Apollo Senior Floating Rate Fund Inc.

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         811-22481                    

                                         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: June 30, 2017


Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.


LOGO

 

Apollo Senior Floating Rate Fund Inc. (NYSE: AFT)

Apollo Tactical Income Fund Inc. (NYSE: AIF)

 

Semi-Annual Report

June 30, 2017

(unaudited)


 

TABLE OF CONTENTS

 

Manager Commentary

     4  

Financial Data

  

Apollo Senior Floating Rate Fund Inc.

     5  

Apollo Tactical Income Fund Inc.

     6  

Schedules of Investments

  

Apollo Senior Floating Rate Fund Inc.

     7  

Apollo Tactical Income Fund Inc.

     17  

Statements of Assets and Liabilities

     27  

Statements of Operations

     28  

Statements of Changes in Net Assets

  

Apollo Senior Floating Rate Fund Inc.

     29  

Apollo Tactical Income Fund Inc.

     30  

Statements of Cash Flows

  

Apollo Senior Floating Rate Fund Inc.

     31  

Apollo Tactical Income Fund Inc.

     32  

Financial Highlights

  

Apollo Senior Floating Rate Fund Inc.

     33  

Apollo Tactical Income Fund Inc.

     34  

Notes to Financial Statements

     35  

Additional Information

     50  

Important Information About This Report

     53  

Economic and market conditions change frequently.

There is no assurance that the trends described in this report will continue or commence.

 

 

This report, including the financial information herein, is transmitted to shareholders of the Funds for their information. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Manager Commentary (unaudited)

As of June 30, 2017

Dear Shareholders,

We would like to start by saying thank you for your interest in the Apollo Senior Floating Rate Fund Inc. and the Apollo Tactical Income Fund Inc. (the “Funds”). We appreciate the trust and confidence you have placed with us through your investment in the Funds. Much of this year has represented a continuation of the last as buoyant conditions for the corporate credit markets have persisted against the backdrop of benign fundamentals, and with most of this marked by a lack of volatility. There have been different versions of this largely positive market environment. Substantial demand for floating-rate credit over the first half of the year driven by expectations for higher rates flagged somewhat coming into the summer, as US Treasury yields came off their highest levels of 2017, but overall the US high-yield and leveraged loan markets have seen heavy demand over the first half of this year. The broader themes that have been most impactful on these markets not only in 2017 but over much of 2016 as well include a yield-starved investor base reaching increasingly farther afield and working a broader opportunity set to put capital to work at appropriate rates, and a supply of loans and bonds that has seen sporadic levels of more robust issuance but remains limited, relative to demand, by similarly limited corporate activity in the public markets and a difficult buyout environment for sponsors given lofty valuations for most companies, this despite historically low levels for the cost of acquisition capital. As per the broadly used BofA/Merrill Lynch US High Yield Index and the S&P/LSTA Leveraged Loan Index, the bond and loan markets returned +4.9% and +1.9%, respectively, over the first half of 2017. There have been examples of performance that have been potentially indicative of renewed periods of volatility, including a substantial rally in levels for energy-related loans and bonds in the first two months of the year that faded as commodity levels came under pressure, and a brief period in early June during which floating-rate fund flows turned slightly negative as market yields moved lower. But, for the most part, the broader loan and bond markets have experienced positive total returns in a nearly straight line over the course of the year.

The investing environment over the first half of 2017 was very different than the same period the year before. Wherein the first half of 2016 was marked by limited supply and more limited competition for paper, leading to tighter structures and generally higher pricing by rating than was experienced in the second half of the year and currently, the enormous inflows that open-ended floating-rate funds experienced beginning just after the election and into 2017 coupled with outsized CLO creation has led to a much more competitive dynamic around securing both bonds and loans at attractive rates and within attractive structures. At the same time, while the supply figures that represent market activity have been relatively high, a more nuanced view suggests the benefits of this supply to lenders have been limited and represented the taking advantage of issuer-friendly conditions by opportunistic borrowers. At the end of the second quarter of 2017 leveraged loan new-issue activity stood at $577Bn, which would be the second highest such annual total on record (behind just 2013) and compare to $161Bn in loan issuance over the same period in 2016. However, when you net that figure of repricing and refinancing activity, which in a positive market does not usually represent opportunities for investors to make new investments, that supply number stands at just $141Bn YTD, meaning nearly 76% of 2017’s new loan issuance has been for refinancing or repricing purposes. This kind of situation admittedly makes for more difficult periods for credit investors. The repricing phenomenon the leveraged loan markets have been experiencing essentially since the beginning of 2017 is a function of this heavy demand, limited supply, and a result of prevailing secondary loan prices moving through par. This phenomenon has impacted the Funds as it has impacted all corporate credit investors.

In such market conditions, when demand is overriding supply, our focus for the Funds is primarily on managing the existing portfolio, avoiding crowded situations where this demand is leading to activities on behalf of lenders being forced to put capital to work, and identifying opportunities that may be overlooked by the broader investing community or represent situations that others cannot participate in. Fundamentally, away from industries that are seeing unique competitive pressures due either to continued commodity volatility (Energy, Metals & Mining) or to changes in business models and consumer activities (Retail), we are generally seeing good fundamental performance in the corporate credit markets and in the areas where we invest. While the US leveraged loan default rate ticked up in June by 12 basis points to 1.54%, it stood much closer to the low of the last twelve months (1.41% in February) than the high of 2.17% in July 2016. That said, given where valuations have stretched on the basis of yield, spread and leverage, amongst other measures, we remain focused on positioning the portfolio defensibly where possible and on the fundamentals of the credits where we are invested. With regards to new opportunities, operating outside the consensus view is a particular focus at Apollo, and we believe active managers of funds that are closed to regular periods of inflows can operate more efficiently. As we regularly posit, we would welcome periods of volatility over the latter half of the year that would change the competitive dynamic and create the kinds of investing opportunities that have historically been most attractive to the Funds.

We appreciate your interest and support in the Funds. If you have any questions about the Funds, please call 1-888-301-3838, or visit our website at www.agmfunds.com.

Sincerely,

Apollo Credit Management, LLC

 

4  |  Semi-Annual Report


Apollo Senior Floating Rate Fund Inc.

