Apollo Senior Floating Rate Fund Inc.
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 811-22481
Apollo Senior Floating Rate Fund Inc.
(Exact name of registrant as specified
in charter)
9 West 57th Street
New York, New York
10019
(Address of principal executive
offices) (Zip code)
Joseph Moroney, President
9 West 57th Street
New York, New York
10019
(Name and address of agent for service)
Registrant’s telephone number, including area code: (212) 515-3200
Date of fiscal year end: December 31
Date of reporting period: September 30, 2016
Item 1. Schedule of Investments.
The Schedule(s) of Investments is attached herewith.
Apollo Senior Floating Rate Fund Inc.
Schedule of Investments
September 30, 2016 (unaudited)
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Principal
Amount ($) |
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Value
($) |
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| Senior Loans - 138.2%(a) |
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| AEROSPACE & DEFENSE - 4.9% |
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| Camp International Holding Co. |
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| First Lien Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.75%,
08/18/23(b)(c) |
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2,175,000 |
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2,176,631 |
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| Second Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.25%,
08/18/24(c) |
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2,034,175 |
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2,043,075 |
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| DAE Aviation Holdings, Inc. |
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| Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.25%, 07/07/22(c) |
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5,059,480 |
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5,097,426 |
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| Engility Corp. |
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| Term Loan B-1, (LIBOR + 4.25%, 0.00% Floor), 4.77%, 08/12/20(c) |
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982,284 |
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993,949 |
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| Term Loan B-2, (Variable + 4.73%, 1.04% Floor), 5.77%, 08/14/23(c) |
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1,846,047 |
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1,866,815 |
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| Photonis Technologies SAS (France) |
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| First Lien Initial Dollar Term Loan, (LIBOR + 7.50%, 1.00% Floor), 8.50%,
09/18/19(c)(d)(e) |
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1,897,815 |
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1,708,034 |
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13,885,930 |
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| AUTOMOTIVE - 3.0% |
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| American Tire Distributors, Inc. |
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| Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/01/21(c) |
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3,491,139 |
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3,456,664 |
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| Tectum Holdings, Inc. |
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| First Lien Initial Term Loan, (LIBOR + 4.75%, 1.00% Floor), 5.75%,
08/24/23(c)(e) |
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2,714,753 |
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2,721,540 |
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| U.S. Farathane, LLC |
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| Term Loan B-2, (LIBOR + 4.75%, 1.00% Floor), 5.75%, 12/23/21(c) |
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2,319,994 |
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2,331,594 |
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8,509,798 |
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| BANKING, FINANCE, INSURANCE & REAL ESTATE - 13.1% |
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| Alliant Holdings Intermediate, LLC |
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| 2016 Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.25%, 08/12/22(c) |
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1,910,729 |
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1,921,716 |
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| Amwins Group, LLC |
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| First Lien Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.75%,
09/06/19(c) |
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4,042,745 |
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4,073,065 |
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| Second Lien Term Loan, (LIBOR + 8.50%, 1.00% Floor), 9.50%,
09/04/20(c) |
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1,764,500 |
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1,792,441 |
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| AqGen Island Intermediate Holdings, Inc. |
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| First Lien Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%,
12/05/22(c) |
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2,463,299 |
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2,450,983 |
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Principal
Amount ($) |
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Value
($) |
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| BANKING, FINANCE, INSURANCE & REAL ESTATE (continued) |
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| Asurion, LLC |
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| Incremental Tranche B-1 Term Loan, (LIBOR + 3.75%, 1.25% Floor), 5.00%,
05/24/19(c) |
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4,033,355 |
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4,052,695 |
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| Asurion, LLC (Continued) |
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| Second Lien Term Loan, (LIBOR + 7.50%, 1.00% Floor), 8.50%,
03/03/21(c) |
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1,399,109 |
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1,395,023 |
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| CRCI Holdings, Inc. |
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| Term Loan B, (LIBOR + 5.50%, 1.00% Floor), 6.50%, 08/31/23(c) |
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2,250,000 |
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2,247,188 |
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| Donnelley Financial Solutions, Inc. |
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| Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/30/23(c) |
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1,046,154 |
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1,052,692 |
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| First Data Corp. |
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| 2021 New Dollar Term Loan, (LIBOR + 4.00%, 0.00% Floor), 4.53%,
03/24/21(b)(c) |
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3,788,462 |
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3,820,816 |
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| Henry Company, LLC |
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| First Lien Term Loan B, (LIBOR + 4.50%, 1.00% Floor), 5.50%,
10/05/23(b)(c) |
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875,676 |
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877,865 |
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| Hyperion Insurance Group, Ltd. (United Kingdom) |
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| Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%,
04/29/22(c)(d) |
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395,150 |
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387,494 |
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| iStar, Inc. |
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| Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%, 07/01/20(c) |
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1,398,705 |
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1,415,322 |
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| Jefferies Finance, LLC (JFIN Co-Issuer Corp.) |
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| Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.50%,
05/14/20(c)(e) |
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1,502,717 |
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1,489,568 |
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| Medical Card System, Inc. |
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| Term Loan, (LIBOR + 0.50%, 1.00% Floor), 1.50%,
05/31/19(c)(e)(f) |
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5,323,315 |
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3,064,100 |
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| MMM Holdings, Inc. |
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| MMM Term Loan, (LIBOR + 8.25%, 1.50% Floor), 9.75%, 12/12/17(c) |
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638,237 |
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622,281 |
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| MPH Acquisition Holdings, LLC |
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| Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.00%, 06/07/23(c) |
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3,596,980 |
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3,646,996 |
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| MSO of Puerto Rico, Inc. |
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| MSO Term Loan, (LIBOR + 8.25%, 1.50% Floor), 9.75%, 12/12/17(c) |
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463,995 |
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452,395 |
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| Sedgwick Claims Management Services, Inc. |
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| Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.25%, 03/01/21(c) |
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1,929,146 |
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1,947,839 |
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36,710,479 |
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See accompanying Notes to Schedule
of Investments. | 1
Apollo Senior Floating Rate Fund Inc.
