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, 2017

 

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) (continued) September 30, 2017
Investments  Principal   Value 
SENIOR LOANS(a) – 135.8% (92.1% of Total Investments)          
           
Aerospace & Defense – 4.0%          
Advanced Integration Technology LP, Term B-1 Loan - First Lien, 5.985% (LIBOR + 4.750%), 04/03/23(b)  $1,485,038   $1,481,325 
Constellis Holdings LLC, Term Loan B - First Lien, 6.333% (LIBOR + 5.000%), 04/21/24(b)   1,995,000    1,998,740 
Constellis Holdings LLC, Term Loan B - Second Lien, 10.333% (LIBOR + 9.000%), 04/21/25   1,000,000    992,710 
Pelican Products, Inc., Term Loan - Second Lien, 9.583% (LIBOR + 8.250%), 04/09/21(b)   1,000,000    1,000,000 
Total Aerospace & Defense        5,472,775 
Automotive – 1.4%          
AP Exhaust Acquisition LLC, Initial Term Loan - First Lien, 6.309% (LIBOR + 5.000%), 05/10/24(b)   498,750    488,151 
BBB Industries US Holdings, Inc., Initial Term Loan - First Lien, 5.735% (LIBOR + 4.500%), 11/03/21(b)   1,462,060    1,473,026 
Total Automotive        1,961,177 
Banking, Finance, Insurance & Real Estate – 3.9%          
AssuredPartners Capital, Inc., Term B - First Lien, (LIBOR + 3.350%), 10/22/24(c)   500,000    501,458 
Capital Automotive L.P., Tranche B Term Loans - Second Lien, 7.240% (LIBOR + 6.000%), 03/24/25   492,274    500,120 
Focus Financial Partners LLC, Term Loan - First Lien, 4.549% (LIBOR + 3.250%), 05/19/24(b)   1,000,000    1,009,375 
GENEX Services, Inc., Term Loan B - First Lien, 5.485% (LIBOR + 4.250%), 05/28/21   1,793,916    1,788,310 
USI, Inc./NY, Term Loan B - First Lien, (LIBOR + 3.000%), 05/16/24(b)(c)   1,500,000    1,496,250 
Total Banking, Finance, Insurance & Real Estate        5,295,513 
Beverage, Food & Tobacco – 1.9%          
Arctic Glacier U.S.A., Inc., Initial Term Loan - First Lien, 5.485% (LIBOR + 4.250%), 03/20/24(b)   995,000    1,002,462 
Flavors Holdings Inc., Tranche B Term Loan - First Lien, 7.083% (LIBOR + 5.750%), 04/03/20(b)   850,000    809,625 
Flavors Holdings Inc., Initial Term Loan - Second Lien, 11.333% (LIBOR + 10.000%), 10/03/21(b)   1,000,000    747,500 
Total Beverage, Food & Tobacco        2,559,587 
Building & Construction – 1.6%          
Can Am Steel Corporation, Closing Date Term Loan - First Lien, 6.799% (LIBOR + 5.500%), 06/29/24(b)   1,197,000    1,201,489 
Primeline Utility Services LLC, Term Loan B - First Lien, 6.811% (LIBOR + 5.500%), 11/12/22   994,899    994,898 
Total Building & Construction        2,196,387 
Capital Goods – 1.0%          
Crosby US Acquisition Corp., Initial Term Loan - First Lien, 4.315% (LIBOR + 3.000%), 11/23/20   1,458,634    1,355,312 
Consumer Products: Non Durables – 3.1%          
ABG Intermediate Holdings 2 LLC (Authentic Brands), Term Loan - 2017 - First Lien, (LIBOR + 3.500%), 09/26/24(b)(c)   750,000    753,750 

 

 

 

 

THL Credit Senior Loan Fund

  
Schedule of Investments† (unaudited) (continued) September 30, 2017
Investments  Principal   Value 
SENIOR LOANS(a) (continued)          
           