Financial Data

As of June 30, 2017 (unaudited)

 

   Portfolio Composition (as % of Current Market  
   Value of Investment Securities)  
  

Loans

     89.8%   

High Yield Bonds

     9.2%   

Equity/Other

     1.0%   
  
   Portfolio Characteristics (a)  
  

Weighted Average Floating-Rate Spread

     4.60%   

Weighted Average Fixed-Rate Coupon

     7.75%   

Weighted Average Maturity (in years) (floating assets)

     4.95   

Weighted Average Maturity (in years) (fixed assets)

     5.39   

Weighted Average Modified Duration (in years) (fixed assets)

     2.80   

Average Position Size

   $ 1,798,267   

Number of Positions

     240   

Weighted Average S&P Rating(h)

      

Weighted Average Rating Factor (Moody’s)(h)

     2,986   
  
   Credit Quality (b)  
  

BBB

     0.6%   

BB

     13.0%   

B

     67.0%   

CCC+ or Lower

     13.9%   

Not Rated

     5.5%   
  
   Top 5 Industries (as % of Current Market Value of  
   Investment Securities) (c)  
  

Services: Business

     13.9%   

High Tech Industries

     11.4%   

Healthcare & Pharmaceuticals

     11.3%   

Telecommunications

     7.6%   

Banking, Finance, Insurance & Real Estate

     7.6%   

Total

     51.8%   
   Top 10 Issuers (as % of Current Market Value of  
   Investment Securities) (d)  
  

Medical Solutions Holdings, Inc.

     1.7%   

Onex Carestream Finance, L.P.

     1.6%   

Asurion, LLC

     1.6%   

EIG Investors Corp.

     1.5%   

Intelsat Jackson Holdings S.A.

     1.5%   

William Morris Endeavor Entertainment, LLC

     1.4%   

NVA Holdings, Inc.

     1.4%   

Evergreen Skills Lux. S.A.R.L.

     1.3%   

Scientific Games International, Inc.

     1.3%   

Securus Technologies Holdings, Inc.

     1.3%   

Total

     14.6%   

 

   Performance Comparison  
     
                Since  
    YTD     5 Yr     Inception(i)  

AFT - Market Price

    (0.01 )%(e)      5.99 %(e)(f)      4.44%(e)(f)  

AFT - NAV

    3.19 %(e)      7.11 %(e)(f)      6.35%(e)(f)  

S&P/LSTA Leveraged
Loan Index (g)

    1.91     4.58 %(f)      4.14%(f)  
 
(a) Averages based on par value of investment securities, except for the weighted average modified duration, which is based on market value.
(b) Credit quality is calculated as a percentage of fair value of investment securities at June 30, 2017. The quality ratings reflected were issued by S&P Global Ratings (“S&P”), an internationally recognized statistical rating organization. Credit quality ratings reflect the rating agency’s opinion of the credit quality of the underlying positions in the Fund’s portfolio and not that of the Fund itself. Credit quality ratings are subject to change.
(c) The industry classifications reported are from widely recognized market indexes or rating group indexes, and/or as defined by Fund management, with the primary source being Moody’s, an internationally recognized statistical rating organization.
(d) Holdings are subject to change and are provided for informational purposes only.
(e) Performance reflects total return assuming all distributions were reinvested at the dividend reinvestment rate. Past performance does not necessarily indicate how the Fund will perform in the future. The performance information provided does not reflect the deduction of taxes that a shareholder would pay on distributions received from the Fund.
(f) Annualized.
(g) The S&P/LSTA Leveraged Loan Index is a broad index designed to reflect the performance of the U.S. dollar facilities in the leveraged loan market.
(h) Excludes securities with no rating or in default as of June 30, 2017.
(i) Inception date February 23, 2011.

 

Semi-Annual Report  |  5


Apollo Tactical Income Fund Inc.

Financial Data

As of June 30, 2017 (unaudited)

 

 

   Portfolio Composition (as % of Current Market  
   Value of Investment Securities)       
  

Loans

     76.7%   

High Yield Bonds

     12.5%   

Structured Products

     9.8%   

Equity/Other

     1.0%   
  
   Portfolio Characteristics (a)       
  

Weighted Average Floating-Rate Spread

     5.15%   

Weighted Average Fixed-Rate Coupon

     7.38%   

Weighted Average Maturity (in years) (floating assets)

     5.46   

Weighted Average Maturity (in years) (fixed assets)

     5.17   

Weighted Average Modified Duration (in years) (fixed assets)

     2.95   

Average Position Size

   $ 1,767,854   

Number of Positions

     227   

Weighted Average S&P Rating(h)

      

Weighted Average Rating Factor (Moody’s)(h)

     2,967   
  
   Credit Quality (b)       
  

BBB

     0.6%   

BB

     13.2%   

B

     58.8%   

CCC+ or Lower

     14.3%   

Not Rated

     13.1%   
  
   Top 5 Industries (as % of Current Market Value of  
   Investment Securities) (c)       

Services: Business

     12.8%   

Healthcare & Pharmaceuticals

     10.5%   

High Tech Industries

     10.4%   

Telecommunications

     6.8%   

Retail

     6.5%   

Total

     47.0%   
   Top 10 Issuers (as % of Current Market Value of  
   Investment Securities) (d)       
  

Anchorage Capital CLO, Ltd.

     1.9%   

Medical Solutions Holdings, Inc.

     1.8%   

Onex Carestream Finance, L.P.

     1.7%   

EIG Investors Corp.

     1.7%   

Intelsat Jackson Holdings S.A.

     1.6%   

JFIN CLO, Ltd.

     1.5%   

Evergreen Skills Lux. S.A.R.L.

     1.5%   

Securus Technologies Holdings, Inc.

     1.5%   

OCP CLO, Ltd.

     1.3%   

Moss Creek Resources, LLC

     1.3%   

Total

     15.8%   

 

   Performance Comparison              
     
            Since  
     YTD      Inception(i)  

AIF - Market Price

      9.75%(e)          4.45%(e)(f)  

AIF - NAV

      5.90%(e)          7.32%(e)(f)  

S&P/LSTA Leveraged Loan Index (g)

       1.91%            3.84%(f)  
 
(a) Averages based on par value of investment securities, except for the weighted average modified duration, which is based on market value.
(b) Credit quality is calculated as a percentage of fair value of investment securities at June 30, 2017. The quality ratings reflected were issued by S&P, an internationally recognized statistical rating organization. Credit quality ratings reflect the rating agency’s opinion of the credit quality of the underlying positions in the Fund’s portfolio and not that of the Fund itself. Credit quality ratings are subject to change.
(c) The industry classifications reported are from widely recognized market indexes or rating group indexes, and/or as defined by Fund management, with the primary source being Moody’s, an internationally recognized statistical rating organization. The Top 5 Industries table above excludes Structured Products which represent 9.8% of the portfolio as of June 30, 2017.
(d) Holdings are subject to change and are provided for informational purposes only.
(e) Performance reflects total return assuming all distributions were reinvested at the dividend reinvestment rate. Past performance does not necessarily indicate how the Fund will perform in the future. The performance information provided does not reflect the deduction of taxes that a shareholder would pay on distributions received from the Fund.
(f) Annualized.
(g) The S&P/LSTA Leveraged Loan Index is a broad index designed to reflect the performance of the U.S. dollar facilities in the leveraged loan market.
(h) Excludes securities with no rating or in default as of June 30, 2017.
(i) Inception date February 25, 2013.

