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, 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) September 30, 2015
Investments  Principal   Value 
SENIOR LOANS(a) – 140.0% (93.9% of Total Investments)          
           
Aerospace & Defense – 2.2%          
AM General LLC., Term B Facility - First Lien, 10.250%, 03/22/18  $2,275,347   $1,930,256 
Pelican Products, Inc., Term Loan - Second Lien, 9.250%, 04/09/21(b)   1,000,000    995,000 
Total Aerospace & Defense        2,925,256 
Automotive – 3.0%          
Chrysler Group LLC, Tranche B Term Loan - First Lien, 3.500%, 05/24/17   736,538    734,193 
MPG Holdco I, Inc.(Metaldyne), Initial Term Loan B - First Lien, 3.750%, 10/20/21   787,848    784,810 
Neenah Enterprises (Neenah Foundry), Term Loan - First Lien, 6.750%, 04/26/17   2,474,305    2,449,562 
Total Automotive        3,968,565 
Banking, Finance, Insurance & Real Estate – 5.6%          
Armor Holdco, Inc. (American Stock Transfer), Term Loan - First Lien, 5.750%, 06/26/20   479,474    476,676 
Assured Partners Capital, Inc., Term Loan - First Lien, 5.000%, 04/02/21   990,005    990,624 
Confie Seguros Holding II Co., Term Loan - Second Lien, 10.250%, 05/09/19   500,000    499,165 
GENEX Services, Inc., Term Loan B - First Lien, 5.250%, 05/28/21   987,500    988,734 
GENEX Services, Inc., Initial Term Loan - Second Lien, 8.750%, 05/30/22   250,000    245,625 
Ocwen Loan Servicing LLC, Initial Term Loan - First Lien, 5.000%, 02/15/18   2,246,264    2,251,037 
RJO Holdings Corp., Term Loan - First Lien, 6.940%, 12/10/15(b)   1,151,592    1,065,223 
SG Acquisition Inc. (Safe Gard), Initial Term Loan - First Lien, 6.250%, 08/19/21(b)   918,571    922,016 
Total Banking, Finance, Insurance & Real Estate        7,439,100 
Beverage, Food & Tobacco – 3.2%          
Arctic Glacier U.S.A., Inc., 2014 Term B Loan - First Lien, 6.000%, 05/10/19(b)   2,456,187    2,431,625 
Flavors Holdings Inc., Tranche B Term Loan - First Lien, 6.750%, 10/03/20   950,000    906,063 
Flavors Holdings Inc., Initial Term Loan - Second Lien, 11.000%, 10/07/21(b)   1,000,000    955,000 
Total Beverage, Food & Tobacco        4,292,688 
Capital Goods – 0.6%          
Crosby US Acquisition Corp., Initial Term Loan - First Lien, 3.750%, 11/23/20   982,500    859,687 
Chemicals, Plastics & Rubber – 2.5%          
American Pacific Corp., Initial Term Loan - First Lien, 7.000%, 02/27/19   989,950    988,405 
PeroxyChem LLC, Initial Term Loan - First Lien, 7.500%, 02/28/20(b)   1,472,114    1,472,114 
Vertellus Specialities, Inc., Term Loan - First Lien, 10.500%, 10/31/19   990,000    876,150 
Total Chemicals, Plastics & Rubber        3,336,669 
Construction & Engineering – 2.2%          
FR Utility Services LLC (Utility Services), Initial Term Loan - First Lien, 6.750%, 10/18/19   491,250    491,864 

