UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22874
THL CREDIT SENIOR LOAN FUND |
(Exact name of registrant as specified in charter) |
100 Wall Street, 11th Floor |
New York, NY 10005 |
(Address of principal executive offices) (Zip code) |
Stephanie Trell |
100 Wall Street, 11th Floor |
New York, NY 10005 |
(Name and address of agent for service) |
Copies of Communications to:
Stephen H. Bier
Dechert LLP
1095 Avenue of the Americas
New York, NY 10036
Registrant's telephone number, including area code: (212) 701-4500
Date of fiscal year end: December 31
Date of reporting period: June 30, 2016
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
June 30, 2016
Senior Loan Fund
www.fwcapitaladvisors.com/funds/tslf
Contents | | | | | | | |
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President – THL Credit Senior Loan Fund
Managing Partner & CEO – Four Wood Capital Advisors LLC
Performance & Statistics (unaudited) June 30, 2016
| Weighted Average Loan Spread(4) | | | | | 5.41% | | |
| Weighted Average Days to Reset | | | | | 47 | | |
| Weighted Average Bond Coupon Rate | | | | | 7.57% | | |
| Weighted Average Bond Duration (years) | | | | | 4.85 | | |
| Average Position Size | | | | $ | 1,335,764 | | |
| Number of Positions | | | | | 134 | | |
| | | 6 Month | | | 1 Year | | | Since Inception(5) | | |||||||||
THL Credit Senior Loan Fund | | | | | |||||||||||||||
NAV(6) | | | | | 6.18% | | | | | | 1.94% | | | | | | 4.39% | | |
Market Price | | | | | 5.63% | | | | | | 4.01% | | | | | | (0.19)% | | |
CS Leveraged Loan Index(7) | | | | | 4.23% | | | | | | 0.93% | | | | | | 2.69% | | |
| Mood Media Corporation, Term Loan - First Lien | | | | | 2.39% | | |
| Scientific Games International, Inc., Term Loan B-2 - First Lien | | | | | 2.06% | | |
| Alvogen Pharma US Inc., Term Loan - First Lien | | | | | 1.71% | | |
| SolarWinds, Inc., Initial US Term Loan - First Lien | | | | | 1.59% | | |
| Pre-Paid Legal Services, Inc. (Legalshield), Term Loan (2013) - First Lien | | | | | 1.48% | | |
| Cvent Inc., Term Loan - First Lien | | | | | 1.33% | | |
| Checkout Holding Corp., Term Loan B - First Lien | | | | | 1.31% | | |
| Power Buyer, LLC (Powerteam Services), Initial Term Loan - Second Lien | | | | | 1.30% | | |
| CWGS Group LLC (Camping World), Term Loan B - First Lien | | | | | 1.29% | | |
| Lanyon Solutions, Inc., Term Loan - First Lien | | | | | 1.29% | | |
| Services: Business | | | | | 12.84% | | |
| Technology: Software | | | | | 9.16% | | |
| Technology: Services | | | | | 8.00% | | |
| Retail | | | | | 6.34% | | |
| Telecommunications | | | | | 6.32% | | |
THL Credit Senior Loan Fund Schedule of Investments (unaudited) | | | June 30, 2016 | |||||||||
Investments | | | Principal | | | Value | ||||||
SENIOR LOANS(a) – 127.9% (88.9% of Total Investments) | | | | |||||||||
Aerospace & Defense – 2.2% | | | | |||||||||
AM General LLC., Term B Facility – First Lien, 10.250%, 03/22/18(b) | | | | $ | 2,117,949 | | | | | $ | 2,012,051 | |
Pelican Products, Inc., Term Loan – Second Lien, 9.250%, 04/09/21 | | | | | 1,000,000 | | | | | | 902,500 | |
Total Aerospace & Defense | | | | | | | | | | | 2,914,551 | |
Automotive – 1.9% | | | | |||||||||
BBB Industries LLC, Term Loan – Second Lien, 9.750%, 11/03/22 | | | | | 250,000 | | | | | | 222,916 | |
Neenah Enterprises (Neenah Foundry), Term Loan – First Lien, 6.750%, 04/26/17(b) | | | | | 2,369,757 | | | | | | 2,346,059 | |
Total Automotive | | | | | | | | | | | 2,568,975 | |
Banking, Finance, Insurance & Real Estate – 3.0% | | | | |||||||||
Armor Holdco, Inc. (American Stock Transfer), Term Loan – First Lien, 5.750%, 06/26/20 | | | | | 475,735 | | | | | | 468,599 | |
Confie Seguros Holding II Co., Term Loan – Second Lien, 10.250%, 05/09/19 | | | | | 500,000 | | | | | | 476,250 | |
GENEX Services, Inc., Term Loan B – First Lien, 5.250%, 05/28/21 | | | | | 980,000 | | | | | | 965,300 | |
GENEX Services, Inc., Initial Term Loan – Second Lien, 8.750%, 05/30/22(b) | | | | | 250,000 | | | | | | 237,500 | |
RJO Holdings Corp., Term Loan – First Lien, 6.980%, 12/10/16 | | | | | 1,142,606 | | | | | | 959,789 | |
SG Acquisition Inc. (Safe Gard), Initial Term Loan – First Lien, 6.250%, 08/19/21(b) | | | | | 820,595 | | | | | | 783,669 | |
Total Banking, Finance, Insurance & Real Estate | | | | | | | | | | | 3,891,107 | |
Beverage, Food & Tobacco – 3.0% | | | | |||||||||
Arctic Glacier U.S.A., Inc., 2014 Term B Loan – First Lien, 6.000%, 05/10/19(b) | | | | | 2,437,410 | | | | | | 2,327,727 | |
Flavors Holdings Inc., Tranche B Term Loan – First Lien, 6.750%, 04/03/20(b) | | | | | 912,500 | | | | | | 816,687 | |
Flavors Holdings Inc., Initial Term Loan – Second Lien, 11.000%, 10/03/21(b) | | | | | 1,000,000 | | | | | | 825,000 | |
Total Beverage, Food & Tobacco | | | | | | | | | | | 3,969,414 | |
Capital Goods – 0.6% | | | | |||||||||
Crosby US Acquisition Corp., Initial Term Loan – First Lien, 4.000%, 11/23/20 | | | | | 975,000 | | | | | | 799,500 | |
Chemicals, Plastics & Rubber – 0.8% | | | | |||||||||
Royal Oak Enterprises LLC, Term B Loan – First Lien, 5.750%, 06/16/23(b) | | | | | 1,000,000 | | | | | | 998,750 | |
Construction & Engineering – 1.9% | | | | |||||||||
Power Buyer, LLC (Powerteam Services), Initial Term Loan – Second Lien, 8.250%, 11/06/20(b) | | | | | 2,500,000 | | | | | | 2,450,000 | |
Consumer Products: Durables – 1.1% | | | | |||||||||
Paladin Brands Holding, Inc., Initial Loan – First Lien, 7.250%, 08/16/19(b) | | | | | 1,718,030 | | | | | | 1,486,096 | |
