Contents
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| Weighted Average Loan Spread | | | | | 5.36% | | |
| Weighted Average Days to Reset | | | | | 48 | | |
| Weighted Average Bond Coupon Rate | | | | | 8.33% | | |
| Weighted Average Bond Duration (years) | | | | | 4.87 | | |
| Average Position Size | | | | $ | 1,488,449 | | |
| Number of Positions | | | | | 131 | | |
| | |
6
Month |
| |
1
Year |
| |
Since
Inception(5) |
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THL Credit Senior Loan Fund | | | | | |||||||||||||||
NAV(6)
|
| | | | 3.22% | | | | | | 2.53% | | | | | | 5.83% | | |
Market Price
|
| | | | 2.26% | | | | | | (0.63)% | | | | | | (2.47)% | | |
CS Leveraged Loan Index(7) | | | | | 2.87% | | | | | | 2.15% | | | | | | 3.70% | | |
|
Mood Media Corporation,
Term Loan - First Lien |
| | | | 2.38% | | |
|
Scientific Games International, Inc.,
Term Loan B-2 - First Lien |
| | | | 1.97% | | |
|
Cengage Learning Acquisitions, Inc.,
Term Loan - First Lien |
| | | | 1.91% | | |
|
Harland Clarke Hldgs.,
Tranche B-3 Term Loans - First Lien |
| | | | 1.89% | | |
|
Pre-Paid Legal Services, Inc. (Legalshield),
Term Loan (2013) - First Lien |
| | | | 1.49% | | |
|
Alvogen Pharma US Inc.,
Term Loan - First Lien |
| | | | 1.47% | | |
|
Ocwen Loan Servicing LLC,
Initial Term Loan - First Lien |
| | | | 1.47% | | |
|
American Commercial Lines (Commercial Barge),
Initial Term Loan - First Lien |
| | | | 1.46% | | |
|
Roundy’s Supermarkets, Inc.,
Tranche B Term Loan - First Lien |
| | | | 1.39% | | |
|
Checkout Holding Corp.,
Term Loan B - First Lien |
| | | | 1.30% | | |
| | | | | | 16.73% | | |
| Services: Business | | | | | 11.82% | | |
| Technology: Services | | | | | 7.11% | | |
| Technology: Software | | | | | 6.77% | | |
| Retail | | | | | 6.45% | | |
| Telecommunications | | | | | 5.36% | | |
| | | | | | 37.51% | | |
THL Credit Senior Loan Fund Schedule of Investments (unaudited) |
| |
June 30, 2015
|
| |||||||||||
Investments
|
| |
Principal
|
| |
Value
|
| ||||||||
SENIOR LOANS(a) – 136.1% (93.0% of Total Investments) | | | | | | | | | | | | | | ||
Aerospace & Defense – 2.3% | | | | | | | | | | | | | | ||
AM General LLC., Term B Facility – First Lien, 10.250%, 03/22/18
|
| | | $ | 2,275,347 | | | | | $ | 2,127,449 | | | ||
Pelican Products, Inc., Term Loan – Second Lien, 9.250%, 04/09/21(b)
|
| | | | 1,000,000 | | | | | | 995,000 | | | ||
Total Aerospace & Defense
|
| | | | | | | | | | 3,122,449 | | | ||
Automotive – 2.9% | | | | | | | | | | | | | | ||
Chrysler Group LLC, Tranche B Term Loan – First Lien, 3.500%, 05/24/17
|
| | | | 738,462 | | | | | | 738,421 | | | ||
MPG Holdco I, Inc. (Metaldyne), Initial Term Loan B – First Lien, 3.750%, 10/20/21
|
| | | | 809,127 | | | | | | 808,807 | | | ||
Neenah Enterprises (Neenah Foundry), Term Loan – First Lien, 6.750%, 04/26/17(b)
|
| | | | 2,509,154 | | | | | | 2,496,608 | | | ||
Total Automotive
|
| | | | | | | | | | 4,043,836 | | | ||
Banking, Finance, Insurance & Real Estate – 5.9% | | | | | | | | | | | | | | ||
Armor Holdco, Inc. (American Stock Transfer), Term Loan – First Lien, 5.750%, 06/26/20
|
| | | | 480,720 | | | | | | 479,319 | | | ||
Assured Partners Capital, Inc., Term Loan – First Lien, 5.000%, 04/02/21
|
| | | | 992,503 | | | | | | 994,989 | | | ||
Confie Seguros Holding II Co., Term Loan – Second Lien, 10.250%, 05/09/19(c)
|
| | | | 500,000 | | | | | | 499,792 | | | ||
GENEX Services, Inc., Term Loan B – First Lien, 5.250%, 05/28/21
|
| | | | 990,000 | | | | | | 992,064 | | | ||
GENEX Services, Inc., Initial Term Loan – Second Lien, 8.750%, 05/30/22
|
| | | | 250,000 | | | | | | 247,396 | | | ||
Ocwen Loan Servicing LLC, Initial Term Loan – First Lien, 5.000%,
02/15/18 |
| | | | 2,978,790 | | | | | | 2,975,603 | | | ||
RJO Holdings Corp., Term Loan – First Lien, 6.940%, 12/10/15(b)
|
| | | | 1,154,587 | | | | | | 1,070,880 | | | ||
SG Acquisition Inc. (Safe Gard), Initial Term Loan – First Lien, 6.250%, 08/19/21(b)
|
| | | | 954,405 | | | | | | 956,791 | | | ||
Total Banking, Finance, Insurance & Real Estate
|
| | | | | | | | | | 8,216,834 | | | ||
Beverage, Food & Tobacco – 3.2% | | | | | | | | | | | | | | ||
Arctic Glacier U.S.A., Inc., 2014 Term B Loan – First Lien, 6.000%, 05/10/19(b)
|
| | | | 2,462,446 | | | | | | 2,456,290 | | | ||
Flavors Holdings Inc., Tranche B Term Loan – First Lien, 6.750%,
10/03/20 |
| | | | 962,500 | | | | | | 928,211 | | | ||
Flavors Holdings Inc., Initial Term Loan – Second Lien, 11.000%,
10/07/21(b) |
| | | | 1,000,000 | | | | | | 965,000 | | | ||
Total Beverage, Food & Tobacco
|
| | | | | | | | | | 4,349,501 | | | ||
Capital Goods – 0.7% | | | | | | | | | | | | | | ||
Crosby US Acquisition Corp., Initial Term Loan – First Lien, 3.750%, 11/23/20
|
| | | | 985,000 | | | | | | 936,981 | | | ||
Chemicals, Plastics & Rubber – 2.5% | | | | | | | | | | | | | | ||
American Pacific Corp., Initial Term Loan – First Lien, 7.000%, 02/27/19
|
| | | | 992,462 | | | | | | 1,004,039 | | | ||
PeroxyChem LLC, Initial Term Loan – First Lien, 7.500%, 02/28/20(b)
|
| | | | 1,475,864 | | | | | | 1,481,398 | | | ||
Vertellus Specialities, Inc., Term Loan – First Lien, 10.500%, 10/31/19
|
