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 Street, 11th Floor
New York, NY 10005
(Address of principal executive offices) (Zip code)
 
Stephanie Trell
100 Wall Street, 11th Floor
New York, NY 10005  
(Name and address of agent for service)
 
Copies of Communications to:
Stephen H. Bier
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, 2016

 

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, 450 Fifth Street, NW, Washington, DC 20549-0609. 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, 2016

Investments  Principal   Value 
SENIOR LOANS(a) – 133.2% (92.2% of Total Investments)          
           
Aerospace & Defense – 3.3%          
Advanced Integration Technology LP, Initial Term Loan - First Lien, 6.500%, 07/22/21(b)  $1,500,000   $1,505,625 
AM General LLC., Term B Facility - First Lien, 10.250%, 03/22/18(b)   2,042,308    2,016,779 
Pelican Products, Inc., Term Loan - Second Lien, 9.250%, 04/09/21(b)   1,000,000    905,000 
Total Aerospace & Defense        4,427,404 
Automotive – 3.7%          
BBB Industries LLC, Term Loan - Second Lien, 9.750%, 11/03/22   250,000    231,875 
Neenah Enterprises (Neenah Foundry), Term Loan - First Lien, 6.750%, 04/26/17(b)   2,334,908    2,318,855 
Tectum Holdings Inc (Truck Hero), Initial Term Loans - First Lien, 5.750%, 08/24/23(b)   2,500,000    2,506,250 
Total Automotive        5,056,980 
Banking, Finance, Insurance & Real Estate – 3.5%          
Armor Holdco, Inc. (American Stock Transfer), Term Loan - First Lien, 5.750%, 06/26/20   474,489    467,372 
Confie Seguros Holding II Co., Term Loan - Second Lien, 10.250%, 05/09/19(b)   500,000    505,000 
GENEX Services, Inc., Term Loan B - First Lien, 5.250%, 05/28/21   1,875,204    1,862,696 
GENEX Services, Inc., Initial Term Loan - Second Lien, 8.750%, 05/30/22(b)   250,000    238,750 
RJO Holdings Corp., Term Loan - First Lien, 7.280%, 12/10/16(b)   1,139,611    948,726 
SG Acquisition Inc. (Safe Gard), Initial Term Loan - First Lien, 6.250%, 08/19/21(b)   770,476    747,362 
Total Banking, Finance, Insurance & Real Estate        4,769,906 
Beverage, Food & Tobacco – 2.9%          
Arctic Glacier U.S.A., Inc., 2014 Term B Loan - First Lien, 6.000%, 05/10/19(b)   2,431,151    2,412,918 
Flavors Holdings Inc., Tranche B Term Loan - First Lien, 6.750%, 04/03/20(b)   900,000    765,000 
Flavors Holdings Inc., Initial Term Loan - Second Lien, 11.000%, 10/03/21(b)   1,000,000    805,000 
Total Beverage, Food & Tobacco        3,982,918 
Capital Goods – 0.6%          
Crosby US Acquisition Corp., Initial Term Loan - First Lien, 4.000%, 11/23/20   972,500    825,813 
Chemicals, Plastics & Rubber – 1.1%          
Royal Oak Enterprises LLC, Term B Loan - First Lien, 5.750%, 06/16/23(b)   1,500,000    1,513,125 
Construction & Engineering – 1.8%          
Power Buyer, LLC (Powerteam Services), Initial Term Loan - Second Lien, 8.250%, 11/06/20(b)   2,500,000    2,493,750 
Consumer Products: Durables – 1.1%          
Paladin Brands Holding, Inc., Initial Loan - First Lien, 7.250%, 08/16/19(b)   1,693,030    1,536,424 

 

See Notes to Schedule of Investments

 

 

 

 

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) September 30, 2016

Investments  Principal   Value 
SENIOR LOANS(a) (continued)          
           
