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)
227 West Monroe Street, Suite 3200
Chicago, Il 60606
(Address of principal executive offices) (Zip code)
Sabrina Rusnak-Carlson
100 Federal St., 31st Floor
Boston, MA 02110
(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, 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) | September 30, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) – 134.2% (88.7% of Total Investments) | ||||||||
| Aerospace & Defense – 3.9% | ||||||||
| Advanced Integration Technology LP, Term B-1 Loan - First Lien, 7.220% (3-Month USD LIBOR + 4.750%), 04/03/23(b) | $ | 1,470,113 | $ | 1,470,113 | ||||
| Constellis Holdings LLC, Term Loan B - First Lien, 7.390% (3-Month USD LIBOR + 5.000%), 04/22/24(b) | 1,975,000 | 1,960,187 | ||||||
| Constellis Holdings LLC, Term Loan B - Second Lien, 11.390% (3-Month USD LIBOR + 9.000%), 04/21/25(b) | 1,000,000 | 980,000 | ||||||
| WP CPP Holdings (Consolidated Precision), Initial Term Loan - First Lien, 6.280% (3-Month USD LIBOR + 3.750%), 04/30/25 | 1,000,000 | 1,007,710 | ||||||
| Total Aerospace & Defense | 5,418,010 | |||||||
| Automotive – 4.5% | ||||||||
| APC Aftermarket (AP Exhaust Acquisition/CWD, LLC), Initial Term Loan - First Lien, 7.320% (3-Month USD LIBOR + 5.000%), 05/10/24(b) | 493,750 | 448,078 | ||||||
| Fleetpride Corp., Term Loan - First Lien, 6.740% (3-Month USD LIBOR + 4.500%), 11/19/22 | 2,985,000 | 3,022,313 | ||||||
| Navistar, Inc., Tranche B Term Loan - First Lien, 5.640% (1-Month USD LIBOR + 3.500%), 11/06/24 | 1,990,000 | 2,004,507 | ||||||
| Tenneco, Inc., Term Loan B - First Lien, (LIBOR + 2.500%), 06/14/25(c) | 640,000 | 641,603 | ||||||
| Total Automotive | 6,116,501 | |||||||
| Banking, Finance, Insurance & Real Estate – 5.5% | ||||||||
| Alliant Holdings Intermediate LLC (Alliant Holdings I LLC), 2018 Initial Term Loan - First Lien, 5.150% (1-Month USD LIBOR + 3.000%), 05/10/25 | 1,620,938 | 1,627,908 | ||||||
| Aretec Group, Inc. (Cetera Financial Group), Term Loan - First Lien, (LIBOR + 4.250%), 08/13/25(b)(c) | 800,000 | 808,000 | ||||||
| AssuredPartners Capital, Inc., 2017 September Refinancing Term Loan - First Lien, 5.490% (1-Month USD LIBOR + 3.500%), 10/22/24 | 496,256 | 498,117 | ||||||
| Asurion LLC (Asurion Delivery and Installation Services, Inc.), Term Loan B-6 - First Lien, 5.240% (1-Month USD LIBOR + 3.000%), 11/03/23 | 1,545,936 | 1,559,224 | ||||||
| Asurion LLC (Asurion Delivery and Installation Services, Inc.), Term Loan B-7 - First Lien, 5.240% (1-Month USD LIBOR + 3.000%), 11/03/24 | 498,750 | 502,842 | ||||||
| Focus Financial Partners, LLC, Tranche B-2 Term Loan - First Lien, 4.740% (1-Month USD LIBOR + 2.500%), 07/03/24(b) | 990,019 | 996,206 | ||||||
| USI, Inc., Term Loan B - First Lien, 5.390% (3-Month USD LIBOR + 3.000%), 05/16/24 | 1,485,000 | 1,487,413 | ||||||
| Total Banking, Finance, Insurance & Real Estate | 7,479,710 | |||||||
| Beverage, Food & Tobacco – 1.8% | ||||||||
| CHG PPC Parent LLC, Term Loan B - First Lien, 4.990% (1-Month USD LIBOR + 2.750%), 03/23/25(b) | 872,813 | 874,994 | ||||||
| Flavors Holdings, Inc., Tranche B Term Loan - First Lien, 8.140% (3-Month USD LIBOR + 5.750%), 04/04/20(b) | 790,714 | 739,318 | ||||||
| Flavors Holdings, Inc., Initial Term Loan - Second Lien, 12.390% (3-Month USD LIBOR + 10.000%), 10/03/21(b) | 1,000,000 | 875,000 | ||||||
| Total Beverage, Food & Tobacco | 2,489,312 | |||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | September 30, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| Capital Equipment – 6.4% | ||||||||
| Blount International, Inc., 2018 Term Loan B - First Lien, 5.980% (3-Month USD LIBOR + 3.750%), 04/12/23 | $ | 995,000 | $ | 992,931 | ||||
| CPM Holdings, Inc., Initial Term Loan - First Lien, 5.740% (1-Month USD LIBOR + 3.500%), 04/11/22 | 2,030,495 | 2,046,567 | ||||||
| CPM Acquisition Corp./Crown Acquisition Corp., 2017 Incremental Term Loan - Second Lien, 10.490% (1-Month USD LIBOR + 8.250%), 04/10/23(b) | 743,201 | 750,633 | ||||||
| Crosby US Acquisition Corp., Initial Term Loan - First Lien, 5.210% (1-Month USD LIBOR + 3.000%), 11/23/20 | 1,443,479 | 1,428,590 | ||||||
| Preferred Proppants LLC (Preferred Sands), Term Loan B-1 - First Lien, 8.140% (3-Month USD LIBOR + 5.750%), 07/27/20(b) | 2,523,415 | 2,182,754 | ||||||
| Southwire Company, Term Loan B - First Lien, 4.160% (1-Month USD LIBOR + 2.000%), 05/15/25 | 566,667 | 569,500 | ||||||
| Vertiv Group Corporation, Term Loan B - First Lien, 6.310% (3-Month USD LIBOR + 4.000%), 11/30/23 | 752,155 | 756,386 | ||||||
| Total Capital Equipment | 8,727,361 | |||||||
| Chemicals, Plastics & Rubber – 2.8% | ||||||||
| Polar US Borrower (SI Group Inc), Term Loan - First Lien, (LIBOR + 4.750%), 08/10/25(b)(c) | 2,000,000 | 2,012,500 | ||||||