Schedule of Investments (continued)
September 30,
2016 (unaudited)
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Principal
Amount ($) |
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Value ($) |
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| Senior
Loans(a) (continued) |
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| BEVERAGE, FOOD & TOBACCO - 3.7% |
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| AdvancePierre Foods, Inc. |
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| Effective Date Loan, (LIBOR + 3.50%, 1.00% Floor), 4.50%,
06/02/23(c) |
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1,624,882 |
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1,640,522 |
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| The Chef’s Warehouse, Inc. |
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| Delayed Draw Term Loan, (LIBOR + 5.75%, 1.00% Floor), 6.75%,
06/22/22(c) |
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47,906 |
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47,637 |
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| Initial Term Loan, (LIBOR + 5.75%, 1.00% Floor), 6.75%, 06/22/22(c) |
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1,043,440 |
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1,037,571 |
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| NBTY, Inc. |
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| Dollar Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 5.00%, 05/05/23(c) |
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1,882,474 |
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1,893,891 |
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| PFS Holding Corp. |
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| First Lien Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.50%,
01/31/21(c) |
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2,994,849 |
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2,815,158 |
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| Winebow Holdings, Inc. (The Vintner Group, Inc.) |
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| First Lien Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.75%,
07/01/21(c) |
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989,873 |
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976,673 |
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| Second Lien Term Loan, (LIBOR + 7.50%, 1.00% Floor), 8.50%,
01/02/22(c) |
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2,260,897 |
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2,085,677 |
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10,497,129 |
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| CAPITAL EQUIPMENT - 1.2% |
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| MTS Systems Corp. |
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| Term Loan B, (LIBOR + 4.25%, 0.75% Floor), 5.00%, 07/05/23(c) |
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3,333,333 |
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3,364,600 |
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| CHEMICALS, PLASTICS & RUBBER - 4.5% |
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| The Chemours Co. |
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| Tranche B Term Loan, (LIBOR + 3.00%, 0.75% Floor), 3.75%,
05/12/22(c) |
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1,993,031 |
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1,978,093 |
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| Ineos Styrolution US Holding, LLC (Switzerland) |
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| Term Loan B, (LIBOR + 3.75%, 1.00% Floor),
4.75%,
09/30/21(b)(c)(d) |
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1,401,342 |
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1,417,990 |
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| MacDermid, Inc. (Platform |
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| Specialty Products Corp.) Tranche B-2 Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/07/20(c) |
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737,248 |
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741,395 |
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| Tranche B-3 Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%,
06/07/20(c) |
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1,119,347 |
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1,126,080 |
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| Nexeo Solutions, LLC |
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| Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/09/23(c) |
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1,073,645 |
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1,081,198 |
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Principal
Amount ($) |
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Value ($) |
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| CHEMICALS, PLASTICS & RUBBER (continued) |
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| PetroChoice Holdings, Inc. |
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| First Lien Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.00%,
08/19/22(c) |
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1,004,888 |
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1,009,912 |
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| PQ Corp. |
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| Tranche B-1 Term Loan, (LIBOR + 4.75%, 1.00% Floor), 5.75%,
11/04/22(c) |
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1,265,257 |
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1,276,859 |
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| Tronox Pigments (Netherlands) B.V. |
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| Term Loan B, (LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/19/20(b)(c) |
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3,989,691 |
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3,955,240 |
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12,586,767 |
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| CONSTRUCTION & BUILDING - 2.2% |
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| Infiltrator Water Technologies, LLC |
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| Second Lien Term Loan, (LIBOR + 8.75%, 1.00% Floor), 9.75%,
05/26/23(c) |
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568,182 |
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571,023 |
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| Term Loan B-1, (LIBOR + 3.50%, 1.00% Floor), 4.50%, 05/27/22(c) |
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2,842,127 |
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2,853,680 |
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| Primeline Utility Services, LLC |
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| Term Loan, (LIBOR + 5.50%, 1.00% Floor), 6.50%, 11/14/22(c) |
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2,674,372 |
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2,692,758 |
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6,117,461 |
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| CONSUMER GOODS: DURABLE - 0.1% |
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| Britax US Holdings, Inc. |
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| Initial Dollar Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.50%,
10/15/20(c) |
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455,293 |
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396,392 |
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| CONSUMER GOODS: NON-DURABLE - 2.4% |
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| ABG Intermediate Holdings 2, LLC |
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| First Lien Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%,
05/27/21(c) |
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3,750,072 |
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3,759,447 |
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| Nine West Holdings, Inc. |
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| Unsecured Initial Term Loan, (LIBOR + 5.25%, 1.00% Floor), 6.25%,
01/08/20(c) |
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239,923 |
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35,988 |
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| Revlon Consumer Products Corp. |
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| Initial Term Loan B, (LIBOR + 3.50%, 0.75% Floor), 4.25%,
09/07/23(c) |
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2,924,286 |
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2,933,746 |
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6,729,181 |
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| CONTAINERS, PACKAGING & GLASS - 5.0% |
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| BWay Intermediate Company, Inc. |
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| Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%, 08/14/20(c) |
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5,647,980 |
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5,688,222 |
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| Hoover Group, Inc. |
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|
|
|
|
|
|
| Initial Term Loan, (LIBOR + 6.75%, 1.00% Floor), 7.75%,
01/28/21(c)(e) |
|
|
1,469,354 |
|
|
1,366,499 |
|
|
|
|
| NVLX Acquisition, LLC |
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.00%,
12/05/21(c) |
|
|
5,013,429 |
|
|
5,060,455 |
|
|
|
|
2 | See accompanying Notes
to Schedule of Investments.
Apollo Senior Floating Rate Fund Inc.
Schedule of Investments (continued)
September 30,
2016 (unaudited)
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Value ($) |
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
| Senior
Loans(a) (continued) |
|
|
|
|
|
| CONTAINERS, PACKAGING & GLASS (continued) |
|
|
|
|
|
|
|
| Sprint Industrial Holdings, LLC |
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan, (LIBOR + 5.75%, 1.25% Floor), 7.00%,
05/14/19(c) |
|
|
2,586,058 |
|
|
|
1,900,753 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,015,929 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ENERGY: OIL & GAS - 3.6% |
|
|
|
|
|
|
|
| American Energy - Marcellus, LLC |
|
|
|
|
|
|
|
|
|
|
| First Lien Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.25%,
08/04/20(c) |
|
|
2,712,161 |
|
|
|
1,505,263 |
|
|
|
| Azure Midstream Energy, LLC |
|
|
|
|
|
|
|
|
|
|
| Term Loan, (LIBOR + 6.50%, 1.00% Floor), 7.50%, 11/15/18(c) |
|
|
492,116 |
|
|
|
412,147 |
|
|
|
| Chief Exploration & Development, LLC |
|
|
|
|
|
|
|
|
|
|
| Second Lien Term Loan, (LIBOR + 6.50%, 1.00% Floor), 7.75%,
05/16/21(c) |
|
|
1,728,251 |
|
|
|
1,628,876 |
|
|
|
| Drillships Financing Holding, Inc. |
|
|
|
|
|
|
|
|
|
|
| Tranche B-1 Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.00%,
03/31/21(c) |
|
|
994,872 |
|
|
|
501,913 |
|
|
|
| EMG Utica, LLC |
|
|
|
|
|
|
|
|
|
|
| Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.75%, 03/27/20(c) |
|
|
1,870,514 |
|
|
|
1,840,119 |
|
|
|
| HGIM Corp. |
|
|
|
|
|
|
|
|
|
|
| Term Loan A, (LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/18/18(c) |
|
|
3,460,817 |
|
|
|
2,682,133 |
|
|
|
| Sheridan Investment Partners I, LLC |
|
|
|
|
|
|
|
|
|
|
| Tranche B-2 Term Loan, (LIBOR + 3.50%, 0.75% Floor), 4.25%,
10/01/19(c) |
|
|
218,739 |
|
|
|
134,524 |
|
|
|
| Sheridan Production Partners I-A, L.P. |
|
|
|
|
|
|
|
|
|
|
| Tranche B-2 Term Loan, (LIBOR + 3.50%, 0.75% Floor), 4.25%,
10/01/19(c) |
|
|
28,985 |
|
|
|
17,826 |
|
|
|
| Sheridan Production Partners I-M, L.P. |
|
|
|
|
|
|
|
|
|
|
| Tranche B-2 Term Loan, (LIBOR + 3.50%, 0.75% Floor), 4.25%,
10/01/19(c) |
|
|
17,704 |
|
|
|
10,888 |
|
|
|
| Southcross Energy Partners, L.P. |
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.25%, 08/04/21(c) |
|
|
1,561,501 |
|
|
|
1,276,527 |
|
|
|
| Southcross Holdings Borrower, LP |
|
|
|
|
|
|
|
|
|
|
| Tranche B Term Loan (5.5% PIK), 9.00%, 04/13/23(b)(f)(g) |
|
|
116,682 |
|
|
|
98,888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,109,104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Value ($) |
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
| ENVIRONMENTAL INDUSTRIES - 1.0% |
|
|
|
|
|
|
|
| Emerald 2, Ltd. (United Kingdom) |
|
|
|
|
|
|
|
|
|
|
| Facility B-1 Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.00%,
05/14/21(c)(d) |
|
|
2,901,337 |
|
|
|
2,710,936 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FOREST PRODUCTS & PAPER - 1.4% |
|
|
|
|
|
|
|
| Caraustar Industries, Inc. |
|
|
|
|
|
|
|
|
|
|
| Incremental Term Loan, (LIBOR + 6.75%, 1.25% Floor), 8.00%,
05/01/19(c) |
|
|
1,805,402 |
|
|
|
1,827,211 |
|
|
|
| Term Loan, (LIBOR + 6.75%, 1.25% Floor), 8.00%,
05/01/19(c) |
|
|
2,216,061 |
|
|
|
2,242,831 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,070,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| HEALTHCARE & PHARMACEUTICALS - 11.7% |
|
|
|
|
|
|
|
| Alvogen Pharma US, Inc. |
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.00%,
04/01/22(c) |
|
|
2,888,004 |
|
|
|
2,897,044 |
|
|
|
| ExamWorks Group, Inc. |
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.75%, 07/27/23(c) |
|
|
1,488,722 |
|
|
|
1,502,686 |
|
|
|
| HCR ManorCare, Inc. |
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan, (LIBOR + 3.50%, 1.50% Floor), 5.00%,
04/06/18(b)(c) |
|
|
2,522,102 |
|
|
|
2,219,450 |
|
|
|
| InVentiv Health, Inc. |
|
|
|
|
|
|
|
|
|
|
| Term Loan B-3, (LIBOR + 6.25%, 1.50% Floor), 7.75%, 05/15/18(c) |
|
|
723,864 |
|
|
|
725,898 |
|
|
|
| Lanai Holdings II, Inc. |
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan B, (LIBOR + 4.75%, 1.00% Floor), 5.75%,
08/29/22(c) |
|
|
2,731,706 |
|
|
|
2,704,389 |
|
|
|
| Lanai Holdings III, Inc. |
|
|
|
|
|
|
|
|
|
|
| Second Lien Initial Term Loan, (LIBOR + 8.50%, 1.00% Floor), 9.50%,
08/28/23(c) |
|
|
869,565 |
|
|
|
847,826 |
|
|
|
| Nmsc Holdings, Inc. |
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan B, (LIBOR + 5.00%, 1.00% Floor), 6.00%,
04/19/23(c) |
|
|
561,524 |
|
|
|
568,543 |
|
|
|
| Opal Acquisition, Inc. |
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 5.00%,
11/27/20(c) |
|
|
3,498,427 |
|
|
|
3,281,961 |
|
|
|
| Premier Dental Services, Inc. |
|
|
|
|
|
|
|
|
|
|
| New Term Loan, (LIBOR + 6.50%, 1.00% Floor), 7.50%, 11/01/18(c) |
|
|
4,728,833 |
|
|
|
4,722,922 |
|
|
|
| Press Ganey Holdings, Inc. |
|
|
|
|
|
|
|
|
|
|
| Second Lien Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.25%,
09/30/24(b)(c) |
|
|
500,000 |
|
|
|
503,750 |
|
|
|
| Term Loan, (LIBOR + 3.25%, 1.00% Floor), 4.25%,
09/29/23(b)(c) |
|
|
344,669 |
|
|
|
345,531 |
|
|
|
| Steward Health Care System, LLC |
|
|
|
|
|
|
|
|
|
|
| Term Loan, (LIBOR + 5.50%, 1.25% Floor), 6.75%,
04/10/20(c) |
|
|
2,727,586 |
|
|
|
2,734,405 |
|
|
|
See accompanying Notes to Schedule
of Investments. | 3
Apollo Senior Floating Rate Fund Inc.