Consumer Products: Non Durables – 3.5%          
Calceus Acquisition, Inc. (Cole Haan), Term B-1 Loan - First Lien, 5.000%, 01/31/20  $2,932,327   $2,501,657 
Varsity Brands, Inc. (Hercules Achievement), Term B Loan - First Lien, 5.000%, 12/11/21   1,965,000    1,977,694 
Vince Intermediate Holding LLC, Initial Term Loan - First Lien, 5.750%, 11/27/19(b)   257,143    245,571 
Total Consumer Products: Non Durables        4,724,922 
Energy, Oil & Gas – 3.4%          
Gulf Finance, LLC, Tranche B Term Loan - First Lien, 6.250%, 08/17/23   1,500,000    1,462,973 
HGIM Corp. (Harvey Gulf), Term Loan B - First Lien, 5.500%, 06/18/20   2,914,874    1,843,658 
Stonewall Gas Gathering LLC, Term Loan - First Lien, 8.750%, 01/28/22(b)   571,530    584,389 
TerraForm AP Acquisition Holdings LLC, Loans - First Lien, 7.000%, 06/27/22(b)   768,740    764,897 
Total Energy, Oil & Gas        4,655,917 
Healthcare & Pharmaceuticals – 6.4%          
Alvogen Pharma US Inc., Term Loan - First Lien, 6.000%, 04/01/22   3,213,361    3,223,419 
Arbor Pharmaceuticals, LLC, Initial Term Loan - First Lien, 6.000%, 07/05/23(b)   2,500,000    2,512,500 
BioScrip, Inc., Initial Term B Loan - First Lien, 6.500%, 07/31/20(b)   1,832,438    1,800,371 
BioScrip, Inc., Term Loan - First Lien, 6.500%, 07/31/20(b)   1,099,463    1,080,222 
Total Healthcare & Pharmaceuticals        8,616,512 
Hotel, Gaming & Leisure – 4.3%          
ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-1 - First Lien, 7.000%, 02/28/19(b)   812,876    814,909 
ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-2 - First Lien, 7.000%, 02/28/19(b)   1,077,533    1,080,227 
Caesars Entertainment Resort Properties LLC, Term B Loan - First Lien, 7.000%, 10/12/20   1,964,847    1,964,238 
Parq Holdings LP, Term Loan - First Lien, 8.500%, 12/17/20(b)   2,000,000    1,920,000 
Total Hotel, Gaming & Leisure        5,779,374 
Manufacturing – 8.8%          
Blount International, Inc., Initial Term Loan - First Lien, 7.250%, 04/05/23(b)   1,700,000    1,725,500 
Cortes NP Acquisition Corp. (Vertiv), Term Loan B - First Lien, 5.000%, 09/29/23(b)(d)   1,000,000    980,000 
CPM Holdings, Inc., Initial Term Loan - First Lien, 6.000%, 04/11/22   2,073,750    2,087,582 
Duke Finance LLC (OM Group Inc/ Vectra), Term Loan - First Lien, 7.000%, 10/06/22   1,492,481    1,493,884 
Meter Readings Holding, LLC  (Aclara Technologies LLC), Initial Term Loan - First Lien, 6.750%, 08/29/23(b)   2,000,000    2,000,000 
MTS Systems Corp., Tranche B Term Loan - First Lien, 5.000%, 07/05/23(b)   1,500,000    1,514,070 
Preferred Proppants LLC (Preferred Sands), Term Loan - First Lien, 6.750%, 07/27/20   2,940,000    2,131,500 

 

See Notes to Schedule of Investments

 

 

 

 

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) September 30, 2016

Investments  Principal   Value 
SENIOR LOANS(a) (continued)          
           