| Verdesian Life Sciences LLC, Initial Term Loan - First Lien, 7.340% (3-Month USD LIBOR + 5.000%), 07/01/20(b)(c) | 1,964,502 | 1,876,099 | ||||||
| Total Chemicals, Plastics & Rubber | 3,888,599 | |||||||
| Construction & Building – 1.1% | ||||||||
| Westinghouse (Brookfield WEC Holdings, Inc.), Term Loan - First Lien, 5.990% (1-Month USD LIBOR + 3.750%), 07/26/25 | 1,500,000 | 1,520,348 | ||||||
| Consumer Products: Durable – 0.4% | ||||||||
| Serta Simmons Bedding, LLC, Term Loan - First Lien, 5.630% (1-Month USD LIBOR + 3.500%), 11/08/23(c) | 574,408 | 521,637 | ||||||
| Consumer Products: Non Durable – 4.0% | ||||||||
| ABG Intermediate Holdings 2 LLC, Term Loan 2017 - First Lien, 5.740% (1-Month USD LIBOR + 3.500%), 09/26/24 | 744,375 | 747,911 | ||||||
| ABG Intermediate Holdings 2 LLC, Initial Term Loan - Second Lien, 9.990% (1-Month USD LIBOR + 7.750%), 09/26/25 | 625,000 | 630,469 | ||||||
| Fossil Group, Inc., Term Loan - First Lien, (LIBOR + 7.000%), 12/31/20(b)(c) | 2,000,000 | 2,003,760 | ||||||
| International Textile Group, Inc., Term Loan - First Lien, 7.100% (1-Month USD LIBOR + 5.000%), 04/19/24(b) | 190,601 | 191,316 | ||||||
| Varsity Brands, Inc. (Hercules Achievement), Initial Term Loan - First Lien, 5.740% (1-Month USD LIBOR + 3.500%), 12/16/24 | 995,000 | 999,039 | ||||||
| ZEP, Inc. (Acuity Special Products), Initial Term Loan - First Lien, 6.390% (3-Month USD LIBOR + 4.000%), 08/12/24 | 990,000 | 944,831 | ||||||
| Total Consumer Products: Non Durable | 5,517,326 | |||||||
| Containers, Packaging & Glass – 0.7% | ||||||||
| Fortress Merger Sub, Inc. (Fort Dearborn), Initial Term Loan - Second Lien, 10.840% (3-Month USD LIBOR + 8.500%), 10/21/24(b) | 1,140,000 | 969,000 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | September 30, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| Energy: Electricity – 0.4% | ||||||||
| TerraForm AP Acquisition Holdings LLC, Term Loan - First Lien, 6.640% (3-Month USD LIBOR + 4.250%), 06/27/22(b) | $ | 619,554 | $ | 624,201 | ||||
| Energy: Oil & Gas – 4.5% | ||||||||
| Delek US Holdings, Inc., Term Loan B - First Lien, 4.740% (1-Month USD LIBOR + 2.500%), 03/13/25 | 746,250 | 749,515 | ||||||
| Gulf Finance, LLC, Tranche B Term Loan - First Lien, 7.640% (3-Month USD LIBOR + 5.250%), 08/25/23 | 2,315,180 | 1,953,849 | ||||||
| HGIM Corp. (Harvey Gulf), Term Loan (Exit) - First Lien, 8.510% (3-Month USD LIBOR + 6.000%), 07/02/23(c) | 2,154,969 | 2,172,026 | ||||||
| W3 Topco LLC (Total Safety), Initial Term Loan -2017- First Lien, 8.390% (3-Month USD LIBOR + 6.000%), 03/08/22 | 1,237,437 | 1,235,117 | ||||||
| Total Energy: Oil & Gas | 6,110,507 | |||||||
| Environmental Industries – 0.7% | ||||||||
| EnergySolutions (Energy Capital Partners), Term Loan B - First Lien, 6.140% (3-Month USD LIBOR + 3.750%), 05/04/25 | 997,500 | 1,006,228 | ||||||
| Healthcare & Pharmaceuticals – 5.7% | ||||||||
| Alvogen Pharma US, Inc., Term Loan B - First Lien, 6.990% (1-Month USD LIBOR + 4.750%), 04/02/22 | 2,402,724 | 2,426,247 | ||||||
| Bausch Health Companies, Initial Term Loan - First Lien, 5.100% (1-Month USD LIBOR + 3.000%), 06/01/25 (Canada) | 1,187,185 | 1,194,551 | ||||||
| HCA, Inc., New Term Loan B-10 - First Lien, 4.240% (1-Month USD LIBOR + 2.000%), 03/07/25 | 995,000 | 1,003,567 | ||||||
| LifeScan Global Corp., Term Loan - First Lien, (LIBOR + 6.000%), 06/18/24(c) | 1,137,500 | 1,127,905 | ||||||
| Midwest Physician Administrative Services, LLC (ACOF V DP Acquiror LLC aka Dupage Medical Group), Initial Term Loan - Second Lien, 9.170% (1-Month USD LIBOR + 7.000%), 08/15/25(b) | 734,282 | 737,954 | ||||||
| On Assignment, Inc., Term Loan 2018 - First Lien, 4.240% (1-Month USD LIBOR + 2.000%), 02/20/25 | 1,316,454 | 1,322,621 | ||||||
| Total Healthcare & Pharmaceuticals | 7,812,845 | |||||||
| High Tech Industries – 31.7% | ||||||||
| Almonde, Inc. (Misys/Finastra), Dollar Term Loan - Second Lien, 9.640% (3-Month USD LIBOR + 7.250%), 06/13/25 | 500,000 | 496,720 | ||||||
| AppLovin Corp., Term Loan B - First Lien, 6.060% (3-Month USD LIBOR + 3.750%), 08/07/25(b) | 675,000 | 683,859 | ||||||
| Banff Merger Sub, Inc. (BMC), Term Loan B - First Lien, (LIBOR + 4.250%), 06/27/25(c) | 1,500,000 | 1,516,357 | ||||||
| Bomgar Corp. (Brave Parent Holdings), Initial Term Loan - First Lien, 6.390% (3-Month USD LIBOR + 4.000%), 04/18/25(b) | 1,500,000 | 1,505,625 | ||||||
| Canyon Valor Companies (GTCR Valor Cos Inc. (aka Cision AB)), Initial Dollar Term Loan - First Lien, 5.640% (3-Month USD LIBOR + 3.250%), 06/16/23 | 1,883,382 | 1,895,821 | ||||||
| ConvergeOne Holdings Corp., Term Loan - First Lien, 5.990% (1-Month USD LIBOR + 3.750%), 04/04/25(b) | 1,620,938 | 1,637,147 | ||||||
| CPI Acquisition, Inc., Term Loan B - First Lien, 7.020% (3-Month USD LIBOR + 4.500%), 08/17/22 | 281,250 | 189,844 | ||||||
