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: March 31, 2018
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) | March 31, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) – 128.5% (87.8% of Total Investments) | ||||||||
| Aerospace & Defense – 4.0% | ||||||||
| Advanced Integration Technology LP, Term B-1 Loan - First Lien, 6.730% (3-Month USD LIBOR + 4.750%), 04/03/23(b) | $ | 1,477,575 | $ | 1,488,657 | ||||
| Constellis Holdings LLC, Term Loan B - First Lien, 7.300% (3-Month USD LIBOR + 5.000%), 04/22/24 | 1,985,000 | 2,006,716 | ||||||
| Constellis Holdings LLC, Term Loan - Second Lien, 11.300% (3-Month USD LIBOR + 9.000%), 04/21/25(b) | 1,000,000 | 1,015,000 | ||||||
| Pelican Products, Inc., Term Loan - Second Lien, 10.130% (1-Month USD LIBOR + 8.250%), 04/09/21(b) | 1,000,000 | 1,005,000 | ||||||
| Total Aerospace & Defense | 5,515,373 | |||||||
| Automotive – 2.9% | ||||||||
| AP Exhaust Acquisition LLC, Initial Term Loan - First Lien, 6.810% (3-Month USD LIBOR + 5.000%), 05/10/24(b) | 496,250 | 497,181 | ||||||
| BBB Industries US Holdings, Inc., Initial Term Loan - First Lien, 6.380% (1-Month USD LIBOR + 4.500%), 11/03/21 | 1,420,457 | 1,436,437 | ||||||
| EOC Group, Inc., (Mavis Tire Express Services) Term Loan - First Lien, 5.070% (3-Month USD LIBOR + 3.250%), 03/15/25(b) | 431,001 | 431,809 | ||||||
| FPC Holdings, Inc. (Fleetpride Corp.), Initial Term Loan - First Lien, 6.378% (3-Month USD LIBOR + 4.500%), 11/19/22(c) | 1,677,778 | 1,642,125 | ||||||
| Total Automotive | 4,007,552 | |||||||
| Banking, Finance, Insurance & Real Estate – 2.2% | ||||||||
| AssuredPartners Capital, Inc., Term Loan - First Lien, 5.380% (1-Month USD LIBOR + 3.500%), 10/22/24 | 497,500 | 499,428 | ||||||
| Focus Financial Partners LLC, Term Loan - First Lien, 5.050% (3-Month USD LIBOR + 2.750%), 07/03/24 | 995,000 | 1,000,910 | ||||||
| USI, Inc., Term Loan B - First Lien, 5.300% (3-Month USD LIBOR + 3.000%), 05/16/24 | 1,492,500 | 1,496,858 | ||||||
| Total Banking, Finance, Insurance & Real Estate | 2,997,196 | |||||||
| Beverage, Food & Tobacco – 1.8% | ||||||||
| CHG PPC Parent LLC, Term Loan B - First Lien, 4.637% (1-Month USD LIBOR + 2.750%), 03/23/25(b)(c) | 875,000 | 878,281 | ||||||
| Flavors Holdings Inc., Tranche B Term Loan - First Lien, 8.050% (3-Month USD LIBOR + 5.750%), 04/04/20 | 825,000 | 746,625 | ||||||
| Flavors Holdings Inc., Initial Term Loan - Second Lien, 12.300% (3-Month USD LIBOR + 10.000%), 10/03/21(b) | 1,000,000 | 810,000 | ||||||
| Total Beverage, Food & Tobacco | 2,434,906 | |||||||
| Building & Construction – 0.9% | ||||||||
| Can Am Steel Corp., Closing Date Term Loan - First Lien, 7.380% (1-Month USD LIBOR + 5.500%), 07/02/24(b) | 1,191,000 | 1,202,910 | ||||||
| Capital Goods – 1.0% | ||||||||
| Crosby US Acquisition Corp., Initial Term Loan - First Lien, 4.900% (3-Month USD LIBOR + 3.000%), 11/23/20 | 1,451,057 | 1,428,203 | ||||||
| Chemicals, Plastics & Rubber – 0.3% | ||||||||
| Verdesian Life Sciences LLC, Initial Term Loan - First Lien, 6.770% (3-Month USD LIBOR + 5.000%), 07/01/20(b) | 503,381 | 485,762 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | March 31, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| Consumer Products: Non Durables – 2.6% | ||||||||
| ABG Intermediate Holdings 2 LLC (Authentic Brands), Term Loan - 2017 - First Lien, 5.800% (3-Month USD LIBOR + 3.500%), 09/26/24 | $ | 746,250 | $ | 750,291 | ||||
| ABG Intermediate Holdings 2 LLC (Authentic Brands), Term Loan - Second Lien, 10.050% (3-Month USD LIBOR + 7.750%), 09/26/25(b) | 625,000 | 635,156 | ||||||
| Varsity Brands, Inc. (Hercules Achievement), Initial Term Loan - First Lien, 5.380% (1-Month USD LIBOR + 3.500%), 12/09/14 | 997,500 | 1,008,098 | ||||||
| Vince Intermediate Holding LLC, Term B Loan - First Lien, 8.780% (3-Month USD LIBOR + 7.000%), 11/27/19(b) | 188,571 | 173,014 | ||||||
| ZEP, Inc. (Acuity Special Products), Initial Term Loan - First Lien, 5.770% (3-Month USD LIBOR + 4.000%), 08/12/24 | 995,000 | 1,002,045 | ||||||
| Total Consumer Products: Non Durables | 3,568,604 | |||||||
| Electrical Equipment – 0.7% | ||||||||
| Blount International, Inc., Term Loan - First Lien, 5.920% (1-Month USD LIBOR + 4.250%), 04/12/23 | 1,000,000 | 1,014,625 | ||||||
| Energy, Oil & Gas – 4.8% | ||||||||
| Delek US Holdings, Inc., Term Loan B - First Lien, (LIBOR + 2.500%), 03/13/25(b)(c) | 750,000 | 753,285 | ||||||
| Gulf Finance, LLC, Tranche B Term Loan - First Lien, 7.560% (3-Month USD LIBOR + 5.250%), 08/25/23 | 2,390,929 | 2,216,092 | ||||||
| HGIM Corp. (Harvey Gulf), Initial Term Loan - First Lien, 8.000% (PRIME + 3.500%), 06/18/20(b)(c)(d) | 4,031,084 | 1,746,810 | ||||||
| TerraForm AP Acquisition Holdings LLC, Loans - First Lien, 6.550% (3-Month USD LIBOR + 4.250%), 06/27/22(b) | 665,398 | 671,220 | ||||||
| W3 Topco LLC (Total Safety), Term Loan - 2017 - First Lien, 7.880% (1-Month USD LIBOR + 6.000%), 03/08/22 | 1,243,719 | 1,240,093 | ||||||