Consumer Products: Non Durables – 3.4% | | | | |||||||||
Calceus Acquisition, Inc. (Cole Haan), Term B-1 Loan – First Lien, 5.000%, 01/31/20 | | | | | 2,939,885 | | | | | | 2,204,913 |
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) | | | June 30, 2016 | |||||||||
Investments | | | Principal | | | Value | ||||||
SENIOR LOANS(a) (continued) | | | | |||||||||
Consumer Products: Non Durables – 3.4% (continued) | | | | |||||||||
Varsity Brands, Inc. (Hercules Achievement), Term B Loan – First Lien, 5.000%, 12/11/21 | | | | $ | 1,970,000 | | | | | $ | 1,967,045 | |
Vince Intermediate Holding LLC, Initial Term Loan – First Lien, 5.750%, 11/27/19(b) | | | | | 257,143 | | | | | | 244,286 | |
Total Consumer Products: Non Durables | | | | | | | | | | | 4,416,244 | |
Energy, Oil & Gas – 3.4% | | | | |||||||||
Chelsea Petroleum Products I LLC, Term B – First Lien, 6.750%, 07/22/22(b) | | | | | 1,962,353 | | | | | | 1,932,918 | |
HGIM Corp. (Harvey Gulf), Term Loan B – First Lien, 5.500%, 06/18/20 | | | | | 2,922,387 | | | | | | 1,760,738 | |
Stonewall Gas Gathering LLC, Term Loan – First Lien, 8.750%, 01/28/22(b) | | | | | 742,784 | | | | | | 757,640 | |
Total Energy, Oil & Gas | | | | | | | | | | | 4,451,296 | |
Healthcare & Pharmaceuticals – 3.9% | | | | |||||||||
Alvogen Pharma US Inc., Term Loan – First Lien, 6.000%, 04/01/22 | | | | | 3,256,591 | | | | | | 3,230,132 | |
BioScrip, Inc., Initial Term B Loan – First Lien, 6.500%, 07/31/20 | | | | | 1,214,789 | | | | | | 1,166,197 | |
BioScrip, Inc., Term Loan – First Lien, 6.500%, 07/31/20 | | | | | 728,873 | | | | | | 699,718 | |
Total Healthcare & Pharmaceuticals | | | | | | | | | | | 5,096,047 | |
Hotel, Gaming & Leisure – 4.4% | | | | |||||||||
ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-1 – First Lien, 7.000%, 02/28/19(b) | | | | | 812,876 | | | | | | 813,892 | |
ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-2 – First Lien, 7.000%, 02/28/19(b) | | | | | 1,077,533 | | | | | | 1,078,881 | |
Caesars Entertainment Resort Properties LLC, Term B Loan – First Lien, 7.000%, 10/12/20 | | | | | 1,969,898 | | | | | | 1,890,117 | |
Parq Holdings LP, Term Loan – First Lien, 8.500%, 12/17/20(b) | | | | | 2,000,000 | | | | | | 1,930,000 | |
Total Hotel, Gaming & Leisure | | | | | | | | | | | 5,712,890 | |
Manufacturing – 6.5% | | | | |||||||||
Blount International, Inc., Initial Term Loan – First Lien, 7.250%, 04/05/23(b) | | | | | 1,700,000 | | | | | | 1,710,625 | |
CPM Holdings, Inc., Initial Term Loan – First Lien, 6.000%, 04/11/22 | | | | | 2,079,000 | | | | | | 2,077,701 | |
Duke Finance LLC (OM Group Inc/ Vectra ) Term Loan – First Lien, 7.000%, 10/06/22(b) | | | | | 1,496,241 | | | | | | 1,413,947 | |
MTS Systems Corp, Term B Loan – First Lien, 4.750%, 06/15/23(b) | | | | | 1,500,000 | | | | | | 1,485,360 | |
Preferred Proppants LLC (Preferred Sands), Term Loan – First Lien, 6.750%, 07/27/20(b) | | | | | 2,947,500 | | | | | | 1,842,188 | |
Total Manufacturing | | | | | | | | | | | 8,529,821 | |
Media: Advertising, Printing & Publishing – 5.6% | | | | |||||||||
Cengage Learning Acquisitions, Inc., Term B Loan – First Lien, 5.250%, 03/31/20 | | | | | 2,318,067 | | | | | | 2,294,887 | |
Getty Images, Inc., Initial Term Loan – First Lien, 4.750%, 10/18/19 | | | | | 1,964,377 | | | | | | 1,467,144 | |
Harland Clarke Hldgs., Tranche B-3 Term Loans – First Lien, 7.000%, 05/22/18(b) | | | | | 2,058,333 | | | | | | 2,006,875 | |
Harland Clarke Hldgs., Tranche B-5 Term Loans – First Lien, 7.000%, 12/31/19 | | | | | 1,666,667 | | | | | | 1,618,750 | |
|
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) | | | June 30, 2016 | |||||||||
Investments | | | Principal | | | Value | ||||||
SENIOR LOANS(a) (continued) | | | | |||||||||
Media: Advertising, Printing & Publishing – 5.6% (continued) | | | | |||||||||
Total Media: Advertising, Printing & Publishing | | | | | | | | | | $ | 7,387,656 | |
Media: Broadcasting & Subscription – 1.3% | | | | |||||||||
CSC Holdings, Inc., (Cablevision / Altice Financing / Neptune Finco), Initial Term Loans – First Lien, 5.000%, 10/10/22 | | | | $ | 500,000 | | | | | | 501,750 | |
Tribune Media Co., Term B Loan – First Lien, 3.750%, 12/27/20 | | | | | 1,248,526 | | | | | | 1,198,585 | |
Total Media: Broadcasting & Subscription | | | | | | | | | | | 1,700,335 | |
Media: Diversified and Services – 7.1% | | | | |||||||||
Extreme Reach, Inc., Initial Term Loan – First Lien, 6.750%, 02/07/20 | | | | | 1,332,226 | | | | | | 1,330,841 | |
IMG Worldwide, Inc., Term Loan – First Lien, 5.250%, 05/03/21 | | | | | 1,960,000 | | | | | | 1,956,080 | |
Learfield Communications, Inc., 2014 Replacement Term Loan – First Lien, 4.500%, 10/09/20 | | | | | 981,961 | | | | | | 978,279 | |
Match Group, Inc., Term B-1 Loans – First Lien, 5.500%, 10/27/22 | | | | | 594,141 | | | | | | 598,350 | |
Mood Media Corporation, Term Loan – First Lien, 7.000%, 05/01/19 | | | | | 4,887,500 | | | | | | 4,502,609 | |
Total Media: Diversified and Services | | | | | | | | | | | 9,366,159 | |
Metals & Mining – 0.3% | | | | |||||||||
TMS International Corp. (Tube City), Term Loan B – First Lien, 4.500%, 10/16/20(b) | | | | | 479,847 | | | | | | 439,060 | |
Packaging – 1.5% | | | | |||||||||
BWAY Holding Co. (ICL Industrial Containers ULC/ICL), Initial Term Loan – First Lien, 5.500%, 08/14/20 | | | | | 1,907,623 | | | | | | 1,904,046 | |
Restaurants – 2.0% | | | | |||||||||