| DigiCert, Inc. (Unipeg Merger Corp.), Term Loan B2 2017 - First Lien, 6.240% (1-Month USD LIBOR + 4.750%), 10/31/24 | 997,500 | 1,001,555 | ||||||
| DigiCert, Inc. (Unipeg Merger Corp.), Term Loan - Second Lien, 10.240% (1-Month USD LIBOR + 8.000%), 10/31/25 | 750,000 | 749,531 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | September 30, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| High Tech Industries – 31.7% (continued) | ||||||||
| Drilling Info, Inc., Term Loan - First Lien, 6.540% (2-Month USD LIBOR + 4.250%), 07/26/25 | $ | 500,000 | $ | 499,063 | ||||
| Dynatrace LLC, Term Loan - First Lien, 5.470% (1-Month USD LIBOR + 3.250%), 08/25/25 | 1,243,243 | 1,252,829 | ||||||
| Everi Payments, Inc. (Global Cash Access), Term Loan B - First Lien, 5.240% (1-Month USD LIBOR + 3.000%), 05/09/24 | 990,000 | 997,054 | ||||||
| Greeneden U.S. Holdings II, LLC (Genesys Telecommunications Laboratories), Term Loan B-3 - First Lien, 5.740% (1-Month USD LIBOR + 3.500%), 12/01/23 | 1,473,900 | 1,483,480 | ||||||
| Help/Systems Holdings, Inc., Term Loan - First Lien, 5.990% (3-Month USD LIBOR + 3.750%), 03/23/25(b) | 666,667 | 671,667 | ||||||
| Impala Private Holdings II LLC (Intralinks), Term Loan - First Lien, 6.250% (1-Month USD LIBOR + 4.000%), 11/14/24 | 963,421 | 967,188 | ||||||
| Infoblox, Inc., New Term Loan - First Lien, 6.740% (1-Month USD LIBOR + 4.500%), 11/07/23 | 2,141,112 | 2,158,776 | ||||||
| Infoblox, Inc., Term Loan - Second Lien, 10.990% (1-Month USD LIBOR + 8.750%), 11/07/24 | 1,000,000 | 1,004,500 | ||||||
| Inovalon Holdings, Inc., Term Loan B - First Lien, 5.630% (1-Month USD LIBOR + 3.500%), 03/28/25 | 2,750,000 | 2,758,594 | ||||||
| MACOM Technology Solutions Holdings, Inc., Initial Term Loan - First Lien, 4.490% (1-Month USD LIBOR + 2.250%), 05/20/24 | 1,102,190 | 1,078,907 | ||||||
| MH Sub I, LLC and Micro Holding Corp. (Internet Brands), Amendment No 2 Initial Term Loan – First Lien, 5.920% (1-Month USD LIBOR + 3.750%), 09/16/24 | 1,921,444 | 1,936,902 | ||||||
| MH Sub I, LLC and Micro Holding Corp. (Internet Brands), Term Loan - Second Lien, 9.670% (1-Month USD LIBOR + 7.500%), 09/15/25 | 250,000 | 253,126 | ||||||
| Microchip Technology, Inc., Term Loan - First Lien, 4.250% (1-Month USD LIBOR + 2.000%), 05/16/25 | 911,000 | 912,612 | ||||||
| MTS System Corp., Term Loan B 2017 - First Lien, 5.410% (1-Month USD LIBOR + 3.250%), 07/05/23 | 1,280,107 | 1,288,914 | ||||||
| Plantronics, Inc., Term Loan B - First Lien, 4.740% (1-Month USD LIBOR + 2.250%), 05/31/25 | 1,750,000 | 1,758,207 | ||||||
| PNI Canada Acquireco Corp. (Sandvine/Procera Networks), Initial Term Loan - First Lien, 7.990% (3-Month USD LIBOR + 5.750%), 09/21/22 (Canada)(b) | 903,375 | 906,763 | ||||||
| Project Alpha Intermediate Holding, Inc. (Qlik), Term Loan - First Lien, 5.99% (6-Month USD LIBOR + 3.500%), 04/26/24 | 1,975,000 | 1,977,883 | ||||||
| SCS Holdings, Inc. (Sirius Computer Solutions), New Tranche B Term Loan - First Lien, 6.490% (1-Month USD LIBOR + 4.250%), 10/30/22 | 1,289,479 | 1,299,150 | ||||||
| SolarWinds, Inc., 2018 Refinancing Term Loan - First Lien, 5.240% (1-Month USD LIBOR + 3.000%), 02/05/24 | 1,526,923 | 1,537,634 | ||||||
| SonicWALL, Inc., Term Loan - First Lien, 5.820% (3-Month USD LIBOR + 3.500%), 05/15/25 | 1,333,333 | 1,336,667 | ||||||
| SonicWALL, Inc., Term Loan - Second Lien, 9.820% (3-Month USD LIBOR + 7.500%), 05/17/26(b) | 900,000 | 897,750 | ||||||
| Starfish - V Merger Sub Inc. (Syncsort/Vero), Term Loan B 2017 - First Lien, 7.260% (1-Month USD LIBOR + 5.000%), 08/16/24 | 990,000 | 993,465 | ||||||
| TriTech Software Systems (Superion/SuperMoose), Term Loan B - First Lien, 5.990% (1-Month USD LIBOR + 3.750%), 08/10/25 | 1,333,333 | 1,343,333 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | September 30, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| High Tech Industries – 31.7% (continued) | ||||||||
| Uber Technologies, Inc., Term Loan - First Lien, 6.120% (1-Month USD LIBOR + 4.000%), 03/21/25 | $ | 1,117,200 | $ | 1,126,104 | ||||
| VeriFone Systems, Inc., Term Loan - First Lien, 6.320% (3-Month USD LIBOR + 4.000%), 08/08/25 | 960,000 | 967,320 | ||||||
| Verscend Holding Corp., Term Loan B - First Lien, 6.740% (1-Month USD LIBOR + 4.500%), 08/10/25 | 1,312,500 | 1,325,901 | ||||||
| Web.Com Group, Inc., Term Loan B - First Lien, (LIBOR + 4.000%), 09/14/25(c) | 1,000,000 | 1,007,500 | ||||||
| Total High Tech Industries | 43,417,748 | |||||||
| Hotel, Gaming & Leisure – 7.0% | ||||||||
| AP Gaming I LLC (American Gaming Systems), 2018 Refinance Term Loan - First Lien, 6.490% (1-Month USD LIBOR + 4.250%), 02/15/24 | 1,082,812 | 1,091,383 | ||||||
| Cowlitz Tribal Gaming Authority, Term Loan B - First Lien, (LIBOR + 10.500%), 12/06/21(b)(c) | 370,032 | 395,009 | ||||||