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) September 30, 2015
Investments  Principal   Value 
Construction & Engineering (continued)          
Power Buyer, LLC (Powerteam Services), Initial Term Loan - Second Lien, 8.250%, 11/06/20(b)  $2,500,000   $2,400,000 
Total Construction & Engineering        2,891,864 
Consumer Products: Durables – 2.6%          
Paladin Brands Holding, Inc., Initial Loan - First Lien, 6.750%, 08/16/19   1,793,030    1,777,341 
Visant Corp., Term Loan - First Lien, 7.000%, 09/23/21   1,863,710    1,723,931 
Total Consumer Products: Durables        3,501,272 
Consumer Products: Non Durables – 3.1%          
Calceus Acquisition, Inc. (Cole Haan), Term B-1 Loan - First Lien, 5.000%, 01/31/20   1,960,000    1,867,713 
Varsity Brands, Inc. (Hercules Achievement), Term B Loan - First Lien, 5.000%, 12/11/21   1,985,000    1,994,429 
Vince Intermediate Holding LLC, Initial Term Loan - First Lien, 5.750%, 11/27/19(b)   285,714    277,143 
Total Consumer Products: Non Durables        4,139,285 
Energy, Oil & Gas – 3.7%          
Chelsea Petroleum Products I LLC, Term B - First Lien, 5.250%, 07/15/22(c)   2,000,000    1,982,500 
HGIM Corp. (Harvey Gulf), Term Loan B - First Lien, 5.500%, 06/18/20   2,952,437    1,930,894 
Stonewall Gas Gathering LLC, Term Loan - First Lien, 8.750%, 01/28/22   995,000    991,269 
Total Energy, Oil & Gas        4,904,663 
Healthcare & Pharmaceuticals – 3.6%          
Alvogen Pharma US Inc., Term Loan - First Lien, 6.000%, 04/01/22   2,925,029    2,917,716 
BioScrip, Inc., Initial Term B Loan - First Lien, 6.500%, 07/31/20(b)   1,250,000    1,162,500 
BioScrip, Inc., Term Loan - First Lien, 6.500%, 07/31/20(b)   750,000    697,500 
Total Healthcare & Pharmaceuticals        4,777,716 
Hotel, Gaming & Leisure – 3.6%          
ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-1 - First Lien, 7.000%, 02/28/19(b)   817,736    819,780 
ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-2 - First Lien, 7.000%, 02/28/19(b)   1,083,975    1,086,685 
Caesars Entertainment Resort Properties LLC, Term B Loan - First Lien, 7.000%, 10/12/20   982,500    920,391 
Parq Holdings LP, Term Loan - First Lien, 8.500%, 12/17/20(b)   339,623    337,075 
Parq Holdings LP, Term Loan - First Lien, 8.500%, 12/17/20(b)   1,660,377    1,647,925 
Total Hotel, Gaming & Leisure        4,811,856 
Manufacturing – 4.8%          
CPM Holdings, Inc., Initial Term Loan - First Lien, 6.000%, 04/11/22   2,094,750    2,101,726 
Gates Global Inc., Initial Term Loan - First Lien, 4.250%, 07/05/21   2,475,000    2,351,683 
Preferred Proppants LLC (Preferred Sands), Term Loan - First Lien, 6.750%, 07/27/20   2,970,000    1,937,925 
Total Manufacturing        6,391,334 
Media: Advertising, Printing & Publishing – 6.7%          
Cengage Learning Acquisitions, Inc., Term Loan - First Lien, 7.000%, 03/31/20   3,847,933    3,823,883 
Getty Images, Inc., Initial Term Loan - First Lien, 4.750%, 10/18/19   1,979,644    1,297,083 