| | | | 992,500 | | | | | | 939,565 | | | ||
Total Chemicals, Plastics & Rubber
|
| | | | | | | | | | 3,425,002 | | | ||
|
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) |
| |
June 30, 2015
|
| |||||||||||
Investments
|
| |
Principal
|
| |
Value
|
| ||||||||
Construction & Engineering – 2.2% | | | | | | | | | | | | | | ||
FR Utility Services LLC (Utility Services), Initial Term Loan – First Lien, 6.750%, 10/18/19
|
| | | $ | 492,500 | | | | | $ | 495,167 | | | ||
Power Buyer, LLC (Powerteam Services), Initial Term Loan – Second Lien, 8.250%, 11/06/20(b)
|
| | | | 2,500,000 | | | | | | 2,475,000 | | | ||
Total Construction & Engineering
|
| | | | | | | | | | 2,970,167 | | | ||
Consumer Products: Durables – 2.7% | | | | | | | | | | | | | | ||
Paladin Brands Holding, Inc., Initial Loan – First Lien, 6.750%, 08/16/19
|
| | | | 1,818,030 | | | | | | 1,821,438 | | | ||
Visant Corp., Term Loan – First Lien, 7.000%, 09/23/21
|
| | | | 1,985,000 | | | | | | 1,920,488 | | | ||
Total Consumer Products: Durables
|
| | | | | | | | | | 3,741,926 | | | ||
Consumer Products: Non Durables – 3.0% | | | | | | | | | | | | | | ||
Calceus Acquisition, Inc. (Cole Haan), Term B-1 Loan – First Lien, 5.000%, 01/31/20
|
| | | | 1,965,000 | | | | | | 1,894,388 | | | ||
Varsity Brands, Inc. (Hercules Achievement), Term B Loan – First Lien, 5.000%, 12/11/21
|
| | | | 1,990,000 | | | | | | 2,006,169 | | | ||
Vince Intermediate Holding LLC, Initial Term Loan – First Lien, 5.750%, 11/27/19(b)
|
| | | | 285,714 | | | | | | 286,071 | | | ||
Total Consumer Products: Non Durables
|
| | | | | | | | | | 4,186,628 | | | ||
Energy, Oil & Gas – 2.5% | | | | | | | | | | | | | | ||
HGIM Corp. (Harvey Gulf), Term Loan B – First Lien, 5.500%, 06/18/20
|
| | | | 2,952,437 | | | | | | 2,396,213 | | | ||
Stonewall Gas Gathering LLC, Term Loan – First Lien, 8.750%,
01/28/22(b) |
| | | | 997,500 | | | | | | 1,009,969 | | | ||
Total Energy, Oil & Gas
|
| | | | | | | | | | 3,406,182 | | | ||
Healthcare & Pharmaceuticals – 3.6% | | | | | | | | | | | | | | ||
Alvogen Pharma US Inc., Term Loan – First Lien, 6.000%, 04/01/22
|
| | | | 2,962,500 | | | | | | 2,977,312 | | | ||
BioScrip, Inc., Initial Term B Loan – First Lien, 6.500%, 07/31/20
|
| | | | 1,250,000 | | | | | | 1,241,800 | | | ||
BioScrip, Inc., Term Loan – First Lien, 6.500%, 07/31/20
|
| | | | 750,000 | | | | | | 745,080 | | | ||
Total Healthcare & Pharmaceuticals
|
| | | | | | | | | | 4,964,192 | | | ||
Hotel, Gaming & Leisure – 3.5% | | | | | | | | | | | | | | ||
ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-1 – First Lien, 7.000%, 02/28/19(b)
|
| | | | 817,736 | | | | | | 820,802 | | | ||
ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-2 – First Lien, 7.000%, 02/28/19(b)
|
| | | | 1,083,975 | | | | | | 1,088,040 | | | ||
Caesars Entertainment Resort Properties LLC, Term B Loan – First Lien, 7.000%, 10/12/20
|
| | | | 985,000 | | | | | | 898,813 | | | ||
Parq Holdings LP, Term Loan – First Lien, 8.500%, 12/17/20(b)
|
| | | | 339,623 | | | | | | 343,019 | | | ||
Parq Holdings LP, Term Loan – First Lien, 8.500%, 12/17/20(b)
|
| | | | 1,660,377 | | | | | | 1,676,981 | | | ||
Total Hotel, Gaming & Leisure
|
| | | | | | | | | | 4,827,655 | | | ||
Manufacturing – 5.1% | | | | | | | | | | | | | | ||
CPM Holdings, Inc., Initial Term Loan – First Lien, 6.000%, 04/11/22(b)
|
| | | | 2,100,000 | | | | | | 2,107,875 | | | ||
Gates Global Inc., Initial Term Loan – First Lien, 4.250%, 07/05/21
|
| | | | 2,481,250 | | | | | | 2,447,306 | | | ||
Preferred Proppants LLC (Preferred Sands), Term Loan – First Lien, 6.750%,
07/27/20 |
| | | | 2,977,500 | | | | | | 2,556,184 | | | ||
Total Manufacturing
|
| | | | | | | | | | 7,111,365 | | | ||
|
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) |
| |
June 30, 2015
|
| |||||||||
Investments
|
| |
Principal
|
| |
Value
|
| ||||||
Media: Advertising, Printing & Publishing – 6.6% | | | | | | | | | | | | | |
Cengage Learning Acquisitions, Inc., Term Loan – First Lien, 7.000%, 03/31/20
|
| | | $ | 3,847,933 | | | | | $ | 3,858,764 | | |
Getty Images, Inc., Initial Term Loan – First Lien, 4.750%, 10/18/19
|
| | | | 1,984,733 | | | | | | 1,475,897 | | |
Harland Clarke Hldgs., Tranche B-3 Term Loans – First Lien, 7.000%, 05/22/18
|
| | | | 3,800,000 | | | | | | 3,820,482 | | |
Total Media: Advertising, Printing & Publishing
|
| | | | | | | | | | 9,155,143 | | |
Media: Broadcasting & Subscription – 2.1% | | | | | | | | | | | | | |
Tribune Media Co., Term B Loan – First Lien, 3.750%, 12/27/20
|
| | | | 1,261,137 | | | | | | 1,261,831 | | |
TWCC Holding Corp. (BBN Acquisition), Term B-1 Loans – First Lien, 5.750%, 02/13/20
|
| | | | 764,446 | | | | | | 756,083 | | |
TWCC Holding Corp., Term Loan – Second Lien, 7.000%, 06/26/20
|
| | | | 1,000,000 | | | | | | 935,835 | | |
Total Media: Broadcasting & Subscription
|
| | | | | | | | | | 2,953,749 | | |
Media: Diversified and Services – 6.8% | | | | | | | | | | | | | |
Extreme Reach, Inc., Initial Term Loan – First Lien, 6.750%, 02/07/20(b)
|
| | | | 1,551,244 | | | | | | 1,548,336 | | |
IMG Worldwide, Inc., Term Loan – First Lien, 5.250%, 05/03/21
|
| | | | 1,980,000 | | | | | | 1,980,247 | | |