Restaurant Brands International, Inc., (Burger King), Term B – First Lien, 3.750%, 12/10/21 | | | | | 751,334 | | | | | | 751,334 | |
Steak n Shake Operations, Inc., Term Loan – First Lien, 4.750%, 03/19/21(b) | | | | | 1,856,345 | | | | | | 1,828,500 | |
Total Restaurants | | | | | | | | | | | 2,579,834 | |
Retail – 8.3% | | | | |||||||||
Albertson’s LLC, 2016-1 Term Loan B-4 – First Lien, 5.500%, 08/25/21 | | | | | 1,702,904 | | | | | | 1,703,671 | |
Albertson’s LLC, 2016-1 Term Loan B-5 – First Lien, 4.750%, 12/01/22 | | | | | 1,496,250 | | | | | | 1,497,342 | |
Charming Charlie LLC, Initial Term Loan – First Lien, 9.000%, 12/24/19(b) | | | | | 910,833 | | | | | | 637,583 | |
CWGS Group LLC (Camping World), Term Loan B – First Lien, 5.750%, 02/20/20 | | | | | 2,443,664 | | | | | | 2,430,688 | |
FullBeauty Brands LP / OSP Group, Inc. (a/k/a OneStopPlus Group & Redcats USA), Initial Term Loans – First Lien, 5.750%, 10/14/22 | | | | | 997,500 | | | | | | 951,366 | |
J. Crew Group, Inc., Initial Loans – First Lien, 4.000%, 03/05/21 | | | | | 494,949 | | | | | | 341,052 | |
Jill Acquisition LLC, Term Loan – First Lien, 6.000%, 05/08/22(b) | | | | | 1,042,125 | | | | | | 1,026,493 | |
PET Acquisition Merger Sub LLC (Petco), Tranche B-1 Term Loan – First Lien, 5.750%, 01/26/23 | | | | | 1,271,562 | | | | | | 1,267,360 | |
PetSmart, Inc., Tranche B-1 Loan – First Lien, 4.250%, 03/11/22 | | | | | 990,000 | | | | | | 987,159 | |
Total Retail | | | | | | | | | | | 10,842,714 | |
Services: Business – 16.4% | | | | |||||||||
Affinion Group Holdings, Inc., Tranche B Term Loan – First Lien, 6.750%, 04/30/18 | | | | | 354,585 | | | | | | 323,017 |
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) | | | June 30, 2016 | |||||||||
Investments | | | Principal | | | Value | ||||||
SENIOR LOANS(a) (continued) | | | | |||||||||
Services: Business – 16.4% (continued) | | | | |||||||||
Centerplate, Inc. (KPLT), Term Loan A – First Lien, 4.750%, 11/26/19 | | | | $ | 977,500 | | | | | $ | 947,564 | |
Checkout Holding Corp., Term Loan B – First Lien, 4.500%, 04/09/21 | | | | | 2,940,000 | | | | | | 2,474,510 | |
CT Technologies Intermediate Holdings, Inc. (HealthPort), Initial Term Loan – First Lien, 5.250%, 12/01/21 | | | | | 1,970,100 | | | | | | 1,940,549 | |
Cvent Inc, Term Loan B – First Lien, 6.250%, 06/03/23 | | | | | 2,500,000 | | | | | | 2,500,000 | |
Deluxe Entertainment Services Group, Inc., Initial Term Loan – First Lien, 6.500%, 02/28/20(b) | | | | | 1,899,801 | | | | | | 1,857,055 | |
Goldcup Merger Sub, Inc (eResearch Technology, Explorer Holdings), Initial Term Loan – First Lien, 6.000%, 05/02/23 | | | | | 1,500,000 | | | | | | 1,503,750 | |
Novitex Acquisition LLC (Pitney Bowes), Tranche B-2 Term Loan – First Lien, 7.500%, 07/07/20(b) | | | | | 1,935,000 | | | | | | 1,838,250 | |
RentPath, Inc., Term Loan – First Lien, 6.250%, 12/17/21 | | | | | 1,970,000 | | | | | | 1,784,081 | |
RentPath, Inc., Term Loan – Second Lien, 10.000%, 12/19/22(b) | | | | | 1,000,000 | | | | | | 785,000 | |
Solera Holdings, Inc., Dollar Term Loan – First Lien, 5.750%, 02/28/23 | | | | | 940,500 | | | | | | 941,379 | |
SourceHOV LLC, Term B Loan – First Lien, 7.750%, 10/31/19 | | | | | 1,415,625 | | | | | | 1,043,139 | |
TCH-2 Holdings LLC (TravelClick), Term Loan – First Lien, 5.500%, 05/12/21(b) | | | | | 1,961,013 | | | | | | 1,948,756 | |
TCH-2 Holdings LLC (TravelClick), Initial Term Loan – Second Lien, 8.750%, 11/12/21(b) | | | | | 1,750,000 | | | | | | 1,627,500 | |
Total Services: Business | | | | | | | | | | | 21,514,550 | |
Services: Consumer – 7.9% | | | | |||||||||
Fitness International LLC (LA Fitness), Term Loan B – First Lien, 5.500%, 07/01/20 | | | | | 964,022 | | | | | | 956,489 | |
Jackson Hewitt Tax Service, Inc., Initial Term Loan – First Lien, 8.000%, 07/30/20 | | | | | 980,000 | | | | | | 964,075 | |
New Millennium Holdco, Inc. and Millennium Health, LLC, Closing Date Term Loan – First Lien, 7.500%, 12/21/20 | | | | | 1,011,984 | | | | | | 750,765 | |
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan (2013) – First Lien, 6.500%, 07/01/19 | | | | | 2,794,562 | | | | | | 2,784,096 | |
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan – Second Lien, 10.250%, 07/01/20(b) | | | | | 1,500,000 | | | | | | 1,492,500 | |
Renaissance Learning, Inc., Initial Term Loan – First Lien, 4.500%, 04/09/21 | | | | | 1,955,000 | | | | | | 1,914,678 | |
Renaissance Learning, Inc., Initial Term Loan – Second Lien, 8.000%, 04/11/22 | | | | | 1,000,000 | | | | | | 926,665 | |
TruGreen LP, Term Loan B – First Lien, 6.500%, 04/13/23(b) | | | | | 500,000 | | | | | | 503,125 | |
Total Services: Consumer | | | | | | | | | | | 10,292,393 | |
Services: Rental – 0.3% | | | | |||||||||
North American Lifting Holdings, Inc. (TNT Crane), Initial Term Loan – Second Lien, 10.000%, 11/26/21 | | | | | 500,000 | | | | | | 332,500 | |
Technology: Contract Manufacturing – 1.0% | | | | |||||||||
TTM Technologies, Inc., Term B Loan – First Lien, 6.000%, 05/31/21(b) | | | | | 1,328,121 | | | | | | 1,318,160 | |
Technology: Hardware – 3.6% | | | | |||||||||
Eastman Kodak Company, Term Loan – First Lien, 7.250%, 09/03/19 | | | | | 972,431 | | | | | | 947,308 | |
Western Digital Corp, U.S. Term B Loan – First Lien, 6.250%, 04/28/23 | | | | | 2,000,000 | | | | | | 2,010,940 |
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) | | | June 30, 2016 | |||||||||
Investments | | | Principal | | | Value | ||||||
SENIOR LOANS(a) (continued) | | | | |||||||||
Technology: Hardware – 3.6% (continued) | | | | |||||||||