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) September 30, 2015
Investments  Principal   Value 
Media: Advertising, Printing & Publishing (continued)          
Harland Clarke Hldgs., Tranche B-3 Term Loans - First Lien, 7.000%, 05/22/18  $3,775,000   $3,770,866 
Total Media: Advertising, Printing & Publishing        8,891,832 
Media: Broadcasting & Subscription – 2.6%          
CSC Holdings, Inc., (Cablevision / Altice Financing / Neptune Finco), Initial Term Loans – First Lien, 5.000%, 09/21/22(c)   500,000    497,875 
Tribune Media Co., Term B Loan - First Lien, 3.750%, 12/27/20   1,257,984    1,209,237 
TWCC Holding Corp. (BBN Acquisition), Term B-1 Loans - First Lien, 5.750%, 02/13/20   762,530    759,481 
TWCC Holding Corp., Term Loan - Second Lien, 7.000%, 06/26/20   1,000,000    935,630 
Total Media: Broadcasting & Subscription        3,402,223 
Media: Diversified and Services – 7.0%          
Extreme Reach, Inc., Initial Term Loan - First Lien, 6.750%, 02/07/20   1,485,798    1,480,226 
IMG Worldwide, Inc., Term Loan - First Lien, 5.250%, 05/03/21   1,975,000    1,969,243 
Learfield Communications, Inc., 2014 Replacement Term Loan - First Lien, 4.500%, 10/09/20   991,861    992,689 
Mood Media Corporation, Term Loan - First Lien, 7.000%, 05/01/19   4,925,000    4,816,256 
Total Media: Diversified and Services        9,258,414 
Metals & Mining – 0.4%          
TMS International Corp. (Tube City), Term Loan B - First Lien, 4.500%, 10/16/20(b)   484,830    470,285 
Packaging – 1.5%          
BWAY Holding Co. (ICL Industrial Containers ULC/ICL), Initial Term Loan - First Lien, 5.500%, 08/14/20   1,975,000    1,971,297 
Paper & Forest Products – 0.7%          
Caraustar Industries, Inc., Term Loan C - First Lien, 8.000%, 05/01/19   992,502    991,673 
Restaurants – 3.5%          
CEC Entertainment, Inc., Tranche B Term Loan - First Lien, 4.000%, 02/15/21   1,970,000    1,924,030 
Restaurant Brands International, Inc., (Burger King), Term B - First Lien, 3.750%, 12/13/21   757,067    754,512 
Steak n Shake Operations, Inc., Term Loan - First Lien, 4.750%, 03/19/21(b)   1,970,000    1,957,687 
Total Restaurants        4,636,229 
Retail – 9.6%          
Albertson's Holdings LLC, Term Loan B-4 - First Lien, 5.500%, 08/25/21   1,985,354    1,988,302 
Charming Charlie LLC, Initial Term Loan - First Lien, 9.000%, 12/24/19(b)   985,000    945,600 
CWGS Group LLC (Camping World), Term Loan B - First Lien, 5.750%, 02/20/20   2,352,707    2,356,636 
Dollar Tree, Inc., Term Loan B-1 - First Lien, 3.500%, 05/26/22   1,253,165    1,255,777 
J. Crew Group, Inc., Initial Loans - First Lien, 4.000%, 03/05/21   498,737    387,412 
Jill Acquisition LLC, Term Loan - First Lien, 6.000%, 05/08/22(b)   1,050,000    1,047,375 
New Albertson's Inc., Term Loan B - First Lien, 4.750%, 06/28/21   1,188,000    1,188,149 
PetSmart, Inc., Tranche B-1 Loan - First Lien, 4.250%, 03/11/22   997,500    996,921 
Roundy's Supermarkets, Inc., Tranche B Term Loan - First Lien, 5.750%, 03/03/21   2,900,217    2,547,348 
Total Retail        12,713,520 