 

6  |  Semi-Annual Report


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments

June 30, 2017 (unaudited)

 

    

Principal

 Amount ($) 

 

    

 Value ($) 

 

 

 

Senior Loans - 133.7%(a)

 

 

  

AEROSPACE & DEFENSE - 4.0%

 

 

  

DAE Aviation Holdings, Inc.
Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.98%, 07/07/22(b)

     3,697,115            3,732,238  

ENGILITY Corp.

     

Term Loan B-1, (LIBOR + 3.25%, 0.00% Floor),
4.48%, 08/12/20(b)

     908,613            916,223  

PAE Holding Corp.

     

First Lien Initial Term Loan, (LIBOR + 5.50%, 1.00% Floor),
6.73%, 10/20/22(b)(c)

     1,997,742            2,013,974  

Second Lien Initial Term Loan, (LIBOR + 9.50%, 1.00% Floor),
10.73%, 10/20/23(b)

     1,404,834            1,415,370  

Photonis Technologies SAS (France)
First Lien Initial Dollar Term Loan, (LIBOR + 7.50%, 1.00% Floor),
8.70%, 09/18/19(b)(d)

     1,887,413            1,731,701  

Sequa Mezzanine Holdings, LLC
First Lien Initial Term Loan, (LIBOR + 5.50%, 1.00% Floor),
6.67%, 11/28/21(b)

     1,403,670            1,414,198  
     

 

 

 
                11,223,704  
     

 

 

 

 

AUTOMOTIVE - 3.2%

 

     

American Tire Distributors, Inc.
Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.48%, 09/01/21(b)

     2,854,180            2,872,918  

AP Exhaust Acquisition, LLC
First Lien Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.18%, 05/10/24(b)(e)

     2,056,338            2,025,493  

CH Hold Corp.
Second Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.48%, 02/03/25(b)(c)

     500,000            514,063  

Innovative XCessories &
Services, LLC
Term Loan, (LIBOR + 4.75%, 1.00% Floor),
6.04%, 11/29/22(b)

     1,293,579            1,304,898  

U.S. Farathane, LLC
Term Loan B-3, (LIBOR + 4.00%, 1.00% Floor),
5.30%, 12/23/21(b)

     2,232,994            2,260,906  
     

 

 

 
        8,978,278  
     

 

 

 

BANKING, FINANCE, INSURANCE & REAL ESTATE - 9.0%

 

 

Amwins Group, LLC
Second Lien Term Loan, (LIBOR + 6.75%, 1.00% Floor), 7.98%, 01/25/25(b)

     342,857            350,571  

AqGen Ascensus, Inc.
Replacement Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.30%, 12/05/22(b)

     2,719,645            2,753,640  
    

Principal

 Amount ($) 

 

    

 Value ($) 

 

 

 

BANKING, FINANCE, INSURANCE & REAL ESTATE (continued)

 

 

Asurion, LLC
Replacement B-5 Term Loan, (LIBOR + 3.00%, 0.00% Floor), 4.23%, 11/03/23(b)

     5,105,913            5,141,016  

Second Lien Term Loan, (LIBOR + 7.50%, 1.00% Floor), 8.73%, 03/03/21(b)

     1,399,109            1,407,853  

Capital Automotive L.P.
Tranche B Term Loan, (LIBOR + 6.00%, 1.00% Floor), 7.22%, 03/24/25(b)

     1,590,909            1,620,739  

CRCI Holdings, Inc.
Initial Term Loan, (LIBOR + 5.50%, 1.00% Floor), 6.80%, 08/31/23(b)

     2,110,164            2,125,991  

Donnelley Financial Solutions, Inc.
Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 5.08%,
09/29/23(b)

     662,857            670,172  

iStar, Inc. First Lien Term Loan B, (LIBOR + 3.75%, 1.00% Floor), 4.90%, 07/01/20(b)

     1,387,918            1,400,062  

Medical Card System, Inc.
Term Loan, (LIBOR + 0.50%, 1.00% Floor),
1.50%, 05/31/19(b)(e)

     5,323,315            4,203,806  

MMM Holdings, Inc.
Term Loan, (LIBOR + 8.75%, 1.50% Floor),
10.25%, 06/30/19(b)(e)

     516,620            512,745  

MPH Acquisition Holdings, LLC Tranche B Term Loan, (LIBOR + 3.00%, 1.00% Floor),
4.30%, 06/07/23(b)

     1,932,314            1,935,029  

MSO of Puerto Rico, Inc.
Term Loan, (LIBOR + 8.75%, 1.50% Floor),
10.25%, 06/30/19(b)(e)

     375,580            372,763  

National Financial Partners Corp. Term Loan B, (LIBOR + 3.50%, 1.00% Floor),
4.80%, 01/08/24(b)(c)

     1,304,370            1,309,464  

SG Acquisition, Inc.
Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.30%, 03/29/24(b)

     1,409,318            1,400,510  
     

 

 

 
                25,204,361  
     

 

 

 

BEVERAGE, FOOD & TOBACCO - 2.8%

 

 

  

Arctic Glacier Group Holdings, Inc.
Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.48%, 03/20/24(b)

     498,750            504,984  

The Chef’s Warehouse, Inc.
Term Loan, (LIBOR + 5.75%, 1.00% Floor),
6.98%, 06/22/22(b)

     1,082,448            1,097,332  
 

 

See accompanying Notes to Financial Statements.  |  7


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments (continued)

June 30, 2017 (unaudited)

 

    

Principal
 Amount ($) 

 

    

 Value ($) 

 

 

 

Senior Loans(a)  (continued)

 

 

  

BEVERAGE, FOOD & TOBACCO (continued)

 

 

Constellation Brands Canada, Inc. (Canada)
First Lien Initial Tranche B-1 Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.00%,
12/15/23(b)(d)

     497,500            501,853  

PFS Holding Corp.
First Lien Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.73%, 01/31/21(b)

     3,369,898                      3,178,926  

Winebow Holdings, Inc. (The Vintner Group, Inc.)
First Lien Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.98%, 07/01/21(b)

     560,823            552,762  

Second Lien Initial Term Loan, (LIBOR + 7.50%, 1.00% Floor), 8.73%, 01/02/22(b)

     2,260,897            2,113,939  
     

 

 

 
        7,949,796  
     

 

 

 

CAPITAL EQUIPMENT - 1.2%

 

     

MTS Systems Corp.
Tranche B Term Loan, (LIBOR + 4.25%, 0.75% Floor), 5.33%, 07/05/23(b)

     3,308,333            3,341,416  
     

 

 

 

CHEMICALS, PLASTICS & RUBBER - 3.8%

 

 

  

ASP Chromaflo Intermediate
Holdings, Inc.
Initial Tranche B-1 Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.23%, 11/20/23(b)