| Total Energy, Oil & Gas | 6,627,500 | |||||||
| Healthcare & Pharmaceuticals – 4.6% | ||||||||
| Alvogen Pharma US, Inc., Term Loan - First Lien, 6.880% (1-Month USD LIBOR + 5.000%), 04/01/22 | 2,446,392 | 2,456,581 | ||||||
| HCA, Inc., Term Loan B-10 - First Lien, 3.877% (1-Month USD LIBOR + 2.000%), 03/07/25(c) | 1,000,000 | 1,008,825 | ||||||
| Midwest Physician Administrative Services, LLC (ACOF V DP Acquiror LLC aka Dupage Medical Group), Initial Term Loan - Second Lien, 8.780% (1-Month USD LIBOR + 7.000%), 08/15/25(b) | 750,000 | 755,625 | ||||||
| On Assignment, Inc., Term Loan – 2018 - First Lien, (LIBOR + 2.000%), 02/20/25(c) | 1,375,000 | 1,381,531 | ||||||
| Valeant Pharmaceuticals International, Inc., Series F-4 Tranche B Term Loan - First Lien, 5.240% (1-Month USD LIBOR + 3.500%), 04/01/22 (Canada) | 717,625 | 726,007 | ||||||
| Total Healthcare & Pharmaceuticals | 6,328,569 | |||||||
| Hotel, Gaming & Leisure – 5.2% | ||||||||
| AP Gaming I LLC (American Gaming Systems), 2018 Refinance Term Loan - First Lien, 6.130% (1-Month USD LIBOR + 4.250%), 02/15/24 | 1,085,547 | 1,101,494 | ||||||
| Las Vegas Sands LLC, Term Loan - First Lien, (PRIME + 5.000%), 03/29/24(c) | 500,000 | 501,590 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | March 31, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| Hotel, Gaming & Leisure – 5.2% (continued) | ||||||||
| Parq Holdings LP (Canada), Term Loan - First Lien, 9.800% (3-Month USD LIBOR + 7.500%), 12/17/20(b) | $ | 1,990,000 | $ | 1,999,950 | ||||
| Scientific Games International, Inc. (AKA SGMS), Initial Term Loan B-5 - First Lien, 4.740% (2-Month USD LIBOR + 2.750%), 08/14/24 | 3,562,824 | 3,579,819 | ||||||
| Total Hotel, Gaming & Leisure | 7,182,853 | |||||||
| Manufacturing – 6.8% | ||||||||
| CPM Holdings, Inc., Initial Term Loan - First Lien, 5.380% (1-Month USD LIBOR + 3.500%), 04/11/22 | 2,036,955 | 2,067,194 | ||||||
| CPM Acquisition Corp., Term Loan - Second Lien, 10.130% (1-Month USD LIBOR + 8.250%), 04/10/23(b) | 743,201 | 759,923 | ||||||
| MTS System Corp., Tranche B Term Loan 2017 - First Lien, 4.990% (1-Month USD LIBOR + 3.250%), 07/05/23 | 1,336,030 | 1,347,727 | ||||||
| Navistar, Inc., Tranche B Term Loan - First Lien, 5.210% (1-Month USD LIBOR + 3.500%), 11/06/24 | 2,000,000 | 2,013,750 | ||||||
| Preferred Proppants LLC (Preferred Sands), Term B-1 Loan - First Lien, 8.050% (3-Month USD LIBOR + 5.750%), 07/27/20(b) | 2,536,558 | 2,404,974 | ||||||
| Vertiv Group Corp., Term B Loan - First Lien, 5.670% (1-Month USD LIBOR + 4.000%), 11/30/23 | 752,155 | 756,698 | ||||||
| Total Manufacturing | 9,350,266 | |||||||
| Media: Advertising, Printing & Publishing – 0.7% | ||||||||
| Harland Clarke Hldgs (f/k/a Clarke American Corp.), Term Loan - 2017 - First Lien, 7.050% (3-Month USD LIBOR + 4.750%), 11/03/23 | 976,948 | 987,260 | ||||||
| Media: Broadcasting & Subscription – 4.7% | ||||||||
| CSC Holdings LLC, 2017 Refinancing Term Loan - First Lien, 4.040% (1-Month USD LIBOR + 2.250%), 07/17/25 | 1,071,905 | 1,070,345 | ||||||
| CSC Holdings, Inc. (Cablevision / Altice Financing / Neptune Finco), 2018 Incremental Term Loan - First Lien, 4.280% (1-Month USD LIBOR + 2.500%), 01/12/26 | 1,000,000 | 1,001,410 | ||||||
| Radiate Holdco LLC (RCN Grande), Closing Date Term Loan - First Lien, 4.880% (1-Month USD LIBOR + 3.000%), 02/01/24 | 1,994,962 | 1,985,965 | ||||||
| Tribune Company, Term C Loan - First Lien, 4.880% (1-Month USD LIBOR + 3.000%), 01/26/24 | 947,371 | 949,347 | ||||||
| Urban One (Radio One, Inc.), Initial Term Loan - First Lien, 5.880% (1-Month USD LIBOR + 4.000%), 04/18/23(b) | 1,488,722 | 1,480,355 | ||||||
| Total Media: Broadcasting & Subscription | 6,487,422 | |||||||
| Media: Diversified and Services – 1.8% | ||||||||
| IMG LLC/William Morris Endeavor Entertainment LLC, Term B Loan - First Lien, 5.130% (1-Month USD LIBOR + 3.250%), 05/03/21 | 1,925,549 | 1,941,194 | ||||||
| SESAC Holdco II LLC, Term Loan - Second Lien, 9.130% (1-Month USD LIBOR + 7.250%), 02/24/25(b) | 500,000 | 500,625 | ||||||
| Total Media: Diversified and Services | 2,441,819 | |||||||
| Media: Services – 3.0% | ||||||||
| Getty Images, Inc., Initial Term Loan - First Lien, 5.800% (3-Month USD LIBOR + 3.500%), 10/18/19 | 4,311,394 | 4,140,598 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | March 31, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| Metals & Mining – 1.3% | ||||||||
| ASP Prince Merger Sub, Inc. (aka PMHC II, Inc.), Term Loan - First Lien, 5.802% (3-Month USD LIBOR + 3.500%), 03/20/25(c) | $ | 750,000 | $ | 755,861 | ||||
| Big River Steel LLC, Closing Date Term Loan, 7.300% (3-Month USD LIBOR + 5.000%), 08/23/23(b) | 995,000 | 1,011,169 | ||||||
| Total Metals & Mining | 1,767,030 | |||||||
| Packaging – 0.5% | ||||||||
| Fortress Merger Sub Inc. (Fort Dearborn Company), Initial Term Loan - Second Lien, 10.200% (3-Month USD LIBOR + 8.500%), 10/21/24(b) | 750,000 | 720,000 | ||||||