Consumer Products: Non Durables – 3.1% (continued)          
ABG Intermediate Holdings 2 LLC (Authentic Brands), Term Loan - Second Lien, (LIBOR + 7.750%), 09/26/25(c)  $388,889   $392,778 
Varsity Brands, Inc. (Hercules Achievement), Term B Loan - First Lien, 4.732% (LIBOR + 3.500%), 12/11/21   1,945,000    1,962,631 
Vince Intermediate Holding LLC, Initial Term Loan - First Lien, 6.312% (LIBOR + 5.000%), 11/27/19(b)   205,714    180,000 
ZEP, Inc. (Acuity Special Products), Initial Term Loan - First Lien, 5.235% (LIBOR + 4.000%), 08/12/24   1,000,000    1,004,585 
Total Consumer Products: Non Durables        4,293,744 
Energy, Oil & Gas – 2.3%          
Gulf Finance, LLC, Tranche B Term Loan - First Lien, 6.590% (LIBOR + 5.250%), 08/25/23   1,462,954    1,388,899 
HGIM Corp. (Harvey Gulf), Term Loan B - First Lien, 7.750% (LIBOR + 3.500%), 06/18/20   2,892,337    1,023,164 
TerraForm AP Acquisition Holdings LLC, Loans - First Lien, 5.583% (LIBOR + 4.250%), 06/27/22(b)   747,859    764,686 
Total Energy, Oil & Gas        3,176,749 
Healthcare & Pharmaceuticals – 7.0%          
Alvogen Pharma US, Inc., Term Loan - First Lien, 6.240% (LIBOR + 5.000%), 04/01/22   3,014,772    3,008,487 
Arbor Pharmaceuticals, LLC, Initial Term Loan - First Lien, 6.333% (LIBOR + 5.000%), 07/05/23   2,437,500    2,474,062 
CHS / Community Health Systems, Inc., Incremental 2021 Term H Loans - First Lien, 4.317% (LIBOR + 3.000%), 01/27/21   1,281,817    1,275,165 
Epic Health Services, Inc., Term Loan - First Lien, 5.485% (LIBOR + 4.250%), 03/16/24(b)   597,000    594,015 
Valeant Pharmaceuticals International, Inc., Series F-1 Tranche B Term Loan - First Lien, 5.990% (LIBOR + 4.750%), 04/01/22   1,255,479    1,279,276 
Zest Holdings LLC, 2017 Replacement Term Loan - First Lien, 5.490% (LIBOR + 4.250%), 08/16/23   995,000    1,012,413 
Total Healthcare & Pharmaceuticals        9,643,418 
Hotel, Gaming & Leisure – 2.9%          
Caesars Entertainment Resort Properties LLC, Term B Loan - First Lien, 4.735% (LIBOR + 3.500%), 10/12/20   1,944,643    1,950,720 
Parq Holdings LP (Canada), Term Loan - First Lien, 8.734% (LIBOR + 7.500%), 12/17/20(b)   2,000,000    1,995,000 
Total Hotel, Gaming & Leisure        3,945,720 
Manufacturing – 9.7%          
Blount International, Inc., Initial Term Loan - First Lien, 6.237% (LIBOR + 5.000%), 04/12/23(b)   1,683,000    1,701,934 
Cortes NP Acquisition Corp. (Vertiv), Term B Loan - First Lien, 5.239% (LIBOR + 4.000%), 11/30/23   967,672    976,541 
CPM Holdings, Inc., Initial Term Loan - First Lien, 5.485% (LIBOR + 4.250%), 04/11/22   2,057,697    2,086,854 
CPM Acquisition Corp., Term Loan - Second Lien, 9.485% (LIBOR + 8.250%), 04/10/23(b)   750,000    765,000 
Duke Finance LLC, 2017 Refinancing Term Loan B - First Lien, 5.583% (LIBOR + 4.250%), 02/21/24(b)   1,470,150    1,481,176 

 

 

 

 

THL Credit Senior Loan Fund

  
Schedule of Investments† (unaudited) (continued) September 30, 2017
Investments  Principal   Value 
SENIOR LOANS(a) (continued)          
           
Manufacturing – 9.7% (continued)          
Meter Readings Holding, LLC (Aclara Technologies LLC), Initial Term Loan - First Lien, 7.067% (LIBOR + 5.750%), 08/29/23(b)  $1,980,000   $2,019,600 
MTS System Corp., Tranche B Term Loan 2017 - First Lien, 4.490% (LIBOR + 3.250%), 07/05/23(b)   1,485,000    1,497,994 
Preferred Proppants LLC (Preferred Sands), Term Loan - First Lien, 7.083% (LIBOR + 5.750%), 07/27/20(b)   2,910,000    2,720,850 
Total Manufacturing        13,249,949 
Media: Advertising, Printing & Publishing – 3.4%          
Cengage Learning Acquisitions, Inc., Term B Loan - First Lien, 5.485% (LIBOR + 4.250%), 06/07/23   2,263,006    2,092,466 
Getty Images, Inc., Initial Term Loan - First Lien, 4.833% (LIBOR + 3.500%), 10/18/19   2,931,119    2,544,431 
Total Media: Advertising, Printing & Publishing        4,636,897 
Media: Broadcasting & Subscription – 2.6%          
CSC Holdings LLC, 2017 Refinancing Term Loan - First Lien, 3.484% (LIBOR + 2.250%), 07/17/25   1,077,305    1,072,974 
Urban One (Radio One, Inc.), Initial Term Loan - First Lien, 5.340% (LIBOR + 4.000%), 04/18/23   1,496,241    1,472,862 
Tribune Company, Term C Loan - First Lien, 4.235% (LIBOR + 3.000%), 01/26/24   947,371    950,630 
Tribune Company, Term B Loan - First Lien, 4.235% (LIBOR + 3.000%), 12/27/20   76,010    76,343 
Total Media: Broadcasting & Subscription        3,572,809 
Media: Diversified and Services – 2.2%          
IMG LLC/William Morris Endeavor Entertainment LLC, Term Loan - First Lien, 4.490% (LIBOR + 3.250%), 05/03/21   1,935,299    1,951,023 
Match Group, Inc., Term Loan B - First Lien, 3.809% (LIBOR + 2.500%), 11/16/22   533,203    537,869 
SESAC Holdco II LLC, Term Loan - Second Lien, 8.485% (LIBOR + 7.250%), 02/24/25(b)   500,000    498,750 
Total Media: Diversified and Services        2,987,642 
Metals & Mining – 0.7%          
Big River Steel LLC, Closing Date Term Loan - First Lien, 6.333% (LIBOR + 5.000%), 08/23/23(b)   1,000,000    1,015,000 
Packaging – 0.5%          
Fortress Merger Sub Inc. (Fort Dearborn Company), Initial Term Loan - Second Lien, 9.799% (LIBOR + 8.500%), 10/21/24(b)   750,000    748,125 
Restaurants – 1.7%          
Restaurant Brands International, Inc. (Burger King), Term B-3 Loan - First Lien, 3.485% (LIBOR + 2.250%), 02/17/24   742,219    742,034 
Steak n Shake Operations, Inc., Term Loan - First Lien, 4.990% (LIBOR + 3.750%), 03/19/21(b)   1,694,982    1,593,283 
Total Restaurants        2,335,317 
Retail – 8.9%          
Albertson's LLC, 2017-1 Term Loan B-4, 3.985% (LIBOR + 2.750%), 08/25/21    1,560,694    1,508,146 