Learfield Communications, Inc., 2014 Replacement Term Loan – First Lien, 4.500%, 10/09/20
|
| | | | 991,861 | | | | | | 993,101 | | |
Mood Media Corporation, Term Loan – First Lien, 7.000%, 05/01/19
|
| | | | 4,937,500 | | | | | | 4,823,345 | | |
Total Media: Diversified and Services
|
| | | | | | | | | | 9,345,029 | | |
Metals & Mining – 0.4% | | | | ||||||||||
TMS International Corp. (Tube City), Term Loan B – First Lien, 4.500%, 10/16/20
|
| | | | 487,330 | | | | | | 487,635 | | |
Packaging – 1.4% | | | | | | | | | | | | | |
BWAY Holding Co. (ICL Industrial Containers ULC/ICL), Initial Term Loan – First Lien, 5.500%, 08/14/20
|
| | | | 1,980,000 | | | | | | 1,985,772 | | |
Paper & Forest Products – 0.7% | | | | | | | | | | | | | |
Caraustar Industries, Inc., Term Loan C – First Lien, 8.000%, 05/01/19
|
| | | | 995,000 | | | | | | 999,975 | | |
Restaurants – 3.4% | | | | | | | | | | | | | |
CEC Entertainment, Inc., Tranche B Term Loan – First Lien, 4.000%, 02/15/21
|
| | | | 1,975,000 | | | | | | 1,926,445 | | |
Restaurant Brands International, Inc., (Burger King), Term B – First Lien, 3.750%, 12/13/21
|
| | | | 758,978 | | | | | | 759,346 | | |
Steak n Shake Operations, Inc., Term Loan – First Lien, 4.750%,
03/19/21(b) |
| | | | 1,975,000 | | | | | | 1,972,531 | | |
Total Restaurants
|
| | | | | | | | | | 4,658,322 | | |
Retail – 9.4% | | | | | | | | | | | | | |
Albertson’s Holdings LLC, Term Loan B-4 – First Lien, 5.500%, 08/25/21
|
| | | | 1,995,000 | | | | | | 2,007,379 | | |
Charming Charlie LLC, Initial Term Loan – First Lien, 9.000%,
12/24/19(b) |
| | | | 987,500 | | | | | | 986,266 | | |
CWGS Group LLC (Camping World), Term Loan B – First Lien, 5.750%, 02/20/20
|
| | | | 2,384,076 | | | | | | 2,400,967 | | |
Dollar Tree, Inc., Term Loan B-1 – First Lien, 3.500%, 05/26/22
|
| | | | 1,253,165 | | | | | | 1,254,606 | | |
J. Crew Group, Inc. Initial Loans – First Lien, 4.000%, 03/05/21(c)
|
| | | | 400,000 | | | | | | 345,888 | | |
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) |
| |
June 30, 2015
|
| |||||||||||
Investments
|
| |
Principal
|
| |
Value
|
| ||||||||
Retail – 9.4% (continued) | | | | ||||||||||||
Jill Acquisition LLC, Term Loan – First Lien, 6.000%, 05/08/22
|
| | | $ | 1,050,000 | | | | | $ | 1,050,000 | | | ||
New Albertson’s Inc., Term Loan B – First Lien, 4.750%, 06/28/21
|
| | | | 1,191,000 | | | | | | 1,194,722 | | | ||
PetSmart, Inc., Tranche B-1 Loan – First Lien, 4.250%, 03/11/22
|
| | | | 1,000,000 | | | | | | 999,250 | | | ||
Roundy’s Supermarkets, Inc., Tranche B Term Loan – First Lien, 5.750%, 03/03/21
|
| | | | 2,900,217 | | | | | | 2,813,211 | | | ||
Total Retail
|
| | | | | | | | | | 13,052,289 | | | ||
Services: Business – 17.3% | | | | | | | | | | | | | | ||
Affinion Group Holdings, Inc., Tranche B Term Loan – First Lien, 6.750%, 04/30/18
|
| | | | 716,426 | | | | | | 688,105 | | | ||
Brickman Group Holdings, Inc., Initial Term Loan – First Lien, 4.000%, 12/18/20
|
| | | | 1,731,218 | | | | | | 1,722,831 | | | ||
Centerplate, Inc. (KPLT), Term Loan A – First Lien, 4.750%, 11/26/19
|
| | | | 987,500 | | | | | | 988,734 | | | ||
Checkout Holding Corp., Term Loan B – First Lien, 4.500%, 04/09/21
|
| | | | 2,970,000 | | | | | | 2,635,875 | | | ||
CT Technologies Intermediate Holdings, Inc. (Health Port), Initial Term Loan – First Lien, 6.000%, 12/01/21
|
| | | | 1,990,000 | | | | | | 1,999,950 | | | ||
Deluxe Entertainment Services Group, Inc., Initial Term Loan – First Lien, 6.500%, 02/28/20
|
| | | | 1,899,801 | | | | | | 1,841,220 | | | ||
eResearchTechnology, Inc., Term Loans – First Lien, 5.500%, 05/08/22
|
| | | | 1,500,000 | | | | | | 1,497,660 | | | ||
Mitchell International, Inc., Initial Term Loan – First Lien, 4.500%,
10/13/20 |
| | | | 971,519 | | | | | | 971,923 | | | ||
Novitex Acquisition LLC (Pitney Bowes), Tranche B-2 Term Loan – First Lien, 7.500%, 07/07/20(b)
|
| | | | 1,985,000 | | | | | | 1,885,750 | | | ||
RentPath, Inc., Term Loan – First Lien, 6.250%, 12/17/21
|
| | | | 1,990,000 | | | | | | 2,009,900 | | | ||
RentPath, Inc., Term Loan – Second Lien, 10.000%, 12/16/22
|
| | | | 1,000,000 | | | | | | 953,750 | | | ||
SourceHOV LLC, Term B Loan – First Lien, 7.750%, 10/31/19
|
| | | | 1,481,250 | | | | | | 1,367,683 | | | ||
SunGard Availability Services Capital, Inc., Tranche B Term Loan – First Lien, 6.000%, 03/29/19
|
| | | | 1,765,366 | | | | | | 1,628,550 | | | ||
TCH-2 Holdings LLC (TravelClick), Term Loan – First Lien, 5.500%, 05/12/21
|
| | | | 1,980,506 | | | | | | 1,979,268 | | | ||
TCH-2 Holdings LLC (TravelClick), Initial Term Loan – Second Lien, 8.750%, 11/12/21(b)
|
| | | | 1,750,000 | | | | | | 1,741,250 | | | ||
Total Services: Business
|
| | | | | | | | | | 23,912,449 | | | ||
Services: Consumer – 6.8% | | | | | | | | | | | | | | ||
Fitness International LLC (LA Fitness), Term Loan B – First Lien, 5.500%, 07/01/20
|
| | | | 990,000 | | | | | | 953,805 | | | ||
Millennium Laboratories LLC, Tranche B Term Loan – First Lien, 5.250%, 04/16/21
|
| | | | 2,478,741 | | | | | | 1,039,299 | | | ||
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan (2013) – First Lien, 6.250%, 07/01/19(b)
|