Zebra Technologies Corp, New Term Loan – First Lien, 4.000%, 09/30/21 | | | | $ | 1,759,091 | | | | | $ | 1,761,290 | |
Total Technology: Hardware | | | | | | | | | | | 4,719,538 | |
Technology: Semiconductor – 0.5% | | | | |||||||||
M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan – First Lien, 4.500%, 05/07/21 | | | | | 624,750 | | | | | | 624,750 | |
Technology: Services – 10.9% | | | | |||||||||
Ability Networks, Inc., Initial Term Loan – Second Lien, 9.250%, 05/16/22(b) | | | | | 1,000,000 | | | | | | 980,000 | |
Ancestry.com, Inc., Initial Term Loan – First Lien, 5.000%, 08/29/22 | | | | | 1,746,800 | | | | | | 1,743,254 | |
AP Gaming I LLC (American Gaming Systems), Term B Loan – First Lien, 9.250%, 12/20/20 | | | | | 987,342 | | | | | | 933,966 | |
ConvergeOne Holdings Corporation, Initial Term Loan – First Lien, 6.000%, 06/17/20(b) | | | | | 1,470,000 | | | | | | 1,429,575 | |
First Data Corporation., 2022 Dollar Term Loan – First Lien, 4.193%, 09/24/18 | | | | | 1,500,000 | | | | | | 1,489,687 | |
MH Sub I LLC & Micro (Internet Brands), Term Loan – First Lien, 5.000%, 07/08/21 | | | | | 1,960,847 | | | | | | 1,950,641 | |
PGX Holdings, Inc. (Progrexion), Initial Term Loan – First Lien, 5.750%, 09/29/20 | | | | | 1,899,286 | | | | | | 1,896,912 | |
Scientific Games International, Inc., Term Loan B-2 – First Lien, 6.000%, 10/01/21 | | | | | 3,940,000 | | | | | | 3,891,242 | |
Total Technology: Services | | | | | | | | | | | 14,315,277 | |
Technology: Software – 11.2% | | | | |||||||||
Compuware Corp., Tranche B2 Term Loan – First Lien, 6.250%, 12/15/21 | | | | | 1,477,500 | | | | | | 1,373,152 | |
Deltek, Inc. Term Loan – Second Lien, 9.500%, 06/26/23 | | | | | 1,000,000 | | | | | | 1,013,125 | |
GTCR Valor Companies, Inc. (Cision Vocus) (Project Volcano), Term Loan B – First Lien, 7.000%, 05/17/23 | | | | | 2,000,000 | | | | | | 1,911,880 | |
Hyland Software, Inc. Initial Loans – Second Lien, 8.500%, 05/27/23 | | | | | 1,000,000 | | | | | | 965,000 | |
Lanyon Solutions, Inc., Term Loan – First Lien, 5.500%, 11/13/20 | | | | | 2,446,092 | | | | | | 2,428,761 | |
Riverbed Technology, Inc., Term B Loan – First Lien, 5.000%, 04/24/22 | | | | | 975,447 | | | | | | 976,598 | |
RP Crown Parent LLC (Red Prairie), Term Loan B – First Lien, 6.000%, 12/21/18 | | | | | 1,458,825 | | | | | | 1,376,307 | |
RP Crown Parent LLC (Red Prairie), Term Loan – Second Lien, 11.250%, 12/21/19 | | | | | 2,000,000 | | | | | | 1,668,340 | |
SolarWinds, Inc., Initial US Term Loan – First Lien, 6.500%, 02/03/23 | | | | | 3,000,000 | | | | | | 2,994,375 | |
Total Technology: Software | | | | | | | | | | | 14,707,538 | |
Telecommunications – 8.6% | | | | |||||||||
Asurion Delivery and Installation Services, Inc., Incremental Tranche B-1 Term Loan – First Lien, 5.000%, 05/24/19 | | | | | 725,889 | | | | | | 723,472 | |
Asurion Delivery and Installation Services, Inc., Incremental Tranche B-4 Term Loan – First Lien, 5.000%, 08/04/22 | | | | | 1,957,500 | | | | | | 1,934,499 | |
Asurion Delivery and Installation Services, Inc., Term Loan – Second Lien, 8.500%, 03/03/21 | | | | | 1,000,000 | | | | | | 967,000 | |
Avaya, Inc., Refinancing Term B-7 – First Lien, 6.250%, 05/29/20 | | | | | 1,970,384 | | | | | | 1,410,470 | |
Avaya, Inc., Replacement Term Loan B-6 – First Lien, 6.500%, 03/31/18 | | | | | 1,306,662 | | | | | | 984,354 |
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (continued) | | | June 30, 2016 | |||||||||
Investments | | | Principal | | | Value | ||||||
SENIOR LOANS(a) (continued) | | | | |||||||||
Telecommunications – 8.6% (continued) | | | | |||||||||
Birch Communications, Inc., Term Loan – First Lien, 7.750%, 07/17/20(b) | | | | $ | 1,867,148 | | | | | $ | 1,559,069 | |
Communications Sales & Leasing, Inc. (CSL Capital, LLC / Windstream), Term Loan – First Lien, 5.000%, 10/24/22 | | | | | 1,980,000 | | | | | | 1,961,437 | |
Fairpoint Communications, Inc., Term Loan – First Lien, 7.500%, 02/14/19 | | | | | 976,929 | | | | | | 977,032 | |
IPC Corp., Term Loans – Second Lien, 10.500%, 02/06/22 | | | | | 1,000,000 | | | | | | 792,500 | |
Total Telecommunications | | | | | | | | | | | 11,309,833 | |
Transportation: Services – 2.6% | | | | |||||||||
Commercial Barge Line Co. (American Commercial Lines), Initial Term Loan – First Lien, 9.750%, 11/12/20(b) | | | | | 1,319,238 | | | | | | 1,233,488 | |
Gruden Acquisition, Inc. (Quality Distribution LLC), Term Loan – Second Lien, 9.500%, 08/18/23 | | | | | 500,000 | | | | | | 376,668 | |
Sirva Worldwide, Inc., Term Loan – First Lien, 7.500%, 03/27/19(b) | | | | | 1,881,312 | | | | | | 1,787,246 | |
Total Transportation: Services | | | | | | | | | | | 3,397,402 | |
Waste Management – 1.3% | | | | |||||||||
Energy Solutions LLC (Envirocare of Utah), Term Advance – First Lien, 6.750%, 05/29/20(b) | | | | | 1,788,750 | | | | | | 1,744,031 | |
Wholesale – 1.4% | | | | |||||||||
4L Technologies, Inc. (Clover Technologies), Initial Term Loan – First Lien, 5.500%, 05/08/20 | | | | | 910,934 | | | | | | 811,870 | |
FPC Holdings, Inc. (Fleetpride), Initial Term Loan – First Lien, 5.250%, 11/19/19 | | | | | 1,166,741 | | | | | | 990,762 | |
Total Wholesale | | | | | | | | | | | 1,802,632 | |
Total Senior Loans (Cost $176,776,606) | | | | | | | | | | | 167,583,099 | |
CORPORATE BONDS – 8.6% (6.0% of Total Investments) | | | | | | | | | | | | |
Aerospace & Defense – 0.7% | | | | |||||||||