Manufacturing – 8.8% (continued)          
Total Manufacturing       $11,932,536 
Media: Advertising, Printing & Publishing – 5.5%          
Cengage Learning Acquisitions, Inc., Term B Loan - First Lien, 5.250%, 03/31/20  $2,312,272    2,314,342 
Getty Images, Inc., Initial Term Loan - First Lien, 4.750%, 10/18/19   1,959,288    1,644,175 
Harland Clarke Hldgs., Tranche B-3 Term Loans - First Lien, 7.000%, 05/22/18   1,992,604    1,973,923 
Harland Clarke Hldgs., Tranche B-5 Term Loans - First Lien, 7.000%, 12/31/19   1,625,000    1,596,969 
Total Media: Advertising, Printing & Publishing        7,529,409 
Media: Broadcasting & Subscription – 1.3%          
CSC Holdings, Inc., (Cablevision / Altice Financing / Neptune Finco), Initial Term Loans - First Lien, 5.000%, 10/10/22   498,750    500,880 
Tribune Media Co., Term B Loan - First Lien, 3.750%, 12/27/20   1,245,373    1,257,241 
Total Media: Broadcasting & Subscription        1,758,121 
Media: Diversified and Services – 6.0%          
IMG Worldwide, Inc., Term Loan - First Lien, 5.250%, 05/03/21   1,955,000    1,966,486 
Learfield Communications, Inc., 2014 Replacement Term Loan - First Lien, 4.500%, 10/09/20   979,500    981,743 
Match Group, Inc., Term B-1 Loans - First Lien, 5.500%, 10/27/22   594,141    598,412 
Mood Media Corporation, Term Loan - First Lien, 7.000%, 05/01/19   4,875,000    4,641,146 
Total Media: Diversified and Services        8,187,787 
Metals & Mining – 0.4%          
TMS International Corp. (Tube City), Term Loan B - First Lien, 4.500%, 10/16/20(b)   478,597    471,418 
Packaging – 1.4%          
BWAY Holding Co. (ICL Industrial Containers ULC/ICL), Initial Term Loan - First Lien, 5.500%, 08/14/20   1,884,615    1,898,042 
Restaurants – 1.9%          
Restaurant Brands International, Inc., (Burger King), Term B - First Lien, 3.750%, 12/10/21   749,423    755,744 
Steak n Shake Operations, Inc., Term Loan - First Lien, 4.750%, 03/19/21(b)   1,851,345    1,842,089 
Total Restaurants        2,597,833 
Retail – 8.0%          
Albertson's LLC, 2016-1 Term Loan B-4 - First Lien, 5.500%, 08/25/21   1,698,647    1,713,799 
Albertson's LLC, 2016-1 Term Loan B-5 - First Lien, 4.750%, 12/01/22   1,492,509    1,509,308 
Charming Charlie LLC, Initial Term Loan - First Lien, 9.000%, 12/24/19(b)   910,833    582,933 
CWGS Group LLC (Camping World), Term Loan B - First Lien, 5.750%, 02/20/20   2,409,725    2,416,881 
FullBeauty Brands LP / OSP Group, Inc. (a/k/a OneStopPlus Group & Redcats USA), Initial Term Loans - First Lien, 5.750%, 10/14/22   995,000    946,912 
J. Crew Group, Inc., Initial Loans - First Lien, 4.000%, 03/05/21   493,687    393,222 

 

See Notes to Schedule of Investments

 

 

 

 

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) September 30, 2016

Investments  Principal   Value 
SENIOR LOANS(a) (continued)          
           
Retail – 8.0% (continued)          
Jill Acquisition LLC, Term Loan - First Lien, 6.000%, 05/08/22  $1,039,503   $1,026,509 
PET Acquisition Merger Sub LLC  (Petco), Tranche B-1 Term Loan - First Lien, 5.750%, 01/26/23   1,268,375    1,283,348 
PetSmart, Inc., Tranche B-1 Loan - First Lien, 4.250%, 03/11/22   987,500    990,630 
Total Retail        10,863,542 
Services: Business – 16.9%          
Centerplate, Inc. (KPLT), Term Loan A - First Lien, 4.750%, 11/26/19(b)   975,000    965,250 
Checkout Holding Corp., Term Loan B - First Lien, 4.500%, 04/09/21   2,932,500    2,674,073 
CT Technologies Intermediate Holdings, Inc. (HealthPort), Initial Term Loan - First Lien, 5.250%, 12/01/21   1,965,125    1,945,474 
Cvent Inc, Term Loan B - First Lien, 6.250%, 06/03/23(b)(d)   2,500,000    2,521,875 
Deluxe Entertainment Services Group, Inc., Initial Term Loan - First Lien, 6.500%, 02/28/20(b)   1,897,419    1,876,073 
Goldcup Merger Sub, Inc (eResearch Technology, Explorer Holdings), Initial Term Loan - First Lien, 6.000%, 05/02/23   1,496,250    1,510,749 
Novitex Acquisition LLC (Pitney Bowes), Tranche B-2 Term Loan - First Lien, 7.500%, 07/07/20   1,922,500    1,807,150 
RentPath, Inc., Term Loan - First Lien, 6.250%, 12/17/21   1,965,000    1,861,837 
RentPath, Inc., Term Loan - Second Lien, 10.000%, 12/19/22(b)   1,000,000    885,000 
Solera Holdings, Inc., Dollar Term Loan - First Lien, 5.750%, 02/28/23   938,143    949,185 
SourceHOV LLC, Term B Loan - First Lien, 7.750%, 10/31/19   1,396,875    1,177,740 
TCH-2 Holdings LLC (TravelClick), Term Loan - First Lien, 5.500%, 05/12/21(b)   1,956,139    1,961,030 
TCH-2 Holdings LLC (TravelClick), Initial Term Loan - Second Lien, 8.750%, 11/12/21(b)   1,750,000    1,732,500 
Trader Corp., Term Loan - First Lien, 5.000%, 07/27/23(d)   1,000,000    1,006,880 
Total Services: Business        22,874,816 
Services: Consumer – 8.9%          
Fitness International LLC (LA Fitness), Term Loan B - First Lien, 5.500%, 07/01/20   964,022    965,223 
Jackson Hewitt Tax Service, Inc., Initial Term Loan - First Lien, 8.000%, 07/30/20   980,000    957,950 
New Millennium Holdco, Inc. and Millennium Health, LLC, Closing Date Term Loan - First Lien, 7.500%, 12/21/20   1,009,441    502,197 
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan (2013) - First Lien, 6.500%, 07/01/19   2,742,872    2,748,015 
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan - Second Lien, 10.250%, 07/01/20   1,500,000    1,492,500 
Redbox Automated Retail LLC, Term B Loans - First Lien, 8.500%, 09/21/21(d)   2,000,000    1,960,000 
Renaissance Learning, Inc., Initial Term Loan - First Lien, 4.500%, 04/09/21   1,950,000    1,946,753 
Renaissance Learning, Inc., Initial Term Loan - Second Lien, 8.000%, 04/11/22   1,000,000    985,830 
TruGreen LP, Term Loan B - First Lien, 6.500%, 04/13/23   498,750    504,049 
Total Services: Consumer        12,062,517 