| | | | 3,001,319 | | | | | | 3,016,326 | | | ||
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan – Second Lien, 10.250%, 07/01/20
|
| | | | 1,500,000 | | | | | | 1,496,250 | | | ||
Renaissance Learning, Inc., Initial Term Loan – First Lien, 4.500%,
04/09/21 |
| | | | 1,975,000 | | | | | | 1,953,611 | | | ||
Renaissance Learning, Inc., Initial Term Loan – Second Lien, 8.000%, 04/11/22
|
| | | | 1,000,000 | | | | | | 982,080 | | | ||
Total Services: Consumer
|
| | | | | | | | | | 9,441,371 | | | ||
|
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) |
| |
June 30, 2015
|
| |||||||||||
Investments
|
| |
Principal
|
| |
Value
|
| ||||||||
Services: Rental – 0.3% | | | | | | | | | | | | | | ||
North American Lifting Holdings, Inc. (TNT Crane), Initial Term Loan –
Second Lien, 10.000%, 11/26/21 |
| | | $ | 500,000 | | | | | $ | 459,375 | | | ||
Technology: Contract Manufacturing – 1.8% | | | | | | | | | | | | | | ||
Natel Engineering Co., Inc., Initial Term Loans – First Lien, 6.750%,
04/10/20 |
| | | | 1,000,000 | | | | | | 1,008,750 | | | ||
TTM Technologies, Inc., Term B Loan – First Lien, 6.000%, 05/31/21(b)
|
| | | | 1,500,000 | | | | | | 1,481,250 | | | ||
Total Technology: Contract Manufacturing
|
| | | | | | | | | | 2,490,000 | | | ||
Technology: Hardware – 2.1% | | | | | | | | | | | | | | ||
Eastman Kodak Company, Term Loan – First Lien, 7.250%, 09/03/19
|
| | | | 982,456 | | | | | | 985,527 | | | ||
Zebra Technologies Corp., Term Loan B – First Lien, 4.750%, 10/27/21
|
| | | | 1,927,273 | | | | | | 1,951,373 | | | ||
Total Technology: Hardware
|
| | | | | | | | | | 2,936,900 | | | ||
Technology: Semiconductor – 0.5% | | | | | | | | | | | | | | ||
M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan – First Lien, 4.500%, 05/07/21
|
| | | | 631,125 | | | | | | 632,703 | | | ||
Technology: Services – 10.4% | | | | | | | | | | | | | | ||
Ability Networks, Inc., Initial Term Loan – Second Lien, 9.250%,
05/16/22(b) |
| | | | 1,000,000 | | | | | | 1,000,000 | | | ||
AP Gaming I LLC (American Gaming Systems), Term B Loan – First Lien, 9.250%, 12/20/20
|
| | | | 997,468 | | | | | | 996,067 | | | ||
Ascensus, Inc., Initial Term Loan – Second Lien, 9.000%, 12/02/20(b)
|
| | | | 500,000 | | | | | | 501,252 | | | ||
ConvergeOne Holdings Corporation, Initial Term Loan – First Lien, 6.000%,
06/17/20 |
| | | | 1,485,000 | | | | | | 1,483,151 | | | ||
First Data Corp., 2018B New Term Loan – First Lien, 3.687%, 09/24/18
|
| | | | 1,500,000 | | | | | | 1,497,990 | | | ||
MH Sub I LLC & Micro (Internet Brands), Term Loan – First Lien, 5.000%,
07/08/21 |
| | | | 1,980,847 | | | | | | 1,982,402 | | | ||
PGX Holdings, Inc. (Progrexion), Initial Term Loan – First Lien, 6.250%, 09/29/20
|
| | | | 1,926,786 | | | | | | 1,937,229 | | | ||
Scientific Games International, Inc., Term Loan B-2 – First Lien, 6.000%, 10/01/21
|
| | | | 3,980,000 | | | | | | 3,983,005 | | | ||
TransFirst Holdings, Inc. (Tyche Merger), Loans – Second Lien, 9.000%, 11/12/21(c)
|
| | | | 1,000,000 | | | | | | 1,005,750 | | | ||
Total Technology: Services
|
| | | | | | | | | | 14,386,846 | | | ||
Technology: Software – 8.8% | | | | | | | | | | | | | | ||
Compuware Corp., Tranche B2 Term Loan – First Lien, 6.250%, 12/15/21
|
| | | | 1,492,500 | | | | | | 1,461,255 | | | ||
Deltek, Inc. Term Loan – Second Lien, 9.500%, 12/17/23(c)
|
| | | | 1,000,000 | | | | | | 1,007,500 | | | ||
GTCR Valor Companies, Inc. (Cision Vocus), Incremental B-1 Term Loans – First Lien, 6.000%, 05/30/21
|
| | | | 1,984,991 | | | | | | 1,986,231 | | | ||
Hyland Software, Inc. Initial Loans – Second lien, 8.500%, 05/27/23(c)
|
| | | | 1,000,000 | | | | | | 1,001,670 | | | ||
Lanyon Solutions, Inc., Term Loan – First Lien, 5.500%, 11/13/20(b)
|
| | | | 2,471,170 | | | | | | 2,446,459 | | | ||
Riverbed Technology, Inc., Term Loan – First Lien, 6.000%, 04/24/22
|
| | | | 997,500 | | | | | | 1,009,096 | | | ||
RP Crown Parent LLC (Red Prairie), Term Loan B – First Lien, 6.000%, 12/21/18
|
| | | | 1,473,788 | | | | | | 1,421,291 | | | ||
RP Crown Parent LLC (Red Prairie), Term Loan – Second Lien, 11.250%, 12/21/19
|
| | | | 2,000,000 | | | | | | 1,848,130 | | | ||
Total Technology: Software
|
| | | | | | | | | | 12,181,632 | | | ||
|
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) |
| |
June 30, 2015
|
||||||||||
Investments
|
| |
Principal
|
| |
Value
|
|||||||
Telecommunications – 7.8% | | | | | | | | | | | | ||
Avaya, Inc., Replacement Term B-6 – First Lien, 6.500%, 03/31/18
|
| | | $ | 1,306,662 | | | | | $ | 1,302,853 | ||
Avaya, Inc., Refinancing Term B-7 – First Lien, 6.250%, 04/30/20
|
| | | | 1,994,077 | | | | | | 1,932,829 | ||
Birch Communications, Inc., Term Loan – First Lien, 7.750%, 07/17/20(b)
|
| | | | 1,943,056 | | | | | | 1,950,342 | ||
Communications Sales & Leasing, Inc. (CSL Capital, LLC / Windstream), Term Loan, 5.000%, 10/24/22
|
| | | | 2,000,000 | | | | | | 1,965,000 | ||
Fairpoint Communications, Inc., Term Loan – First Lien, 7.500%,
02/14/19 |
| | | | 987,027 | | | | | | 997,055 | ||
IPC Corp., Term Loans – Second Lien, 10.500%, 02/06/22
|
| | | | 1,000,000 | | | | | | 957,500 | ||
Ntelos Inc., Term B Advance – First Lien, 5.750%, 11/09/19(b)