| Las Vegas Sands LLC, Term Loan B - First Lien, 3.990% (1-Month USD LIBOR + 1.750%), 03/27/25 | 497,500 | 497,629 | ||||||
| Miller's Ale House, Inc., Term Loan - First Lien, 6.830% (1-Month USD LIBOR + 4.750%), 05/21/25(b) | 1,200,000 | 1,191,000 | ||||||
| Parq Holdings LP, Term Loan - First Lien, 9.890% (3-Month USD LIBOR + 7.500%), 12/17/20 (Canada)(b) | 1,482,191 | 1,485,896 | ||||||
| Scientific Games International, Inc. (aka SGMS), Initial Term Loan B-5 - First Lien, 4.990% (2-Month USD LIBOR + 2.750%), 08/14/24 | 3,545,010 | 3,543,628 | ||||||
| Steak n Shake Operations, Inc., Term Loan - First Lien, 6.000% (1-Month USD LIBOR + 3.750%), 03/19/21 | 1,674,982 | 1,395,821 | ||||||
| Total Hotel, Gaming & Leisure | 9,600,366 | |||||||
| Media: Advertising, Printing & Publishing – 0.7% | ||||||||
| Harland Clarke Hldgs, Initial Term Loan - First Lien, 7.140% (3-Month USD LIBOR + 4.750%), 11/03/23 | 948,858 | 913,869 | ||||||
| Media: Broadcasting & Subscription – 4.7% | ||||||||
| CSC Holdings, Inc., January 2018 Incremental Term Loan - First Lien, 4.660% (1-Month USD LIBOR + 2.500%), 01/12/26 | 997,500 | 1,002,697 | ||||||
| Radiate Holdco LLC (RCN Grande), Closing Date Term Loan - First Lien, 5.240% (1-Month USD LIBOR + 3.000%), 02/01/24 | 2,979,836 | 2,979,061 | ||||||
| Tribune Company, Term Loan C - First Lien, 5.240% (1-Month USD LIBOR + 3.000%), 01/26/24 | 947,371 | 951,516 | ||||||
| Urban One (Radio One, Inc.), Initial Term Loan - First Lien, 6.250% (1-Month USD LIBOR + 4.000%), 04/18/23 | 1,481,203 | 1,453,734 | ||||||
| Total Media: Broadcasting & Subscription | 6,387,008 | |||||||
| Media: Diversified & Production – 6.0% | ||||||||
| Getty Images, Inc., Initial Term Loan - First Lien, 5.740% (1-Month USD LIBOR + 3.500%), 10/18/19 | 5,784,674 | 5,752,482 | ||||||
| IMG LLC/William Morris Endeavor Entertainment LLC, (aka: WME Entertainment / IRIS Merger Sub), New Term Loan B-1 - First Lien, 5.000% (1-Month USD LIBOR + 2.750%), 05/16/25 | 1,920,735 | 1,920,140 | ||||||
| SESAC Holdco II LLC, Term Loan - Second Lien, 9.490% (1-Month USD LIBOR + 7.250%), 02/24/25(b) | 500,000 | 496,550 | ||||||
| Total Media: Diversified & Production | 8,169,172 | |||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | September 30, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| Metals & Mining – 1.3% | ||||||||
| ASP Prince Merger Sub, Inc.(aka PMHC II), Term Loan - First Lien, 6.090% (3-Month USD LIBOR + 3.500%), 03/20/25 | $ | 746,250 | $ | 729,460 | ||||
| Big River Steel LLC (BRS Finance), Closing Date Term Loan - First Lien, 7.390% (3-Month USD LIBOR + 5.000%), 08/23/23 | 990,000 | 1,006,706 | ||||||
| Total Metals & Mining | 1,736,166 | |||||||
| Retail – 4.6% | ||||||||
| American Sportsman Holdings Co. (Bass Pro), Initial Term Loan - First Lien, 7.240% (1-Month USD LIBOR + 5.000%), 09/25/24 | 1,485,000 | 1,501,706 | ||||||
| BI-LO LLC (Southeastern Grocers), Initial Term Loan - First Lien, 10.330% (3-Month USD LIBOR + 8.000%), 05/31/24(b) | 900,000 | 904,500 | ||||||
| CH Hold Corp. (Caliber Collision), Initial Term Loan - First Lien, 5.240% (1-Month USD LIBOR + 3.000%), 02/01/24 | 408,018 | 411,078 | ||||||
| CH Hold Corp. (Caliber Collision), Initial Term Loan - Second Lien, 9.490% (1-Month USD LIBOR + 7.250%), 02/03/25(b) | 500,000 | 507,500 | ||||||
| Charming Charlie LLC, Converted Tranche A Term Loan - First Lien, 12.340% (3-Month USD LIBOR + 5.000% plus 5% PIK), 04/24/23(b)(d) | 386,259 | 299,350 | ||||||
| Charming Charlie LLC, Converted Tranche B Term Loan - First Lien, 12.340% (3-Month USD LIBOR + 1.000% plus 9% PIK), 04/24/23(b)(d) | 468,139 | 315,993 | ||||||
| Charming Charlie LLC, VPF Facility Term Loan - First Lien, 20.000%, 10/02/23(b) | 22,886 | 21,171 | ||||||
| CWGS Group LLC, Term Loan - First Lien, 4.870% (1-Month USD LIBOR + 2.750%), 11/08/23 | 2,417,977 | 2,379,894 | ||||||
| Total Retail | 6,341,192 | |||||||
| Services: Business – 20.7% | ||||||||
| Air Methods Corporation., Term Loan B - First Lien, 5.890% (3-Month USD LIBOR + 3.500%), 04/21/24 | 2,000,000 | 1,828,440 | ||||||
| ATS Consolidated, Inc. (American Traffic Solutions), Term Loan B - First Lien, 5.990% (1-Month USD LIBOR + 3.750%), 02/23/25 | 621,875 | 625,762 | ||||||
| Brand Energy & Infrastructure Services Inc., Term Loan - First Lien, 6.590% (3-Month USD LIBOR + 4.250%), 06/15/24 | 1,185,000 | 1,194,113 | ||||||
| CT Technologies Intermediate Holdings, Inc. (HealthPort), New Term Loan - First Lien, 6.490% (1-Month USD LIBOR + 4.250%), 12/01/21(c) | 2,333,113 | 2,201,875 | ||||||
| Cvent Inc., Term Loan B - First Lien, 5.990% (1-Month USD LIBOR + 3.750%), 11/29/24 | 2,475,063 | 2,479,703 | ||||||
| EAB (Education Advisory Board/Avatar Purchaser, Inc.), Term Loan - First Lien, 6.250% (3-Month USD LIBOR + 3.750%), 11/17/24(b) | 1,343,250 | 1,326,460 | ||||||