 

See Notes to Schedule of Investments

 

 

 

 

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) September 30, 2016

Investments  Principal   Value 
SENIOR LOANS(a) (continued)          
           
Services: Rental – 0.3%          
North American Lifting Holdings, Inc. (TNT Crane), Initial Term Loan - Second Lien, 10.000%, 11/26/21  $500,000   $337,500 
Technology: Hardware – 1.9%          
Eastman Kodak Company, Term Loan - First Lien, 7.250%, 09/03/19   959,190    957,190 
Zebra Technologies Corp, New Term Loan - First Lien, 4.000%, 09/30/21   1,636,364    1,658,766 
Total Technology: Hardware        2,615,956 
Technology: Semiconductor – 0.8%          
M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan - First Lien, 4.500%, 05/07/21   1,121,881    1,134,508 
Technology: Services – 11.0%          
Ability Networks, Inc., Initial Term Loan - Second Lien, 9.250%, 05/16/22   1,000,000    986,250 
Ancestry.com, Inc., Initial Term Loan - First Lien, 5.000%, 08/29/22   1,742,400    1,749,483 
AP Gaming I LLC (American Gaming Systems), Term B Loan - First Lien, 9.250%, 12/20/20   984,810    946,038 
Cast & Crew Payroll, LLC, Term Loan - First Lien, 5.000%, 08/12/22   498,741    496,661 
ConvergeOne Holdings Corporation, Initial Term Loan - First Lien, 6.000%, 06/17/20(b)   1,466,250    1,460,752 
First Data Corporation., 2022 Dollar Term Loan - First Lien, 4.275%, 09/24/18   1,500,000    1,510,418 
MH Sub I LLC & Micro (Internet Brands), Term Loan - First Lien, 5.000%, 07/08/21   1,956,879    1,965,851 
PGX Holdings, Inc. (Progrexion), Initial Term Loan - First Lien, 5.750%, 09/29/20   1,822,857    1,824,379 
Scientific Games International, Inc., Term Loan B-2 - First Lien, 6.000%, 10/01/21   3,930,000    3,942,556 
Total Technology: Services        14,882,388 
Technology: Software – 12.0%          
Compuware Corp., Tranche B2 Term Loan - First Lien, 6.250%, 12/15/21   1,473,750    1,470,987 
Deltek, Inc. Term Loan - Second Lien, 9.500%, 06/26/23(b)   1,000,000    1,013,750 
GTCR Valor Companies, Inc. (Cision Vocus) (Project Volcano), Term Loan B - First Lien, 7.000%, 05/17/23   1,995,000    1,908,347 
Hyland Software, Inc. Initial Loans - Second Lien, 8.500%, 05/27/23   1,000,000    1,008,750 
Lanyon Solutions, Inc., Term Loan - First Lien, 5.500%, 11/13/20   2,439,823    2,430,673 
Riverbed Technology, Inc., Term B Loan - First Lien, 5.000%, 04/24/22   975,447    986,089 
RP Crown Parent LLC (Red Prairie), Term Loan B - First Lien, 6.000%, 12/21/18   1,455,085    1,456,562 
RP Crown Parent LLC (Red Prairie), Term Loan - Second Lien, 11.250%, 12/21/19   2,000,000    2,016,880 
SolarWinds Inc, Term B Loan - First Lien, 5.500%, 02/05/23   3,930,321    3,973,554 
Total Technology: Software        16,265,592 
Telecommunications – 6.8%          
Asurion Delivery and Installation Services, Inc., Incremental Tranche B-1 Term Loan - First Lien, 5.000%, 05/24/19   675,181    678,418 