 

 

 

 

THL Credit Senior Loan Fund

  
Schedule of Investments† (unaudited) (continued) September 30, 2017
Investments  Principal   Value 
SENIOR LOANS(a) (continued)          
           
Retail – 8.9% (continued)          
Albertson's LLC, 2017-1 Term Loan B-5, 4.330% (LIBOR + 3.000%), 12/21/22  $1,485,056   $1,434,542 
American Sportsman Holdings Co. (Bass Pro), Term Loan B - First Lien, 6.235% (LIBOR + 5.000%), 11/15/23   2,097,398    1,981,160 
BJ's Wholesale Club, Inc., Initial Term Loan - Second Lien, 8.732% (LIBOR + 7.500%), 02/03/25   2,000,000    1,917,000 
CH Hold Corp. (Caliber Collision), Initial Term Loan - First Lien, 4.235% (LIBOR + 3.000%), 02/01/24   414,772    418,792 
CH Hold Corp. (Caliber Collision), Initial Term Loan - Second Lien, 8.485% (LIBOR + 7.250%), 02/03/25(b)   500,000    512,500 
Charming Charlie LLC, Initial Term Loan - First Lien, 9.289% (LIBOR + 8.000%), 12/24/19(b)   875,306    415,770 
CWGS Group, LLC (Camping World), Term Loans - First Lien, 4.981% (LIBOR + 3.750%), 11/08/23   1,985,000    1,997,615 
FullBeauty Brands LP / OSP Group, Inc. (a/k/a OneStopPlus Group & Redcats USA), Initial Term Loan - First Lien, 5.985% (LIBOR + 4.750%), 10/14/22   984,887    737,434 
Petco Animal Supply (PET Acquisition Merger Sub LLC), Term Loan - First Lien, 4.311% (LIBOR + 3.000%), 01/26/23   1,255,628    1,040,080 
Toys R US-Delaware, Inc., DIP FILO - First Lien, (LIBOR + 7.750%), 01/29/19(c)   232,231    236,876 
Total Retail        12,199,915 
Services: Business – 19.6%          
Air Medical Group Holdings, Inc., Term Loan B - 2017 - First Lien, (LIBOR + 4.250%), 09/25/24(c)   562,500    563,029 
Air Methods Corporation, Term Loan B - First Lien, 4.833% (LIBOR + 3.500%), 04/21/24   2,500,000    2,470,825 
Brand Energy & Infrastructure Services Inc., Term Loan - First Lien, 5.554% (LIBOR + 4.250%), 06/15/24   1,197,000    1,204,559 
Centerplate, Inc. (KPLT), Term Loan A - First Lien, 4.981% (LIBOR + 3.750%), 11/26/19(b)   965,000    967,412 
Checkout Holding Corp. (Catalina Holding Corp), Term Loan B - First Lien, 4.735% (LIBOR + 3.500%), 04/09/21   2,865,000    2,419,722 
Creative Artists Agency, LLC, Refinancing Term Loan - First Lien, 4.734% (LIBOR + 3.500%), 02/15/24   995,000    1,000,602 
CT Technologies Intermediate Holdings, Inc. (HealthPort), New Term Loan - First Lien, 5.485% (LIBOR + 4.250%), 12/01/21   1,945,225    1,950,088 
Cvent Inc., Term Loan B - First Lien, 5.235% (LIBOR + 4.000%), 11/29/23(b)   2,487,500    2,518,420 
EAB (Education Advisory Board/Avatar Purchaser, Inc.), Term Loan - First Lien, (LIBOR + 3.750%), 09/07/24(c)   1,350,000    1,350,000 
Garda World Security Corporation, Term B Loan - First Lien, 5.311% (LIBOR + 4.000%), 05/24/24   598,025    604,879 
RentPath, Inc., Term Loan - Second Lien, 10.240% (LIBOR + 9.000%), 12/19/22   1,000,000    969,165 
Sirva Worldwide, Inc., Term Loan - First Lien, 7.810% (LIBOR + 6.500%), 11/22/22(b)   2,977,500    3,007,275 
Solera Holdings, Inc., Dollar Term Loan - First Lien, 4.485% (LIBOR + 3.250%), 02/28/23   1,921,158    1,929,668 