|
| | | | 1,959,698 | | | | | | 1,734,332 | ||
Total Telecommunications
|
| | | | | | | | | | 10,839,911 | ||
Transportation: Services – 5.7% | | | | | | | | | | | | ||
American Commercial Lines (Commercial Barge), Initial Term Loan – First Lien, 7.500%, 09/22/19
|
| | | | 2,939,850 | | | | | | 2,947,214 | ||
American Commercial Lines (Commercial Barge), Initial Term Loan –
Second Lien, 10.750%, 03/22/20(b) |
| | | | 1,000,000 | | | | | | 1,020,000 | ||
Coyote Logistics LLC, Term Loan B – First Lien, 6.250%, 03/26/22(b)
|
| | | | 2,000,000 | | | | | | 2,017,500 | ||
Sirva Worldwide, Inc., Term Loan – First Lien, 7.500%, 03/27/19(b)
|
| | | | 1,906,706 | | | | | | 1,921,007 | ||
Total Transportation: Services
|
| | | | | | | | | | 7,905,721 | ||
Waste Management – 1.5% | | | | ||||||||||
Energy Solutions LLC (Envirocare of Utah), Term Advance – First Lien, 6.750%, 05/29/20
|
| | | | 2,110,179 | | | | | | 2,122,491 | ||
Wholesale – 2.2% | | | | | | | | | | | | ||
4L Technologies, Inc. (Clover Technologies), Initial Term Loan – First Lien, 5.500%, 05/08/20
|
| | | | 997,487 | | | | | | 990,420 | ||
FPC Holdings, Inc. (Fleetpride), Initial Term Loan – First Lien, 5.250%, 11/19/19
|
| | | | 1,178,832 | | | | | | 1,173,427 | ||
P2 Lower Acquisition, Inc. (Progresive Solutions), Initial Term Loan – First Lien, 5.500%, 10/22/20
|
| | | | 805,501 | | | | | | 808,522 | ||
Total Wholesale
|
| | | | | | | | | | 2,972,369 | ||
Total Senior Loans
(Cost $191,434,543) |
| | | | | | | | |
|
188,222,400
|
||
CORPORATE BONDS – 4.9% (3.3% of Total Investments) | | | | | | | | | | | | ||
Aerospace & Defense – 0.7% | | | | | | | | | | | | ||
Constellis Holdings LLC / Constellis Finance Corp., 9.750%, 05/15/20‡
|
| | | | 1,000,000 | | | | | | 967,500 | ||
Beverage, Food & Tobacco – 0.4% | | | | | | | | | | | | ||
Innovation Ventures (5 Hour Energy), 9.500%, 08/15/19‡
|
| | | | 500,000 | | | | | | 523,750 | ||
Chemicals, Plastics & Rubber – 1.1% | | | | | | | | | | | | ||
Aruba Investments, Inc., 8.750%, 02/15/23‡
|
| | | | 1,500,000 | | | | | | 1,537,500 | ||
Energy, Oil & Gas – 0.5% | | | | | | | | | | | | ||
FTS International, Inc., 7.783%, 06/15/20(d)‡
|
| | | | 750,000 | | | | | | 739,687 | ||
Media: Advertising, Printing & Publishing – 0.4% | | | | | | | | | | | | ||
Getty Images, Inc., 7.000%, 10/15/20‡
|
| | | | 1,000,000 | | | | | | 470,000 | ||
|
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (concluded) |
| |
June 30, 2015
|
||||||||||
Investments
|
| |
Principal
|
| |
Value
|
|||||||
Media: Broadcasting & Subscription – 0.7% | | | | | | | | | | | | ||
Radio One, Inc., 7.375%, 04/15/22‡
|
| | | $ | 1,000,000 | | | | | $ | 997,885 | ||
Technology Software – 1.1% | | | | | | | | | | | | ||
Blue Coat Holdings, Inc., 8.375%, 06/01/23‡
|
| | | | 1,500,000 | | | | | | 1,528,125 | ||
Total Corporate Bonds
(Cost $7,065,607) |
| | | | | | | | |
|
6,764,447
|
||
MONEY MARKET FUND – 5.3% (3.7% of Total Investments) | | | | | | | | | | | | ||
| | |
Shares
|
| | | | | |||||
Morgan Stanley Institutional Liquidity Treasury Portfolio – Institutional Share Class, 0.03%(e)
(Cost $7,389,857) |
| | | | 7,389,857 | | | | | | 7,389,857 | ||
Total Investments in Securities – 146.3%
(Cost $205,890,007) |
| | | | | | | | |
|
202,376,704
|
||
Line of Credit Payable (Cost $61,000,000) – (44.1%)
|
| | | | | | | | | | (61,000,000) | ||
Liabilities in Excess of Other Assets – (2.2%)
|
| | | | | | | | | | (3,035,859) | ||
Net Assets – 100.0%
|
| | | | | | | | | $ | 138,340,845 | ||
|
SUMMARY OF SCHEDULE OF INVESTMENTS (unaudited)
|
| |
% of Net Assets
|
| ||||
Aerospace & Defense
|
| | | | 3.0% | | | |
Automotive
|
| | | | 2.9 | | | |
Banking, Finance, Insurance & Real Estate
|
| | | | 5.9 | | | |
Beverage, Food & Tobacco
|
| | | | 3.6 | | | |
Capital Goods
|
| | | | 0.7 | | | |
Chemicals, Plastics & Rubber
|
| | | | 3.6 | | | |
Construction & Engineering
|
| | | | 2.2 | | | |
Consumer Products: Durables
|
| | | | 2.7 | | | |
Consumer Products: Non Durables
|
| | | | 3.0 | | | |
Energy, Oil & Gas
|
| | | | 3.0 | | | |
Healthcare & Pharmaceuticals
|
| | | | 3.6 | | | |
Hotel, Gaming & Leisure
|
| | | | 3.5 | | | |
Manufacturing
|
| | | | 5.1 | | | |
Media: Advertising, Printing & Publishing
|
| | | | 7.0 | | | |
Media: Broadcasting & Subscription
|
| | | | 2.8 | | | |
Media: Diversified and Services
|
| | | | 6.8 | | | |
Metals & Mining
|
| | | | 0.4 | | | |
Packaging
|
| | | | 1.4 | | | |
Paper & Forest Products
|
| | | | 0.7 | | | |
Restaurants
|
| | | | 3.4 | | | |
Retail
|
| | | | 9.4 | | | |
Services: Business
|
| | | | 17.3 | | | |
Services: Consumer
|
| | | | 6.8 | | | |
Services: Rental
|
| | | | 0.3 | | | |
Technology: Contract Manufacturing
|
| | | | 1.8 | | | |
Technology: Hardware
|
| | | | 2.1 | | | |
Technology: Semiconductor
|
| | | | 0.5 | | | |
Technology: Services
|
| | | | 10.4 | | | |
Technology: Software
|
| | | | 9.9 | | | |
Telecommunications
|
| | | | 7.8 | | | |
Transportation: Services
|
| | | | 5.7 | | | |
Waste Management
|
| | | | 1.5 | | | |
Wholesale
|
| | | | 2.2 | | | |
Money Market Fund
|
| | | | 5.3 | | | |
Total Investments
|
| | | | 146.3 | | | |
Line of Credit Payable
|
| | | | (44.1) | | | |