 

See Notes to Schedule of Investments

 

 

 

 

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) September 30, 2016

Investments  Principal   Value 
SENIOR LOANS(a) (continued)          
           
Telecommunications – 6.8% (continued)          
Asurion Delivery and Installation Services, Inc., Incremental Tranche B-4 Term Loan - First Lien, 5.000%, 08/04/22  $1,952,500   $1,965,191 
Avaya, Inc., Refinancing Term B-7 - First Lien, 6.250%, 05/29/20   1,970,384    1,463,010 
Avaya, Inc., Replacement Term Loan B-6 - First Lien, 6.500%, 03/31/18   1,306,662    1,000,139 
Birch Communications, Inc., Term Loan - First Lien, 7.750%, 07/17/20(b)   1,854,648    1,465,172 
Communications Sales & Leasing, Inc. (CSL Capital, LLC / Windstream), Term Loan - First Lien, 5.000%, 10/24/22   1,705,011    1,716,093 
Fairpoint Communications, Inc., Term Loan - First Lien, 7.500%, 02/14/19   976,929    980,676 
Total Telecommunications        9,268,699 
Transportation: Services – 3.0%          
Commercial Barge Line Co. (American Commercial Lines), Initial Term Loan - First Lien, 9.750%, 11/12/20   1,302,539    1,271,604 
Gruden Acquisition, Inc. (Quality Distribution LLC), Term Loan - Second Lien, 9.500%, 08/18/23   500,000    387,033 
Sirva Worldwide, Inc., Term Loan - First Lien, 7.500%, 03/27/19(b)   2,368,812    2,355,487 
Total Transportation: Services        4,014,124 
Waste Management – 1.3%          
Energy Solutions LLC (Envirocare of Utah), Term Advance - First Lien, 6.750%, 05/29/20(b)   1,788,750    1,786,514 
Wholesale – 1.4%          
4L Technologies, Inc. (Clover Technologies), Initial Term Loan - First Lien, 5.500%, 05/08/20(b)   906,282    847,374 
FPC Holdings, Inc. (Fleetpride), Initial Term Loan - First Lien, 5.250%, 11/19/19   1,163,718    1,056,074 
Total Wholesale        1,903,448 
Total Senior Loans
(Cost $185,807,800)		        180,767,795 
CORPORATE BONDS – 6.4% (4.4% of Total Investments)          
           
Aerospace & Defense – 0.7%          
Constellis Holdings LLC / Constellis Finance Corp., 9.750%, 05/15/20‡   1,000,000    996,300 
Chemicals, Plastics & Rubber – 1.1%          
Aruba Investments, Inc., 8.750%, 02/15/23‡   1,500,000    1,545,000 
Media: Advertising, Printing & Publishing – 0.5%          
Getty Images, Inc., 7.000%, 10/15/20‡   1,000,000    625,000 
Media: Broadcasting & Subscription – 1.5%          
Radio One, Inc., 7.375%, 04/15/22‡   2,000,000    2,023,750 
Media: Diversified and Services – 0.5%          
Match Group, Inc., 6.375%, 06/01/24‡   573,000    625,784 
Services: Business – 1.1%          
Iron Mountain US Holdings, Inc., 5.375%, 06/01/26‡   383,000    383,096 

 

See Notes to Schedule of Investments

 

 

 

 

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) September 30, 2016

Investments  Principal   Value 
CORPORATE BONDS (continued)          
           