 

 

 

 

THL Credit Senior Loan Fund

  
Schedule of Investments† (unaudited) (continued) September 30, 2017
Investments  Principal   Value 
SENIOR LOANS(a) (continued)          
           
Services: Business – 19.6% (continued)          
TKC Holdings, Inc., Term Loan - First Lien, 5.522% (LIBOR + 4.250%), 02/01/23  $995,000   $1,005,363 
TKC Holdings, Inc., Term Loan - Second Lien, 9.272% (LIBOR + 8.000%), 02/01/24(b)   998,451    1,012,180 
Trader Corp., Term Loan 2017 - First Lien, 4.581% (LIBOR + 3.250%), 09/28/23(b)   995,000    995,627 
TCH-2 Holdings LLC (TravelClick), Term Loan - First Lien, 5.235% (LIBOR + 4.000%), 05/06/21   1,936,660    1,948,764 
USIC Holdings, Inc., New Term Loan - First Lien, 5.004% (LIBOR + 3.500%), 12/08/23   995,000    1,002,875 
Total Services: Business        26,920,453 
Services: Consumer – 12.9%          
Casablanca US Holdings, Inc., Term Loan - First Lien, 5.985% (LIBOR + 4.750%), 03/29/24   2,985,000    2,985,940 
Fitness International LLC (LA Fitness), Term Loan B - First Lien, 7.500% (LIBOR + 4.250%), 07/01/20   809,815    815,382 
Heartland Dental LLC, Term Loan 2017 - First Lien, 6.090% (LIBOR + 4.750%), 07/31/23   1,000,000    1,006,750 
Jackson Hewitt Tax Service, Inc., Initial Term Loan - First Lien, 8.311% (LIBOR + 7.000%), 07/30/20(b)   930,690    900,443 
New Millennium Holdco, Inc. and Millennium Health, LLC, Closing Date Term Loan - First Lien, 7.735% (LIBOR + 6.500%), 12/21/20   970,453    494,931 
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan (2013) - First Lien, 6.500% (LIBOR + 5.250%), 07/01/19   2,509,263    2,531,997 
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan - Second Lien, 10.250% (LIBOR + 9.000%), 07/01/20   1,500,000    1,512,188 
Redbox Automated Retail LLC, Term B Loans - First Lien, 8.735% (LIBOR + 7.500%), 09/21/21   569,816    575,514 
Renaissance Learning, Inc., Initial Term Loan - First Lien, 5.083% (LIBOR + 3.750%), 04/09/21   1,913,361    1,928,907 
Renaissance Learning, Inc., Initial Term Loan - Second Lien, 8.333% (LIBOR + 7.000%), 04/11/22(b)   980,321    992,575 
TruGreen LP, Initial Incremental Term Loan - First Lien, 5.235% (LIBOR + 4.000%), 04/13/23   995,000    1,008,681 
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan - First Lien, 4.550% (LIBOR + 3.250%), 04/02/20   2,992,167    2,961,707 
Total Services: Consumer        17,715,015 
Services: Rental – 0.3%          
North American Lifting Holdings, Inc. (TNT Crane), Initial Term Loan - Second Lien, 10.333% (LIBOR + 9.000%), 11/26/21(b)   500,000    395,000 
Technology: Hardware – 0.9%          
Zebra Technologies Corporation., Tranche B Term Loan - First Lien, 3.314% (LIBOR + 2.000%), 10/27/21   1,241,343    1,244,763 
Technology: Semiconductor – 0.8%          
M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan - First Lien, 3.487% (LIBOR + 2.250%), 05/20/24   1,113,352    1,113,124 

 

 

 

 

THL Credit Senior Loan Fund

  
Schedule of Investments† (unaudited) (continued) September 30, 2017
Investments  Principal   Value 
SENIOR LOANS(a) (continued)          
           