| Restaurants – 1.1% | ||||||||
| Steak n Shake Operations, Inc., Term Loan - First Lien, 5.630% (1-Month USD LIBOR + 3.750%), 03/19/21 | 1,684,982 | 1,465,934 | ||||||
| Retail – 8.6% | ||||||||
| Albertson's LLC, 2017-1 Term Loan B-4 - First Lien, 4.630% (1-Month USD LIBOR + 2.750%), 08/25/21 | 3,547,846 | 3,509,352 | ||||||
| Albertson's LLC, 2017-1 Term Loan B-5 - First Lien, 5.290% (3-Month USD LIBOR + 3.000%), 12/21/22 | 1,477,612 | 1,464,070 | ||||||
| American Sportsman Holdings Co. (Bass Pro), Term Loan - First Lien, 6.880% (1-Month USD LIBOR + 5.000%), 09/25/24 | 1,492,500 | 1,480,373 | ||||||
| CH Hold Corp. (Caliber Collision), Initial Term Loan - First Lien, 4.880% (1-Month USD LIBOR + 3.000%), 02/01/24 | 410,088 | 413,293 | ||||||
| CH Hold Corp. (Caliber Collision), Initial Term Loan - Second Lien, 9.130% (1-Month USD LIBOR + 7.250%), 02/03/25(b) | 500,000 | 508,750 | ||||||
| Charming Charlie LLC, New Money Initial Term Loan (DIP), 6.370% (1-Month USD LIBOR + 4.500%), 06/08/18(b) | 152,609 | 133,533 | ||||||
| Charming Charlie LLC, DIP Term Loan - First Lien, 2.870% (1-Month USD LIBOR + 1.000%), 06/08/18(b) | 610,300 | 350,923 | ||||||
| Charming Charlie LLC, Initial Term Loan - First Lien, 12.330% (3-Month USD LIBOR + 11.000%), 12/24/19(d) | 1,154,115 | 44,433 | ||||||
| CWGS Group, LLC (Camping World), Term Loans - First Lien, 4.700% (1-Month USD LIBOR + 3.000%), 11/08/23(c) | 2,430,000 | 2,439,623 | ||||||
| FullBeauty Brands LP / OSP Group, Inc. (a/k/a OneStopPlus Group & Redcats USA), Initial Term Loans - First Lien, 6.630% (1-Month USD LIBOR + 4.750%), 10/14/22 | 979,774 | 563,816 | ||||||
| Petco Animal Supply (PET Acquisition Merger Sub LLC), Term Loan - First Lien, 4.770% (3-Month USD LIBOR + 3.000%), 01/26/23 | 1,249,254 | 920,632 | ||||||
| Total Retail | 11,828,798 | |||||||
| Services: Business – 19.3% | ||||||||
| Air Methods Corp., Term Loan B - First Lien, 5.800% (3-Month USD LIBOR + 3.500%), 04/21/24 | 2,000,000 | 2,008,130 | ||||||
| Brand Energy & Infrastructure Services Inc., Term Loan - First Lien, 5.990% (3-Month USD LIBOR + 4.250%), 06/15/24 | 1,191,000 | 1,202,987 | ||||||
| CT Technologies Intermediate Holdings, Inc. (HealthPort), New Term Loan - First Lien, 6.130% (1-Month USD LIBOR + 4.250%), 12/01/21 | 1,935,275 | 1,932,053 | ||||||
| Cvent Inc., Term Loan - First Lien, 5.320% (1-Month USD LIBOR + 3.750%), 11/29/23(b) | 2,487,500 | 2,505,124 | ||||||
| DTZ US Borrower LLC, 2015-1 Additional Term Loan - First Lien, (LIBOR + 3.250%), 11/04/21(c) | 1,000,000 | 996,665 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | March 31, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| Services: Business – 19.3% (continued) | ||||||||
| EAB (Education Advisory Board/Avatar Purchaser, Inc.), Term Loan - First Lien, 5.480% (3-Month USD LIBOR + 3.750%), 11/17/24 | $ | 1,350,000 | $ | 1,353,942 | ||||
| Garda World Security Corp. (GW Horos Security Corp.), Term B Loan - First Lien, 7.000% (PRIME + 2.500%), 05/24/24 | 595,028 | 601,537 | ||||||
| Help/Systems Holdings, Inc., Term Loan - First Lien, 6.052% (3-Month USD LIBOR + 3.750%), 03/23/25(b)(c) | 666,667 | 668,333 | ||||||
| I-Logic Technologies Bidco Ltd (Dealogic), Term B - First Lien, 6.300% (3-Month USD LIBOR + 4.000%), 12/21/24(b) | 1,436,400 | 1,441,183 | ||||||
| Mitchell International, Inc., Initial Term Loan - Second Lien, 9.140% (1-Month USD LIBOR + 7.250%), 12/01/25(b) | 1,000,000 | 1,008,250 | ||||||
| New Insight Holdings Inc. (Research Now), Initial Term Loan 2017 - First Lien, 7.860% (3-Month USD LIBOR + 5.500%), 12/08/24 | 698,250 | 694,979 | ||||||
| Red Ventures LLC (New Imagitas, Inc.), Term Loan - First Lien, 5.880% (1-Month USD LIBOR + 4.000%), 11/08/24 | 1,990,000 | 2,010,109 | ||||||
| Red Ventures LLC (New Imagitas, Inc.), Term Loan - Second Lien, 9.880% (1-Month USD LIBOR + 8.000%), 11/08/25 | 250,000 | 255,158 | ||||||
| RentPath, Inc., Term Loan - Second Lien, 10.880% (1-Month USD LIBOR + 9.000%), 12/19/22 | 1,000,000 | 995,630 | ||||||
| Shutterfly, Inc., Term Loan B-2 - First Lien, 4.640% (1-Month USD LIBOR + 2.750%), 08/17/24(c) | 625,000 | 628,906 | ||||||
| Sirva Worldwide, Inc., Term Loan - First Lien, 8.200% (3-Month USD LIBOR + 6.500%), 11/24/22(b) | 2,877,500 | 2,906,275 | ||||||
| Solera Holdings, Inc., Dollar Term Loan - First Lien, 4.630% (1-Month USD LIBOR + 2.750%), 02/28/23 | 1,911,406 | 1,918,784 | ||||||
| TKC Holdings, Inc., Term Loan - First Lien, 6.030% (3-Month USD LIBOR + 4.250%), 02/01/23 | 990,000 | 1,001,014 | ||||||
| TKC Holdings, Inc., Term Loan - Second Lien, 9.780% (3-Month USD LIBOR + 8.000%), 02/01/24 | 500,000 | 506,125 | ||||||
| Trader Corp., Term Loan - First Lien, 5.290% (3-Month USD LIBOR + 3.000%), 11/11/24 | 916,519 | 917,280 | ||||||
| USIC Holdings, Inc., Term B Loan - First Lien, 5.800% (3-Month USD LIBOR + 3.500%), 12/08/23 | 987,500 | 997,375 | ||||||