Constellis Holdings LLC / Constellis Finance Corp., 9.750%, 05/15/20‡ | | | | | 1,000,000 | | | | | | 962,500 | |
Chemicals, Plastics & Rubber – 1.1% | | | | |||||||||
Aruba Investments, Inc., 8.750%, 02/15/23‡ | | | | | 1,500,000 | | | | | | 1,451,250 | |
Media: Advertising, Printing & Publishing – 1.1% | | | | |||||||||
Getty Images, Inc., 7.000%, 10/15/20‡ | | | | | 1,000,000 | | | | | | 491,000 | |
Harland Clarke Holdings Corp., 6.875%, 03/01/20‡ | | | | | 1,000,000 | | | | | | 925,833 | |
Total Media: Advertising, Printing & Publishing | | | | | | | | | | | 1,416,833 | |
Media: Broadcasting & Subscription – 1.5% | | | | |||||||||
Radio One, Inc., 7.375%, 04/15/22‡ | | | | | 2,000,000 | | | | | | 1,917,500 | |
Media: Diversified and Services – 0.4% | | | | |||||||||
Match Group, Inc., 6.375%, 06/01/24‡ | | | | | 573,000 | | | | | | 596,636 | |
Retail – 0.4% | | | | |||||||||
GameStop Corp., 6.750%, 03/15/21‡ | | | | | 500,000 | | | | | | 497,878 | |
|
THL Credit Senior Loan Fund Schedule of Investments (unaudited) (concluded) | | | June 30, 2016 | |||||||||
Investments | | | Principal | | | Value | ||||||
CORPORATE BONDS (continued) | | | | |||||||||
Services: Business – 1.1% | | | | |||||||||
Iron Mountain US Holdings, Inc., 5.375%, 06/01/26‡ | | | | $ | 383,000 | | | | | $ | 371,510 | |
Iron Mountain, Inc., 4.375%, 06/01/21‡ | | | | | 383,000 | | | | | | 387,309 | |
Solera LLC / Solera Finance, Inc., 10.500%, 03/01/24‡ | | | | | 680,000 | | | | | | 714,850 | |
Total Services: Business | | | | | | | | | | | 1,473,669 | |
Services: Rental – 0.1% | | | | |||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 6.375%, 04/01/24‡ | | | | | 92,000 | | | | | | 91,483 | |
Technology: Hardware – 0.1% | | | | |||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., 7.125%, 06/15/24‡ | | | | | 189,000 | | | | | | 197,623 | |
Technology: Software – 1.3% | | | | |||||||||
Blue Coat Holdings, Inc., 8.375%, 06/01/23‡ | | | | | 1,500,000 | | | | | | 1,691,250 | |
Wholesale – 0.8% | | | | |||||||||
WESCO Distribution, Inc., 5.375%, 06/15/24‡(b) | | | | | 1,000,000 | | | | | | 1,001,250 | |
Total Corporate Bonds (Cost $11,409,728) | | | | | | | | | | | 11,297,872 | |
| | | Shares | | | | | | ||||
COMMON STOCK – 0.1% (0.1% of Total Investments) | | | | |||||||||
Services: Consumer – 0.1% | | | | |||||||||
New Millennium Holdco, Inc. (Cost $215,987) | | | | | 29,712 | | | | | | 111,420 | |
MONEY MARKET FUND – 7.3% (5.1% of Total Investments) | | | | |||||||||
Morgan Stanley Institutional Liquidity Treasury Portfolio – Institutional Share Class, 0.26%(c) (Cost $9,565,774) | | | | | 9,565,774 | | | | | | 9,565,774 | |
Total Investments in Securities – 143.9% (Cost $197,968,095) | | | | | | | | | | | 188,558,165 | |
Line of Credit Payable (Cost $52,000,000) – (39.7)% | | | | | | | | | | | (52,000,000) | |
Liabilities in Excess of Other Assets – (4.2%) | | | | | | | | | | | (5,509,206) | |
Net Assets – 100.0% | | | | | | | | | | $ | 131,048,959 | |
|
SUMMARY OF SCHEDULE OF INVESTMENTS | | | % of Net Assets | | |||
Aerospace & Defense | | | | | 2.9% | | |
Automotive | | | | | 1.9 | | |
Banking, Finance, Insurance & Real Estate | | | | | 3.0 | | |
Beverage, Food & Tobacco | | | | | 3.0 | | |
Capital Goods | | | | | 0.6 | | |
Chemicals, Plastics & Rubber | | | | | 1.9 | | |
Construction & Engineering | | | | | 1.9 | | |
Consumer Products: Durables | | �� | | | 1.1 | | |
Consumer Products: Non Durables | | | | | 3.4 | | |
Energy, Oil & Gas | | | | | 3.4 | | |
Healthcare & Pharmaceuticals | | | | | 3.9 | | |
Hotel, Gaming & Leisure | | | | | 4.4 | | |
Manufacturing | | | | | 6.5 | | |
Media: Advertising, Printing & Publishing | | | | | 6.7 | | |
Media: Broadcasting & Subscription | | | | | 2.8 | | |
Media: Diversified and Services | | | | | 7.5 | | |
Metals & Mining | | | | | 0.3 | | |
Packaging | | | | | 1.5 | | |
Restaurants | | | | | 2.0 | | |
Retail | | | | | 8.7 | | |
Services: Business | | | | | 17.5 | | |
Services: Consumer | | | | | 8.0 | | |
Services: Rental | | | | | 0.4 | | |
Technology: Contract Manufacturing | | | | | 1.0 | | |
Technology: Hardware | | | | | 3.7 | | |
Technology: Semiconductor | | | | | 0.5 | | |
Technology: Services | | | | | 10.9 | | |
Technology: Software | | | | | 12.5 | | |
Telecommunications | | | | | 8.6 | | |
Transportation: Services | | | | | 2.6 | | |
Waste Management | | | | | 1.3 | | |
Wholesale | | | | | 2.2 | | |
Money Market Fund | | | | | 7.3 | | |
Total Investments | | | | | 143.9 | | |
Line of Credit Payable | | | | | (39.7) | | |
Liabilities in Excess of Other Assets | | | | | (4.2) | | |
Net Assets | | | | | 100.0% | | |
| | |
THL Credit Senior Loan Fund Statement of Assets and Liabilities | | | June 30, 2016 (unaudited) | |||
ASSETS | | | ||||
Investments, at value (cost $197,968,095) | | | | $ | 188,558,165 | |
Cash | | | | | 401,539 | |
Receivable for investments sold | | | | | 52,454 | |
Interest receivable | | | | | 791,232 | |
Prepaid expenses | | | | | 25,549 | |
Total Assets | | | | | 189,828,939 | |
LIABILITIES | | | ||||
Borrowings (note 4) | | | | | 52,000,000 | |
Payable for securities purchased | | | | | 6,438,750 | |
Advisory fee payable (note 5) | | | | | 158,051 | |
Investor support services fee payable (note 5) | | | | | 7,526 | |
Accrued interest on borrowings | | | | | 2,079 | |
Other accrued expenses | | | | | 173,574 | |
Total Liabilities | | | | | 58,779,980 | |
Net Assets | | | | $ | 131,048,959 | |
COMPONENTS OF NET ASSETS | | | ||||
Paid-in-capital | | | | $ | 141,356,356 | |