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) September 30, 2015
Investments  Principal   Value 
Services: Business – 16.5%          
Affinion Group Holdings, Inc., Tranche B Term Loan - First Lien, 6.750%, 04/30/18  $714,612   $672,182 
Brickman Group Holdings, Inc., Initial Term Loan - First Lien, 4.000%, 12/18/20   1,726,835    1,704,067 
Centerplate, Inc. (KPLT), Term Loan A - First Lien, 4.750%, 11/26/19   985,000    977,612 
Checkout Holding Corp., Term Loan B - First Lien, 4.500%, 04/09/21   2,962,500    2,547,750 
CT Technologies Intermediate Holdings, Inc. (HealthPort), Initial Term Loan - First Lien, 5.250%, 12/01/21   1,985,025    1,981,720 
Deluxe Entertainment Services Group, Inc., Initial Term Loan - First Lien, 6.500%, 02/28/20   1,899,801    1,783,438 
eResearchTechnology, Inc., Term Loans - First Lien, 5.500%, 05/08/22   1,496,250    1,492,741 
Mitchell International, Inc., Initial Term Loan - First Lien, 4.500%, 10/13/20   969,044    966,927 
Novitex Acquisition LLC (Pitney Bowes), Tranche B-2 Term Loan - First Lien, 7.500%, 07/07/20(b)   1,972,500    1,873,875 
RentPath, Inc., Term Loan - First Lien, 6.250%, 12/17/21   1,985,000    1,971,363 
RentPath, Inc., Term Loan - Second Lien, 10.000%, 12/16/22   1,000,000    953,750 
SourceHOV LLC, Term B Loan - First Lien, 7.750%, 10/31/19   1,471,875    1,340,326 
TCH-2 Holdings LLC (TravelClick), Term Loan - First Lien, 5.500%, 05/12/21   1,975,633    1,965,755 
TCH-2 Holdings LLC (TravelClick), Initial Term Loan - Second Lien, 8.750%, 11/12/21(b)   1,750,000    1,725,938 
Total Services: Business        21,957,444 
Services: Consumer – 7.7%          
Fitness International LLC (LA Fitness), Term Loan B - First Lien, 5.500%, 07/01/20   987,500    946,766 
Jackson Hewitt Tax Service, Inc., Initial Term Loan, 8.000%, 07/30/20(b)   1,000,000    985,000 
Millennium Laboratories LLC, Tranche B Term Loan - First Lien, 5.250%, 04/16/21(c)   2,978,741    956,920 
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan (2013) - First Lien, 6.250%, 07/01/19   2,949,630    2,968,065 
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan - Second Lien, 10.250%, 07/01/20   1,500,000    1,503,750 
Renaissance Learning, Inc., Initial Term Loan - First Lien, 4.500%, 04/09/21   1,970,000    1,917,470 
Renaissance Learning, Inc., Initial Term Loan - Second Lien, 8.000%, 04/11/22   1,000,000    973,330 
Total Services: Consumer        10,251,301 
Services: Rental – 0.3%          
North American Lifting Holdings, Inc. (TNT Crane), Initial Term Loan - Second Lien, 10.000%, 11/26/21   500,000    453,515 
Technology: Contract Manufacturing – 1.1%          
TTM Technologies, Inc., Term B Loan - First Lien, 6.000%, 05/31/21(b)   1,500,000    1,402,500 
Technology: Hardware – 2.1%          
Eastman Kodak Company, Term Loan - First Lien, 7.250%, 09/03/19   979,950    942,956 
Zebra Technologies Corp., Term Loan B - First Lien, 4.750%, 10/27/21   1,881,818    1,896,139 
Total Technology: Hardware        2,839,095 