| Total Services: Business | 26,549,839 | |||||||
| Services: Consumer – 9.5% | ||||||||
| Fitness International LLC (LA Fitness), Term Loan B - First Lien, 5.380% (1-Month USD LIBOR + 3.500%), 07/01/20 | 702,652 | 709,900 | ||||||
| Heartland Dental LLC, Term Loan 2017 - First Lien, 6.450% (3-Month USD LIBOR + 4.750%), 07/31/23(b) | 997,500 | 999,889 | ||||||
| Jackson Hewitt Tax Service, Inc., Initial Term Loan - First Lien, 8.770% (3-Month USD LIBOR + 7.000%), 07/30/20 | 930,690 | 928,363 | ||||||
| Pre-Paid Legal Services, Inc. (Legalshield), Term Loan (2013) - First Lien, 7.130% (1-Month USD LIBOR + 5.250%), 07/01/19 | 2,277,668 | 2,289,056 | ||||||
| Pre-Paid Legal Services, Inc. (Legalshield), Term Loan - Second Lien, 10.880% (1-Month USD LIBOR + 9.000%), 07/01/20 | 2,500,000 | 2,512,500 | ||||||
| Renaissance Learning, Inc., Initial Term Loan - First Lien, 6.050% (3-Month USD LIBOR + 3.750%), 04/09/21 | 1,906,470 | 1,917,594 | ||||||
| Renaissance Learning, Inc., Term B Loan - Second Lien, 9.300% (3-Month USD LIBOR + 7.000%), 04/11/22 | 980,321 | 986,448 | ||||||
| TruGreen LP, Initial Incremental Term Loan - First Lien, 5.740% (1-Month USD LIBOR + 4.000%), 04/13/23(b) | 990,025 | 1,002,400 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | March 31, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| Services: Consumer – 9.5% (continued) | ||||||||
| Weight Watchers International, Inc., Initial Term Loan - First Lien, 6.450% (3-Month USD LIBOR + 4.750%), 04/02/20 | $ | 1,777,500 | $ | 1,802,776 | ||||
| Total Services: Consumer | 13,148,926 | |||||||
| Services: Rental – 0.3% | ||||||||
| North American Lifting Holdings, Inc. (TNT Crane), Initial Term Loan - Second Lien, 11.300% (3-Month USD LIBOR + 9.000%), 11/26/21 | 500,000 | 416,250 | ||||||
| Technology: Semiconductor – 0.8% | ||||||||
| M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan - First Lien, 4.130% (1-Month USD LIBOR + 2.250%), 05/20/24 | 1,107,771 | 1,092,766 | ||||||
| Technology: Services – 6.7% | ||||||||
| ConvergeOne Holdings Corp., Term Loan - First Lien, 6.630% (1-Month USD LIBOR + 4.750%), 06/20/24 | 1,488,750 | 1,496,194 | ||||||
| CPI Acquisition, Inc. Term Loan - First Lien, 6.360% (3-Month USD LIBOR + 4.500%), 08/17/22 | 531,250 | 368,687 | ||||||
| DigiCert, Inc., (Unipeg Merger Corp.) Term Loan - First Lien, 6.520% (3-Month USD LIBOR + 4.750%), 10/31/24 | 1,000,000 | 1,012,815 | ||||||
| DigiCert, Inc., (Unipeg Merger Corp.) Term Loan - Second Lien, 9.770% (3-Month USD LIBOR + 8.000%), 10/31/25 | 750,000 | 758,554 | ||||||
| Everi Payments Inc. (Global Cash Access), Term B Loan - First Lien, 5.490% (2-Month USD LIBOR + 3.500%), 05/09/24 | 992,500 | 1,001,497 | ||||||
| Impala Private Holdings II LLC (Intralinks), Initial Term Loan - First Lien, 5.880% (1-Month USD LIBOR + 4.000%), 11/14/24 | 997,500 | 1,003,320 | ||||||
| MH Sub I, LLC and Micro Holding Corp. (Internet Brands), Amendment No 2 Initial Term Loan – First Lien, 5.530% (1-Month USD LIBOR + 3.750%), 09/16/24 | 1,931,148 | 1,934,421 | ||||||
| MH Sub I, LLC and Micro Holding Corp. (Internet Brands), Term Loan - Second Lien, 9.280% (1-Month USD LIBOR + 7.500%), 09/15/25 | 250,000 | 253,594 | ||||||
| SCS Holdings, Inc. (Sirius Computer Solutions) New Tranche B Term Loan - First Lien, 6.130% (1-Month USD LIBOR + 4.250%), 10/30/22 | 1,426,775 | 1,443,419 | ||||||
| Total Technology: Services | 9,272,501 | |||||||
| Technology: Software – 15.8% | ||||||||
| Almonde, Inc. (Misys), Dollar Term Loan - First Lien, 5.480% (3-Month USD LIBOR + 3.500%), 06/13/24 | 2,491,241 | 2,491,714 | ||||||
| Almonde, Inc. (Misys), Dollar Term Loan - Second Lien, 9.230% (3-Month USD LIBOR + 7.250%), 06/13/25 | 500,000 | 496,522 | ||||||
| ASG Technologies Group, Inc., Term Loan - First Lien, 5.380% (1-Month USD LIBOR + 3.500%), 07/31/24 | 1,036,465 | 1,041,647 | ||||||
| Canyon Valor Companies (GTCR Valor Cos Inc. (aka Cision AB)), Initial Dollar Term Loan - First Lien, 5.130% (1-Month USD LIBOR + 3.250%), 06/16/23 | 1,990,000 | 2,011,144 | ||||||
| Compuware Corp., Tranche B-3 Term Loan - First Lien, 5.150% (1-Month USD LIBOR + 3.500%), 12/15/21 | 1,440,600 | 1,460,408 | ||||||
| Greeneden U.S. Holdings II, LLC (Genesys Telecommunications Laboratories), Term Loan B-3 - First Lien, 5.800% (3-Month USD LIBOR + 3.500%), 12/01/23 | 1,481,325 | 1,491,628 | ||||||
| Infoblox, Inc., Term Loan - First Lien, 6.380% (1-Month USD LIBOR + 4.500%), 11/07/23 | 2,151,871 | 2,187,732 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | March 31, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| Technology: Software – 15.8% (continued) | ||||||||
| Infoblox, Inc., Term Loan - Second Lien, 10.630% (1-Month USD LIBOR + 8.750%), 11/07/24 | $ | 1,000,000 | $ | 1,006,000 | ||||
| PNI Canada Acquireco Corp. (Sandvine), Initial Term Loan - First Lien, 8.050% (3-Month USD LIBOR + 5.750%), 09/21/22 | 907,938 | 905,668 | ||||||