Technology: Services – 10.1%          
Ability Networks, Inc. (Butler Merger Sub II, Inc.), Initial Term Loan - Second Lien, 9.485% (LIBOR + 8.250%), 05/16/22(b)  $1,000,000   $1,015,000 
AP Gaming I LLC (American Gaming Systems), Term B Loan - First Lien, 6.735% (LIBOR + 5.500%), 02/15/24   1,091,016    1,114,200 
Cast & Crew Payroll, LLC, Term B-1 Loan - 2017 - First Lien, 4.334% (LIBOR + 3.500%), 08/12/22   476,613    478,498 
ConvergeOne Holdings Corporation, Term Loan - First Lien, 6.090% (LIBOR + 4.750%), 06/20/24   1,496,807    1,498,678 
DigiCert, Inc. (Unipeg Merger Corp.), Term Loan - B2 - 2017 - First Lien, (LIBOR + 4.750%), 09/20/24(c)   1,000,000    1,011,250 
DigiCert, Inc. (Unipeg Merger Corp.), Term Loan - Second Lien, (LIBOR + 8.500%), 09/21/24(c)   750,000    758,284 
Everi Payments Inc. (Global Cash Access), Term B Loan - First Lien, 5.735% (LIBOR + 4.500%), 05/09/24   997,500    1,007,724 
First Data Corporation, 2022D New Dollar Term Loan - First Lien, 3.487% (LIBOR + 2.250%), 07/08/22   1,707,621    1,712,368 
MH Sub I, LLC and Micro Holding Corp. (Internet Brands), Amendment No 2 Initial Term Loan – First Lien, 4.820% (LIBOR + 3.500%), 09/15/24   1,940,852    1,933,574 
MH Sub I, LLC and Micro Holding Corp. (Internet Brands), Term Loan - Second Lien, 8.820% (LIBOR + 7.500%), 09/15/25   250,000    248,958 
Scientific Games International, Inc., Term B-4 Loan - First Lien, 4.485% (LIBOR + 3.250%), 08/14/24   3,070,501    3,079,620 
Total Technology: Services        13,858,154 
Technology: Software – 17.4%          
Almonde, Inc. (Misys), Dollar Term Loan - First Lien, 4.817% (LIBOR + 3.500%), 06/13/24   1,000,000    1,005,575 
Almonde, Inc. (Misys), Dollar Term Loan - Second Lien, 8.567% (LIBOR + 7.250%), 06/13/25   500,000    510,267 
ASG Technologies Group, Inc., Term Loan - First Lien, 6.061% (LIBOR + 4.750%), 07/31/24(b)   1,041,667    1,054,688 
Canyon Valor Companies (GTCR Valor Cos Inc. (aka Cision AB)), Initial Dollar Term Loan - First Lien, 5.583% (LIBOR + 4.250%), 06/16/23   2,000,000    2,027,910 
Compuware Corp., Tranche B-3 Term Loan - First Lien, 5.490% (LIBOR + 4.250%), 12/15/21    1,447,950    1,466,049 
Greeneden U.S. Holdings II, LLC (Genesys Telecommunications Laboratories), Tranche B-2 Dollar Term Loan - First Lien, 5.083% (LIBOR + 3.750%), 12/01/23   1,491,381    1,503,901 
Infoblox, Inc., Term Loan - First Lien, 6.235% (LIBOR + 5.000%), 11/07/23   2,210,369    2,229,025 
Infoblox, Inc., Term Loan - Second Lien, 9.985% (LIBOR + 8.750%), 11/07/24   1,000,000    1,000,000 
Kronos Inc., Initial Term Loan - First Lien, 4.811% (LIBOR + 3.500%), 11/01/23   1,488,769    1,499,004 
PNI Canada Acquireco Corp. (Sandvine), Initial Term Loan - First Lien, 7.073% (LIBOR + 5.750%), 08/23/22(b)   912,500    876,000 
Project Alpha Intermediate Holding, Inc. (Qlik), Term Loan - First Lien, 4.810% (LIBOR + 3.500%), 04/26/24   1,995,000    1,953,235 
Riverbed Technology, Inc., First Amendment Term Loan - First Lien, 4.490% (LIBOR + 3.250%), 04/24/22   966,020    945,695 

 

 

 

 

THL Credit Senior Loan Fund

  
Schedule of Investments† (unaudited) (continued) September 30, 2017
Investments  Principal   Value 
SENIOR LOANS(a) (continued)          
           