| EagleView Technology Corporation, Term Loan - First Lien, 5.630% (1-Month USD LIBOR + 3.500%), 08/14/25 | 1,000,000 | 1,002,290 | ||||||
| Enterprise Merger Sub, Inc. (Envision Healthcare), Term Loan - First Lien, (LIBOR + 3.750%), 09/27/25(b)(c) | 900,000 | 897,750 | ||||||
| Garda World Security Corp. (GW Horos Security Corp.), Term Loan B - First Lien, 5.820% (3-Month USD LIBOR + 3.500%), 05/24/24 (Canada) | 592,030 | 595,236 | ||||||
| I-Logic Technologies Bidco Ltd. (Dealogic), Term Loan B - First Lien, 6.240% (1-Month USD LIBOR + 4.000%), 12/21/24 | 1,419,257 | 1,416,596 | ||||||
| Mavenir Systems, Inc., Term Loan B - First Lien, 8.140% (1-Month USD LIBOR + 6.000%), 05/01/25(b) | 997,500 | 999,994 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | September 30, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| Services: Business – 20.7% (continued) | ||||||||
| Mitchell International, Inc., Initial Term Loan - Second Lien, 9.490% (1-Month USD LIBOR + 7.250%), 12/01/25 | $ | 1,000,000 | $ | 1,002,000 | ||||
| New Insight Holdings, Inc. (Research Now), Initial Term Loan - First Lien, 7.740% (3-Month USD LIBOR + 5.500%), 12/08/24 | 2,037,476 | 2,050,210 | ||||||
| North American Lifting Holdings, Inc. (TNT Crane), Term Loan - First Lien, 6.890% (3-Month USD LIBOR + 4.500%), 11/27/20(c) | 1,997,816 | 1,950,368 | ||||||
| North American Lifting Holdings, Inc. (TNT Crane), Initial Term Loan - Second Lien, 11.390% (3-Month USD LIBOR + 9.000%), 11/26/21 | 500,000 | 441,668 | ||||||
| Red Ventures LLC, Term Loan - First Lien, 6.240% (1-Month USD LIBOR + 4.000%), 11/08/24 | 1,635,000 | 1,656,460 | ||||||
| Red Ventures LLC, Term Loan - Second Lien, 10.240% (1-Month USD LIBOR + 8.000%), 11/08/25 | 215,517 | 220,905 | ||||||
| Shutterfly, Inc., Incremental Term Loan - First Lien, 5.000% (1-Month USD LIBOR + 2.750%), 08/17/24 | 623,438 | 626,944 | ||||||
| Solera Holdings, Inc., Dollar Term Loan - First Lien, 4.990% (1-Month USD LIBOR + 2.750%), 02/28/23 | 1,402,932 | 1,407,541 | ||||||
| TKC Holdings, Inc., Initial Term Loan - First Lien, 6.000% (1-Month USD LIBOR + 3.750%), 02/01/23 | 985,000 | 987,669 | ||||||
| TKC Holdings, Inc., Initial Term Loan - Second Lien, 10.250% (1-Month USD LIBOR + 8.000%), 02/01/24 | 500,000 | 505,210 | ||||||
| Trader Corp., 2017 Refinancing Term Loan - First Lien, 5.240% (1-Month USD LIBOR + 3.000%), 09/28/23 | 916,519 | 919,956 | ||||||
| Travel Leaders Group, LLC, New Term Loan B - First Lien, 6.160% (1-Month USD LIBOR + 4.000%), 01/25/24 | 997,500 | 1,010,592 | ||||||
| USIC Holdings, Inc., New Term Loan - First Lien, 3.250% (1-Month USD LIBOR + 3.500%), 12/08/23 | 982,663 | 990,239 | ||||||
| Total Services: Business | 28,337,981 | |||||||
| Services: Consumer – 3.4% | ||||||||
| Heartland Dental LLC, Initial Term Loan - First Lien, 5.990% (1-Month USD LIBOR + 3.750%), 04/30/25 | 975,815 | 977,440 | ||||||
| Pre-Paid Legal Services, Inc. (Legalshield), Term Loan - First Lien, 5.490% (1-Month USD LIBOR + 3.250%), 04/13/25 | 927,500 | 934,169 | ||||||
| TruGreen LP, Initial Incremental Term Loan - First Lien, 6.130% (1-Month USD LIBOR + 4.000%), 04/13/23 | 985,050 | 996,747 | ||||||
| Weight Watchers International, Inc., 2017 Term Loan B - First Lien, 7.090% (3-Month USD LIBOR + 4.750%), 11/29/24 | 1,732,500 | 1,755,603 | ||||||
| Total Services: Consumer | 4,663,959 | |||||||
| Telecommunications – 6.2% | ||||||||
| Avaya, Inc., Tranche B Term Loan - First Lien, 6.410% (1-Month USD LIBOR + 4.250%), 12/15/24 | 5,553,931 | 5,609,915 | ||||||
| Rackspace Hosting (Inception Merger Sum, Inc.), 2017 Term Loan B - First Lien, 5.350% (3-Month USD LIBOR + 3.000%), 11/03/23(b) | 2,994,975 | 2,960,817 | ||||||
| Total Telecommunications | 8,570,732 | |||||||
| Transportation: Cargo – 4.2% | ||||||||
| Commercial Barge Line Co. (American Commercial Lines), Initial Term Loan - First Lien, 10.990% (1-Month USD LIBOR + 8.750%), 11/12/20 | 2,320,261 | 1,803,284 | ||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | September 30, 2018 |
| Investments | Principal | Value | ||||||
| SENIOR LOANS(a) (continued) | ||||||||
| Transportation: Cargo – 4.2% (continued) | ||||||||
| Gruden Acquisition, Inc. (Quality Distribution LLC), Incremental Term Loan – First Lien, 7.890% (3-Month USD LIBOR + 5.500%), 08/18/22 | $ | 3,369,481 | $ | 3,405,281 | ||||
| Gruden Acquisition, Inc. (Quality Distribution LLC), Term Loan - Second Lien, 10.890% (3-Month USD LIBOR + 8.500%), 08/18/23(b) | 500,000 | 500,000 | ||||||
| Total Transportation: Cargo | 5,708,565 | |||||||
| Wholesale – 1.3% | ||||||||
| 4L Technologies, Inc. (Clover Technologies Group LLC), Term Loan - First Lien, 6.740% (1-Month USD LIBOR + 4.500%), 05/08/20 | 852,479 | 836,849 | ||||||
| Associated Asphalt Partners, LLC (Road Holdings III, LLC), Term Loan B - First Lien, 7.490% (1-Month USD LIBOR + 5.250%), 04/05/24 | 986,071 | 989,158 | ||||||