     327,826            329,979  

Initial Tranche B-2 Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.23%, 11/20/23(b)

     426,279            429,078  

Avantor Performance Materials Holdings, LLC
First Lien Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.23%, 03/11/24(b)

     1,445,434            1,450,255  

Second Lien Initial Term Loan, (LIBOR + 8.25%, 1.00% Floor), 9.48%, 03/10/25(b)

     977,528            992,802  

Ineos Styrolution US Holding, LLC
2024 Dollar Term Loan, (LIBOR + 2.75%, 0.00% Floor), 4.05%, 03/29/24(b)

     1,394,344            1,405,673  

KMG Chemicals, Inc.
Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.75%, 06/15/24(b)(c)

     565,657            572,383  

MacDermid, Inc.
Tranche B-5 Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.73%, 06/07/20(b)

     655,049            658,186  

Tranche B-6 Term Loan, (LIBOR + 3.00%, 1.00% Floor), 4.23%, 06/07/23(b)

     613,752            615,593  
    

Principal
 Amount ($) 

 

    

 Value ($) 

 

 

 

CHEMICALS, PLASTICS & RUBBER (continued)

 

 

Nexeo Solutions, LLC
Term Loan B, (LIBOR + 3.75%, 0.00% Floor), 4.92%,
06/09/23(b)

     1,065,600            1,075,813  

Niacet Corporation
First Lien Initial Dollar Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.80%, 02/01/24(b)(e)

     712,499            711,609  

PetroChoice Holdings, Inc.
First Lien Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.12%, 08/19/22(b)

     997,275            1,006,001  

PQ Corp.
Tranche B-1 Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.48%, 11/04/22(b)

     1,318,258            1,334,077  
     

 

 

 
        10,581,449  
     

 

 

 

CONSTRUCTION & BUILDING - 4.2%

 

 

  

Associated Asphalt Partners, LLC
Tranche B Term Loan, (LIBOR + 5.25%, 1.00% Floor), 6.48%, 04/05/24(b)

     505,051            513,258  

Henry Company, LLC
Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.73%, 10/05/23(b)

     871,298            885,186  

Infiltrator Water Technologies, LLC
First Lien Term Loan B-1, (LIBOR + 3.50%, 1.00% Floor), 4.80%, 05/27/22(b)

     4,815,058            4,851,171  

IPS Structural Adhesives Holdings, Inc.
First Lien Initial Term Loan, (LIBOR + 5.25%, 1.00% Floor), 6.47%, 12/20/23(b)

     1,739,973            1,748,673  

Morsco, Inc.
Initial Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.23%, 10/31/23(b)

     1,927,009            1,949,893  

Terra Millenium Corp.
First Out Term Loan, (LIBOR + 6.25%, 1.00% Floor), 7.50%, 10/31/22(b)(e)

     1,975,000            1,984,875  
     

 

 

 
                11,933,056  
     

 

 

 

 

CONSUMER GOODS: DURABLE - 0.7%

 

 

  

Serta Simmons Holdings, LLC
First Lien Initial Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.59%, 11/08/23(b)(c)

     2,000,000            2,001,260  
     

 

 

 

CONSUMER GOODS: NON-DURABLE - 5.4%

 

 

  

ABG Intermediate Holdings 2, LLC
Term Loan B-1, (LIBOR + 4.00%, 1.00% Floor), 5.30%, 05/27/21(b)

     4,810,442            4,843,514  

LTI Holdings, Inc.
First Lien Initial Term Loan, (LIBOR + 4.75%, 1.00% Floor), 5.92%, 05/16/24(b)(c)

     4,057,954            4,029,629  
 

 

8  |  See accompanying Notes to Financial Statements.


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments (continued)

June 30, 2017 (unaudited)

 

    

Principal
 Amount ($) 

 

    

 Value ($) 

 

 

 

Senior Loans(a) (continued)

 

 

  

CONSUMER GOODS: NON-DURABLE (continued)

 

 

Parfums Holding Co., Inc.
First Lien Term Loan B, (LIBOR + 4.75%, 1.00% Floor), 5.75%, 06/28/24(b)(c)

     1,614,776        1,608,721  

Second Lien Term Loan, (LIBOR + 8.75%, 1.00% Floor), 9.75%, 06/29/25(b)(c)

     1,000,000        980,000  

Revlon Consumer Products Corp.
Initial Term Loan B, (LIBOR + 3.50%, 0.75% Floor), 4.73%, 09/07/23(b)

     3,899,841        3,649,277  
     

 

 

 
                15,111,141  
     

 

 

 

 

CONTAINERS, PACKAGING & GLASS - 3.4%

 

 

Anchor Glass Container Corp.
Second Lien Term Loan, (LIBOR + 7.75%, 1.00% Floor), 8.81%, 12/07/24(b)

     2,291,667        2,337,500  

Flex Acquisition Co, Inc.
First Lien Term Loan, (LIBOR + 3.25%, 1.00% Floor), 4.40%, 12/29/23(b)

     1,650,320        1,656,855  

Hoover Group, Inc.
First Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.42%, 01/28/21(b)(e)

     1,461,926        1,344,972  

Pkc Holding Corp.
First Lien Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.68%, 05/08/24(b)

     820,513        823,081  

Sprint Industrial Holdings, LLC
First Lien Term Loan, (LIBOR + 5.75%, 1.25% Floor), 7.05%, 05/14/19(b)(e)

     2,566,011        2,219,600  

TCB Holdings III Corp.
First Lien Closing Date Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.05%, 11/30/23(b)

     1,160,178        1,171,960  
     

 

 

 
        9,553,968  
     

 

 

 

 

ENERGY: OIL & GAS - 4.1%

 

     

American Energy - Marcellus, LLC
First Lien Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.34%, 08/04/20(b)(f)(g)

     2,561,807        1,650,226  

Azure Midstream Energy, LLC
Term Loan, (LIBOR + 6.50%, 1.00% Floor), 7.73%, 11/15/18(b)

     448,205        422,808  

Drillships Financing Holding, Inc.
Tranche B-1 Term Loan, (Prime + 4.00%, 1.00% Floor), 8.00%, 03/31/21(b)(g)(h)

     989,744        642,096  

EMG Utica, LLC
Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.19%, 03/27/20(b)

     559,230        560,804  
    

Principal
 Amount ($) 

 

    

 Value ($) 

 

 

 

ENERGY: OIL & GAS (continued)

 

 

HGIM Corp.
Senior Secured Term Loan A, (LIBOR + 4.25%, 1.00% Floor), 5.50%, 06/18/18(b)

     2,677,236        1,479,173  

Moss Creek Resources, LLC
Initial Term Loan, (LIBOR + 8.00%, 1.50% Floor), 9.50%, 04/07/22(b)(e)