Technology: Software – 17.4% (continued)          
SolarWinds Inc., 2017 Refinancing Term Loan - First Lien, 4.735% (LIBOR + 3.500%), 02/03/23  $4,442,898   $4,462,335 
Starfish - V Merger Sub Inc. (Syncsort), Term Loan B 2017 - First Lien, 6.314% (LIBOR + 5.000%), 08/16/24(b)  833,333   818,750 
ViewPoint, Inc., Term Loan - First Lien, 5.703% (LIBOR + 4.250%), 07/19/24   1,500,000    1,505,625 
ViewPoint, Inc., Term Loan - Second Lien, 9.703% (LIBOR + 8.250%), 07/21/25(b)   1,000,000    997,500 
Total Technology: Software        23,855,559 
Telecommunications – 7.1%          
Asurion LLC, (Asurion Delivery and Installation Services, Inc.), Replacement B-5 Term Loan - First Lien, 4.235% (LIBOR + 3.000%), 11/03/23   1,608,675    1,617,724 
Asurion LLC, (Asurion Delivery and Installation Services, Inc.), Replacement B-4 Term Loan – Second Lien, 3.985% (LIBOR + 2.750%), 08/04/22   1,903,778    1,911,632 
Avaya Inc., Term Loan (DIP) - First Lien, 8.737% (LIBOR + 7.500%), 01/19/18   840,553    849,858 
Avaya, Inc., Term B-7 - First Lien, 6.417% (LIBOR + 5.250%), 05/29/20(g)   2,458,538    2,088,221 
Avaya, Inc., Replacement Term Loan B-6 - First Lien, 6.500% (LIBOR + 5.500%), 03/31/18(g)   1,306,662    1,105,971 
Birch Communications, Inc., Term Loan - First Lien, 8.550% (LIBOR + 7.250%), 07/17/20   1,767,148    1,506,494 
Frontier Communications Corporation, Term Loan - First Lien, 4.990% (LIBOR + 3.750%), 06/15/24   748,125    712,593 
Total Telecommunications        9,792,493 
Transportation: Services – 4.2%          
Commercial Barge Line Co. (American Commercial Lines), Initial Term B Loan - First Lien, 9.985% (LIBOR + 8.750%), 11/12/20   2,452,847    1,956,146 
Gruden Acquisition, Inc. (Quality Distribution LLC), Term Loan 2017 – First Lien, 6.833% (LIBOR + 5.500%), 08/18/22   3,404,128    3,366,904 
Gruden Acquisition, Inc. (Quality Distribution LLC), Term Loan - Second Lien, 9.833% (LIBOR + 8.500%), 08/18/23   500,000    476,042 
Total Transportation: Services        5,799,092 
Waste Management – 1.1%          
EnergySolutions (Envirocare of Utah), Term Advance 2017 - First Lien, 6.090% (LIBOR + 4.750%), 05/29/20(b)   1,467,321    1,494,834 
Wholesale – 2.6%          
4L Technologies, Inc. (Clover Technologies Group LLC), Initial Term Loan - First Lien, 5.737% (LIBOR + 4.500%), 05/08/20   876,315    741,582 
Associated Asphalt Partners, LLC, Term Loan B - First Lien, 6.485% (LIBOR + 5.250%), 03/30/24   997,500    982,951 
FPC Holdings, Inc. (Fleetpride), Initial Term Loan - First Lien, 5.296% (LIBOR + 4.000%), 11/19/19   1,906,852    1,885,801 
Total Wholesale        3,610,334 
           
Total Senior Loans
(Cost $190,463,982)		       186,444,857 

 

 

 

 

THL Credit Senior Loan Fund

  
Schedule of Investments† (unaudited) (continued) September 30, 2017
Investments  Principal   Value 
CORPORATE BONDS – 8.3% (5.6% of Total Investments)          
           
Banking, Finance, Insurance & Real Estate – 0.3%          
AssuredPartners, Inc., 7.000%, 08/15/25(d)  $104,000   $106,535 
Icahn Enterprises, 6.250%, 02/01/22   131,000    136,731 
Icahn Enterprises, 6.750%, 02/01/24  131,000   138,369 
Total Banking, Finance, Insurance & Real Estate        381,635 
Chemicals, Plastics & Rubber – 1.1%          
Aruba Investments, Inc. (Angus Chemical), 8.750%, 02/15/23(d)   1,500,000    1,539,107 
Consumer Products: Durables – 0.0%(e)          
Griffon Corp., 5.250%, 03/01/22(d)   27,000    27,338 
Energy, Oil & Gas – 0.1%          
Pattern Energy Group, Inc., 5.875%, 02/01/24(d)   132,000    139,590 
Healthcare & Pharmaceuticals – 0.2%          
Valeant Pharmaceuticals International, Inc., 6.500%, 03/15/22(d)   129,000    136,257 
Valeant Pharmaceuticals International, Inc., 7.000%, 03/15/24(d)   97,000    103,426 
Total Healthcare & Pharmaceuticals        239,683 
Hotel, Gaming & Leisure – 0.1%          
CRC Escrow Issuer Inc. (Caesars), 5.250%, 10/15/25(d)   107,000    107,067 
Media: Broadcasting & Subscription – 1.7%          
Gray Television, Inc., 5.125%, 10/15/24(d)   350,000    353,199 
Urban One (Radio One, Inc.), 7.375%, 04/15/22(d)   2,000,000    2,002,500 
Total Media: Broadcasting & Subscription        2,355,699 
Packaging – 0.1%          
Multi-Color Corp., 4.875%, 11/01/25(d)   109,000    110,499 
Restaurants – 0.1%          
Yum! Brands Inc. (KFC), 4.750%, 06/01/27(d)   113,000    116,602 
Retail – 1.7%          
Lithia Motors, Inc., 5.250%, 08/01/25(d)   128,000    133,120 
Rite Aid Corp., 6.125%, 04/01/23(d)   2,245,000    2,181,859 
Total Retail        2,314,979 
Services: Business – 1.6%          
ASP AMC Merger Sub, Inc., 8.000%, 05/15/25(d)   214,000    207,045 
Iron Mountain US Holdings, Inc., 5.375%, 06/01/26(d)   383,000    402,150 
Iron Mountain, Inc., 4.375%, 06/01/21(d)   383,000    396,405 
New Amythyst Corp. (Envision Healthcare Corp.), 6.250%, 12/01/24(d)   421,000    450,338 
Solera LLC / Solera Finance, Inc., 10.500%, 03/01/24(d)   680,000    775,200 
Total Services: Business        2,231,138 
Services: Consumer – 0.1%          
LG Financeco Corp. (Lions Gate) (Canada), 5.875%, 11/01/24(d)   153,000    161,215 