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) September 30, 2015
Investments  Principal   Value 
Technology: Semiconductor – 0.5%          
M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan - First Lien, 4.500%, 05/07/21  $629,531   $632,418 
Technology: Services – 11.6%          
Ability Networks, Inc., Initial Term Loan - Second Lien, 9.250%, 05/16/22(b)   1,000,000    995,000 
Ancestry.com, Inc., Initial Term Loan – First Lien, 5.000%, 08/29/22   1,760,000    1,752,669 
AP Gaming I LLC (American Gaming Systems), Term B Loan - First Lien, 9.250%, 12/20/20   994,937    983,326 
ConvergeOne Holdings Corporation, Initial Term Loan - First Lien, 6.000%, 06/17/20   1,481,250    1,472,918 
First Data Corp., 2018B New Term Loan - First Lien, 3.687%, 09/24/18   1,500,000    1,487,625 
MH Sub I LLC & Micro (Internet Brands), Term Loan - First Lien, 5.000%, 07/08/21   1,975,847    1,961,028 
PGX Holdings, Inc. (Progrexion), Initial Term Loan - First Lien, 6.250%, 09/29/20   1,914,286    1,920,268 
Scientific Games International, Inc., Term Loan B-2 - First Lien, 6.000%, 10/01/21   3,970,000    3,925,953 
TransFirst Holdings, Inc. (Tyche Merger), Loans - Second Lien, 9.000%, 11/12/21   1,000,000    989,690 
Total Technology: Services        15,488,477 
Technology: Software – 8.9%          
Compuware Corp., Tranche B2 Term Loan - First Lien, 6.250%, 12/15/21(b)   1,488,750    1,438,505 
Deltek, Inc. Term Loan - Second Lien, 9.500%, 12/17/23   1,000,000    1,003,125 
GTCR Valor Companies, Inc. (Cision Vocus), Incremental B-1 Term Loans - First Lien, 6.000%, 05/30/21   1,979,986    1,962,661 
Hyland Software, Inc. Initial Loans - Second lien, 8.500%, 05/27/23   1,000,000    995,625 
Lanyon Solutions, Inc., Term Loan - First Lien, 5.500%, 11/13/20   2,464,901    2,447,449 
Riverbed Technology, Inc., Term Loan - First Lien, 6.000%, 04/24/22   995,000    997,901 
RP Crown Parent LLC (Red Prairie), Term Loan B - First Lien, 6.000%, 12/21/18   1,470,047    1,312,017 
RP Crown Parent LLC (Red Prairie), Term Loan - Second Lien, 11.250%, 12/21/19   2,000,000    1,736,000 
Total Technology: Software        11,893,283 
Telecommunications – 10.2%          
Asurion Delivery and Installation Services, Inc., Incremental Tranche B-1 Term Loan - First Lien, 4.750%, 05/24/19(c)   750,000    717,375 
Asurion Delivery and Installation Services, Inc., Incremental Tranche B-4 Term Loan - First Lien, 5.000%, 08/04/22   1,995,000    1,891,200 
Asurion Delivery and Installation Services, Inc., Term Loan - Second Lien, 8.500%, 03/03/21   1,000,000    906,250 
Avaya, Inc., Replacement Term B-6 - First Lien, 6.500%, 03/31/18   1,306,662    1,143,329 
Avaya, Inc., Refinancing Term B-7 - First Lien, 6.250%, 04/30/20   1,988,154    1,569,399 
Birch Communications, Inc., Term Loan - First Lien, 7.750%, 07/17/20(b)   1,943,056    1,945,484 
Communications Sales & Leasing, Inc. (CSL Capital, LLC / Windstream), Term Loan – First Lien, 5.000%, 10/24/22   1,995,000    1,880,288 
Fairpoint Communications, Inc., Term Loan - First Lien, 7.500%, 02/14/19   984,502    990,759 
IPC Corp., Term Loans - Second Lien, 10.500%, 02/06/22   1,000,000    945,000 
Ntelos Inc., Term B Advance - First Lien, 5.750%, 11/09/19(b)   1,607,814    1,607,822 

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) September 30, 2015
Investments  Principal   Value 
Telecommunications (continued)          
Total Telecommunications       $13,596,906 
Transportation: Services – 4.7%          
American Commercial Lines (Commercial Barge), Initial Term Loan - First Lien, 7.500%, 09/22/19(b)  $2,932,331    2,895,677 
American Commercial Lines (Commercial Barge), Initial Term Loan - Second Lien, 10.750%, 03/22/20(b)   1,000,000    1,012,500 
Gruden Acquisition, Inc.(Quality Distribution LLC), Term Loan - Second Lien, 9.500%, 08/18/23(b)   500,000    477,500 
Sirva Worldwide, Inc., Term Loan - First Lien, 7.500%, 03/27/19(b)   1,906,706    1,892,406 
Total Transportation: Services        6,278,083 
Waste Management – 1.6%          
Energy Solutions LLC (Envirocare of Utah), Term Advance - First Lien, 6.750%, 05/29/20(b)   2,110,179    2,078,526 
Wholesale – 2.1%          
4L Technologies, Inc. (Clover Technologies), Initial Term Loan - First Lien, 5.500%, 05/08/20(b)   921,080    884,237 
FPC Holdings, Inc. (Fleetpride), Initial Term Loan - First Lien, 5.250%, 11/19/19   1,175,809    1,139,065 
P2 Lower Acquisition, Inc. (Progresive Solutions), Initial Term Loan - First Lien, 5.500%, 10/22/20   786,548    790,485 
Total Wholesale        2,813,787 
Total Senior Loans
(Cost $194,050,725)		        186,260,763 
           
CORPORATE BONDS – 5.4% (3.6% of Total Investments)          
           