Undistributed net investment income | | | | | 719,859 | |
Accumulated net realized loss on investments | | | | | (1,617,326) | |
Net unrealized depreciation on investments | | | | | (9,409,930) | |
Net Assets | | | | $ | 131,048,959 | |
Common Shares Outstanding (unlimited shares authorized; $0.001 per share par value) | | | | | 7,418,990 | |
Net Asset Value Per Share | | | | $ | 17.66 | |
|
THL Credit Senior Loan Fund Statement of Operations | | | For the Six Months Ended June 30, 2016 (unaudited) | | |||
INVESTMENT INCOME: | | | | | | | |
Interest | | | | $ | 6,691,749 | | |
Total Investment Income | | | | | 6,691,749 | | |
EXPENSES: | | | |||||
Advisory fees (Note 5) | | | | | 935,474 | | |
Interest expense & fees on borrowings | | | | | 338,490 | | |
Professional fees | | | | | 116,294 | | |
Administration fees | | | | | 56,731 | | |
Trustees’ fees and expenses (Note 5) | | | | | 54,306 | | |
Investor support services fees (Note 5) | | | | | 44,546 | | |
Insurance expense | | | | | 30,669 | | |
Printing and mailing expense | | | | | 25,561 | | |
Compliance fees | | | | | 14,015 | | |
Custodian fees | | | | | 12,432 | | |
NYSE listing fee | | | | | 12,195 | | |
Transfer Agent fees | | | | | 9,051 | | |
Other expenses | | | | | 49,256 | | |
Total Expenses | | | | | 1,699,020 | | |
Net Investment Income | | | | | 4,992,729 | | |
NET REALIZED AND CHANGE IN UNREALIZED GAIN (LOSS) ON INVESTMENTS: | | | |||||
Net realized loss investments | | | | | (172,425) | | |
Net change in unrealized depreciation on investments | | | | | 3,021,489 | | |
Net realized and unrealized gain on investments | | | | | 2,849,064 | | |
Net Increase in Net Assets from Operations | | | | $ | 7,841,793 | | |
|
THL Credit Senior Loan Fund Statement of Changes in Net Assets | | | Six months ended June 30, 2016 (Unaudited) | | | Year ended December 31, 2015 | | ||||||
OPERATIONS | | | | ||||||||||
Net investment income | | | | $ | 4,992,729 | | | | | $ | 10,066,792 | | |
Net realized loss on investments | | | | | (172,425) | | | | | | (1,776,502) | | |
Net change in unrealized depreciation on investments and delayed draw loan commitments | | | | | 3,021,489 | | | | | | (9,372,208) | | |
Net increase (decrease) in net assets from operations | | | | | 7,841,793 | | | | | | (1,081,918) | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | ||||||||||
From net investment income | | | | | (4,748,153) | | | | | | (9,439,497) | | |
From net realized gains | | | | | — | | | | | | (553,753) | | |
Total distributions to shareholders | | | | | (4,748,153) | | | | | | (9,993,250) | | |
CAPITAL STOCK TRANSACTIONS | | | | ||||||||||
Dividend reinvestment | | | | | — | | | | | | 5,213 | | |
Net Increase (Decrease) in Net Assets | | | | | 3,093,640 | | | | | | (11,069,955) | | |
NET ASSETS: | | | | ||||||||||
Beginning of period | | | | $ | 127,955,319 | | | | | $ | 139,025,274 | | |
End of period | | | | $ | 131,048,959 | | | | | $ | 127,955,319 | | |
Undistributed net investment income | | | | $ | 719,859 | | | | | $ | 475,283 | | |
|
Statement of Cash FlowsFor the Period January 1, 2016 to June 30, 2016
| Cash Flows From Operating Activities: | | | |||||
| Net increase in net assets from operations | | | | $ | 7,841,793 | | |
| Adjustments to reconcile net increase in net assets from operations to net cash used by operating activities: | | | |||||
| Purchases of long-term investments | | | | | (38,433,452) | | |
| Proceeds from sales of long-term investments | | | | | 33,415,534 | | |
| Net increase in short-term investments | | | | | (94,521) | | |
| Net change in unrealized depreciation on investments and delayed draw loan commitments | | | | | (3,021,489) | | |
| Net accretion/amortization of premium or discount | | | | | (227,344) | | |
| Net increase in realized gains from principal paydowns | | | | | (124,302) | | |
| Net realized loss on investments | | | | | 172,425 | | |
| Decrease in receivable for investments sold | | | | | 325,023 | | |
| Decrease in interest receivable | | | | | 5,084 | | |
| Decrease in prepaid expenses | | | | | 18,795 | | |
| Increase in payable for investments purchased | | | | | 4,707,500 | | |
| Decrease in advisory fee payable | | | | | (3,497) | | |
| Decrease in investor support services fee payable | | | | | (167) | | |
| Decrease in accrued interest on borrowing | | | | | (11,631) | | |
| Decrease in other accrued expenses | | | | | (23,647) | | |
| Net cash provided by operating activities | | | | | 4,546,104 | | |
| Cash Flows from Financing Activities: | | | |||||
| Net proceeds from borrowings | | | | | — | | |
| Dividend reinvestment | | | | | — | | |
| Distributions paid | | | | | (4,748,153) | | |
| Net cash used by financing activities | | | | | (4,748,153) | | |
| Net decrease in cash | | | | | (202,049) | | |
| Cash, beginning of period | | | | | 603,588 | | |
| Cash, end of period | | | | $ | 401,539 | | |
| Supplemental disclosure of cash flow information: | | | |||||
| Cash paid for interest on borrowings | | | | $ | 350,121 | | |
THL Credit Senior Loan Fund Financial Highlights | | | For the Six months ended June 30, 2016 (Unaudited) | | | Year ended December 31, 2015 | | | 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 | | | | $ | 17.25 | | | | | $ | 18.74 | | | | | $ | 19.42 | | | | | $ | 19.06 | | |
Operations: | | | | | | ||||||||||||||||||||
Net investment income(1) | | | | | 0.67 | | | | | | 1.36 | | | | | | 1.25 | | | | | | 0.33 | | |