     5,000,000        4,950,000  

Sheridan Investment Partners I, LLC
Deferred Principal Facility I,
10/01/19(e)(g)

     4,749        2,850  

Tranche B-2 Term Loan, (LIBOR + 3.50%, 0.75% Floor),
4.73%, 10/01/19(b)

     1,639,593        1,389,555  

Sheridan Production
Partners I-A L.P.
Deferred Principal Facility I-A,
10/01/19(e)(g)

     629        378  

Tranche B-2 Term Loan, (LIBOR + 3.50%, 0.75% Floor),
4.73%, 10/01/19(b)

     217,260        184,127  

Sheridan Production Partners I-M L.P.
Deferred Principal Facility I-M,
10/01/19(e)(g)

     384        231  

Tranche B-2 Term Loan, (LIBOR + 3.50%, 0.75% Floor),
4.73%, 10/01/19(b)

     132,703        112,466  

Southcross Holdings Borrower, LP
Tranche B Term Loan (5.5% PIK),
9.00%, 04/13/23(i)(j)

     121,640        107,652  
     

 

 

 
                11,502,366  
     

 

 

 

 

ENVIRONMENTAL INDUSTRIES - 1.0%

 

 

Emerald 2, Ltd. (United Kingdom)
Facility B-1 Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.30%, 05/14/21(b)(c)(d)

     2,809,998        2,669,499  

 

HEALTHCARE & PHARMACEUTICALS - 15.5%

 

 

Alvogen Pharma US, Inc.
First Lien Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.23%, 04/01/22(b)

     2,154,418        2,124,795  

Bioclinica, Inc.
First Lien Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.38%, 10/20/23(b)

     1,779,736        1,748,039  

CT Technologies Intermediate Hldgs, Inc. Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.48%, 12/01/21(b)

     398,411        397,913  

Endo Luxembourg Finance I Co. S.A.R.L
Initial Term Loan, (LIBOR + 4.25%, 0.75% Floor), 5.50%, 04/29/24(b)

     4,598,802        4,649,113  
 

 

See accompanying Notes to Financial Statements.  |  9


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments (continued)

June 30, 2017 (unaudited)

 

    

Principal
 Amount ($) 

 

    

 Value ($) 

 

 

 

Senior Loans(a) (continued)

 

  

 

HEALTHCARE & PHARMACEUTICALS (continued)

 

 

Equian, LLC
Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.93%, 05/20/24(b)

     667,379        673,429  

ExamWorks Group, Inc.
Term Loan B-1, (LIBOR + 3.25%, 1.00% Floor), 4.48%, 07/27/23(b)

     1,477,575        1,485,894  

HCR Healthcare, LLC
Initial Term Loan, (Prime + 4.50%, 1.50% Floor), 8.75%, 04/06/18(b)(k)

     3,456,101        3,326,497  

Lanai Holdings II, Inc.
First Lien Initial Term Loan, (LIBOR + 4.75%, 1.00% Floor), 5.98%, 08/29/22(b)

     2,231,706        2,187,072  

Lanai Holdings III, Inc.
Second Lien Term Loan, (LIBOR + 8.50%, 1.00% Floor), 9.73%, 08/28/23(b)

     869,565        852,174  

Lantheus Medical Imaging, Inc.
Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.73%, 06/30/22(b)

     1,048,732                  1,054,410  

Medical Solutions Holdings, Inc.
First Lien Closing Date Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/14/24(b)(c)

     5,109,170        5,121,943  

Second Lien Closing Date Loan, (LIBOR + 8.25%, 1.00% Floor), 9.25%, 06/16/25(b)(c)

     2,000,000        1,990,000  

Nmsc Holdings, Inc.
Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.30%, 04/19/23(b)

     561,524        562,928  

Opal Acquisition, Inc.
First Lien Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 5.24%, 11/27/20(b)

     4,986,071        4,640,187  

Premier Dental Services, Inc.
Term Loan, (LIBOR + 5.25%, 1.00% Floor), 6.25%,
06/22/23(b)(c)

     878,661        876,464  

Press Ganey Holdings, Inc.
Second Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.48%, 10/21/24(b)

     1,250,000        1,281,250  

Quorum Health Corp.
Term Loan, (LIBOR + 6.75%, 1.00% Floor), 7.98%,
04/29/22(b)(c)

     2,718,750        2,737,618  

Select Medical Corp.
Tranche B Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.65%, 03/06/24(b)

     1,484,000        1,497,927  

Surgery Center Holdings, Inc.
First Lien Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.83%, 11/03/20(b)

     2,482,870        2,497,618  
    

Principal
 Amount ($) 

 

    

 Value ($) 

 

 

 

HEALTHCARE & PHARMACEUTICALS (continued)

 

 

Tecomet, Inc.
Closing Date Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.92%, 05/01/24(b)

     500,000        500,625  

U.S. Renal Care, Inc.
First Lien Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.55%, 12/30/22(b)

     1,994,937        1,934,460  

Valeant Pharmaceuticals
International, Inc. (Canada)
Tranche Term Loan B, Series F-1, (LIBOR + 4.75%, 0.75% Floor), 5.83%, 04/01/22(b)(c)(d)

     1,352,371        1,372,305  
     

 

 

 
                43,512,661  
     

 

 

 

 

HIGH TECH INDUSTRIES - 16.2%

 

 

  

Almonde, Inc.
First Lien Dollar Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.74%, 06/13/24(b)

     3,371,648        3,376,048  

Second Lien Dollar Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.25%, 06/13/25(b)(c)

     500,000        510,580  

Aptean, Inc.
First Lien Term Loan B, (LIBOR + 4.25%, 1.00% Floor), 5.50%, 12/20/22(b)(c)

     2,155,910        2,167,368  

Second Lien Initial Term Loan, (LIBOR + 9.50%, 1.00% Floor), 10.80%, 12/20/23(b)

     763,810        766,201  

Aricent Technologies (Cayman Islands)
First Lien Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.64%, 04/14/21(b)(d)

     3,482,398        3,497,651  

Second Lien Initial Term Loan, (LIBOR + 8.50%, 1.00% Floor), 9.64%, 04/14/22(b)(c)(d)

     1,391,828        1,401,689  

Aspect Software, Inc.
First Lien Exit Term Loan, (LIBOR + 10.00%, 1.00% Floor), 11.22%, 05/25/20(b)

     1,050,834        1,044,923  

Cortes NP Acquisition Corp.
Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 5.23%, 11/30/23(b)

     4,838,362        4,865,578  

Flexera Software, LLC
Second Lien Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.30%, 04/02/21(b)

     2,987,571        2,982,581  

Integrated Device Technology, Inc.
Initial Term Loan B, (LIBOR + 3.00%, 0.00% Floor), 4.23%, 04/04/24(b)(e)

     778,537        783,403  

Kronos Incorporated
Refi Initial Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.56%, 11/01/23(b)

     1,117,200        1,126,121  
 

 

10  |  See accompanying Notes to Financial Statements.