Aerospace & Defense – 0.7%          
Constellis Holdings LLC / Constellis Finance Corp., 9.750%, 05/15/20‡   1,000,000    905,000 
Beverage, Food & Tobacco – 0.4%          
Innovation Ventures (5 Hour Energy), 9.500%, 08/15/19‡   450,000    461,250 
Chemicals, Plastics & Rubber – 1.1%          
Aruba Investments, Inc., 8.750%, 02/15/23‡   1,500,000    1,500,000 
Energy, Oil & Gas – 0.4%          
FTS International, Inc., 7.783%, 06/15/20‡(d)   750,000    560,625 
Media: Advertising, Printing & Publishing – 0.2%          
Getty Images, Inc., 7.000%, 10/15/20‡   1,000,000    291,250 
Media: Broadcasting & Subscription – 1.5%          
Neptune Finco Corp., 10.125%, 01/15/23‡   1,000,000    1,009,400 
Radio One, Inc., 7.375%, 04/15/22‡   1,000,000    942,500 
Total Media: Broadcasting & Subscription        1,951,900 
Technology: Software – 1.1%          
Blue Coat Holdings, Inc., 8.375%, 06/01/23‡   1,500,000    1,500,000 
Telecommunications – 0.0%          
Frontier Communications Corp., 8.875%, 09/15/20‡   48,000    47,070 
Total Corporate Bonds
(Cost $8,073,717)		        7,217,095 

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) September 30, 2015
Investments  Shares   Value 
MONEY MARKET FUND – 3.7% (2.5% of Total Investments)          
Morgan Stanley Institutional Liquidity Treasury Portfolio - Institutional Share Class, 0.03%(e)
(Cost $4,915,169)		   4,915,169   $4,915,169 
           
Total Investments in Securities - 149.1%
(Cost $207,039,611)		        198,393,027 
Line of Credit Payable (Cost $64,000,000) – (48.1)%        (64,000,000)
Liabilities in Excess of Other Assets – (1.0%)        (1,313,595)
Net Assets – 100.0%       $133,079,432 

 

 

‡ 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 $7,217,095 which represents approximately 5.4% of net assets as of September 30, 2015. 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 a portion of this position has not settled.  The full contract rates reflected do not take effect until settlement date.
(d) Variable rate instrument. The interest rate shown reflects the rate in effect at September 30, 2015.
(e) Rate shown reflects the 7-day yield as of September 30, 2015.

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (concluded) September 30, 2015
SUMMARY OF SCHEDULE OF INVESTMENTS  % of Net Assets 
Aerospace & Defense   2.9%
Automotive   3.0 
Banking, Finance, Insurance & Real Estate   5.6 
Beverage, Food & Tobacco   3.6 
Capital Goods   0.6 
Chemicals, Plastics & Rubber   3.6 
Construction & Engineering   2.2 
Consumer Products: Durables   2.6 
Consumer Products: Non Durables   3.1 
Energy, Oil & Gas   4.1 
Healthcare & Pharmaceuticals   3.6 
Hotel, Gaming & Leisure   3.6 
Manufacturing   4.8 
Media: Advertising, Printing & Publishing   6.9 
Media: Broadcasting & Subscription   4.1 
Media: Diversified and Services   7.0 
Metals & Mining   0.4 
Packaging   1.5 
Paper & Forest Products   0.7 
Restaurants   3.5 
Retail   9.6 
Services: Business   16.5 
Services: Consumer   7.7 
Services: Rental   0.3 
Technology: Contract Manufacturing   1.1 
Technology: Hardware   2.1 
Technology: Semiconductor   0.5 
Technology: Services   11.6 
Technology: Software   10.0 
Telecommunications   10.2 
Transportation: Services   4.7 
Waste Management   1.6 
Wholesale   2.1 
Money Market Fund   3.7 
Total Investments   149.1 
Line of Credit Payable   (48.1)
Liabilities in Excess of Other Assets   (1.0)
Net Assets   100.0%

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
   
Notes to the Schedule of Investments (unaudited) September 30, 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

 

The Fund follows the investment company accounting and reporting guidance of the Financial Account Standards Board (FASB) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. 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.