Liabilities in Excess of Other Assets
|
| | | | (2.2) | | | |
Net Assets
|
| | | | 100.0% | | | |
|
THL Credit Senior Loan Fund Statement of Assets and Liabilities |
| |
June 30, 2015
(unaudited) |
| ||||
ASSETS | | | | | | | | |
Investments, at value (cost $205,890,007)
|
| | | $ | 202,376,704 | | | |
Cash
|
| | | | 411,474 | | | |
Receivable for investments sold
|
| | | | 15,134 | | | |
Interest receivable
|
| | | | 678,265 | | | |
Prepaid expenses
|
| | | | 32,591 | | | |
Total Assets
|
| | | | 203,514,168 | | | |
LIABILITIES | | | ||||||
Borrowings (Note 4)
|
| | | | 61,000,000 | | | |
Payable for investments purchased
|
| | | | 3,830,083 | | | |
Advisory fee payable (Note 5)
|
| | | | 171,110 | | | |
Investor support services fee payable (Note 5)
|
| | | | 8,148 | | | |
Accrued interest on borrowings
|
| | | | 14,933 | | | |
Other accrued expenses
|
| | | | 149,049 | | | |
Total Liabilities
|
| | | | 65,173,323 | | | |
Net Assets
|
| | | $ | 138,340,845 | | | |
COMPONENTS OF NET ASSETS | | | ||||||
Paid-in-capital
|
| | | $ | 141,378,621 | | | |
Undistributed net investment income
|
| | | | 321,893 | | | |
Accumulated net gain on investments
|
| | | | 153,634 | | | |
Unrealized depreciation on investments
|
| | | | (3,513,303) | | | |
Net Assets
|
| | | $ | 138,340,845 | | | |
Common Shares Outstanding (unlimited shares authorized; $0.001 per share par value)
|
| | | | 7,418,990 | | | |
Net Asset Value Per Share
|
| | | $ | 18.65 | | | |
|
THL Credit Senior Loan Fund Statement of Operations |
| |
For the Six Months
Ended June 30, 2015 (unaudited) |
| ||||
INVESTMENT INCOME: | | | | | | | | |
Interest
|
| | | $ | 6,567,564 | | | |
Total Investment Income
|
| | | | 6,567,564 | | | |
EXPENSES: | | | ||||||
Advisory fees
|
| | | | 997,295 | | | |
Interest expense & fees on borrowings
|
| | | | 316,491 | | | |
Professional fees
|
| | | | 127,558 | | | |
Administration fees
|
| | | | 69,792 | | | |
Trustees’ fees and expenses
|
| | | | 53,556 | | | |
Insurance expense
|
| | | | 47,858 | | | |
Investor support services fees
|
| | | | 47,490 | | | |
Compliance fees
|
| | | | 24,795 | | | |
Printing and mailing expense
|
| | | | 17,028 | | | |
Custodian fees
|
| | | | 14,938 | | | |
NYSE listing fee
|
| | | | 12,413 | | | |
Transfer agent fees
|
| | | | 8,927 | | | |
Other expenses
|
| | | | 37,260 | | | |
Total Expenses
|
| | | | 1,775,401 | | | |
Net Investment Income
|
| | | | 4,792,163 | | | |
NET REALIZED AND CHANGE IN UNREALIZED GAIN (LOSS) ON INVESTMENTS AND DELAYED DRAW LOAN COMMITMENTS:
|
| | ||||||
Net realized gain on investments
|
| | | | 69,004 | | | |
Net change in unrealized depreciation on investments
|
| | | | (442,503) | | | |
Net change in unrealized appreciation on delayed draw loan commitments
|
| | | | (11,589) | | | |
Net realized and unrealized loss on investments and delayed draw loan commitments
|
| | | | (385,088) | | | |
Net Increase in Net Assets from Operations
|
| | | $ | 4,407,075 | | | |
|
THL Credit Senior Loan Fund Statement of Changes in Net Assets |
| |
For the
Six Months Ended June 30, 2015 (unaudited) |
| |
For the Year
Ended December 31, 2014 |
| ||||||||
OPERATIONS: | | | | | | | | | |||||||
Net investment income
|
| | | $ | 4,792,163 | | | | | $ | 9,245,568 | | | ||
Net realized gain on investments
|
| | | | 69,004 | | | | | | 995,155 | | | ||
Net change in unrealized depreciation on investments and delayed draw loan commitments
|
| | | | (454,092) | | | | | | (4,667,636) | | | ||
Net increase in net assets from operations
|
| | | | 4,407,075 | | | | | | 5,573,087 | | | ||
DISTRIBUTIONS TO SHAREHOLDERS: | | | | ||||||||||||
From net investment income
|
| | | | (4,542,964) | | | | | | (9,814,926) | | | ||
From net realized gains
|
| | | | (553,753) | | | | | | (778,997) | | | ||
Total distributions to shareholders
|
| | | | (5,096,717) | | | | | | (10,593,923) | | | ||
CAPITAL STOCK TRANSACTIONS: | | | | ||||||||||||
Dividend reinvestment
|
| | | | 5,213 | | | | | | — | | | ||
Net Decrease in Net Assets
|
| | | | (684,429) | | | | | | (5,020,836) | | | ||
NET ASSETS: | | | | ||||||||||||
Beginning of period
|
| | | $ | 139,025,274 | | | | | $ | 144,046,110 | | | ||
End of period
|
| | | $ | 138,340,845 | | | | | $ | 139,025,274 | | | ||
Undistributed net investment income
|
| | | $ | 321,893 | | | | | $ | 72,694 | | | ||
|
| Cash Flows From Operating Activities: | | | |||||
|
Net increase in net assets from operations
|
| | | $ | 4,407,075 | | |
|
Adjustments to reconcile net increase in net assets from operations to net cash used by operating activities:
|
| | |||||
|
Purchases of long-term investments
|
| | | | (48,103,388) | | |
|
Proceeds from sales of long-term investments
|
| | | | 36,121,046 | | |
|
Net increase in short-term investments
|
| | | | (2,447,830) | | |
|
Net change in unrealized depreciation on investments and delayed draw loan commitments
|
| | | | 454,092 | | |
|
Net accretion/amortization of premium or discount
|
| | | | (160,911) | | |
|
Net increase in realized gains from principal paydowns
|
| | | | (51,144) | | |
|
Net realized gain on investments
|
| | | | (69,004) | | |
|
Decrease in receivable for investments sold