| Total Wholesale | 1,826,007 | |||||||
| Total Senior Loans (Cost $183,755,597) | 183,874,350 | |||||||
| CORPORATE BONDS – 7.7% (5.1% of Total Investments) | ||||||||
| Aerospace & Defense – 0.1% | ||||||||
| TransDigm, Inc., 6.375%, 06/15/26 | 99,000 | 100,059 | ||||||
| Banking, Finance, Insurance & Real Estate – 0.2% | ||||||||
| Icahn Enterprises, 6.250%, 02/01/22 | 131,000 | 134,684 | ||||||
| Icahn Enterprises, 6.750%, 02/01/24 | 131,000 | 134,193 | ||||||
| Total Banking, Finance, Insurance & Real Estate | 268,877 | |||||||
| Beverage, Food & Tobacco – 0.1% | ||||||||
| Post Holdings, Inc., 5.750%, 03/01/27(e) | 101,000 | 99,548 | ||||||
| Capital Equipment – 0.2% | ||||||||
| Titan Acquisition Ltd (Husky), 7.750%, 04/15/26 (e) | 400,000 | 349,214 | ||||||
| Chemicals, Plastics & Rubber – 0.2% | ||||||||
| Berry Global Group, Inc., 4.500%, 02/15/26(e) | 246,000 | 234,469 | ||||||
| Containers, Packaging & Glass – 0.2% | ||||||||
| Multi-Color Corp., 4.875%, 11/03/25(e) | 335,000 | 314,067 | ||||||
| Energy: Electricity – 0.1% | ||||||||
| TerraForm Power Operating LLC, 4.250%, 01/31/23(e) | 99,000 | 97,020 | ||||||
| TerraForm Power Operating LLC, 5.000%, 01/31/28(e) | 99,000 | 92,772 | ||||||
| Total Energy: Electricity | 189,792 | |||||||
| Environmental Industries – 0.3% | ||||||||
| GFL Environmental, Inc., 5.375%, 03/01/23 (Canada)(e) | 400,000 | 377,420 | ||||||
| Healthcare & Pharmaceuticals – 0.5% | ||||||||
| Bausch Health Companies, 6.500%, 03/15/22 (Canada)(e) | 129,000 | 134,402 | ||||||
| Bausch Health Companies, 7.000%, 03/15/24 (Canada)(e) | 97,000 | 102,692 | ||||||
| Bausch Health Companies, 5.500%, 11/03/25 (Canada)(e) | 102,000 | 102,077 | ||||||
| HCA, Inc., 5.375%, 02/03/25 | 400,000 | 408,774 | ||||||
| Total Healthcare & Pharmaceuticals | 747,945 | |||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | September 30, 2018 |
| Investments | Principal | Value | ||||||
| CORPORATE BONDS (continued) | ||||||||
| High Tech Industries – 0.3% | ||||||||
| Diamond 1 Finance Corp. / Diamond 2 Finance Corp., 7.125%, 06/17/24(e) | $ | 189,000 | $ | 202,895 | ||||
| First Data Corporation, 7.000%, 12/01/23(e) | 150,000 | 156,281 | ||||||
| Total High Tech Industries | 359,176 | |||||||
| Hotel, Gaming & Leisure – 0.7% | ||||||||
| CRC Escrow Issuer, Inc. (Caesars), 5.250%, 10/15/25(e) | 308,000 | 294,676 | ||||||
| International Game Technology PLC, 6.250%, 01/15/27 (United Kingdom)(e) | 102,000 | 103,339 | ||||||
| Scientific Games International, Inc. (aka SGMS), 5.000%, 10/15/25(e) | 250,000 | 237,996 | ||||||
| Wynn Las Vegas LLC, 4.250%, 05/30/23(e) | 175,000 | 167,731 | ||||||
| Wynn Las Vegas LLC, 5.250%, 05/17/27(e) | 249,000 | 231,199 | ||||||
| Total Hotel, Gaming & Leisure | 1,034,941 | |||||||
| Media: Broadcasting & Subscription – 2.1% | ||||||||
| CCO Holdings LLC (Charter Communications), 5.000%, 02/01/28(e) | 250,000 | 234,735 | ||||||
| CSC Holdings LLC, 5.500%, 04/15/27(e) | 100,000 | 97,413 | ||||||
| CSC Holdings LLC, 5.375%, 02/01/28(e) | 194,000 | 185,513 | ||||||
| Gray Television, Inc., 5.125%, 10/15/24(e) | 350,000 | 339,664 | ||||||
| Radiate Holdco LLC (RCN Grande), 6.875%, 02/15/23(e) | 96,000 | 92,654 | ||||||
| Urban One (Radio One, Inc.), 7.375%, 04/15/22(e) | 2,000,000 | 1,986,413 | ||||||
| Total Media: Broadcasting & Subscription | 2,936,392 | |||||||
| Metals & Mining – 0.1% | ||||||||
| Freeport-McMoRan Copper & Gold, Inc., 4.550%, 11/14/24 | 99,000 | 96,408 | ||||||
| Retail – 0.1% | ||||||||
| Lithia Motors, Inc., 5.250%, 08/01/25(e) | 128,000 | 122,720 | ||||||
| Services: Business – 1.1% | ||||||||
| ASP AMC Merger Sub, Inc. (Air Methods), 8.000%, 05/15/25(e) | 744,000 | 567,709 | ||||||
| Iron Mountain US Holdings, Inc., 5.375%, 06/01/26(e) | 383,000 | 361,744 | ||||||
| Iron Mountain, Inc., 4.375%, 06/01/21(e) | 383,000 | 384,197 | ||||||
| Iron Mountain, Inc., 5.250%, 03/15/28(e) | 98,000 | 91,201 | ||||||
| United Rentals (North America), Inc., 4.875%, 01/15/28 | 150,000 | 141,422 | ||||||
| Total Services: Business | 1,546,273 | |||||||
| Services: Consumer – 0.5% | ||||||||
| Lions Gate Capital Holdings LLC, 5.875%, 11/01/24(e) | 153,000 | 156,921 | ||||||
| Netflix, Inc., 4.875%, 04/15/28(e) | 308,000 | 289,932 | ||||||
| Netflix, Inc., 5.875%, 11/15/28(e) | 202,000 | 202,056 | ||||||
| Total Services: Consumer | 648,909 | |||||||
| Telecommunications – 0.7% | ||||||||
| Frontier Communications Corp. (aka Citizens Comm) , 8.500%, 04/01/26(e) | 108,000 | 102,173 | ||||||
| GTT Communications, Inc., 7.875%, 12/31/24(e) | 325,000 | 317,281 | ||||||
| Level 3 Financing, Inc., 5.375%, 01/15/24 | 150,000 | 150,238 | ||||||
| Rackspace Hosting Inc. (Inception Merger Sum, Inc.), 8.625%, 11/15/24(e) | 303,000 | 295,236 | ||||||