Schedule of Investments (continued)
September 30,
2016 (unaudited)
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Value ($) |
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
| Senior
Loans(a) (continued) |
|
|
|
|
|
| HEALTHCARE & PHARMACEUTICALS (continued) |
|
|
|
|
|
|
|
| Surgery Center Holdings, Inc. |
|
|
|
|
|
|
|
|
|
|
| First Lien Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.75%,
11/03/20(c) |
|
|
3,668,876 |
|
|
|
3,675,756 |
|
|
|
| U.S. Renal Care, Inc. |
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (LIBOR + 4.25%, 1.00% Floor), 5.25%,
12/30/22(c) |
|
|
3,746,751 |
|
|
|
3,606,248 |
|
|
|
| Valeant Pharmaceuticals |
|
|
|
|
|
|
|
|
|
|
| International, Inc. (Canada) Tranche B Term Loan Series C-2, (LIBOR + 4.50%, 0.75% Floor), 5.25%, 12/11/19(c)(d) |
|
|
2,043,406 |
|
|
|
2,049,066 |
|
|
|
| Tranche B Term Loan Series D-2, (LIBOR + 4.25%, 0.75% Floor), 5.00%,
02/13/19(c)(d) |
|
|
530,561 |
|
|
|
531,762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,917,237 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| HIGH TECH INDUSTRIES - 19.6% |
|
|
|
|
|
|
|
| Cortes NP Acquisition Corp. |
|
|
|
|
|
|
|
|
|
|
| Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.00%,
09/29/23(b)(c) |
|
|
4,309,249 |
|
|
|
4,223,064 |
|
|
|
| Deltek, Inc. |
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.00%,
06/25/22(c) |
|
|
2,672,290 |
|
|
|
2,687,736 |
|
|
|
| Second Lien Term Loan, (LIBOR + 8.50%, 1.00% Floor), 9.50%,
06/26/23(c) |
|
|
1,724,528 |
|
|
|
1,748,240 |
|
|
|
| Flexera Software, LLC |
|
|
|
|
|
|
|
|
|
|
| Second Lien Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.00%,
04/02/21(c) |
|
|
2,499,281 |
|
|
|
2,464,915 |
|
|
|
| Informatica Corp. |
|
|
|
|
|
|
|
|
|
|
| Dollar Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/05/22(c) |
|
|
2,992,443 |
|
|
|
2,918,874 |
|
|
|
| JDA Software Group, Inc. |
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.50%,
09/22/23(b)(c) |
|
|
674,847 |
|
|
|
676,534 |
|
|
|
| Kronos, Inc. |
|
|
|
|
|
|
|
|
|
|
| Second Lien Initial Term Loan, (LIBOR + 8.50%, 1.25% Floor), 9.75%,
04/30/20(c) |
|
|
4,998,571 |
|
|
|
5,096,443 |
|
|
|
| Landslide Holdings, Inc. (Crimson Acquisition Corp.) |
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%,
09/27/22(b)(c) |
|
|
2,075,342 |
|
|
|
2,092,204 |
|
|
|
| Second Lien Term Loan, (LIBOR + 8.50%, 1.00% Floor), 9.50%,
09/21/23(b)(c) |
|
|
1,234,017 |
|
|
|
1,230,932 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Value ($) |
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
| HIGH TECH INDUSTRIES (continued) |
|
|
|
|
|
|
|
| Lanyon Solutions, Inc. (Lanyon, Inc.) |
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%,
11/13/20(c) |
|
|
1,432,206 |
|
|
|
1,426,835 |
|
|
|
| First Lien Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.00%,
11/15/20(c) |
|
|
2,518,390 |
|
|
|
2,508,946 |
|
|
|
| Second Lien Term Loan, (LIBOR + 8.50%, 1.00% Floor), 9.50%,
11/15/21(c)(e) |
|
|
3,250,000 |
|
|
|
3,209,375 |
|
|
|
| MSC.Software Corp. |
|
|
|
|
|
|
|
|
|
|
| First Lien Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.00%,
05/29/20(c) |
|
|
1,749,725 |
|
|
|
1,745,351 |
|
|
|
| Second Lien Initial Term Loan, (LIBOR + 7.50%, 1.00% Floor), 8.50%,
05/31/21(c) |
|
|
500,000 |
|
|
|
490,000 |
|
|
|
| ON Semiconductor Corp. |
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (LIBOR + 3.25%, 0.00% Floor), 3.78%,
03/31/23(b)(c) |
|
|
2,208,477 |
|
|
|
2,221,695 |
|
|
|
| Riverbed Technology, Inc. |
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 5.00%,
04/25/22(c) |
|
|
3,439,865 |
|
|
|
3,477,394 |
|
|
|
| RP Crown Parent, LLC |
|
|
|
|
|
|
|
|
|
|
| First Lien New Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.00%,
12/21/18(c) |
|
|
2,475,498 |
|
|
|
2,478,010 |
|
|
|
| Second Lien Term Loan, (LIBOR + 10.00%, 1.25% Floor), 11.25%,
12/21/19(c) |
|
|
1,250,000 |
|
|
|
1,260,550 |
|
|
|
| Sophia, L.P. |
|
|
|
|
|
|
|
|
|
|
| Closing Date Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.75%,
09/30/22(c) |
|
|
1,963,384 |
|
|
|
1,967,066 |
|
|
|
| TIBCO Software, Inc. |
|
|
|
|
|
|
|
|
|
|
| Term Loan, (LIBOR + 5.50%, 1.00% Floor), 6.50%,
12/04/20(c) |
|
|
3,153,443 |
|
|
|
3,115,428 |
|
|
|
| Triple Point Group Holdings, Inc. |
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (LIBOR + 4.25%, 1.00% Floor), 5.25%,
07/10/20(b)(c) |
|
|
1,072,144 |
|
|
|
958,229 |
|
|
|
| Vision Solutions, Inc. |
|
|
|
|
|
|
|
|
|
|
| Term Loan, (LIBOR + 6.50%, 1.00% Floor), 7.50%,
06/16/22(c) |
|
|
4,000,000 |
|
|
|
4,005,000 |
|
|
|
| Western Digital Corp. |
|
|
|
|
|
|
|
|
|
|
| Term Loan B-1, (LIBOR + 3.75%, 0.75% Floor), 4.50%, 04/29/23(c) |
|
|
3,192,000 |
|
|
|
3,229,586 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
55,232,407 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| HOTEL, GAMING & LEISURE - 6.4% |
|
|
|
|
|
|
|
| Delta 2 (Lux) S.a.r.l. (Luxembourg) |
|
|
|
|
|
|
|
|
|
|
| Facility B-3 Term Loan (USD), (LIBOR + 3.75%, 1.00% Floor), 4.75%,
07/30/21(c)(d) |
|
|
4,000,000 |
|
|
|
4,011,940 |
|
|
|
4 | See accompanying Notes
to Schedule of Investments.