| Project Alpha Intermediate Holding, Inc. (Qlik), Term Loan - First Lien, 5.040% (6-Month USD LIBOR + 3.500%), 04/26/24 | 1,985,000 | 1,962,252 | ||||||
| Riverbed Technology, Inc., First Amendment Term B Loan - First Lien, 5.130% (1-Month USD LIBOR + 3.250%), 04/24/22 | 958,427 | 956,275 | ||||||
| SolarWinds, Inc., 2018 Refinancing Term Loan - First Lien, 4.880% (1-Month USD LIBOR + 3.000%), 02/05/24 | 1,534,615 | 1,542,902 | ||||||
| Starfish - V Merger Sub Inc. (Syncsort), Term Loan B 2017 - First Lien, 7.300% (3-Month USD LIBOR + 5.000%), 08/16/24 | 995,000 | 999,353 | ||||||
| ViewPoint, Inc., Term Loan - First Lien, 6.550% (3-Month USD LIBOR + 4.250%), 07/19/24(b) | 1,492,500 | 1,499,030 | ||||||
| ViewPoint, Inc., Term Loan - Second Lien, 10.550% (3-Month USD LIBOR + 8.250%), 07/21/25(b) | 1,750,000 | 1,745,625 | ||||||
| Total Technology: Software | 21,797,900 | |||||||
| Telecommunications – 7.7% | ||||||||
| Asurion, LLC (Asurion Delivery and Installation Services, Inc.) Term Loans B-6 - First Lien, 4.630% (1-Month USD LIBOR + 2.750%), 10/03/23 | 1,553,959 | 1,566,228 | ||||||
| Avaya Inc., Term Loan (DIP) - First Lien, 6.540% (1-Month USD LIBOR + 4.750%), 01/23/18 | 5,581,910 | 5,628,770 | ||||||
| Birch Communications, Inc., Term Loan - First Lien, 8.960% (3-Month USD LIBOR + 7.250%), 07/17/20 | 1,717,148 | 1,705,558 | ||||||
| Frontier Communications Corp., Term Loan - First Lien, 5.630% (1-Month USD LIBOR + 3.750%), 06/17/24 | 744,375 | 736,313 | ||||||
| Rackspace Hosting (Inception Merger Sum, Inc.), 2017 Term Loan B - First Lien, 4.790% (3-Month USD LIBOR + 3.000%), 11/03/23 | 997,487 | 994,839 | ||||||
| Total Telecommunications | 10,631,708 | |||||||
| Transportation: Services – 5.2% | ||||||||
| ATS Consolidated, Inc. (American Traffic Solutions) Term Loan B - First Lien, 5.400% (1-Month USD LIBOR + 3.750%), 02/23/25(b) | 625,000 | 633,206 | ||||||
| Commercial Barge Line Co. (American Commercial Lines), Term Loan - First Lien, 10.630% (1-Month USD LIBOR + 8.750%), 11/12/20 | 2,386,554 | 1,430,441 | ||||||
| Gruden Acquisition, Inc. (Quality Distribution LLC), Term Loan 2017 – First Lien, 7.800% (3-Month USD LIBOR + 5.500%), 08/18/22 | 3,386,804 | 3,431,967 | ||||||
| Gruden Acquisition, Inc. (Quality Distribution LLC), Term Loan - Second Lien, 10.800% (3-Month USD LIBOR + 8.500%), 08/18/23(b) | 500,000 | 503,750 | ||||||
| Uber Technologies, Inc., Term Loan - First Lien, 5.890% (1-Month USD LIBOR + 4.000%), 03/21/25(c) | 1,120,000 | 1,126,474 | ||||||
| Total Transportation: Services | 7,125,838 | |||||||
| Waste Management – 1.1% | ||||||||
| EnergySolutions (Envirocare of Utah), Term Advance 2017 - First Lien, 6.630% (1-Month USD LIBOR + 4.750%), 05/29/20(b) | 1,467,321 | 1,493,000 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | March 31, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| Wholesale – 2.6% | ||||||||
| 4L Technologies, Inc. (Clover Technologies Group LLC), Initial Term Loan - First Lien, 6.380% (1-Month USD LIBOR + 4.500%), 05/08/20 | $ | 871,663 | $ | 680,987 | ||||
| Associated Asphalt Partners, LLC, Term Loan B - First Lien, 7.130% (1-Month USD LIBOR + 5.250%), 04/05/24 | 991,786 | 955,417 | ||||||
| FPC Holdings, Inc. (Fleetpride), Initial Term Loan - First Lien, 6.300% (3-Month USD LIBOR + 4.000%), 11/19/19 | 1,906,852 | 1,902,085 | ||||||
| Total Wholesale | 3,538,489 | |||||||
| Total
Senior Loans (Cost $179,550,534) | 177,050,397 | |||||||
| CORPORATE BONDS – 10.2% (7.0% of Total Investments) | ||||||||
| Aerospace & Defense – 0.1% | ||||||||
| TransDigm, Inc., 6.375%, 06/15/26 | 99,000 | 100,238 | ||||||
| Banking, Finance, Insurance & Real Estate – 0.2% | ||||||||
| Icahn Enterprises, 6.250%, 02/01/22 | 131,000 | 133,375 | ||||||
| Icahn Enterprises, 6.750%, 02/01/24 | 131,000 | 133,980 | ||||||
| Total Banking, Finance, Insurance & Real Estate | 267,355 | |||||||
| Building & Construction – 0.2% | ||||||||
| Beacon Escrow Corp., 4.875%, 11/03/25(e) | 255,000 | 243,206 | ||||||
| Chemicals, Plastics & Rubber – 1.3% | ||||||||
| Aruba Investments, Inc. (Angus Chemical), 8.750%, 02/15/23(e) | 1,500,000 | 1,556,250 | ||||||
| Berry Global, Inc., 4.500%, 02/15/26(e) | 246,000 | 233,482 | ||||||
| Total Chemicals, Plastics & Rubber | 1,789,732 | |||||||
| Consumer Products: Durables – 0.0%(f) | ||||||||
| Griffon Corp., 5.250%, 03/01/22 | 27,000 | 27,202 | ||||||
| Consumer Products: Packaged Foods – 0.1% | ||||||||
| Post Holdings, Inc., 5.750%, 03/01/27(e) | 101,000 | 100,621 | ||||||
| Energy, Oil & Gas – 0.2% | ||||||||
| Pattern Energy Group, Inc., 5.875%, 02/01/24(e) | 132,000 | 135,795 | ||||||
| TerraForm Power Operating LLC, 4.250%, 01/31/23(e) | 99,000 | 95,288 | ||||||
| TerraForm Power Operating LLC, 5.000%, 01/31/28(e) | 99,000 | 94,556 | ||||||
| Total Energy, Oil & Gas | 325,639 | |||||||
| Healthcare & Pharmaceuticals – 0.8% | ||||||||
| HCA, Inc., 5.375%, 02/03/25 | 400,000 | 401,250 | ||||||