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments  (continued)

June 30, 2017  (unaudited)

 

    

Principal
 Amount ($) 

 

   

 Value ($) 

 

       

 

Senior Loans(a)   (continued)

 

 

   

HIGH TECH INDUSTRIES (continued)

 

 

 

LANDesk Software Group, Inc.

      

First Lien Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.48%, 01/20/24(b)

     1,312,917       1,308,269    

Lanyon Solutions, Inc.

      

First Lien Term Loan B, (LIBOR + 5.00%, 1.00% Floor), 6.23%, 11/13/20(b)

     1,941,917       1,966,191    

MA FinanceCo., LLC

      

Tranche B3 Term Loan, (LIBOR + 2.75%, 0.00% Floor), 2.75%, 06/21/24(b)(c)

     264,223       265,015    

Riverbed Technology, Inc.

      

First Amendment Term Loan, (LIBOR + 3.25%, 1.00% Floor), 4.48%, 04/24/22(b)

     2,000,000       1,974,000    

Seattle SpinCo, Inc.

      

Term Loan, (LIBOR + 2.75%, 0.00% Floor), 2.75%,
06/21/24(b)(c)

     1,784,360       1,789,713    

Sophia, L.P.

      

Term Loan B, (LIBOR + 3.25%, 1.00% Floor), 4.55%,
09/30/22(b)

     1,883,968       1,881,613    

Synchronoss Technologies, Inc.

      

Initial Term Loan, (LIBOR + 2.75%, 0.00% Floor), 4.08%,
01/19/24(b)(c)

     2,826,250       2,781,736    

TIBCO Software, Inc.

      

Term Loan B, (LIBOR + 4.50%, 1.00% Floor), 5.73%,
12/04/20(b)

     3,483,256       3,506,890    

Triple Point Group Holdings, Inc.

      

First Lien Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.55%,
07/10/20(b)(c)

     3,087,836       2,912,231    

Vision Solutions, Inc.

      

Term Loan, (LIBOR + 6.50%, 1.00% Floor), 7.75%,
06/16/22(b)

     3,465,152       3,469,483    

Western Digital Corp.

      

Term Loan B-2, (LIBOR + 2.75%, 0.75% Floor), 3.98%,
04/29/23(b)

     1,365,392       1,373,502    
    

 

 

   
               45,750,786    
    

 

 

   

 

HOTEL, GAMING & LEISURE - 4.5%

 

 

 

Delta 2 (Lux) S.a.r.l. (Luxembourg)

      

New Facility B-3 Term Loan (USD), (LIBOR + 3.25%, 1.00% Floor), 4.50%, 02/01/24(b)(d)

     2,544,927       2,549,698    

Equinox Holdings, Inc.

      

First Lien Initial Term Loan, (LIBOR + 3.25%, 1.00% Floor), 4.48%, 03/08/24(b)

     1,600,025       1,609,281    

Second Lien Initial Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.23%, 09/06/24(b)

     272,109       277,977    

Everi Payments, Inc.

      

Term Loan B, (LIBOR + 4.50%, 1.00% Floor), 5.75%, 05/09/24(b)

     1,677,565       1,691,464    
    

   Principal
 Amount ($) 

 

   

 Value ($) 

 

       

 

HOTEL, GAMING & LEISURE (continued)

 

 

 

The Intertain Group, Ltd. (Canada)

      

Initial Term Loan B, (LIBOR + 6.50%, 1.00% Floor), 7.80%, 04/08/22(b)(d)

     664,574       672,882    

Mohegan Tribal Gaming Authority

      

Term Loan A, (LIBOR + 3.75%, 0.00% Floor), 4.98%,
10/13/21(b)

     2,312,500       2,330,329    

Scientific Games International, Inc.

      

Term Loan B-3, (LIBOR + 4.00%, 0.75% Floor), 5.11%, 10/01/21(b)

     3,600,500       3,640,268    
    

 

 

   
               12,771,899    
    

 

 

   

 

MEDIA: ADVERTISING, PRINTING & PUBLISHING - 2.3%

 

 

Acosta Holdco, Inc.

      

Tranche B-1 Loan, (LIBOR + 3.25%, 1.00% Floor), 4.48%, 09/26/21(b)

     992,251       894,018    

ALM Media, LLC

      

First Lien Term Loan B, (LIBOR + 4.50%, 1.00% Floor), 5.80%, 07/31/20(b)

     3,034,928       2,822,483    

F & W Media, Inc.

      

Term Loan B-1, (LIBOR + 6.50%, 1.50% Floor), 8.00%, 05/24/22(b)(e)

     337,174       337,174    

Term Loan B-2 (10.00% PIK), (LIBOR + 11.50%, 1.50% Floor), 13.00%, 05/24/22(b)(e)(j)

     790,869       790,869    

Information Resources, Inc.

      

First Lien Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.47%, 01/18/24(b)

     1,500,038       1,507,770    
    

 

 

   
       6,352,314    
    

 

 

   

 

MEDIA: BROADCASTING & SUBSCRIPTION - 6.3%

 

 

Beasley Broadcast Group, Inc.

      

Initial Term Loan, (LIBOR + 6.00%, 1.00% Floor), 7.23%, 11/01/23(b)

     731,367       741,197    

CBS Radio, Inc.

      

Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.72%,
10/17/23(b)

     1,395,901       1,401,136    

Term Loan B-1, (LIBOR + 2.75%, 0.00% Floor), 2.75%, 10/17/23(b)(c)

     790,419       795,114    

Emmis Operating Co.

      

Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.15%,
04/18/19(b)

     1,214,628       1,202,481    

Hemisphere Media Holdings, LLC

      

Term Loan B-1, (LIBOR + 3.50%, 0.00% Floor), 4.73%, 02/14/24(b)

     2,425,143       2,429,690    

SESAC Holdco II, LLC

      

Second Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.37%, 02/24/25(b)

     868,956       870,585    

Univision Communications, Inc.