Apollo Senior Floating Rate Fund Inc.
Schedule of Investments (continued)
September 30,
2016 (unaudited)
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Value ($) |
|
|
|
| |
|
|
|
|
|
|
|
|
| Senior Loans(a) (continued) |
|
|
|
|
|
| HOTEL, GAMING & LEISURE (continued) |
|
|
|
|
|
|
|
| Equinox Holdings, Inc. |
|
|
|
|
|
|
|
|
|
|
| First Lien New Initial Term Loan, (LIBOR + 3.75%, 1.25% Floor),
5.00%, 01/31/20(c) |
|
|
3,682,791 |
|
|
|
3,712,714 |
|
|
|
| Everi Payments, Inc. |
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (LIBOR + 5.25%, 1.00% Floor), 6.25%, 12/18/20(c) |
|
|
1,631,694 |
|
|
|
1,584,783 |
|
|
|
| The Intertain Group, Ltd. (The Intertain Group Finance, LLC) (Canada) |
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan B, (LIBOR + 6.50%, 1.00% Floor),
7.50%, 04/08/22(c)(d) |
|
|
726,445 |
|
|
|
725,537 |
|
|
|
| Mohegan Tribal Gaming Authority |
|
|
|
|
|
|
|
|
|
|
| Term Loan A, (LIBOR + 4.25%, 0.00% Floor), 4.78%,
10/10/21(b)(c) |
|
|
1,926,421 |
|
|
|
1,924,013 |
|
|
|
| Scientific Games International, Inc. |
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.00%, 10/18/20(c) |
|
|
2,487,212 |
|
|
|
2,498,280 |
|
|
|
| Initial Term Loan B-2, (LIBOR + 5.00%, 1.00% Floor), 6.00%,
10/01/21(c) |
|
|
3,489,344 |
|
|
|
3,500,492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,957,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MEDIA: ADVERTISING, PRINTING & PUBLISHING - 4.0% |
|
|
|
|
|
|
|
| Acosta Holdco, Inc. |
|
|
|
|
|
|
|
|
|
|
| Tranche B-1 Term Loan, (LIBOR + 3.25%, 1.00% Floor), 4.25%,
09/26/21(c) |
|
|
997,475 |
|
|
|
952,838 |
|
|
|
| Advantage Sales & Marketing, Inc. |
|
|
|
|
|
|
|
|
|
|
| First Lien Initial Term Loan, (LIBOR + 3.25%, 1.00% Floor), 4.25%,
07/23/21(b)(c) |
|
|
1,994,911 |
|
|
|
1,973,924 |
|
|
|
| Second Lien Term Loan, (LIBOR + 6.50%, 1.00% Floor), 7.50%,
07/25/22(b)(c) |
|
|
2,374,870 |
|
|
|
2,265,780 |
|
|
|
| ALM Media, LLC |
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan B, (LIBOR + 4.50%, 1.00% Floor), 5.50%,
07/31/20(c)(e) |
|
|
3,531,895 |
|
|
|
3,461,257 |
|
|
|
| F & W Media, Inc. |
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan, (Variable + 9.48%, 1.30% Floor), 10.78%,
06/30/19(c) |
|
|
3,135,887 |
|
|
|
2,563,587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,217,386 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MEDIA: BROADCASTING & SUBSCRIPTION - 11.1% |
|
|
|
|
|
|
|
| Emmis Operating Co. |
|
|
|
|
|
|
|
|
|
|
| Term Loan, (LIBOR + 6.00%, 1.00% Floor), 7.00%, 06/10/21(c) |
|
|
1,418,726 |
|
|
|
1,340,696 |
|
|
|
| Grande Communications Networks, LLC |
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.50%, 05/29/20(c) |
|
|
1,975,357 |
|
|
|
1,980,295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Value ($) |
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
| MEDIA: BROADCASTING & SUBSCRIPTION (continued) |
|
|
|
|
|
|
|
| Hargray Communications Group, Inc. (HCP Acquisition, LLC) |
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/26/19(c) |
|
|
3,998,917 |
|
|
|
4,027,250 |
|
|
|
| Hemisphere Media Holdings, LLC (Intermedia Espanol, Inc.) |
|
|
|
|
|
|
|
|
|
|
| New Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 5.00%, 07/30/20(c) |
|
|
2,437,329 |
|
|
|
2,440,376 |
|
|
|
| Intelsat Jackson Holdings S.A. (Luxembourg) |
|
|
|
|
|
|
|
|
|
|
| Tranche B-2 Term Loan, (LIBOR + 2.75%, 1.00% Floor), 3.75%,
06/30/19(c)(d) |
|
|
3,752,389 |
|
|
|
3,577,978 |
|
|
|
| Neptune Finco Corp. |
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/09/22(c) |
|
|
4,039,887 |
|
|
|
4,057,138 |
|
|
|
| Numericable U.S., LLC (France) |
|
|
|
|
|
|
|
|
|
|
| Term Loan B-7, (LIBOR + 4.25%, 0.75% Floor),
5.00%,
01/15/24(c)(d) |
|
|
3,147,240 |
|
|
|
3,185,007 |
|
|
|
| SESAC Holdco II, LLC |
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.25%,
02/08/19(c) |
|
|
1,913,262 |
|
|
|
1,909,675 |
|
|
|
| Telecommunications Management, LLC |
|
|
|
|
|
|
|
|
|
|
| First Lien Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.75%,
04/30/20(c) |
|
|
1,196,713 |
|
|
|
1,195,217 |
|
|
|
| Second Lien Initial Term Loan, (LIBOR + 8.00%, 1.00% Floor), 9.00%,
10/30/20(c) |
|
|
710,475 |
|
|
|
698,041 |
|
|
|
| WideOpenWest Finance, LLC |
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/18/23(c) |
|
|
1,784,536 |
|
|
|
1,779,611 |
|
|
|
| William Morris Endeavor Entertainment, LLC (IMG Worldwide Holdings, LLC) |
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.25%,
05/06/21(c) |
|
|
4,957,929 |
|
|
|
4,987,057 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,178,341 |
|
|
|
|
|
|
|
| METALS & MINING - 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Magnetation, LLC / Mag Finance Corp. |
|
|
|
|
|
|
|
|
|
|
| Term Loan (12.00% PIK), 12.00%, 10/14/16(e)(f)(g)(h) |
|
|
263,692 |
|
|
|
791 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RETAIL - 10.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Academy, LTD. |
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.00%, 07/01/22(c) |
|
|
4,487,971 |
|
|
|
4,392,601 |
|
|
|
See accompanying Notes to Schedule
of Investments. | 5
Apollo Senior Floating Rate Fund Inc.