| Valeant Pharmaceuticals International, Inc., 6.500%, 03/15/22 (Canada)(e) | 129,000 | 133,273 | ||||||
| Valeant Pharmaceuticals International, Inc., 7.000%, 03/15/24 (Canada)(e) | 97,000 | 101,244 | ||||||
| Valeant Pharmaceuticals International, Inc., 5.500%, 11/03/25 (Canada)(e) | 102,000 | 99,329 | ||||||
| Valeant Pharmaceuticals International, Inc., 9.000%, 12/15/25 (Canada)(e) | 196,000 | 194,971 | ||||||
| Valeant Pharmaceuticals International, Inc., 9.250%, 04/01/26 (Canada)(e) | 107,000 | 106,732 | ||||||
| Total Healthcare & Pharmaceuticals | 1,036,799 | |||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | March 31, 2018 |
| Investments | Principal | Value | ||||||
| CORPORATE BONDS (continued) | ||||||||
| Hotel, Gaming & Leisure – 0.6% | ||||||||
| CRC Escrow Issuer Inc. (Caesars), 5.250%, 10/15/25(e) | $ | 308,000 | $ | 295,466 | ||||
| Scientific Games International, Inc., 5.000%, 10/15/25(e) | 250,000 | 244,989 | ||||||
| Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.250%, 05/17/27(e) | 249,000 | 244,595 | ||||||
| Total Hotel, Gaming & Leisure | 785,050 | |||||||
| Media: Broadcasting & Subscription – 2.1% | ||||||||
| CCO Holdings LLC / CCO Holdings Capital Corp., 5.000%, 02/01/28(e) | 250,000 | 234,687 | ||||||
| CSC Holdings LLC, 5.500%, 04/15/27(e) | 100,000 | 95,897 | ||||||
| CSC Holdings LLC, 5.375%, 02/01/28(e) | 194,000 | 183,529 | ||||||
| Gray Television, Inc., 5.125%, 10/15/24(e) | 350,000 | 339,500 | ||||||
| Radiate Holdco LLC / Radiate Finance, Inc., 6.875%, 02/15/23(e) | 96,000 | 92,880 | ||||||
| Urban One (Radio One, Inc.), 7.375%, 04/15/22(e) | 2,000,000 | 1,985,000 | ||||||
| Total Media: Broadcasting & Subscription | 2,931,493 | |||||||
| Media: Diversified and Services – 0.1% | ||||||||
| Match Group, Inc., 5.000%, 12/15/27(e) | 200,000 | 197,250 | ||||||
| Metals & Mining – 0.1% | ||||||||
| Freeport-McMoRan, Inc., 4.550%, 11/14/24 | 99,000 | 97,511 | ||||||
| Packaging – 0.2% | ||||||||
| Multi-Color Corp., 4.875%, 11/03/25(e) | 335,000 | 315,109 | ||||||
| Restaurants – 0.1% | ||||||||
| Yum! Brands Inc. (KFC), 4.750%, 06/01/27(e) | 113,000 | 109,045 | ||||||
| Retail – 1.7% | ||||||||
| Lithia Motors, Inc., 5.250%, 08/01/25(e) | 128,000 | 129,159 | ||||||
| Rite Aid Corp., 6.125%, 04/03/23(e) | 2,245,000 | 2,266,047 | ||||||
| Total Retail | 2,395,206 | |||||||
| Services: Business – 1.3% | ||||||||
| ASP AMC Merger Sub, Inc., 8.000%, 05/15/25(e) | 314,000 | 294,571 | ||||||
| First Data Corp., 7.000%, 12/01/23(e) | 150,000 | 157,781 | ||||||
| GFL Environmental, Inc., 5.375%, 03/01/23 (Canada)(e) | 400,000 | 393,500 | ||||||
| Iron Mountain US Holdings, Inc., 5.375%, 06/01/26(e) | 383,000 | 368,797 | ||||||
| Iron Mountain, Inc., 4.375%, 06/01/21(e) | 383,000 | 385,394 | ||||||
| Iron Mountain, Inc., 5.250%, 03/15/28(e) | 98,000 | 92,231 | ||||||
| United Rentals North America, Inc., 4.875%, 01/15/28 | 150,000 | 144,938 | ||||||
| Total Services: Business | 1,837,212 | |||||||
| Services: Consumer – 0.3% | ||||||||
| Lions Gate Capital Holdings LLC, 5.875%, 11/01/24(e) | 153,000 | 159,502 | ||||||
| NetFlix, Inc., 4.875%, 04/15/28(e) | 308,000 | 298,953 | ||||||
| Total Services: Consumer | 458,455 | |||||||
| Technology: Hardware – 0.2% | ||||||||
| Diamond 1 Finance Corp. / Diamond 2 Finance Corp., 7.125%, 06/17/24(e) | 189,000 | 201,876 | ||||||
| Telecommunications – 0.5% | ||||||||
| Frontier Communications Corp., 8.500%, 04/01/26(e) | 108,000 | 104,895 | ||||||
| Level 3 Financing, Inc., 5.375%, 01/15/24 | 150,000 | 146,344 | ||||||
| Rackspace Hosting, Inc., 8.625%, 11/15/24(e) | 100,000 | 98,798 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | March 31, 2018 |
| Investments | Principal | Value | ||||||
| CORPORATE BONDS (continued) | ||||||||
| Telecommunications – 0.5% (continued) | ||||||||
| Sprint Communications, Inc., 6.000%, 11/15/22 | $ | 101,000 | $ | 99,409 | ||||
| Sprint Corp., 7.625%, 03/01/26 | 300,000 | 293,062 | ||||||
| Total Telecommunications | 742,508 | |||||||
| Waste Management – 0.1% | ||||||||
| GFL Environmental, Inc., 5.625%, 05/02/22 (Canada)(e) | 116,000 | 116,729 | ||||||
| Total
Corporate Bonds (Cost $14,098,350) | 14,078,236 | |||||||
| Shares | ||||||||
| COMMON STOCKS – 0.3% (0.2% of Total Investments) | ||||||||
| Services: Consumer – 0.0%(f) | ||||||||
| New Millennium Holdco, Inc.(b) | 29,712 | 1,530 | ||||||
| Telecommunications – 0.3% | ||||||||
| Avaya Holdings Corp.* | 17,429 | 390,410 | ||||||
| Total
Common Stocks (Cost $669,344) | 391,940 | |||||||
| MONEY MARKET FUND – 7.4% (5.0% of Total Investments) | ||||||||
| Morgan Stanley
Institutional Liquidity Treasury Portfolio - Institutional Share Class, 1.56%(g) (Cost $10,171,880) | 10,171,880 | 10,171,880 | ||||||
| Total
Investments in Securities - 146.4% (Cost $204,490,108) | 201,692,453 | |||||||
| Line of Credit Payable (Cost $58,000,000) – (42.1)% | (58,000,000 | ) | ||||||
| Liabilities in Excess of Other Assets – (4.3)% | (5,949,037 | ) | ||||||