      

2017 Replacement Term Loan, (LIBOR + 2.75%, 1.00% Floor), 3.98%, 03/15/24(b)

     997,311       979,439    
 

 

See accompanying Notes to Financial Statements.  |  11


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments  (continued)

June 30, 2017 (unaudited)

 

    

   Principal
 Amount ($) 

 

    

 Value ($) 

 

        

 

Senior Loans(a)   (continued)

 

 

        
MEDIA: BROADCASTING & SUBSCRIPTION (continued)     

 

Urban One, Inc.
Initial Term Loan,
(LIBOR + 4.00%, 1.00% Floor),
5.08%, 04/18/23(b)

     3,582,993           3,547,163     

William Morris Endeavor
Entertainment, LLC Term Loan B,
(LIBOR + 3.25%, 1.00% Floor),
4.48%, 05/06/21(b)

     5,779,026           5,809,742     
        

 

 

    
                 17,776,547     
        

 

 

    

MEDIA: DIVERSIFIED & PRODUCTION - 0.8%

 

        

 

A-L Parent, LLC
First Lien Initial Term Loan,
(LIBOR + 3.25%, 1.00% Floor),
4.48%, 12/01/23(b)

     1,164,290           1,171,567     

Second Lien Initial Term Loan,
(LIBOR + 7.25%, 1.00% Floor),
8.48%, 12/02/24(b)

     500,000           502,500     

DHX Media Ltd. (Canada)
Term Loan,
(LIBOR + 3.75%, 1.00% Floor),
5.00%, 12/29/23(b)(c)(d)

     603,175           606,381     
        

 

 

    
           2,280,448     
        

 

 

    

METALS & MINING - 0.0%

           

 

Magnetation, LLC / Mag
Finance Corp. DIP Term Loan,
12.00%, 10/14/16(e)(g)(i)

     245,303               
        

 

 

    

RETAIL - 8.6%

           

 

Academy Ltd.
Initial Term Loan,
(LIBOR + 4.00%, 1.00% Floor),
5.20%, 07/01/22(b)(c)

     3,275,077           2,554,560     

Charming Charlie, LLC
Initial Term Loan,
(LIBOR + 8.00%, 1.00% Floor),
9.29%, 12/24/19(b)

     3,581,633           1,832,596     

David’s Bridal, Inc.
Initial Term Loan,
(LIBOR + 4.00%, 1.25% Floor),
5.30%, 10/11/19(b)

     1,497,599           1,140,676     

J. Crew Group, Inc.
Initial Term Loan,
(LIBOR + 3.00%, 1.00% Floor),
4.25%, 03/05/21(b)

     489,822           295,524     

JC Penney Corp., Inc.
Initial Term Loan,
(LIBOR + 4.25%, 1.00% Floor),
5.45%, 06/23/23(b)

     3,718,000           3,674,443     

Jo-Ann Stores, LLC
Initial Term Loan,
(LIBOR + 5.00%, 1.00% Floor),
6.39%, 10/20/23(b)

     1,987,506           1,982,120     
    

   Principal
 Amount ($) 

 

    

 Value ($) 

 

        

 

RETAIL (continued)

           

Leslie’s Poolmart, Inc.
Tranche B-1 Term Loan,
(LIBOR + 3.75%, 1.00% Floor),
4.87%, 08/16/23(b)

     712,011           715,350     

Mister Car Wash Holdings, Inc.
Term Loan,
(LIBOR + 3.75%, 1.00% Floor),
5.00%, 08/20/21(b)(c)

     1,270,904           1,276,731     

The Neiman Marcus Group, Inc.
Other Term Loan,
(LIBOR + 3.25%, 1.00% Floor), 4.34%, 10/25/20(b)

     2,487,147           1,877,796     

Petco Animal Supplies, Inc.
Second Amendment Term Loan,
(LIBOR + 3.00%, 1.00% Floor),
4.17%, 01/26/23(b)(c)

     3,532,901           3,200,808     

Sears Roebuck Acceptance Corp.
(KMART Corp.)
Term Loan,
(LIBOR + 4.50%, 1.00% Floor),
5.72%, 06/30/18(b)(c)

     3,892,933           3,842,656     

Vince, LLC (Vince Intermediate
Holding LLC)
Initial Term Loan,
(LIBOR + 5.00%, 1.00% Floor),
6.18%, 11/27/19(b)(e)

     2,103,817           1,914,473     
        

 

 

    
                 24,307,733     
        

 

 

    

SERVICES: BUSINESS - 19.5%

           

Americold Realty Operating
Partnership, L.P.
Initial Term Loan,
(LIBOR + 3.75%, 1.00% Floor),
4.98%, 12/01/22(b)

     3,597,003           3,653,206     

Camelot Finance LP
New Term Loan,
(LIBOR + 3.50%, 1.00% Floor),
4.73%, 10/03/23(b)

     2,601,074           2,619,893     

Carecore National, LLC
Term Loan,
(LIBOR + 4.00%, 1.00% Floor),
5.23%, 03/05/21(b)

     2,348,403           2,377,758     

Cypress Intermediate Holdings III, Inc.
Second Lien Initial Term Loan,
(LIBOR + 6.75%, 1.00% Floor),
7.98%, 04/28/25(b)

     570,851           586,549     

EIG Investors Corp.
Refinancing Term Loan,
(LIBOR + 4.00%, 1.00% Floor),
5.24%, 02/09/23(b)

     4,216,345           4,234,349     

Electro Rent Corp.
First Lien Initial Term Loan,
(LIBOR + 5.00%, 1.00% Floor),
6.23%, 01/31/24(b)

     2,108,453           2,125,594     
 

 

  12  |   See accompanying Notes to Financial Statements.


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments (continued)

June 30, 2017 (unaudited)

 

    

   Principal
 Amount ($) 

 

    

 Value ($) 

 

        

 

Senior Loans(a)  (continued)

 

 

        

SERVICES: BUSINESS (continued)

 

        

 

Evergreen Skills Lux S.A.R.L.
(Luxembourg)
First Lien Initial Term Loan,
(LIBOR + 4.75%, 1.00% Floor),
5.98%, 04/28/21(b)(d)

     5,086,311           4,820,195     

Second Lien Initial Term Loan,
(LIBOR + 8.25%, 1.00% Floor),
9.48%, 04/28/22(b)(d)

     999,917           832,076     

Explorer Holdings, Inc.
First Lien Initial Term Loan,
(LIBOR + 5.00%, 1.00% Floor),
6.17%, 05/02/23(b)

     3,472,444           3,510,432     

Garda World Security Corp.
(Canada)
Term Loan B,
(LIBOR + 4.00%, 1.00% Floor),
5.23%, 05/24/24(b)(c)(d)

     1,112,174           1,121,210     

GCA Services Group, Inc.
First Lien Term Loan,
(LIBOR + 4.75%, 1.00% Floor),
5.95%, 03/01/23(b)

     1,337,478           1,344,860     

IBC Capital Ltd.
First Lien Initial Term Loan,
(LIBOR + 3.75%, 1.00% Floor),
4.98%, 09/09/21(b)

     2,992,347           2,952,444     

Onex Carestream Finance L.P.
First Lien Term Loan,
(LIBOR + 4.00%, 1.00% Floor),
5.27%, 06/07/19(b)

     3,722,687           3,707,182     

Second Lien Term Loan,
(LIBOR + 8.50%, 1.00% Floor),
9.80%, 12/07/19(b)