Net realized and unrealized gain (loss) on investments and delayed draw loan commitments(2) | | | | | 0.38 | | | | | | (1.50) | | | | | | (0.50) | | | | | | 0.27 | | |
Total income from operations | | | | | 1.05 | | | | | | (0.14) | | | | | | 0.75 | | | | | | 0.60 | | |
Distributions to shareholders from: | | | | | | ||||||||||||||||||||
Net investment income | | | | | (0.64) | | | | | | (1.27) | | | | | | (1.32) | | | | | | (0.24) | | |
Net realized gains | | | | | — | | | | | | (0.08) | | | | | | (0.11) | | | | | | — | | |
Total distributions to shareholders | | | | | (0.64) | | | | | | (1.35) | | | | | | (1.43) | | | | | | (0.24) | | |
Net assets value per share, end of period | | | | $ | 17.66 | | | | | $ | 17.25 | | | | | $ | 18.74 | | | | | $ | 19.42 | | |
Market price per share, end of period | | | | $ | 16.08 | | | | | $ | 15.86 | | | | | $ | 17.06 | | | | | $ | 18.36 | | |
Total return:(3) | | | | | | ||||||||||||||||||||
Net asset value | | | | | 6.18% | | | | | | (0.96)% | | | | | | 3.87% | | | | | | 3.15% | | |
Market value | | | | | 5.63% | | | | | | 0.69% | | | | | | 0.58% | | | | | | (7.00)% | | |
Ratios/Supplemental Data: | | | | | | ||||||||||||||||||||
Net Assets, end of period (000’s) | | | | $ | 131,049 | | | | | $ | 127,955 | | | | | $ | 139,025 | | | | | $ | 144,046 | | |
Ratio of expenses, including interest on borrowings, to average net assets | | | | | 2.67%(4) | | | | | | 2.63% | | | | | | 2.38% | | | | | | 2.46%(4) | | |
Ratio of expenses, excluding interest on borrowings, to average net assets | | | | | 2.14%(4) | | | | | | 2.14% | | | | | | 2.02% | | | | | | 2.18%(4) | | |
Ratio of net investment Income, including interest on borrowings, to average net assets | | | | | 7.85%(4) | | | | | | 7.37% | | | | | | 6.44% | | | | | | 6.14%(4) | | |
Ratio of net investment Income, excluding interest on borrowings, to average net assets | | | | | 8.38%(4) | | | | | | 7.86% | | | | | | 6.79% | | | | | | 6.41%(4) | | |
Portfolio turnover rate | | | | | 19% | | | | | | 34% | | | | | | 93% | | | | | | 20% | | |
Borrowings: | | | | | | ||||||||||||||||||||
Aggregate principal amount, end of period (000s) | | | | $ | 52,000 | | | | | $ | 52,000 | | | | | $ | 49,000 | | | | | $ | 46,000 | | |
Average borrowings outstanding during the period (000s) | | | | $ | 51,242 | | | | | $ | 56,099 | | | | | $ | 41,834 | | | | | $ | 40,308(5) | | |
Asset coverage, end of period per $1,000 of debt(6) | | | | $ | 3,520 | | | | | $ | 3,461 | | | | | $ | 3,837 | | | | | $ | 4,131 | | |
Asset Type | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Senior Loans* | | | | | | ||||||||||||||||||||
Aerospace & Defense | | | | $ | — | | | | | $ | 902,500 | | | | | $ | 2,012,051 | | | | | $ | 2,914,551 | | |
Automotive | | | | | — | | | | | | 222,916 | | | | | | 2,346,059 | | | | | | 2,568,975 | | |
Banking, Finance, Insurance & Real Estate | | | | | — | | | | | | 2,869,938 | | | | | | 1,021,169 | | | | | | 3,891,107 | | |
Beverage, Food & Tobacco | | | | | — | | | | | | — | | | | | | 3,969,414 | | | | | | 3,969,414 | | |
Capital Goods | | | | | — | | | | | | 799,500 | | | | | | — | | | | | | 799,500 | | |
Chemicals, Plastics & Rubber | | | | | — | | | | | | — | | | | | | 998,750 | | | | | | 998,750 | | |
Construction & Engineering | | | | | — | | | | | | — | | | | | | 2,450,000 | | | | | | 2,450,000 | | |
Consumer Products: Durables | | | | | — | | | | | | — | | | | | | 1,486,096 | | | | | | 1,486,096 | | |
Consumer Products: Non Durables | | | | | — | | | | | | 4,171,958 | | | | | | 244,286 | | | | | | 4,416,244 | | |
Energy, Oil & Gas | | | | | — | | | | | | 1,760,738 | | | | | | 2,690,558 | | | | | | 4,451,296 | | |
Healthcare & Pharmaceuticals | | | | | — | | | | | | 5,096,047 | | | | | | — | | | | | | 5,096,047 | | |
Hotel, Gaming & Leisure | | | | | — | | | | | | 1,890,117 | | | | | | 3,822,773 | | | | | | 5,712,890 | | |
Manufacturing | | | | | — | | | | | | 2,077,701 | | | | | | 6,452,120 | | | | | | 8,529,821 | | |
Media: Advertising, Printing & Publishing | | | | | — | | | | | | 5,380,781 | | | | | | 2,006,875 | | | | | | 7,387,656 | | |
Media: Broadcasting & Subscription | | | | | — | | | | | | 1,700,335 | | | | | | — | | | | | | 1,700,335 | | |
Media: Diversified and Services | | | | | — | | | | | | 9,366,159 | | | | | | — | | | | | | 9,366,159 | | |
Metals & Mining | | | | | — | | | | | | — | | | | | | 439,060 | | | | | | 439,060 | | |
Packaging | | | | | — | | | | | | 1,904,046 | | | | | | — | | | | | | 1,904,046 | | |
Restaurants | | | | | — | | | | | | 751,334 | | | | | | 1,828,500 | | | | | | 2,579,834 | | |
Retail | | | | | — | | | | | | 9,178,638 | | | | | | 1,664,076 | | | | | | 10,842,714 | | |
Services: Business | | | | | — | | | | | | 13,457,989 | | | | | | 8,056,561 | | | | | | 21,514,550 | | |
Services: Consumer | | | | | — | | | | | | 8,296,768 | | | | | | 1,995,625 | | | | | | 10,292,393 | | |
Services: Rental | | | | | — | | | | | | 332,500 | | | | | | — | | | | | | 332,500 | | |
Technology: Contract Manufacturing | | | | | — | | | | | | — | | | | | | 1,318,160 | | | | | | 1,318,160 | | |
Technology: Hardware | | | | | — | | | | | | 4,719,538 | | | | | | — | | | | | | 4,719,538 | | |
Technology: Semiconductor | | | | | — | | | | | | 624,750 | | | | | | — | | | | | | 624,750 | | |
Technology: Services | | | | | — | | | | | | 11,905,702 | | | | | | 2,409,575 | | | | | | 14,315,277 | | |
Technology: Software | | | | | — | | | | | | 14,707,538 | | | | | | — | | | | | | 14,707,538 | | |