|
| | | | 3,164,340 | | |
|
Increase in interest receivable
|
| | | | (114,037) | | |
|
Decrease in prepaid expenses
|
| | | | 35,028 | | |
|
Decrease in payable for investments purchased
|
| | | | (1,019,917) | | |
|
Increase in advisory fee payable
|
| | | | 5,640 | | |
|
Increase in investor support services fee payable
|
| | | | 268 | | |
|
Decrease in accrued interest on borrowing
|
| | | | (446) | | |
|
Increase in other accrued expenses
|
| | | | 6,756 | | |
|
Net cash used by operating activities
|
| | | | (7,772,432) | | |
| Cash Flows from Financing Activities: | | | |||||
|
Net proceeds from borrowings
|
| | | | 12,000,000 | | |
|
Dividend reinvestment
|
| | | | 5,213 | | |
|
Distributions paid
|
| | | | (5,096,717) | | |
|
Net cash provided by financing activities
|
| | | | 6,908,496 | | |
|
Net decrease in cash
|
| | | | (863,936) | | |
|
Cash, beginning of period
|
| | | | 1,275,410 | | |
|
Cash, end of period
|
| | | $ | 411,474 | | |
| Supplemental disclosure of cash flow information: | | | |||||
|
Cash paid for interest on borrowings
|
| | | $ | 316,937 | | |
THL Credit Senior Loan Fund Financial Highlights |
| |
For the
Six Months Ended June 30, 2015 (unaudited) |
| |
For the Year
Ended December 31, 2014 |
| |
For the Period
September 20, 2013 to December 31, 2013 |
| |||||||||
Common Shares | | | | | | | | | | ||||||||||
Per Share Operating Performance | | | | | |||||||||||||||
Net Asset Value, beginning of period
|
| | | $ | 18.74 | | | | | $ | 19.42 | | | | | $ | 19.06 | | |
Operations: | | | | | |||||||||||||||
Net investment income(1)
|
| | | | 0.65 | | | | | | 1.25 | | | | | | 0.33 | | |
Net realized and unrealized gain (loss) on investments and delayed draw loan commitments(2)
|
| | | | (0.05) | | | | | | (0.50) | | | | | | 0.27 | | |
Total income from operations
|
| | | | 0.60 | | | | | | 0.75 | | | | | | 0.60 | | |
Distributions to shareholders from: | | | | | |||||||||||||||
Net investment income
|
| | | | (0.61) | | | | | | (1.32) | | | | | | (0.24) | | |
Net realized gains
|
| | | | (0.08) | | | | | | (0.11) | | | | | | — | | |
Total distributions to shareholders
|
| | | | (0.69) | | | | | | (1.43) | | | | | | (0.24) | | |
Net assets value per share, end of period
|
| | | $ | 18.65 | | | | | $ | 18.74 | | | | | $ | 19.42 | | |
Market price per share, end of period
|
| | | $ | 16.79 | | | | | $ | 17.06 | | | | | $ | 18.36 | | |
Total return:(3) | | | | | |||||||||||||||
Net assset value
|
| | | | 3.22% | | | | | | 3.87% | | | | | | 3.15% | | |
Market value
|
| | | | 2.26% | | | | | | 0.58% | | | | | | (7.00)% | | |
Ratios/Supplemental Data: | | | | | |||||||||||||||
Net assets, end of period (000’s)
|
| | | $ | 138,341 | | | | | $ | 139,025 | | | | | $ | 144,046 | | |
Ratio of expenses, including interest on borrowings, to average net assets
|
| | | | 2.57%(4) | | | | | | 2.38% | | | | | | 2.46%(4) | | |
Ratio of expenses, excluding interest on borrowings, to average net assets
|
| | | | 2.11%(4) | | | | | | 2.02% | | | | | | 2.18%(4) | | |
Ratio of net investment income, including interest on borrowings, to average net assets
|
| | | | 6.93%(4) | | | | | | 6.44% | | | | | | 6.14%(4) | | |
Ratio of net investment income, excluding interest on borrowings, to average net assets
|
| | | | 7.39%(4) | | | | | | 6.79% | | | | | | 6.41%(4) | | |
Portfolio turnover rate
|
| | | | 19% | | | | | | 93% | | | | | | 20% | | |
Borrowings: | | | | | |||||||||||||||
Aggregate principal amount, end of period (000s)
|
| | | $ | 61,000 | | | | | $ | 49,000 | | | | | $ | 46,000 | | |
Average borrowings outstanding during the period (000s)
|
| | | $ | 52,264 | | | | | $ | 41,384 | | | | | $ | 40,308(5) | | |
Asset coverage, end of period per $1,000 of debt(6)
|
| | | $ | 3,268 | | | | | $ | 3,837 | | | | | $ | 4,131 | | |
Asset Type
|
| |
Level 1
|
| |
Level 2
|
| |
Level 3
|
| |
Total
|
| ||||||||||||||||
Senior Loans | | | | | | | | | | | | | | | | | | | | | | | | | | ||||
Aerospace & Defense
|
| | | $ | — | | | | | $ | 2,127,449 | | | | | $ | 995,000 | | | | | $ | 3,122,449 | | | ||||
Automotive
|
| | | | — | | | | | | 1,547,228 | | | | | | 2,496,608 | | | | | | 4,043,836 | | | ||||
Banking, Finance, Insurance & Real Estate
|
| | | | — | | | | | | 6,189,163 | | | | | | 2,027,671 | | | | | | 8,216,834 | | | ||||
Beverage, Food & Tobacco
|
| | | | — | | | | | | 928,211 | | | | | | 3,421,290 | | | | | | 4,349,501 | | | ||||
Capital Goods
|
| | | | — | | | | | | 936,981 | | | | | | — | | | | | | 936,981 | | | ||||
Chemicals, Plastics & Rubber
|
| | | | — | | | | | | 1,943,604 | | | | | | 1,481,398 | | | | | | 3,425,002 | | | ||||
Construction & Engineering
|
| | | | — | | | | | | 495,167 | | | | | | 2,475,000 | | | | | | 2,970,167 | | | ||||
Consumer Products: Durables
|
| | | | — | | | | | | 3,741,926 | | | | | | — | | | | | | 3,741,926 | | | ||||
Consumer Products: Non Durables
|
| | | | — | | | | | | 3,900,557 | | | | | | 286,071 | | | | | | 4,186,628 | | | ||||
Energy, Oil & Gas
|
| | | | — | | | | | | 2,396,213 | | | | | | 1,009,969 | | | | | | 3,406,182 | | | ||||
Healthcare & Pharmaceuticals
|
| | | | — | | | | | | 4,964,192 | | | | | | — | | | | | | 4,964,192 | | | ||||