| Net Assets – 100.0% | $ | 137,743,416 | ||||||
| * | Non-income producing security. |
| † | Securities are US 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 rates are the London Interbank Offered Rate (“LIBOR”), the rate that contributor banks in London charge each other for interbank deposits, and the prime rate offered by one or more major U.S. banks (“Prime”). Both LIBOR and Prime were utilized as benchmark lending rates for the senior loans at March 31, 2018. The rates shown represent the contractual rates (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. |
| (b) | Fair Value Level 3 security. All remaining securities are categorized as Level 2 with the exception of Avaya Holdings Corp. common stock which is Level 1 security. |
| (c) | All or a portion of this position has not settled as of March 31, 2018. The Fund will not accrue interest until the settlement date at which point LIBOR will be established. |
| (d) | The Fund held defaulted securities for which the income has been deemed uncollectible. As of March 31, 2018, the aggregate value of those securities was $1,791,243, representing 1.3% of the Fund’s net assets. The Fund no longer accrues income on securities once the income has been deemed uncollectible. |
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | March 31, 2018 |
| (e) | 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 $12,500,927 which represents approximately 9.1% of net assets as of March 31, 2018. Unless otherwise noted, 144A securities are deemed to be liquid. |
| (f) | Less than 0.05%. |
| (g) | Rate shown reflects the 7-day yield as of March 31, 2018. |
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments (unaudited) (concluded) | March 31, 2018 |
| SUMMARY OF SCHEDULE OF INVESTMENTS | % of Net Assets | |||
| Aerospace & Defense | 4.1 | % | ||
| Automotive | 2.9 | |||
| Banking, Finance, Insurance & Real Estate | 2.4 | |||
| Beverage, Food & Tobacco | 1.8 | |||
| Building & Construction | 1.1 | |||
| Capital Goods | 1.0 | |||
| Chemicals, Plastics & Rubber | 1.6 | |||
| Consumer Products: Durables | 0.0 | (a) | ||
| Consumer Products: Non Durables | 2.6 | |||
| Consumer Products: Packaged Foods | 0.1 | |||
| Electrical Equipment | 0.7 | |||
| Energy, Oil & Gas | 5.0 | |||
| Healthcare & Pharmaceuticals | 5.4 | |||
| Hotel, Gaming & Leisure | 5.8 | |||
| Manufacturing | 6.8 | |||
| Media: Advertising, Printing & Publishing | 0.7 | |||
| Media: Broadcasting & Subscription | 6.8 | |||
| Media: Diversified and Services | 1.9 | |||
| Media: Services | 3.0 | |||
| Metals & Mining | 1.4 | |||
| Packaging | 0.7 | |||
| Restaurants | 1.2 | |||
| Retail | 10.3 | |||
| Services: Business | 20.6 | |||
| Services: Consumer | 9.8 | |||
| Services: Rental | 0.3 | |||
| Technology: Hardware | 0.2 | |||
| Technology: Semiconductor | 0.8 | |||
| Technology: Services | 6.7 | |||
| Technology: Software | 15.8 | |||
| Telecommunications | 8.5 | |||
| Transportation: Services | 5.2 | |||
| Waste Management | 1.2 | |||
| Wholesale | 2.6 | |||
| Money Market Fund | 7.4 | |||
| Total Investments | 146.4 | |||
| Line of Credit Payable | (42.1 | ) | ||
| Liabilities in Excess of Other Assets | (4.3 | ) | ||
| Net Assets | 100.0 | % | ||
| (a) | Less than 0.05%. |
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Notes to the Schedule of Investments (unaudited) | March 31, 2018 |
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) (continued) | March 31, 2018 |
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
Exchange traded equity securities are valued at the last quoted sales price as of the close of the exchange or, in the absence of a sale, the closing bid price, with the exception that for securities traded on the London Stock Exchange and National Association of Securities Dealers’ Automated Quotation System (“NASDAQ”), those securities are valued at the official closing price.
Non-exchange traded equity securities are valued at prices supplied by the Fund’s pricing agent based on the average of the bid/ask prices quoted by brokers that are knowledgeable about the securities.
Money market funds are valued at their net asset value.
Fair Value Measurement
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities at the measurement date.
Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, quoted prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.
Level 3 — Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions that a market participant would use in valuing the asset or liability based on the best information available.
Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933 as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which a Fund’s net asset value is computed and that may materially affect the value of the Fund’s investment). Examples of events that may be “significant events” are government actions, natural disasters, armed conflicts and acts of terrorism.