 

 

 

 

THL Credit Senior Loan Fund

  
Schedule of Investments† (unaudited) (continued) September 30, 2017
Investments  Principal   Value 
CORPORATE BONDS (continued)          
           
Technology: Hardware – 0.1%          
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., 7.125%, 06/15/24(d)  $189,000   $209,081 
Technology: Services – 0.1%          
CDK Global, Inc., 4.875%, 06/01/27(d)   116,000    119,915 
Technology: Software – 0.9%          
Greeneden US Holdings II, LLC (Genesys Telecommunications Laboratories), 10.000%, 11/30/24(d)  582,000   658,388 
Project Homestake Merger (Riverbed), 8.875%, 03/01/23(d)   545,000    523,654 
Total Technology: Software        1,182,042 
Waste Management – 0.1%          
GFL Environmental, Inc., 5.625%, 05/01/22 (Canada)(d)   116,000    120,930 
Total Corporate Bonds
(Cost $10,957,130)		        11,356,520 
           
    Shares      
COMMON STOCK – 0.0%(e) (0.0% of Total Investments)          
Services: Consumer – 0.0%(e)          
New Millennium Holdco, Inc.
(Cost $215,987)		   29,712    27,855 
MONEY MARKET FUND – 3.5% (2.3% of Total Investments)          
Morgan Stanley Institutional Liquidity Treasury Portfolio - Institutional Share Class, 0.90%(f)
(Cost $4,739,005)		   4,739,005    4,739,005 
Total Investments in Securities - 147.6%
(Cost $206,376,104)		        202,568,237 
Line of Credit Payable (Cost $56,000,000) – (40.8)%        (56,000,000)
Liabilities in Excess of Other Assets – (6.8)%        (9,269,406)
Net Assets – 100.0%       $137,298,831 

 

 

 

† Securities are U.S. securities, unless otherwise noted below.
(a) Senior loans pay interest at rates that are periodically determined on the basis of a floating benchmark lending rate, often subject to a floor, 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. LIBOR was the only benchmark utilized for the senior loans at September 30, 2017. 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 as of September 30, 2017. The Fund will not accrue interest until the settlement date at which point LIBOR will be established.
(d) 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 $11,081,420 which represents approximately 8.1% of net assets as of September 30, 2017. Unless otherwise noted, 144A securities are deemed to be liquid.
(e) Less than 0.05%
(f) Rate shown reflects the 7-day yield as of September 30, 2017.
(g) The Fund held defaulted securities for which the income has been deemed uncollectible. As of September 30, 2017, the aggregate value of those securities was $3,194,192, representing 2.3% of the Fund’s net assets. The Fund no longer accrues income on securities for which income has been deemed uncollectible.

 

 

 

 

THL Credit Senior Loan Fund

  
Schedule of Investments† (unaudited) (continued) September 30, 2017

 

The following table summarizes the valuation of the Fund’s investments under the fair value hierarchy levels as of September 30, 2017:

 

Asset Type  Level 1   Level 2   Level 3   Total 
Senior Loans*                    
Aerospace & Defense  $–   $992,710   $4,480,065   $5,472,775 
Automotive   –    –    1,961,177    1,961,177 
Banking, Finance, Insurance & Real Estate   –    2,789,888    2,505,625    5,295,513 
Beverage, Food & Tobacco   –    –    2,559,587    2,559,587 
Building & Construction   –    994,898    1,201,489    2,196,387 
Capital Goods   –    1,355,312    –    1,355,312 
Consumer Products: Non Durables   –    3,359,994    933,750    4,293,744 
Energy, Oil & Gas   –    2,412,063    764,686    3,176,749 
Healthcare & Pharmaceuticals   –    9,049,403    594,015    9,643,418 
Hotel, Gaming & Leisure   –    1,950,720    1,995,000    3,945,720 
Manufacturing   –    3,063,395    10,186,554    13,249,949 
Media: Advertising, Printing & Publishing   –    4,636,897    –    4,636,897 
Media: Broadcasting & Subscription   –    3,572,809    –    3,572,809 
Media: Diversified and Services   –    2,488,892    498,750    2,987,642 
Metals & Mining   –    –    1,015,000    1,015,000 
Packaging   –    –    748,125    748,125 
Restaurants   –    742,034    1,593,283    2,335,317 
Retail   –    11,271,645    928,270    12,199,915 
Services: Business   –    18,419,539    8,500,914    26,920,453 
Services: Consumer   –    15,821,997    1,893,018    17,715,015 
Services: Rental   –    –    395,000    395,000 
Technology: Hardware   –    1,244,763    –    1,244,763 
Technology: Semiconductor   –    1,113,124    –    1,113,124 
Technology: Services   –    12,843,154    1,015,000    13,858,154 
Technology: Software   –    20,108,621    3,746,938    23,855,559 
Telecommunications   –    9,792,493    –    9,792,493 
Transportation: Services   –    5,799,092    –    5,799,092 
Waste Management   –    –    1,494,834    1,494,834 
Wholesale   –    3,610,334    –    3,610,334 
Corporate Bonds*   –    11,356,520    –    11,356,520 
Common Stock*   –    27,855    –    27,855 
Money Market Fund   –    4,739,005    –    4,739,005 
Total Investments  $–   $153,557,157   $49,011,080   $202,568,237 

 

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

 

For information on the Fund’s policy regarding the valuation of investments, please refer to Note 2 in the notes to the Schedule of Investments.