Schedule of Investments (continued)
September 30,
2016 (unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Value ($) |
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
| Senior Loans(a) (continued) |
|
|
|
|
|
|
|
|
|
| RETAIL (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Albertson’s, LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B-6, (LIBOR + 3.75%, 1.00% Floor), 4.75%, 06/22/23(c) |
|
|
1,410,471 |
|
|
|
1,426,261 |
|
|
|
|
|
| Belk, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| Closing Date First Lien Term Loan, (LIBOR + 4.75%, 1.00% Floor), 5.75%,
12/12/22(c) |
|
|
2,162,511 |
|
|
|
1,964,988 |
|
|
|
|
|
| Charming Charlie, LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan, (LIBOR + 8.00%, 1.00% Floor), 9.00%,
12/24/19(c)(e) |
|
|
3,717,687 |
|
|
|
2,379,320 |
|
|
|
|
|
| David’s Bridal, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan, (LIBOR + 3.75%, 1.25% Floor), 5.00%,
10/11/19(b)(c) |
|
|
2,000,000 |
|
|
|
1,886,260 |
|
|
|
|
|
| J. Crew Group, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan, (LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/05/21(c) |
|
|
1,496,173 |
|
|
|
1,191,702 |
|
|
|
|
|
| JC Penney Corp., Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 2016 Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/23/23(c) |
|
|
3,789,500 |
|
|
|
3,812,843 |
|
|
|
|
|
| Jo-Ann Stores, LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (LIBOR + 5.00%, 1.00% Floor), 6.00%, 09/29/23(b)(c) |
|
|
2,758,620 |
|
|
|
2,717,241 |
|
|
|
|
|
| Leslie’s Poolmart, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan B, (LIBOR + 4.25%, 1.00% Floor), 5.25%,
08/16/23(c) |
|
|
717,391 |
|
|
|
723,220 |
|
|
|
|
|
| The Neiman Marcus Group, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| Other Term Loan, (LIBOR + 3.25%, 1.00% Floor), 4.25%, 10/25/20(c) |
|
|
2,500,000 |
|
|
|
2,307,812 |
|
|
|
|
|
| Petco Animal Supplies, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| Tranche B-1 Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.00%,
01/26/23(c) |
|
|
2,313,375 |
|
|
|
2,340,684 |
|
|
|
|
|
| Tranche B-2 Term Loan, (LIBOR + 4.25%, 0.00% Floor), 5.00%,
01/26/23(c) |
|
|
1,604,838 |
|
|
|
1,624,016 |
|
|
|
|
|
| Sears Roebuck Acceptance Corp. (KMART Corp.) |
|
|
|
|
|
|
|
|
|
|
|
|
| 2015 Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/18(b)(c) |
|
|
3,140,345 |
|
|
|
3,084,070 |
|
|
|
|
|
| Vince, LLC (Vince Intermediate Holding, LLC) |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (LIBOR + 5.00%, 1.00% Floor), 6.00%, 11/27/19(c)(e) |
|
|
514,815 |
|
|
|
491,648 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,342,666 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Value ($) |
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| SERVICES: BUSINESS - 14.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Americold Realty Operating Partnership, L.P. |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (LIBOR + 4.75%, 1.00% Floor), 5.75%, 12/01/22(c) |
|
|
3,199,546 |
|
|
|
3,237,556 |
|
|
|
|
|
| Camelot Finance, LP |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.75%,
09/15/23(b)(c) |
|
|
2,620,697 |
|
|
|
2,627,904 |
|
|
|
|
|
| Carecore National, LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%, 03/05/21(c) |
|
|
1,369,589 |
|
|
|
1,347,333 |
|
|
|
|
|
| EIG Investors Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.00%, 02/09/23(c) |
|
|
1,970,000 |
|
|
|
1,841,950 |
|
|
|
|
|
| Term Loan, (LIBOR + 5.48%, 1.00% Floor), 6.48%, 11/09/19(c) |
|
|
2,907,198 |
|
|
|
2,830,884 |
|
|
|
|
|
| Evergreen Skills Lux S.a.r.l. |
|
|
|
|
|
|
|
|
|
|
|
|
| First Lien Initial Term Loan, (LIBOR + 4.75%, 1.00% Floor), 5.75%,
04/28/21(c) |
|
|
1,995,464 |
|
|
|
1,772,850 |
|
|
|
|
|
| Second Lien Initial Term Loan, (LIBOR + 8.25%, 1.00% Floor), 9.25%,
04/28/22(c) |
|
|
1,000,000 |
|
|
|
607,500 |
|
|
|
|
|
| Explorer Holdings, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.00%, 05/02/23(c) |
|
|
498,750 |
|
|
|
503,114 |
|
|
|
|
|
| GCA Services Group, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan, (LIBOR + 4.75%, 1.00% Floor), 5.75%,
03/01/23(c) |
|
|
1,358,689 |
|
|
|
1,371,217 |
|
|
|
|
|
| IBC Capital, Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| First Lien Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.98%,
09/09/21(c) |
|
|
3,913,869 |
|
|
|
3,855,161 |
|
|
|
|
|
| Infogroup, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (LIBOR + 5.50%, 1.50% Floor), 7.00%, 05/28/18(c) |
|
|
1,164,375 |
|
|
|
1,150,548 |
|
|
|
|
|
| Netsmart Technologies, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan, (LIBOR + 4.75%, 1.00% Floor), 5.75%,
04/19/23(c) |
|
|
584,582 |
|
|
|
588,054 |
|
|
|
|
|
| Onex Carestream Finance, L.P. |
|
|
|
|
|
|
|
|
|
|
|
|
| First Lien Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.00%,
06/07/19(c) |
|
|
2,425,985 |
|
|
|
2,260,933 |
|
|
|
|
|
| Second Lien Term Loan, (LIBOR + 8.50%, 1.00% Floor), 9.50%,
12/07/19(c) |
|
|
2,415,389 |
|
|
|
2,202,025 |
|
|
|
|
|
| Packers Holdings, LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (LIBOR + 3.75%, 1.00% Floor), 4.75%, 12/02/21(c) |
|
|
987,462 |
|
|
|
993,017 |
|
|
|
|
|
| SGS Cayman, L.P. |
|
|
|
|
|
|
|
|
|
|
|
|
| Initial Cayman Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.00%,
04/23/21(c) |
|
|
424,988 |
|
|
|
423,747 |
|
|
|
|
|
| SMG |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/27/20(c) |
|
|
3,148,246 |
|
|
|
3,081,346 |
|
|
|
|
|
6 | See accompanying Notes
to Schedule of Investments.
Apollo Senior Floating Rate Fund Inc.
Schedule of Investments (continued)
September 30,
2016 (unaudited)
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Value ($) |
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
| Senior Loans(a) (continued) |
|
|
|
|
|
|
|
|
|
|
|
| SERVICES: BUSINESS (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Solera, LLC (Solera Finance, Inc.)
Dollar Term Loan, (LIBOR + 4.75%, 1.00% Floor), 5.75%, 03/03/23(c) |
|
|
3,734,878 |
|
|
|
3,778,838 |
|
|
|
| Sutherland Global Services, Inc.
Initial U.S. Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.00%, 04/23/21(c) |
|
|
1,825,729 |
|
|
|
1,820,398 |
|
|
|
| U.S. Security Associates Holdings, Inc.
Term Loan B, (LIBOR + 5.00%, 1.00% Floor), 6.00%, 07/14/23(c) |
|
|
2,015,267 |
|
|
|
2,023,661 |
|
|
|
| USS Parent Holding Corp. |
|
|
|
|
|
|
|
|
|
|
| Delayed Draw Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%,
08/11/23(b)(c) |
|
|
152,711 |
|
|
|
153,602 |
|
|
|
| Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%, 08/11/23(c) |
|
|
3,470,132 |
|
|
|
3,490,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,962,018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SERVICES: CONSUMER - 2.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Laureate Education, Inc.
Extended Term Loan Series 2021, (LIBOR + 8.00%, 0.00% Floor), 8.66%, 03/17/21(c) |
|
|
1,994,984 |
|
|
|
1,988,251 |
|
|
|
| NVA Holdings, Inc. |
|
|
|
|
|
|
|
|
|
|
| First Lien Incremental Term Loan B-1, (LIBOR + 4.50%, 1.00% Floor), 5.50%,
08/14/21(c) |
|
|
850,781 |
|
|
|
853,971 |
|
|
|
| First Lien Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.75%,
08/14/21(c) |
|
|
3,148,546 |
|
|
|
3,153,788 |
|
|
|
| Second Lien Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.00%,
08/14/22(c) |
|
|
1,391,776 |
|
|
|
1,392,646 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,388,656 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TELECOMMUNICATIONS - 3.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Avaya, Inc. |
|
|
|
|
|
|
|
|
|
|
| Term Loan B-3, (LIBOR + 4.50%, 0.00% Floor), 5.24%, 10/26/17(c) |
|
|
621,652 |
|
|
|
494,835 |
|
|
|
| Term Loan B-7, (LIBOR + 5.25%, 1.00% Floor),
6.25%,
05/29/20(b)(c) |
|
|
275,419 |
|
|
|
204,498 |
|
|
|
| Global Tel*Link Corp.