Services: Business – 1.1% (continued)          
Iron Mountain, Inc., 4.375%, 06/01/21‡  $383,000   $397,083 
Solera LLC / Solera Finance, Inc., 10.500%, 03/01/24‡   680,000    759,900 
Total Services: Business        1,540,079 
Services: Rental – 0.1%          
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 6.375%, 04/01/24‡   92,000    94,591 
Technology: Hardware – 0.2%          
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., 7.125%, 06/15/24‡   189,000    208,018 
Wholesale – 0.7%          
WESCO Distribution, Inc., 5.375%, 06/15/24‡   1,000,000    1,003,440 
Total Corporate Bonds
(Cost $8,571,072)		        8,661,962 

 

   Shares     
COMMON STOCK – 0.0%† (0.0% of Total Investments)          
Services: Consumer – 0.0%†          
New Millennium Holdco, Inc.
(Cost $215,986)		   29,712    21,913 
MONEY MARKET FUND – 4.8% (3.4% of Total Investments)          
Morgan Stanley Institutional Liquidity Treasury Portfolio - Institutional Share Class, 0.22%(c)
(Cost $6,568,154)		   6,568,154    6,568,154 
Total Investments in Securities - 144.4%
(Cost $201,163,012)		        196,019,824 
Line of Credit Payable (Cost $57,000,000) – (42.0)%        (57,000,000)
Liabilities in Excess of Other Assets – (2.4)%        (3,276,763)
Net Assets – 100.0%       $135,743,061 

 

 

† Less than 0.05%
‡ 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 $8,661,962 which represents approximately 6.4% of net assets as of September 30, 2016. 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) Rate shown reflects the 7-day yield as of September 30, 2016.
(d) All or a portion of this position has not settled. The full contract rates reflected do not take effect until settlement date.

 

See Notes to Schedule of Investments

 

 

 

 

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (concluded) September 30, 2016

SUMMARY OF SCHEDULE OF INVESTMENTS  % of Net Assets 
Aerospace & Defense   4.0%
Automotive   3.7 
Banking, Finance, Insurance & Real Estate   3.5 
Beverage, Food & Tobacco   2.9 
Capital Goods   0.6 
Chemicals, Plastics & Rubber   2.2 
Construction & Engineering   1.8 
Consumer Products: Durables   1.1 
Consumer Products: Non Durables   3.5 
Energy, Oil & Gas   3.4 
Healthcare & Pharmaceuticals   6.4 
Hotel, Gaming & Leisure   4.3 
Manufacturing   8.8 
Media: Advertising, Printing & Publishing   6.0 
Media: Broadcasting & Subscription   2.8 
Media: Diversified and Services   6.5 
Metals & Mining   0.4 
Packaging   1.4 
Restaurants   1.9 
Retail   8.0 
Services: Business   18.0 
Services: Consumer   8.9 
Services: Rental   0.4 
Technology: Hardware   2.1 
Technology: Semiconductor   0.8 
Technology: Services   11.0 
Technology: Software   12.0 
Telecommunications   6.8 
Transportation: Services   3.0 
Waste Management   1.3 
Wholesale   2.1 
Money Market Fund   4.8 
Total Investments   144.4 
Line of Credit Payable   (42.0)
Liabilities in Excess of Other Assets   (2.4)%
Net Assets   100.0%

 

See Notes to Schedule of Investments

 

 

 

 

THL Credit Senior Loan Fund  
Notes to the Schedule of Investments (unaudited) September 30, 2016

 

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 is an investment company that applies the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board. The Fund’s financial statements have been prepared to comply with U.S. generally accepted accounting principles (‘‘U.S. GAAP’’). These principles require the Fund’s investment adviser to make estimates and assumptions that affect reported amounts and disclosures. Actual results could differ from those estimates. The Fund follows the significant accounting policies described in this section, as well as the valuation policies described in the next section on valuation.

 

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, 2016

 

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 value, as determined by amortized cost, is higher or lower than the price that would be received upon sale of the instrument. The Committee may from time to time utilize a valuation method other than amortized cost when appropriate, for example, when credit worthiness of the issuer is impaired or for other reasons.