| Sprint Communications, Inc., 6.000%, 11/15/22 | 101,000 | 103,146 | ||||||
| Total Telecommunications | 968,074 | |||||||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | September 30, 2018 |
| Investments | Principal | Value | ||||||
| CORPORATE BONDS (continued) | ||||||||
| Wholesale – 0.2% | ||||||||
| Beacon Escrow Corporation, 4.875%, 11/03/25(e) | $ | 255,000 | $ | 235,556 | ||||
| Total Corporate Bonds (Cost $10,936,889) | 10,629,840 | |||||||
| Shares | ||||||||
| COMMON STOCKS – 0.1% (0.1% of Total Investments) | ||||||||
| Energy: Oil & Gas – 0.1% | ||||||||
| HGIM Corp. (Harvey Gulf)*(b)(c) | 2,717 | 146,718 | ||||||
| Retail – 0.0%(f) | ||||||||
| Charming Charlie LLC*(b)(d) | 4,376,711 | 0 | ||||||
| Services: Consumer – 0.0%(f) | ||||||||
| New Millennium Holdco, Inc.*(d) | 29,712 | 3,610 | ||||||
| Total Common Stocks (Cost $954,984) | 150,328 | |||||||
| WARRANT – 0.5% (0.3% of Total Investments) | ||||||||
| Energy: Oil & Gas – 0.5% | ||||||||
| HGIM Corp. (Harvey Gulf)*, 07/02/23(b) (c) | ||||||||
| (Cost $472,615) | 12,139 | 667,645 | ||||||
| MONEY MARKET FUND – 8.8% (5.8% of Total Investments) | ||||||||
| Morgan Stanley Institutional Liquidity Treasury Portfolio - Institutional Share Class, 1.93%(g) (Cost $12,029,185) | 12,029,185 | 12,029,185 | ||||||
| Total Investments in Securities - 151.3%
(Cost $208,149,270) | 207,351,348 | |||||||
| Line of Credit Payable (Cost $58,000,000) – (42.3)% | (58,000,000 | ) | ||||||
| Liabilities in Excess of Other Assets – (9.0)% | (12,302,307 | ) | ||||||
| Net Assets – 100.0% | $ | 137,049,041 | ||||||
| * | 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, unless otherwise indicated. 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”). LIBOR was utilized as benchmark lending rates for the senior loans at September 30, 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. |
| (c) | All or a portion of this position has not settled as of September 30, 2018. The Fund will not accrue interest on its senior loans until the settlement date at which point LIBOR will be established. |
| (d) | Security has been deemed illiquid and has been fair valued in good faith in accordance with procedures established by the Board of Trustees. |
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments† (unaudited) (continued) | September 30, 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 $9,360,916 which represents approximately 6.8% of net assets as of September 30, 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 September 30, 2018. |
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Schedule of Investments (unaudited) (concluded) | September 30, 2018 |
| SUMMARY OF SCHEDULE OF INVESTMENTS | % of Net Assets | |||
| Aerospace & Defense | 4.0 | % | ||
| Automotive | 4.5 | |||
| Banking, Finance, Insurance & Real Estate | 5.7 | |||
| Beverage, Food & Tobacco | 1.9 | |||
| Capital Equipment | 6.6 | |||
| Chemicals, Plastics & Rubber | 3.0 | |||
| Construction & Building | 1.1 | |||
| Consumer Products: Durable | 0.4 | |||
| Consumer Products: Non Durable | 4.0 | |||
| Containers, Packaging & Glass | 0.9 | |||
| Energy: Electricity | 0.5 | |||
| Energy: Oil & Gas | 5.1 | |||
| Environmental Industries | 1.0 | |||
| Healthcare & Pharmaceuticals | 6.2 | |||
| High Tech Industries | 32.0 | |||
| Hotel, Gaming & Leisure | 7.7 | |||
| Media: Advertising, Printing & Publishing | 0.7 | |||
| Media: Broadcasting & Subscription | 6.8 | |||
| Media: Diversified & Production | 6.0 | |||
| Metals & Mining | 1.4 | |||
| Retail | 4.7 | |||
| Services: Business | 21.8 | |||
| Services: Consumer | 3.9 | |||
| Telecommunications | 6.9 | |||
| Transportation: Cargo | 4.2 | |||
| Wholesale | 1.5 | |||
| Money Market Fund | 8.8 | |||
| Total Investments | 151.3 | |||
| Line of Credit Payable | (42.3 | ) | ||
| Liabilities in Excess of Other Assets | (9.0 | ) | ||
| Net Assets | 100.0 | % | ||
See Notes to Schedule of Investments
| THL Credit Senior Loan Fund | |
| Notes to the Schedule of Investments (unaudited) | September 30, 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”).
Through June 21, 2018, Four Wood Capital Advisors LLC (“FWCA”) served as the Fund’s investment adviser. FWCA had engaged THL Credit Advisors LLC (“THL Credit”) to serve as the sub-adviser to the Fund. On June 22, 2018, THL Credit commenced serving as the sole investment adviser to the Fund pursuant to an interim advisory agreement (the “Interim THL Agreement”) that was approved by the Fund’s Board of Trustees (the “Board”) in accordance with Rule 15a-4 under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s Board also approved a new, non-interim, advisory agreement between the Fund and THL Credit (the “New THL Agreement”), which was approved by the Fund’s shareholders on August 3, 2018.