Telecommunications | | | | | — | | | | | | 9,750,764 | | | | | | 1,559,069 | | | | | | 11,309,833 | | |
Transportation: Services | | | | | — | | | | | | 376,668 | | | | | | 3,020,734 | | | | | | 3,397,402 | | |
Waste Management | | | | | — | | | | | | — | | | | | | 1,744,031 | | | | | | 1,744,031 | | |
Wholesale | | | | | — | | | | | | 1,802,632 | | | | | | — | | | | | | 1,802,632 | | |
Corporate Bonds* | | | | | | ||||||||||||||||||||
Aerospace & Defense | | | | | — | | | | | | 962,500 | | | | | | — | | | | | | 962,500 | | |
Chemicals, Plastics & Rubber | | | | | — | | | | | | 1,451,250 | | | | | | — | | | | | | 1,451,250 | | |
Media: Advertising, Printing & Publishing | | | | | — | | | | | | 1,416,833 | | | | | | — | | | | | | 1,416,833 | | |
Media: Broadcasting & Subscription | | | | | — | | | | | | 1,917,500 | | | | | | — | | | | | | 1,917,500 | | |
Media: Diversified and Services | | | | | — | | | | | | 596,636 | | | | | | — | | | | | | 596,636 | | |
Retail | | | | | — | | | | | | 497,878 | | | | | | — | | | | | | 497,878 | | |
Services: Business | | | | | — | | | | | | 1,473,669 | | | | | | — | | | | | | 1,473,669 | | |
Services: Rental | | | | | — | | | | | | 91,483 | | | | | | — | | | | | | 91,483 | | |
Technology: Hardware | | | | | — | | | | | | 197,623 | | | | | | — | | | | | | 197,623 | | |
Technology: Software | | | | | — | | | | | | 1,691,250 | | | | | | — | | | | | | 1,691,250 | | |
Wholesale | | | | | — | | | | | | — | | | | | | 1,001,250 | | | | | | 1,001,250 | | |
Common Stock* | | | | | — | | | | | | 111,420 | | | | | | — | | | | | | 111,420 | | |
Money Market Fund | | | | | — | | | | | | 9,565,774 | | | | | | — | | | | | | 9,565,774 | | |
Total Investments | | | | $ | — | | | | | $ | 134,021,373 | | | | | $ | 54,536,792 | | �� | | | $ | 188,558,165 | | |
|
| | | Senior Loans | | | Corporate Bonds | | | Common Stock | | | Total | | ||||||||||||
Balance as of December 31, 2015 | | | | $ | 49,155,414 | | | | | $ | 1,441,875 | | | | | $ | 148,560 | | | | | $ | 50,745,849 | | |
Realized gain | | | | | 38,460 | | | | | | — | | | | | | — | | | | | | 38,460 | | |
Change in unrealized appreciation | | | | | (1,064,542) | | | | | | (8,125) | | | | | | 313,833 | | | | | | (758,834) | | |
Amortization (accretion) | | | | | 63,359 | | | | | | — | | | | | | — | | | | | | 63,359 | | |
Purchases | | | | | 5,984,000 | | | | | | 1,000,000 | | | | | | — | | | | | | 6,984,000 | | |
Sales and principal paydowns | | | | | (3,082,638) | | | | | | — | | | | | | — | | | | | | (3,082,638) | | |
Transfers into Level 3 | | | | | 12,250,546 | | | | | | — | | | | | | — | | | | | | 12,250,546 | | |
Transfers out of Level 3 | | | | | (9,809,057) | | | | | | (1,432,500) | | | | | | (462,393) | | | | | | (11,703,950) | | |
Balance as of June 30, 2016 | | | | | 53,535,542 | | | | | | 1,001,250 | | | | | | — | | | | | | 54,536,792 | | |
Net change in unrealized depreciation included in the Statement of Operations attributable to Level 3 investments held at June 30, 2016 | | | | | (764,685) | | | | | | 1,250 | | | | | | — | | | | | | (763,435) | | |
|
| | | Fair Value | | | Valuation Technique | | | Unobservable Input | | |||
Senior Loans | | | | | 53,535,542 | | | | Third-party vendor service | | | Vendor quotes | |
Corporate Bonds | | | | | 1,001,250 | | | | Third-party vendor service | | | Vendor quotes | |
Common Stock | | | | | — | | | | Third-party vendor service | | | Vendor quotes | |
| Shares of common stock, beginning of period | | | | | 7,418,990 | | |
| Change in shares of common stock outstanding | | | | | — | | |
| Shares of common stock, end of period | | | | | 7,418,990 | | |
|
| | | Ordinary Income | | | Long-Term Capital Gain | | ||||||
2014 | | | | $ | 10,593,923 | | | | | $ | — | | |
2015 | | | | $ | 9,993,250 | | | | | $ | — | | |
Short-Term | | | Long-Term | | | Total | |
$28,763 | | | $324,043 | | | $352,806 | |
Undistributed Net Investment Income | | | Accumulated Net Realized Loss on Investments | | | Net Unrealized Depreciation on Investments | |
$475,283 | | | $(1,444,901) | | | $(12,431,419) | |
Additional Information (unaudited)June 30, 2016
| Trustees | | | | |
| Steven A. Baffico | | | | |
| Joseph L. Morea*# | | | | |
| S. James Coppersmith*# | | | | |
| Ronald J. Burton*# | | | | |
| Michael Perino*# | | | | |
| Officers | | | | |
| Steven A. Baffico | | | | |
| Jennifer Wilson | | | | |
| Stephanie Trell | | | | |
| Jack P. Huntington | | | | |
| 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 | | | | |
| RSM US LLP (formerly McGladrey LLP) | | | | |
| Legal Counsel | | | | |
| Dechert LLP | | | | |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recently filed annual report on Form N-CSR. |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. 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))) are effective, as of a date within 90 days of the filing date of the 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | THL CREDIT SENIOR LOAN FUND |
By (Signature and Title)* | /s/ Steven A. Baffico | ||
Steven A. Baffico, President | |||
(principal executive officer) | |||
Date | 8-31-2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Steven A. Baffico | ||
Steven A. Baffico, President | |||
(principal executive officer) | |||
Date | 8-31-2016 | ||
By (Signature and Title)* | /s/ Jennifer Wilson | ||
Jennifer Wilson, Treasurer and Principal Financial Officer | |||
(principal financial officer) | |||
Date | 8-31-2016 |
* Print the name and title of each signing officer under his or her signature.