 

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, 2016 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, 2016

 

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, 2016:

 

Asset Type  Level 1   Level 2   Level 3   Total 
Senior Loans*                    
Aerospace & Defense  $–   $–   $4,427,404   $4,427,404 
Automotive   –    231,875    4,825,105    5,056,980 
Banking, Finance, Insurance & Real Estate   –    2,330,068    2,439,838    4,769,906 
Beverage, Food & Tobacco   –    –    3,982,918    3,982,918 
Capital Goods   –    825,813    –    825,813 
Chemicals, Plastics & Rubber   –    –    1,513,125    1,513,125 
Construction & Engineering   –    –    2,493,750    2,493,750 
Consumer Products: Durables   –    –    1,536,424    1,536,424 
Consumer Products: Non Durables   –    4,479,351    245,571    4,724,922 
Energy, Oil & Gas   –    3,306,631    1,349,286    4,655,917 
Healthcare & Pharmaceuticals   –    3,223,419    5,393,093    8,616,512 
Hotel, Gaming & Leisure   –    1,964,238    3,815,136    5,779,374 
Manufacturing   –    5,712,966    6,219,570    11,932,536 
Media: Advertising, Printing & Publishing   –    7,529,409    –    7,529,409 
Media: Broadcasting & Subscription   –    1,758,121    –    1,758,121 
Media: Diversified and Services   –    8,187,787    –    8,187,787 
Metals & Mining   –    –    471,418    471,418 
Packaging   –    1,898,042    –    1,898,042 
Restaurants   –    755,744    1,842,089    2,597,833 
Retail   –    10,280,609    582,933    10,863,542 
Services: Business   –    12,933,088    9,941,728    22,874,816 
Services: Consumer   –    12,062,517    –    12,062,517 
Services: Rental   –    337,500    –    337,500 
Technology: Hardware   –    2,615,956    –    2,615,956 
Technology: Semiconductor   –    1,134,508    –    1,134,508 
Technology: Services   –    13,421,636    1,460,752    14,882,388 
Technology: Software   –    15,251,842    1,013,750    16,265,592 
Telecommunications   –    7,803,527    1,465,172    9,268,699 
Transportation: Services   –    1,658,637    2,355,487    4,014,124 
Waste Management   –    –    1,786,514    1,786,514 
Wholesale   –    1,056,074    847,374    1,903,448 
Corporate Bonds*   –    8,661,962    –    8,661,962 
Common Stock*   –    21,913    –    21,913 
Money Market Fund   –    6,568,154    –    6,568,154 
Total Investments  $–   $136,011,387   $60,008,437   $196,019,824 

 

* 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, 2016

 

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   Corporate
Bonds		   Common
Stock		   Total 
Balance as of December 31, 2015  $49,155,414   $1,441,875   $148,560   $50,745,849 
Realized gain   111,843    -    -    111,843 
Change in unrealized appreciation   1,891,793    (9,375)   313,833    2,196,251 
Amortization (accretion)   92,792    -    -    92,792 
Purchases   24,563,677    -    -    24,563,677 
Sales and principal paydowns    (13,754,021)   -    -    (13,754,021)
Transfers into Level 3   5,807,366    -    -    5,807,366 
Transfers out of Level 3   (7,860,427)   (1,432,500)   (462,393)   (9,755,320)
Balance as of September 30, 2016   60,008,437    -    -    60,008,437 
Net change in unrealized appreciation attributable to level 3 investments held at September 30, 2016  $2,064,402   $-  $-   $2,064,402 

 

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, 2016:

 

   Fair Value   Valuation Technique  Unobservable
Input
           
Senior Loans  $60,008,437   Third-party vendor service  Vendor quotes

 

3. UNREALIZED APPRECIATION/(DEPRECIATION)

 

On September 30, 2016 based on cost of $201,163,012 for federal income tax purposes, aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,059,381 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $7,202,568 resulting in net unrealized depreciation of $5,143,187.

 

 

 

  

THL Credit Senior Loan Fund  
Notes to the Schedule of Investments (unaudited) (continued) September 30, 2016

 

4. DELAYED DRAW AND PARTIALLY UNFUNDED LOAN COMMITMENTS

 

As of September 30, 2016, the Fund had the following unfunded loan commitments outstanding, which could be extended at the option of the borrower:

 

Loan  Principal 
Amount		   Cost   Value   Net Unrealized
Appreciation		 
Tectum Holdings Inc. (Truck Hero), Initial Term Loan - First Lien, 08/24/23  $547,619   $542,143   $548,988   $6,845 

 

The Fund had no delayed draw loan commitments outstanding as of September 30, 2016.

 

Delayed draw and partially unfunded commitments are marked to market on the relevant day of the valuation in accordance with the Fund’s valuation policy.

 

 

 

 

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))) were effective, as of a date within 90 days of the filing date of this 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  11-29-2016

 

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  11-29-2016

 

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

 

Date  11-29-2016

 

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