Hotel, Gaming & Leisure
|
| | | | — | | | | | | 898,813 | | | | | | 3,928,842 | | | | | | 4,827,655 | | | ||||
Manufacturing
|
| | | | — | | | | | | 5,003,490 | | | | | | 2,107,875 | | | | | | 7,111,365 | | | ||||
Media: Advertising, Printing & Publishing
|
| | | | — | | | | | | 9,155,143 | | | | | | — | | | | | | 9,155,143 | | | ||||
Media: Broadcasting & Subscription
|
| | | | — | | | | | | 2,953,749 | | | | | | — | | | | | | 2,953,749 | | | ||||
Media: Diversified and Services
|
| | | | — | | | | | | 7,796,693 | | | | | | 1,548,336 | | | | | | 9,345,029 | | | ||||
Metals & Mining
|
| | | | — | | | | | | 487,635 | | | | | | — | | | | | | 487,635 | | | ||||
Packaging
|
| | | | — | | | | | | 1,985,772 | | | | | | — | | | | | | 1,985,772 | | | ||||
Paper & Forest Products
|
| | | | — | | | | | | 999,975 | | | | | | — | | | | | | 999,975 | | | ||||
Restaurants
|
| | | | — | | | | | | 2,685,791 | | | | | | 1,972,531 | | | | | | 4,658,322 | | | ||||
Retail
|
| | | | — | | | | | | 12,066,023 | | | | | | 986,266 | | | | | | 13,052,289 | | | ||||
Services: Business
|
| | | | — | | | | | | 20,285,449 | | | | | | 3,627,000 | | | | | | 23,912,449 | | | ||||
Services: Consumer
|
| | | | — | | | | | | 6,425,045 | | | | | | 3,016,326 | | | | | | 9,441,371 | | | ||||
Services: Rental
|
| | | | — | | | | | | 459,375 | | | | | | — | | | | | | 459,375 | | | ||||
Technology: Contract Manufacturing
|
| | | | — | | | | | | 1,008,750 | | | | | | 1,481,250 | | | | | | 2,490,000 | | | ||||
Technology: Hardware
|
| | | | — | | | | | | 2,936,900 | | | | | | — | | | | | | 2,936,900 | | | ||||
Technology: Semiconductor
|
| | | | — | | | | | | 632,703 | | | | | | — | | | | | | 632,703 | | | ||||
Technology: Services
|
| | | | — | | | | | | 12,885,594 | | | | | | 1,501,252 | | | | | | 14,386,846 | | | ||||
Technology: Software
|
| | | | — | | | | | | 9,735,173 | | | | | | 2,446,459 | | | | | | 12,181,632 | | | ||||
Telecommunications
|
| | | | — | | | | | | 7,155,237 | | | | | | 3,684,674 | | | | | | 10,839,911 | | | ||||
Transportation: Services
|
| | | | — | | | | | | 2,947,214 | | | | | | 4,958,507 | | | | | | 7,905,721 | | | ||||
Waste Management
|
| | | | — | | | | | | 2,122,491 | | | | | | — | | | | | | 2,122,491 | | | ||||
Wholesale
|
| | | | — | | | | | | 2,972,369 | | | | | | — | | | | | | 2,972,369 | | | ||||
Corporate Bonds*
|
| | | | — | | | | | | 6,764,447 | | | | | | — | | | | | | 6,764,447 | | | ||||
Money Market Fund
|
| | | | — | | | | | | 7,389,857 | | | | | | — | | | | | | 7,389,857 | | | ||||
Total Investments
|
| | | $ | — | | | | | $ | 156,924,379 | | | | | $ | 45,452,325 | | | | | $ | 202,376,704 | | | ||||
|
|
Balance as of December 31, 2014
|
| | | $ | 62,554,307 | | | |
|
Realized gain
|
| | | | (2,588) | | | |
|
Change in unrealized appreciation
|
| | | | 575,361 | | | |
|
Amortization (accretion)
|
| | | | 43,638 | | | |
|
Purchases
|
| | | | 11,334,948 | | | |
|
Sales and principal paydowns
|
| | | | (12,019,426) | | | |
|
Transfers in and/or out of Level 3
|
| | | | (17,033,915) | | | |
|
Balance as of June 30, 2015
|
| | | $ | 45,452,325 | | | |
|
| | |
Fair Value
|
| |
Valuation Technique
|
| |
Unobservable
Input |
| |||
Senior Loans
|
| | | $ | 45,452,325 | | | |
Third-party vendor service
|
| |
Vendor quotes
|
|
|
Shares of common stock, beginning of period
|
| | | | 7,418,714 | | | |
|
Change in shares of common stock outstanding
|
| | | | 276 | | | |
|
Shares of common stock, end of period
|
| | | | 7,418,990 | | | |
|
| | |
Ordinary
Income |
| |
Long-Term
Capital Gain |
| ||||||
2013
|
| | | $ | 1,765,654 | | | | | $ | — | | |
2014
|
| | | $ | 10,593,923 | | | | | $ | — | | |
Undistributed Net Investment Income |
| | Accumulated Net Realized Gain on Investments |
| | Net Unrealized Depreciation on Investments |
|
$72,694 | | | $638,383 | | | $3,070,800 | |
| Trustees | | | | |
| Steven A. Baffico | | | | |
| Joseph L. Morea*# | | | | |
| S. James Coppersmith*# | | | | |
| Ronald J. Burton*# | | | | |
| Michael Perino*# | | | | |
| Officers | | | | |
| Steven A. Baffico | | | | |
| Jennifer Wilson | | | | |
| Stephanie Trell | | | | |
| Robert Cowles | | | | |
| Investment Adviser | | | | |
| Four Wood Capital Advisors LLC | | | | |
| Sub-Adviser | | | | |
| THL Credit Advisors LLC | | | | |
| Administrator, Custodian & Accounting Agent | | | | |
| The Bank of New York Mellon | | | | |
| Transfer Agent, Dividend Paying Agent and Registrar | | | | |
| American Stock Transfer and Trust Company | | | | |
| Independent Registered Public Accounting Firm | | | | |
| McGladrey LLP | | | | |
| Legal Counsel | | | | |
| Dechert LLP | | | | |
| (Registrant) | | | THL CREDIT SENIOR LOAN FUND | |
|
| By (Signature and Title)* | | | /s/ Steven A. Baffico | |
| | | | Steven A. Baffico, President (principal executive officer) |
|
| Date | | | 9-1-2015 | |
|
| By (Signature and Title)* | | | /s/ Steven A. Baffico | |
| | | | Steven A. Baffico, President (principal executive officer) |
|
| Date | | | 9-1-2015 | |
|
| By (Signature and Title)* | | | /s/ Jennifer Wilson | |
| | | | Jennifer Wilson, Treasurer and Principal Financial Officer (principal financial officer) |
|
| Date | | | 9-1-2015 | |
|