 

 

 

 

THL Credit Senior Loan Fund

  
Schedule of Investments† (unaudited) (continued) September 30, 2017

 

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, 2016   $60,645,762 
Realized gain   116,732 
Change in unrealized appreciation    925,634 
Amortization (accretion)    77,772 
Purchases   19,151,724 
Sales and principal paydowns    (22,596,586)
Transfers into Level 3    4,438,949 
Transfers out of Level 3   (13,748,907)
Balance as of September 30, 2017  $49,011,080 
Net change in unrealized appreciation attributable to level 3 investments held at September 30, 2017   $2,452,231 

 

Investments were transferred into and out of Level 3 and into and out of Level 2 during the period ended September 30, 2017 due to changes in the quantity and quality of information obtained to support the fair value of each investment as assessed by the Advisor.

 

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.

 

The valuation techniques and significant amounts of unobservable inputs used in Fund’s Level 3 securities are outlined in the table below:

 

   Fair Value   Valuation Technique  Unobservable
Input		  Range
Senior Loans  $49,011,080   Third-party vendor service  Vendor quotes  N/A

 

 

 

 

THL Credit Senior Loan Fund

  
Schedule of Investments† (unaudited) (concluded) September 30, 2017

SUMMARY OF SCHEDULE OF INVESTMENTS  % of Net Assets 
Aerospace & Defense   4.0%
Automotive   1.4 
Banking, Finance, Insurance & Real Estate   4.2 
Beverage, Food & Tobacco   1.9 
Building & Construction   1.6 
Capital Goods   1.0 
Chemicals, Plastics & Rubber   1.1 
Consumer Products: Durables   0.0 
Consumer Products: Non Durables   3.1 
Energy, Oil & Gas   2.4 
Healthcare & Pharmaceuticals   7.2 
Hotel, Gaming & Leisure   3.0 
Manufacturing   9.7 
Media: Advertising, Printing & Publishing   3.4 
Media: Broadcasting & Subscription   4.3 
Media: Diversified and Services   2.2 
Metals & Mining   0.7 
Packaging   0.6 
Restaurants   1.8 
Retail   10.6 
Services: Business   21.2 
Services: Consumer   13.0 
Services: Rental   0.3 
Technology: Hardware   1.0 
Technology: Semiconductor   0.8 
Technology: Services   10.2 
Technology: Software   18.3 
Telecommunications   7.1 
Transportation: Services   4.2 
Waste Management   1.2 
Wholesale   2.6 
Money Market Fund   3.5 
Total Investments   147.6 
Line of Credit Payable   (40.8)
Liabilities in Excess of Other Assets   (6.8)
Net Assets   100.0%

 

 

 

 

THL Credit Senior Loan Fund  
Notes to the Schedule of Investments (unaudited) September 30, 2017

 

1. ORGANIZATION

 

THL Credit Senior Loan Fund (the “Fund”) is a non-diversified, closed-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund is an unincorporated business trust established under the laws of Delaware by an Agreement and Declaration of Trust dated July 30, 2013. The Fund commenced operations on September 20, 2013.

 

The Fund’s investment objective is to provide current income and preservation of capital primarily through investments in U.S. dollar-denominated senior secured corporate loans and notes (“Senior Loans”).

 

Four Wood Capital Advisors LLC (the “Adviser” or “FWCA”) serves as the Fund’s investment adviser (the “Adviser”). FWCA has engaged THL Credit Advisors LLC (the “Sub-adviser” or “THL Credit”) to serve as the sub-adviser to the Fund.

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

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 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 are 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 sourced 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 (including short-term obligations) are 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) (concluded) September 30, 2017

 

2. SIGNIFICANT ACCOUNTING POLICIES (concluded)

 

Non-exchange traded equity securities are valued at prices supplied by the Fund’s pricing agent based on the last bid prices quoted by brokers that are knowledgeable about the securities.

 

Money market funds are valued based on the Fund’s proportionate interest in its net assets.

 

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, 2017 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.

 

3. UNREALIZED APPRECIATION/(DEPRECIATION)

 

On September 30, 2017 based on cost of $206,376,104 for federal income tax purposes, aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,781,813 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $6,589,680 resulting in net unrealized depreciation of $3,807,867.

 

 

 

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 11/29/17

 

 

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 11/29/17
   
   
By (Signature and Title)* /s/ Jennifer Wilson
  Jennifer Wilson, Treasurer and Principal Financial Officer
  (principal financial officer)
   

Date 11/29/17

 

 

 

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