First Lien Term Loan, (LIBOR + 3.75%, 1.25% Floor), 5.00%, 05/23/20(c) |
|
|
5,381,613 |
|
|
|
5,226,919 |
|
|
|
| LTS Buyer, LLC (Sidera Networks, Inc.)
Second Lien Term Loan, (LIBOR + 6.75%, 1.25% Floor), 8.00%,
04/12/21(c) |
|
|
1,500,000 |
|
|
|
1,506,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Value ($) |
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
| TELECOMMUNICATIONS (continued) |
|
|
|
|
|
|
|
|
|
|
|
| Securus Technologies Holdings, Inc.
Second Lien Initial Term Loan, (LIBOR + 7.75%, 1.25% Floor), 9.00%,
04/30/21(c) |
|
|
2,800,000 |
|
|
|
2,707,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,140,064 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TRANSPORTATION: CARGO - 1.4% |
|
|
|
|
|
|
|
|
|
|
|
| Carrix, Inc.
Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.50%, 01/07/19(b)(c) |
|
|
3,962,153 |
|
|
|
3,830,094 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TRANSPORTATION: CONSUMER - 0.8% |
|
|
|
|
|
|
|
|
|
|
|
| Air Canada (Canada)
Term Loan B, (LIBOR + 2.75%, 0.75% Floor), 3.50%,
09/21/23(b)(c)(d) |
|
|
609,836 |
|
|
|
611,970 |
|
|
|
| Travel Leaders Group, LLC
Tranche B Term Loan, (LIBOR + 6.00%, 1.00% Floor), 7.00%, 12/07/20(c) |
|
|
1,711,968 |
|
|
|
1,705,548 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,317,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES: ELECTRIC - 5.2% |
|
|
|
|
|
|
|
|
|
|
|
| EFS Cogen Holdings I, LLC
Term Loan B, (LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/28/23(c) |
|
|
2,425,458 |
|
|
|
2,454,563 |
|
|
|
| Green Energy Partners (Stonewall, LLC)
Term B-1, (LIBOR + 5.50%, 1.00% Floor), 6.50%, 11/13/21(c)(e) |
|
|
929,182 |
|
|
|
908,276 |
|
|
|
| Moxie Patriot, LLC
Construction B-1 Advances, (LIBOR + 5.75%, 1.00% Floor), 6.75%, 12/19/20(b)(c) |
|
|
1,505,393 |
|
|
|
1,479,049 |
|
|
|
| Pike Corp. |
|
|
|
|
|
|
|
|
|
|
| First Lien Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%,
12/22/21(c) |
|
|
2,097,104 |
|
|
|
2,106,939 |
|
|
|
| Second Lien Initial Term Loan, (LIBOR + 8.50%, 1.00% Floor), 9.50%,
06/22/22(c) |
|
|
2,500,000 |
|
|
|
2,489,000 |
|
|
|
| Texas Competitive Electric Holdings Company, LLC |
|
|
|
|
|
|
|
|
|
|
| Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/31/17(c) |
|
|
4,071,429 |
|
|
|
4,107,420 |
|
|
|
| Term Loan C, (LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/31/17(c) |
|
|
928,571 |
|
|
|
936,780 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,482,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Senior Loans
(Cost $392,516,772) |
|
|
|
|
|
|
388,670,712 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Notes and Bonds -
9.6%(g) |
|
|
|
|
|
|
|
|
|
|
|
| AUTOMOTIVE - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| American Tire Distributors, Inc.
10.25%,
03/01/22(i) |
|
|
600,000 |
|
|
|
549,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule
of Investments. | 7
Apollo Senior Floating Rate Fund Inc.
Schedule of Investments (continued)
September 30,
2016 (unaudited)
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount ($) |
|
|
Value ($) |
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
| Corporate Notes and Bonds(g)
(continued) |
|
|
|
|
|
|
| CAPITAL EQUIPMENT - 0.7% |
|
|
|
|
|
|
|
|
|
|
|
| WireCo WorldGroup, Inc. |
|
|
|
|
|
|
|
|
|
|
| 9.50%, 05/15/17 |
|
|
2,000,000 |
|
|
|
2,015,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CONTAINERS, PACKAGING & GLASS - 0.7% |
|
|
|
|
|
|
|
| Reynolds Group Holdings, Inc. |
|
|
|
|
|
|
|
|
|
|
| 6.88%, 02/15/21 |
|
|
1,996,000 |
|
|
|
2,070,854 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| HEALTHCARE & PHARMACEUTICALS - 1.1% |
|
|
|
|
|
|
|
| Valeant Pharmaceuticals International, Inc. (Canada) |
|
|
|
|
|
|
|
|
|
|
| 7.50%, 07/15/21(d)(i) |
|
|
3,200,000 |
|
|
|
3,109,920 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| HIGH TECH INDUSTRIES - 1.0% |
|
|
|
|
|
|
|
| JDA Escrow, LLC |
|
|
|
|
|
|
|
|
|
|
| 7.38%, 10/15/24(i) |
|
|
1,000,000 |
|
|
|
1,030,000 |
|
|
|
| Riverbed Technology, Inc. |
|
|
|
|
|
|
|
|
|
|
| 8.88%, 03/01/23(i) |
|
|
1,500,000 |
|
|
|
1,610,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,640,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.3% |
|
|
|
|
|
|
|
| Acosta, Inc. |
|
|
|
|
|
|
|
|
|
|
| 7.75%, 10/01/22(i) |
|
|
1,000,000 |
|
|
|
827,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MEDIA: BROADCASTING & SUBSCRIPTION - 3.3% |
|
|
|
|
|
|
|
| Columbus International, Inc. (Barbados) |
|
|
|
|
|
|
|
|
|
|
| 7.38%, 03/30/21(d)(i) |
|
|
1,285,000 |
|
|
|
1,367,690 |
|
|
|
| CSC Holdings, LLC |
|
|
|
|
|
|
|
|
|
|
| 5.50%, 04/15/27(i) |
|
|
1,125,000 |
|
|
|
1,153,125 |
|
|
|
| Neptune Finco Corp. |
|
|
|
|
|
|
|
|
|
|
| 10.13%, 01/15/23(i) |
|
|
105,000 |
|
|
|
121,275 |
|
|
|
| 10.88%, 10/15/25(i) |
|
|
293,000 |
|
|
|
343,543 |
|
|
|
| Radio One, Inc. |
|
|
|
|
|
|
|
|
|
|
| 7.38%, 04/15/22(i) |
|
|
1,516,000 |
|
|
|
1,531,160 |
|
|
|
| 9.25%, 02/15/20(i) |
|
|
1,484,000 |
|
|
|
1,391,250 |
|
|
|
| SiTV, Inc. |
|
|
|
|
|
|
|
|
|
|
| 10.38%, 07/01/19(i) |
|
|
3,420,000 |
|
|
|
2,368,350 |
|
|
|
| WideOpenWest Finance, LLC |
|
|
|
|
|
|
|
|
|
|
| 10.25%, 07/15/19 |
|
|
1,000,000 |
|
|
|
1,055,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,331,473 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| METALS & MINING - 0.0% |
|
|
|
|
|
|
|
|
|
|
|
| Magnetation, LLC / Mag Finance Corp. |
|
|
|
|
|
|
|
|
|
|
| 11.00%, 05/15/18(e)(h)(i)(j) |
|
|
639,000 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RETAIL - 0.7% |
|
|
|
|
|
|
|
|
|
|
|
| Jo-Ann Stores, Inc. |
|
|
|
|
|
|
|
|
|
|
| 8.13%, 03/15/19(i) |
|
|
2,000,000 |
|
|
|
2,005,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SERVICES: BUSINESS - 0.8% |
|
|
|
|
|
|
|
|
|
|
|
| Camelot Finance S.A. (Luxembourg) |
|
|
|
|
|
|
|
|
|
|
| 7.88%, 10/15/24(b)(d)(i) |
|
|
2,080,000 |
|
|
|
2,150,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TELECOMMUNICATIONS - 0.8% |
|
|
|
|
|
|
|
|
|
|
|
| Altice Financing S.A. (Luxembourg) |
|
|
|
|
|
|
|
|
|
|
| 7.50%, 05/15/26(d)(i) |
|
|
2,076,000 |
|
|
|
2,166,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Notes and Bonds
(Cost $28,226,742) |
|
|
|
|
|
|
26,866,397 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Share
Quantity($) |
|
|
Value
($) |
|
| |
|
|
|
|
|
|
|
|
| Common Stocks - 0.0% |
|
|
|
|
|
|
| BANKING, FINANCE, INSURANCE & REAL ESTATE - 0.0% |
|
|
|
|
| Medical Card System, Inc.(e)(h) |
|
|
991,230 |
|
|
|
— |
|
|
| ENERGY: OIL & GAS - 0.0% |
|
|
|
|
| Southcross Holdings Borrower, GP LLC(e)(h) |
|
|
129 |
|
|
|
— |
|
| Southcross Holdings Borrower, LP, Class
A-II(e)(h) |
|
|
129 |
|
|
|
49,235 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,235 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stock
(Cost $58,051) |
|
|
|
|
|
|
49,235 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Preferred Stock - 1.4% |
|
|
|
|
|
|
|
|
|
| BANKING, FINANCE, INSURANCE & REAL ESTATE - 1.4% |
|
|
|
|
| Watford Holdings, Ltd. (Bermuda)
8.50% (d)(e)(i) |
|
|
160,000 |
|
|
|
3,924,136 |
|
|
|
|
|
|
|
|
|
|
| Total Preferred Stock
(Cost $3,920,000) |
|
|
|
|
|
|
3,924,136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments-149.2% |
|
|
|
|
|
|
419,510,480 |
|
| (Cost of $424,721,565) (k) |
|
|
|
|
|
|
|
|
| Other Assets & Liabilities, Net-0.4% |
|
|
|
|
|
|
1,072,689 |
|
| Loan Outstanding-(49.6)%(l)(m) |
|
|
|
|
|
|
(139,426,359 |
) |
|
|
|
|
|
|
|
|
|
| Net Assets (Applicable to Common Shares)-100.0% |
|
|
|
|
|
|
281,156,810 |
|
|
|
|
|
|
|
|
|
|
8 | See accompanying Notes
to Schedule of Investments.