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) | September 30, 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 September 30, 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) | September 30, 2018 |
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
Fair Value Measurement (continued)
| Asset Type | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Senior Loans | ||||||||||||||||
| Aerospace & Defense | $ | – | $ | 1,007,710 | $ | 4,410,300 | $ | 5,418,010 | ||||||||
| Automotive | – | 5,668,423 | 448,078 | 6,116,501 | ||||||||||||
| Banking, Finance, Insurance & Real Estate | – | 5,675,504 | 1,804,206 | 7,479,710 | ||||||||||||
| Beverage, Food & Tobacco | – | – | 2,489,312 | 2,489,312 | ||||||||||||
| Capital Equipment | – | 5,793,974 | 2,933,387 | 8,727,361 | ||||||||||||
| Chemicals, Plastics & Rubber | – | – | 3,888,599 | 3,888,599 | ||||||||||||
| Construction & Building | – | 1,520,348 | – | 1,520,348 | ||||||||||||
| Consumer Products: Durable | – | 521,637 | – | 521,637 | ||||||||||||
| Consumer Products: Non Durable | – | 3,322,250 | 2,195,076 | 5,517,326 | ||||||||||||
| Containers, Packaging & Glass | – | – | 969,000 | 969,000 | ||||||||||||
| Energy: Electricity | – | – | 624,201 | 624,201 | ||||||||||||
| Energy: Oil & Gas | – | 6,110,507 | – | 6,110,507 | ||||||||||||
| Environmental Industries | – | 1,006,228 | – | 1,006,228 | ||||||||||||
| Healthcare & Pharmaceuticals | – | 7,074,891 | 737,954 | 7,812,845 | ||||||||||||
| High Tech Industries | – | 37,114,937 | 6,302,811 | 43,417,748 | ||||||||||||
| Hotel, Gaming & Leisure | – | 6,528,461 | 3,071,905 | 9,600,366 | ||||||||||||
| Media: Advertising, Printing & Publishing | – | 913,869 | – | 913,869 | ||||||||||||
| Media: Broadcasting & Subscription | – | 6,387,008 | – | 6,387,008 | ||||||||||||
| Media: Diversified & Production | – | 7,672,622 | 496,550 | 8,169,172 | ||||||||||||
| Metals & Mining | – | 1,736,166 | – | 1,736,166 | ||||||||||||
| Retail | – | 4,292,678 | 2,048,514 | 6,341,192 | ||||||||||||
| Services: Business | – | 25,113,777 | 3,224,204 | 28,337,981 | ||||||||||||
| Services: Consumer | – | 4,663,959 | – | 4,663,959 | ||||||||||||
| Telecommunications | – | 5,609,915 | 2,960,817 | 8,570,732 | ||||||||||||
| Transportation: Cargo | – | 5,208,565 | 500,000 | 5,708,565 | ||||||||||||
| Wholesale | – | 1,826,007 | – | 1,826,007 | ||||||||||||
| Corporate Bonds* | – | 10,629,840 | – | 10,629,840 | ||||||||||||
| Common Stocks | ||||||||||||||||
| Energy: Oil & Gas | – | – | 146,718 | 146,718 | ||||||||||||
| Retail | – | – | 0 | 0 | ||||||||||||
| Services: Consumer | – | 3,610 | – | 3,610 | ||||||||||||
| Warrant* | – | – | 667,645 | 667,645 | ||||||||||||
| Money Market Fund | – | 12,029,185 | – | 12,029,185 | ||||||||||||
| Total Investments | $ | – | $ | 167,432,071 | $ | 39,919,277 | $ | 207,351,348 | ||||||||
* Please refer to Schedule of Investments for breakdown of valuations by industry.
| THL Credit Senior Loan Fund | |
| Notes to the Schedule of Investments (unaudited) (concluded) | September 30, 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 | Common Stocks | Warrant | Total | |||||||||||||
| Balance as of December 31, 2017 | $ | 52,376,821 | $ | - | $ | - | $ | 52,376,821 | ||||||||
| Realized loss | (1,407,598 | ) | (258,184 | ) | - | (1,665,782 | ) | |||||||||
| Change in unrealized appreciation/(depreciation) | 1,357,990 | 250,792 | 195,030 | 1,803,812 | ||||||||||||
| Amortization (accretion) | 100,579 | - | - | 100,579 | ||||||||||||
| Purchases | 23,811,160 | 105,782 | 472,615 | 24,389,557 | ||||||||||||
| Sales and principal paydowns | (27,113,091 | ) | - | - | (27,113,091 | ) | ||||||||||
| Transfers into Level 3 | 3,307,874 | 48,328 | - | 3,356,202 | ||||||||||||
| Transfers out of Level 3 | (13,328,821 | ) | - | - | (13,328,821 | ) | ||||||||||
| Balance as of September 30, 2018 | $ | 39,104,914 | $ | 146,718 | $ | 667,645 | $ | 39,919,277 | ||||||||
| Net change in unrealized appreciation attributable to level 3 investments held at September 30, 2018 | $ | 7,682 | $ | 250,792 | $ | 195,030 | $ | 453,504 | ||||||||
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 September 30, 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 | $ | 39,104,914 | Third-party vendor service | Vendor quotes | N/A | |||||||
| Common Stocks | $ | 146,718 | Third-party vendor service | Vendor quotes | N/A | |||||||
| Warrant | $ | 667,645 | Third-party vendor service | Vendor quotes | N/A | |||||||
3. DELAYED DRAW LOAN COMMITMENTS
As of September 30, 2018, the Fund had the following unfunded loan commitments outstanding, which could be extended at the options of the borrower:
| Loan | Principal Amount | Cost | Value | Net Unrealized Appreciation/ Depreciation | ||||||||||||
| Charming Charlie LLC, Vendor Payment Financing Facility - First Lien, 20.0%, 05/15/19 | $ | 282,264 | $ | 282,264 | $ | 262,094 | $ | (20,170 | ) | |||||||
| Heartland Dental LLC, Delayed Draw Term Loan - First Lien, 3.750% (1-Month LIBOR + 3.750%), 04/17/25 | 146,739 | 146,005 | 146,983 | 978 | ||||||||||||
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/ Brian W. Good
Brian W. Good, President and Principal Executive Officer
(principal executive officer)
Date November 29, 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/ Brian W. Good
Brian W. Good, President and Principal Executive Officer
(principal executive officer)
Date November 29, 2018
By (Signature and Title)* /s/ Jennifer Wilson
Jennifer Wilson, Treasurer, Principal Financial Officer and Secretary
(principal financial officer)
Date November 29, 2018
* Print the name and title of each signing officer under his or her signature.