 

 

 

  

THL Credit Senior Loan Fund  
   
Notes to the Schedule of Investments (unaudited) (continued) September 30, 2015

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

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 the 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 September 30, 2015 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.

 

 

 

  

THL Credit Senior Loan Fund  
   
Notes to the Schedule of Investments (unaudited) (continued) September 30, 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 September 30, 2015:

 

Asset Type  Level 1   Level 2   Level 3   Total 
Senior Loans:                    
Aerospace & Defense  $–   $1,930,256   $995,000   $2,925,256 
Automotive   –    3,968,565    –    3,968,565 
Banking, Finance, Insurance & Real Estate   –    5,451,861    1,987,239    7,439,100 
Beverage, Food & Tobacco   –    906,063    3,386,625    4,292,688 
Capital Goods   –    859,687    –    859,687 
Chemicals, Plastics & Rubber   –    1,864,555    1,472,114    3,336,669 
Construction & Engineering   –    491,864    2,400,000    2,891,864 
Consumer Products: Durables   –    3,501,272    –    3,501,272 
Consumer Products: Non Durables   –    3,862,142    277,143    4,139,285 
Energy, Oil & Gas   –    4,904,663    –    4,904,663 
Healthcare & Pharmaceuticals   –    2,917,716    1,860,000    4,777,716 
Hotel, Gaming & Leisure   –    920,391    3,891,465    4,811,856 
Manufacturing   –    6,391,334    –    6,391,334 
Media: Advertising, Printing & Publishing   –    8,891,832    –    8,891,832 
Media: Broadcasting & Subscription   –    3,402,223    –    3,402,223 
Media: Diversified and Services   –    9,258,414    –    9,258,414 
Metals & Mining   –    –    470,285    470,285 
Packaging   –    1,971,297    –    1,971,297 
Paper & Forest Products   –    991,673    –    991,673 
Restaurants   –    2,678,542    1,957,687    4,636,229 
Retail   –    10,720,545    1,992,975    12,713,520 
Services: Business   –    18,357,631    3,599,813    21,957,444 
Services: Consumer   –    9,266,301    985,000    10,251,301 
Services: Rental   –    453,515    –    453,515 
Technology: Contract Manufacturing   –    –    1,402,500    1,402,500 
Technology: Hardware   –    2,839,095    –    2,839,095 
Technology: Semiconductor   –    632,418    –    632,418 
Technology: Services   –    14,493,477    995,000    15,488,477 
Technology: Software   –    10,454,778    1,438,505    11,893,283 
Telecommunications   –    10,043,600    3,553,306    13,596,906 
Transportation: Services   –    –    6,278,083    6,278,083 
Waste Management   –    –    2,078,526    2,078,526 
Wholesale   –    1,929,550    884,237    2,813,787 
Corporate Bonds*   –    7,217,095    –    7,217,095 
Money Market Fund   –    4,915,169    –    4,915,169 
Total Investments  $–   $156,487,524   $41,905,503   $198,393,027 

 

* 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) September 30, 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 (loss)   (8,156)
Change in unrealized appreciation   109,189 
Amortization (accretion)   38,190 
Purchases   7,801,874 
Sales and principal paydowns   (14,039,684)
Transfers in and/or out of Level 3   (14,550,217)
Balance as of September 30, 2015  $41,905,503 

 

Net change in unrealized appreciation attributable to level 3 investments held at September 30, 2015 was $44,479.

 

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, 2015:

 

    Fair Value     Valuation Technique   Unobservable Input
               
Senior Loans   $ 41,905,503     Third-party vendor service   Vendor quotes

 

3. UNREALIZED APPRECIATION/(DEPRECIATION)

 

On September 30, 2015 based on cost of $207,039,611 for federal income tax purposes, aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $680,324 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $9,326,908 resulting in net unrealized depreciation of $8,646,584.

 

4. DELAYED DRAW LOAN COMMITMENTS

 

As of September 30, 2015, the Fund had no delayed draw loan commitment outstanding.

 

 

 

 

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  11/25/2015

 

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  11/25/2015

 

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

 

Date  11/25/2015

 

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