The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Fund’s perceived risk of investing in those securities.
The valuation techniques used by the Fund to measure fair value during the period ended March 31, 2018 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) | March 31, 2018 |
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
Fair Value Measurement (continued)
The following table summarizes the valuation of the Fund’s investments under the fair value hierarchy levels as of March 31, 2018:
| Asset Type | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Senior Loans | ||||||||||||||||
| Aerospace & Defense | $ | – | $ | 2,006,716 | $ | 3,508,657 | $ | 5,515,373 | ||||||||
| Automotive | – | 3,078,562 | 928,990 | 4,007,552 | ||||||||||||
| Banking, Finance, Insurance & Real Estate | – | 2,997,196 | – | 2,997,196 | ||||||||||||
| Beverage, Food & Tobacco | – | 746,625 | 1,688,281 | 2,434,906 | ||||||||||||
| Building & Construction | – | – | 1,202,910 | 1,202,910 | ||||||||||||
| Capital Goods | – | 1,428,203 | – | 1,428,203 | ||||||||||||
| Chemicals, Plastics & Rubber | – | – | 485,762 | 485,762 | ||||||||||||
| Consumer Products: Non Durables | – | 2,760,434 | 808,170 | 3,568,604 | ||||||||||||
| Electrical Equipment | – | 1,014,625 | – | 1,014,625 | ||||||||||||
| Energy, Oil & Gas | – | 3,456,185 | 3,171,315 | 6,627,500 | ||||||||||||
| Healthcare & Pharmaceuticals | – | 5,572,944 | 755,625 | 6,328,569 | ||||||||||||
| Hotel, Gaming & Leisure | – | 5,182,903 | 1,999,950 | 7,182,853 | ||||||||||||
| Manufacturing | – | 6,185,369 | 3,164,897 | 9,350,266 | ||||||||||||
| Media: Advertising, Printing & Publishing | – | 987,260 | – | 987,260 | ||||||||||||
| Media: Broadcasting & Subscription | – | 5,007,067 | 1,480,355 | 6,487,422 | ||||||||||||
| Media: Diversified and Services | – | 1,941,194 | 500,625 | 2,441,819 | ||||||||||||
| Media: Services | – | 4,140,598 | – | 4,140,598 | ||||||||||||
| Metals & Mining | – | 755,861 | 1,011,169 | 1,767,030 | ||||||||||||
| Packaging | – | – | 720,000 | 720,000 | ||||||||||||
| Restaurants | – | 1,465,934 | – | 1,465,934 | ||||||||||||
| Retail | – | 10,835,592 | 993,206 | 11,828,798 | ||||||||||||
| Services: Business | – | 18,020,674 | 8,529,165 | 26,549,839 | ||||||||||||
| Services: Consumer | – | 11,146,637 | 2,002,289 | 13,148,926 | ||||||||||||
| Services: Rental | – | 416,250 | – | 416,250 | ||||||||||||
| Technology: Semiconductor | – | 1,092,766 | – | 1,092,766 | ||||||||||||
| Technology: Services | – | 9,272,501 | – | 9,272,501 | ||||||||||||
| Technology: Software | – | 18,553,245 | 3,244,655 | 21,797,900 | ||||||||||||
| Telecommunications | – | 10,631,708 | – | 10,631,708 | ||||||||||||
| Transportation: Services | – | 5,988,882 | 1,136,956 | 7,125,838 | ||||||||||||
| Waste Management | – | – | 1,493,000 | 1,493,000 | ||||||||||||
| Wholesale | – | 3,538,489 | – | 3,538,489 | ||||||||||||
| Corporate Bonds* | – | 14,078,236 | – | 14,078,236 | ||||||||||||
| Common Stocks | ||||||||||||||||
| Services: Consumer | – | – | 1,530 | 1,530 | ||||||||||||
| Telecommunications | 390,410 | – | – | 390,410 | ||||||||||||
| Money Market Fund | – | 10,171,880 | – | 10,171,880 | ||||||||||||
| Total Investments | $ | 390,410 | $ | 162,474,536 | $ | 38,827,507 | $ | 201,692,453 | ||||||||
* Please refer to Schedule of Investments for breakdown of valuations by industry.
| THL Credit Senior Loan Fund | |
| Notes to the Schedule of Investments (unaudited) (continued) | March 31, 2018 |
2. SIGNIFICANT ACCOUNTING POLICIES (concluded)
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, 2017 | $ | 52,376,821 | ||
| Realized gain | 140,016 | |||
| Change in unrealized depreciation | (616,852 | ) | ||
| Amortization (accretion) | 21,342 | |||
| Purchases | 5,169,006 | |||
| Sales and principal paydowns | (5,802,258 | ) | ||
| Transfers into Level 3 | 4,130,403 | |||
| Transfers out of Level 3 | (16,590,971 | ) | ||
| Balance as of March 31, 2018 | $ | 38,827,507 | ||
| Net change in unrealized depreciation attributable to level 3 investments held at March 31, 2018 | $ | 450,554 | ||
It is the Fund’s policy to recognize transfers into and out of all levels at the beginning of the reporting period.
There were no transfers between Level 1 and 2 during the period.
Investments were transferred into and out of Level 3 and into and out of Level 2 during the period ended March 31, 2018 due to changes in the quantity and quality of information, specifically the number of vendor quotes available and the staleness of prices, obtained to support the fair value of each investment as assessed by the Advisor.
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 | $ | 38,827,507 | Third-party vendor service | Vendor quotes | N/A | |||||
| THL Credit Senior Loan Fund | |
| Notes to the Schedule of Investments (unaudited) (concluded) | March 31, 2018 |
3. DELAYED DRAW LOAN COMMITMENTS
As of March 31, 2018, 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 Appreciation/ Depreciation | ||||||||||||
| Charming Charlie LLC, DIP Delayed Term Loan - First Lien, (LIBOR + 8.750%), 06/08/18 | $ | 152,609 | $ | 152,609 | $ | 133,533 | $ | (19,076 | ) | |||||||
| EOC Group, Inc., (Mavis Tire Express Services) Term Loan DD - First Lien, (LIBOR + 3.250%), 03/15/25 | 68,999 | 68,654 | 69,128 | 474 | ||||||||||||
Delayed draw loan 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 | May 21, 2018 |
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 | May 21, 2018 |
| By (Signature and Title)* | /s/ Tracy Dotolo |
| Tracy Dotolo, Treasurer and Principal Financial Officer | |
| (principal financial officer) | |
| Date | May 21, 2018 |
* Print the name and title of each signing officer under his or her signature.