 11,224 | |||
| Change in unrealized appreciation | 162,958 | |||
| Amortization (accretion) | 42,103 | |||
| Purchases | 2,472,500 | |||
| Sales and principal paydowns | (5,592,277 | ) | ||
| Transfers in and/or out of Level 3 | (12,336,648 | ) | ||
| Balance as of March 31, 2015 | $ | 47,314,167 | ||
Net change in unrealized appreciation attributable to level 3 investments held at March 15, 2015 was $159,475.
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 March 15, 2015:
| Fair Value | Valuation Technique | Unobservable Input | ||||||
| Senior Loans | $ | 47,314,167 | Third-party vendor service | Vendor quotes | ||||
3. UNREALIZED APPRECIATION/(DEPRECIATION)
On March 31, 2015 based on cost of $203,736,284 for federal income tax purposes, aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,623,818 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,859,513 resulting in net unrealized depreciation of $2,235,695.
4. DELAYED DRAW LOAN COMMITMENTS
As of March 31, 2015, the Fund had the following delayed draw loan commitment outstanding, which could be extended at the option of the borrower, as detailed below.
| Loan | Principal Amount | Cost | Value | Net Unrealized Appreciation | ||||||||||||
| Parq Holdings LP, Delayed Draw Term Loan Commitment, 12/17/2020 | $ | 339,623 | $ | 332,830 | $ | 343,019 | $ | 10,189 | ||||||||
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 | 05/27/15 | |||
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 | 05/27/15 | |||
| By (Signature and Title)* | /s/ Jennifer Wilson | |||
| Jennifer Wilson, Treasurer and Principal Financial Officer | ||||
| (principal financial officer) | ||||
| Date | 05/27/15 | |||
* Print the name and title of each signing officer under his or her signature.