Apollo Senior Floating Rate Fund Inc.
Schedule of Investments (continued)
September 30,
2016 (unaudited)
| (a) |
“Senior Loans” are senior, secured loans made to companies whose debt is below investment grade as well as investments with similar economic characteristics. Senior Loans typically hold a first lien priority
and, unless otherwise indicated, are required to pay interest at floating rates that are periodically reset by reference to a base lending rate plus a spread. In some instances, the rates shown represent the weighted average rate as of September 30,
2016. Senior Loans are generally not registered under the Securities Act of 1933 (the “1933 Act”) and often incorporate certain restrictions on resale and cannot be sold publicly. Senior Loans often require prepayments from excess cash
flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual maturity may be substantially less than
the stated maturity. |
Senior Loan assets may have additional unfunded loan commitments. As of September 30, 2016, the Fund had unfunded
loan commitments, which could be extended at the option of the borrower, pursuant to the following loan agreements:
|
|
|
|
|
|
|
| Borrower |
|
Unfunded Loan
Commitments |
|
|
|
| |
|
|
| USS Parent Holding Corp. |
|
$ |
357,219 |
|
|
|
|
|
|
|
|
| Total unfunded loan commitments |
|
$ |
357,219 |
|
|
|
|
|
|
|
|
| (b) |
All or a portion of this Senior Loan position has not settled. Full contract rates do not take effect until settlement date and therefore are subject to change. |
| (c) |
The interest rate on this Senior Loan is subject to a base lending rate plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily the prime rate offered
by one or more major U.S. banks (“Prime”). The interest rate is subject to a minimum floor, which may be less than or greater than the prevailing period end LIBOR/Prime rate. As of September 30, 2016, the 1, 3 and 6 month LIBOR rates were
0.53%, 0.85% and 1.24%, respectively, and the Prime lending rate was 3.50%. Senior Loans may contain multiple contracts of the same issuer which may be subject to base lending rates of both LIBOR and Prime (“Variable”) in addition to the
stated spread. |
| (d) |
Foreign issuer traded in U.S. dollars. |
| (e) |
Fair Value Level 3 security. All remaining securities are categorized as Level 2. |
| (f) |
Represents a payment-in-kind (“PIK”) security, which may pay interest in additional principal amount. |
| (h) |
Non-income producing asset. |
| (i) |
Securities exempt from registration pursuant to Rule 144A under the 1933 Act. These securities may only be resold in transactions exempt from registration to qualified institutional buyers. At September 30, 2016, these
securities amounted to $25,649,599, or 9.12% of net assets. |
| (j) |
The issuer is in default of its payment obligations as of May 5, 2015, as such, income is no longer being accrued. The issuer paid a cash dividend to all shareholders of record as of January 6, 2016, which was recorded
as a cost basis adjustment. |
| (k) |
The aggregate cost of securities for federal income tax purposes was $424,965,470. Cost for U.S. federal income tax purposes differs from book basis primarily due to the deferral of losses from wash sales. Unrealized
appreciation and depreciation on investments were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gross unrealized appreciation |
|
$ |
4,985,000 |
|
|
| Gross unrealized depreciation |
|
|
(10,439,990) |
|
|
|
|
|
|
|
|
| Net unrealized depreciation |
|
$ |
(5,454,990) |
|
|
|
|
|
|
|
|
|
| (l) |
The Fund has granted a security interest in substantially all of its assets in the event of default under the credit facility. |
| (m) |
Principal $140,000,000 less unamortized deferred financing costs of $573,641. |
See accompanying Notes to Schedule
of Investments. | 9
Apollo Senior Floating Rate Fund Inc.
Notes to Schedule of Investments
September 30, 2016 (unaudited)
Security Valuation
Apollo Senior Floating Rate Fund
Inc. (the “Fund”) values its investments primarily using the mean of the bid and ask prices provided by a nationally recognized security pricing service or broker. Senior Loans, corporate notes and bonds, common stock and preferred stock
are priced based on valuations provided by an approved independent pricing service or broker, if available. If market or broker quotations are not available, or a price is not available from an independent pricing service or broker, or if the price
provided by the independent pricing service or broker is believed to be unreliable, the security will be fair valued pursuant to procedures adopted by the Fund’s board of directors (the “Board”). In general, the fair value of a
security is the amount that the Fund might reasonably expect to receive upon the sale of an asset or pay to transfer a liability in an orderly transaction between willing market participants at the reporting date. Fair value procedures generally
take into account any factors deemed relevant, which may include, among others, (i) the nature and pricing history of the security, (ii) the liquidity or illiquidity of the market for the particular security, (iii) recent purchases or sales
transactions for the particular security or similar securities and (iv) press releases and other information published about the issuer. In these cases, the Fund’s net asset value (“NAV”) will reflect the affected portfolio
securities’ fair value as determined in the judgment of the Board or its designee instead of being determined by the market. Using a fair value pricing methodology to value securities may result in a value that is different from a
security’s most recent sale price and from the prices used by other investment companies to calculate their NAV. Determination of fair value is uncertain because it involves subjective judgments and estimates. There can be no assurance that the
Fund’s valuation of a security will not differ from the amount that it realizes upon the sale of such security.
Fair Value Measurements
The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value
determination. The levels of fair value inputs used to measure the Fund’s investments are characterized into a fair value hierarchy. The three levels of the fair value hierarchy are described below:
Level 1 — Quoted unadjusted prices for identical assets and liabilities in active markets to which the Fund has access at the
date of measurement;
Level 2 — Quoted prices for similar assets and liabilities in active markets, quoted prices for
identical or similar assets and liabilities in markets that are not active, but are valued based on executed trades, broker quotations that constitute an executable price, and alternative pricing sources supported by observable inputs which, in each
case, are either directly or indirectly observable for the asset in connection with market data at the measurement date; and
Level
3 — Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. In certain cases, investments classified within Level 3 may include securities for which the Fund has
obtained indicative quotes from broker-dealers that do not necessarily represent prices the broker may be willing to trade on, as such quotes can be subject to material management judgment. Unobservable inputs are those inputs that reflect the
Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.
At the end
of each reporting period, management evaluates the Level 2 and Level 3 assets, if any, for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from
independent pricing services, and the existence of contemporaneous, observable trades in the market.
10 |
Apollo Senior Floating Rate Fund Inc.
Notes to Schedule of Investments (continued)
September 30,
2016 (unaudited)
The valuation techniques used by the Fund to measure fair value at September 30, 2016 maximized the use
of observable inputs and minimized the use of unobservable inputs. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers into and out of the
levels are recognized at the value at the end of the period. A summary of the Fund’s investments categorized in the fair value hierarchy as of September 30, 2016 is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Apollo Senior Floating Rate Fund
Inc. |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| Assets |
|
Total Fair Value at
September 30,
2016
|
|
Level 1
Quoted Price
|
|
Level
2
Significant
Observable
Inputs |
|
Level
3
Significant
Unobservable
Inputs |
| |
|
|
|
|
|
|
|
|
| Cash and Cash Equivalents |
|
|
$ |
31,434,394 |
|
|
|
$ |
31,434,394 |
|
|
|
$ |
— |
|
|
|
$ |
— |
|
| Senior Loans |
|
|
|
388,670,712 |
|
|
|
|
— |
|
|
|
|
367,870,304 |
|
|
|
|
20,800,408 |
|
| Corporate Notes and Bonds |
|
|
|
26,866,397 |
|
|
|
|
— |
|
|
|
|
26,866,397 |
|
|
|
|
— |
|
| Common Stock |
|
|
|
49,235 |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
49,235 |
|
| Preferred Stock |
|
|
|
3,924,136 |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
3,924,136 |
|
| Unrealized appreciation on Unfunded Loan Commitments |
|
|
|
3,870 |
|
|
|
|
— |
|
|
|
|
3,870 |
|
|
|
|
— |
|
| Total Assets |
|
|
$ |
450,948,744 |
|
|
|
$ |
31,434,394 |
|
|
|
$ |
394,740,571 |
|
|
|
$ |
24,773,779 |
|
The following is a reconciliation of Level 3 holdings for which significant unobservable inputs were used in determining
fair value for the period January 1, 2016 through September 30, 2016.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Apollo Senior Floating Rate Fund
Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Total
|
|
|
Senior Loans
|
|
|
Corporate
Notes
and Bonds
|
|
|
Common
Stock
|
|
|
Preferred
Stock
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fair Value, beginning of period |
|
$ |
36,863,012 |
|
|
$ |
33,001,459 |
|
|
$ |
35,465 |
|
|
$ |
— |
|
|
$ |
3,826,088 |
|
| Purchases, including capitalized PIK |
|
|
2,377,856 |
|
|
|
2,377,856 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Sales |
|
|
(16,406,869 |
) |
|
|
(16,406,869 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Accretion/(amortization) of discounts/(premiums) |
|
|
65,194 |
|
|
|
65,194 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Net realized gain/(loss) |
|
|
(1,690,838 |
) |
|
|
(1,690,838 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Change in net unrealized appreciation/(depreciation) |
|
|
2,701,891 |
|
|
|
2,639,308 |
|
|
|
(35,465 |
) |
|
|
— |
|
|
|
98,048 |
|
| Transfers into Level 3 |
|
|
14,531,528 |
|
|
|
14,482,293 |
|
|
|
— |
|
|
|
49,235 |
|
|
|
— |
|
| Transfers out of Level 3 |
|
|
(13,667,995 |
) |
|
|
(13,667,995 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Total Fair Value, end of period |
|
$ |
24,773,779 |
|
|
$ |
20,800,408 |
|
|
$ |
— |
|
|
$ |
49,235 |
|
|
$ |
3,924,136 |
|
Assets were transferred from Level 2 to Level 3 or from Level 3 to Level 2 as a result of changes in levels of liquid
market observability when subject to various criteria as discussed previously. There were no transfers between Level 1 and Level 2 fair value measurement during the period shown. Warrants held at the beginning of the period have been fully
exercised. The net change in unrealized appreciation/(depreciation) attributable to Level 3 investments still held at September 30, 2016 was $828,726.
| 11
Apollo Senior Floating Rate Fund Inc.
Notes to Schedule of Investments (continued)
September 30,
2016 (unaudited)
The following table provides quantitative measures used to determine the fair values of the Level 3
investments as of September 30, 2016:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Apollo Senior
Floating Rate Fund Inc. |
|
| |
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Fair Value at
September 30,
2016
|
|
|
Valuation Technique(s)
|
|
Unobservable Input(s)
|
|
Range of
Unobservable
Input(s) Utilized
|
|
| |
|
|
|
|
|
|
|
|
|
|
| Senior Loans |
|
|
$17,735,517 |
|
|
Independent pricing
service and/or broker quotes |
|
Vendor and/or
broker quotes |
|
|
N/A |
|
|
|
|
|
|
|
|
|
3,064,100 |
|
|
Market comparable approach(a) |
|
Total enterprise value/EBITDA(a) |
|
|
6.75x |
|
|
|
|
|
|
|
|
|
791 |
|
|
Recoverability(b) |
|
Wind down costs(b) |
|
|
$14.43m to $18.04m |
|
|
|
|
|
|
| Corporate Notes and Bonds |
|
|
— |
|
|
Recoverability(b) |
|
Wind down costs(b) |
|
|
$14.43m to $18.04m |
|
|
|
|
|
|
| Common Stock |
|
|
— |
|
|
Market comparable approach(a) |
|
Total enterprise value/EBITDA(a) |
|
|
6.75x |
|
|
|
|
|
|
|
|
|
49,235 |
|
|
Independent pricing service and/or broker quotes |
|
Vendor and/or
broker quotes |
|
|
N/A |
|
|
|
|
|
|
| Preferred Stock |
|
|
3,924,136 |
|
|
Discounted cash flow(c) |
|
Discount rate(c) |
|
|
8.66% |
|
| Total Fair Value
|
|
|
$24,773,779
|
|
|
|
|
|
|
|
|
|
| (a) |
The Fund utilized a market comparable approach to fair value this security. The significant unobservable inputs used in the valuation model were total enterprise value and earnings before interest, taxes, depreciation
and amortization (“EBITDA”) based on comparable multiples for a similar investment with similar risks. Significant increases or decreases in either of these inputs in isolation may result in a significantly higher or lower fair value
measurement. |
| (b) |
The Fund utilized a recoverability approach to fair value this security, specifically a liquidation analysis. There are various, company-specific inputs used in the valuation analysis that relate to the liquidation
value of the company’s assets, which were estimated by a third-party financial advisor as part of restructuring proceedings. The significant unobservable inputs used in the valuation model were wind down costs. Significant increases and
decreases in the input in isolation may result in a significantly higher or lower far value measurement. |
| (c) |
The Fund utilized a discounted cash flow model to fair value this security. The significant unobservable input used in the valuation model was the discount rate, which was determined based on the market rates an
investor would expect for a similar investment with similar risks. The discount rate was applied to present value the projected cash flows in the valuation model. Significant increases in the discount rate may significantly lower the fair value of
an investment; conversely, significant decreases in the discount rate may significantly increase the fair value of an investment. |
For
more information with regard to significant accounting policies, see the Fund’s most recent annual report filed with the Securities and Exchange Commission.
12 |
Item 2. Controls and Procedures.
| |
(a) |
The Fund’s principal executive and principal financial officers, or persons performing similar functions,
have concluded that the Fund’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this
report, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
| |
(b) |
There were no changes in the Fund’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Fund’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial
reporting. |
Item 3. Exhibits.
| |
(a) |
Certifications pursuant to Rule 30a-2(a) under the 1940 Act 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) |
|
Apollo Senior Floating Rate Fund Inc. |
|
|
|
|
|
|
|
|
|
|
| By (Signature and Title) |
|
/s/ Joseph Moroney |
|
|
|
|
Joseph Moroney, President
(principal executive officer) |
|
|
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/ Joseph Moroney |
|
|
|
|
Joseph Moroney, President
(principal executive officer) |
|
|
|
|
|
|
|
|
|
|
| By (Signature and Title) |
|
/s/ Frank Marra |
|
|
|
|
Frank Marra, Treasurer and Chief Financial Officer
(principal financial officer) |
|
|