     2,915,389           2,864,369     

Packers Holdings, LLC
Initial Term Loan,
(LIBOR + 3.50%, 1.00% Floor),
4.55%, 12/02/21(b)

     1,170,536           1,176,389     

SGS Cayman L.P.
Initial Cayman Term Loan,
(LIBOR + 5.37%, 1.00% Floor),
6.67%, 04/23/21(b)(c)

     681,749           649,366     

SMG
First Lien Term Loan,
(LIBOR + 3.50%, 1.00% Floor),
4.84%, 02/27/20(b)

     2,286,535           2,295,830     

Solera Holdings, Inc.
Dollar Term Loan,
(LIBOR + 3.25%, 1.00% Floor),
4.48%, 03/03/23(b)

     4,204,207           4,223,399     

Sutherland Global Services, Inc.
Initial U.S. Term Loan,
(LIBOR + 5.37%, 1.00% Floor),
6.67%, 04/23/21(b)(c)

     2,928,762           2,789,646     

Tempo Acquisition, LLC
Initial Term Loan,
(LIBOR + 3.00%, 0.00% Floor),
4.06%, 05/01/24(b)

     1,211,618           1,215,877     
    

   Principal
 Amount ($) 

 

    

 Value ($) 

 

        

 

SERVICES: BUSINESS (continued)

 

        

 

U.S. Security Associates
Holdings, Inc. Initial Term Loan,
(LIBOR + 5.00%, 1.00% Floor),
6.30%, 07/14/23(b)

     2,000,152           2,025,154     

USS Parent Holding Corp.
Delayed Draw Term Loan,
(LIBOR + 4.50%, 1.00% Floor),
5.50%, 08/11/23(b)(c)

     365,000           367,054     

Initial Term Loan,
(LIBOR + 4.50%, 1.00% Floor),
5.71%, 08/11/23(b)

     3,444,106           3,463,479     
        

 

 

    
                 54,956,311     
        

 

 

    

SERVICES: CONSUMER - 3.3%

 

        

 

Laureate Education, Inc.
Series 2024 Term Loan,
(LIBOR + 4.50%, 1.00% Floor),
5.73%, 04/26/24(b)(c)

     3,604,638           3,629,420     

NVA Holdings, Inc.
First Lien Term Loan B2,
(LIBOR + 3.50%, 1.00% Floor),
4.80%, 08/14/21(b)

     3,052,162           3,073,146     

Second Lien Term Loan,
(LIBOR + 7.00%, 1.00% Floor),
8.30%, 08/14/22(b)

     2,637,888           2,667,564     
        

 

 

    
                 9,370,130     
        

 

 

    

TELECOMMUNICATIONS - 7.8%

 

        

 

CenturyLink, Inc.
Initial Term Loan B,
(LIBOR + 2.75%, 0.00% Floor),
1.38%, 01/31/25(b)

     1,165,227           1,153,656     

CPI International, Inc.
Term Loan B,
(LIBOR + 3.25%, 1.00% Floor),
4.48%, 04/07/21(b)

     731,554           734,298     

Digicel International Finance Ltd.
(Saint Lucia) First Lien Initial Term Loan B,
(LIBOR + 3.75%, 1.00% Floor),
4.94%, 05/27/24(b)(d)

     884,562           891,612     

Global Tel*Link Corp.
First Lien Term Loan,
(LIBOR + 3.75%, 1.25% Floor),
5.05%, 05/23/20(b)

     5,298,859           5,310,993     

GTT Communications, Inc.
Initial Term Loan B,
(LIBOR + 4.00%, 1.00% Floor),
5.25%, 01/09/24(b)

     497,500           500,301     

Hargray Communications
Group, Inc. Initial Term Loan,
(LIBOR + 3.00%, 1.00% Floor),
4.23%, 05/16/24(b)

     1,062,087           1,064,742     

Intelsat Jackson Holdings S.A.
(Luxembourg) Tranche B-2 Term Loan,
(LIBOR + 2.75%, 1.00% Floor),
4.00%, 06/30/19(b)(d)

     2,000,000           1,985,940     
 

 

See accompanying Notes to Financial Statements.  |  13


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments (continued)

June 30, 2017 (unaudited)

 

    

   Principal
 Amount ($) 

 

    

 Value ($) 

 

        

 

Senior Loans(a) (continued)

 

        

 

TELECOMMUNICATIONS (continued)

 

  

 

Securus Technologies
Holdings, Inc. First Lien,
(LIBOR + 4.50%, 1.00% Floor),
5.50%, 06/20/24(b)(c)

     2,123,636           2,124,528     

Second Lien Initial Term Loan,
(LIBOR + 7.75%, 1.25% Floor),
9.00%, 04/30/21(b)

     2,800,000           2,818,676     

Second Lien Term Loan,
(LIBOR + 8.25%, 1.00% Floor),
9.25%, 06/20/25(b)(c)

     549,280           553,056     

TierPoint, LLC
First Lien Term Loan,
(LIBOR + 3.75%, 1.00% Floor),
4.98%, 05/06/24(b)(c)

     2,448,082           2,454,202     

U.S. TelePacific Corp.
Advance Term Loan,
(LIBOR + 5.00%, 1.00% Floor),
6.23%, 05/02/23(b)

     2,439,024           2,414,939     
        

 

 

    
                 22,006,943     
        

 

 

    

 

TRANSPORTATION: CARGO - 1.3%

 

        

 

Carrix, Inc.
Term Loan,
(LIBOR + 4.50%, 1.00% Floor),
5.73%, 01/07/19(b)

     3,791,040           3,762,607     
        

 

 

    

 

TRANSPORTATION: CONSUMER - 0.4%

 

        

 

Travel Leaders Group, LLC
Term Loan,
(LIBOR + 5.25%, 0.00% Floor),
6.48%, 01/25/24(b)

     1,197,000           1,203,733     
        

 

 

    

 

UTILITIES: ELECTRIC - 4.4%

 

        

 

EFS Cogen Holdings I, LLC
Advance Term Loan B,
(LIBOR + 3.50%, 1.00% Floor),
4.80%, 06/28/23(b)

     1,301,785           1,309,224     

Green Energy Partners
Advance Conversion Term B-1,
(LIBOR + 5.50%, 1.00% Floor),
6.80%, 11/13/21(b)

     806,259           749,821     

Construction B-2 Facility,
(LIBOR + 5.50%, 1.00% Floor),
6.80%, 11/13/21(b)(e)

     340,909           317,045     

Helix Gen Funding, LLC
Term Loan,
(LIBOR + 3.75%, 1.00% Floor),
4.96%, 06/03/24(b)

     1,227,369           1,236,359     

Moxie Patriot, LLC
Construction B-1 Facility,
(LIBOR + 5.75%, 1.00% Floor),
7.05%, 12/19/20(b)

     2,768,924           2,557,793     

Panda Liberty, LLC
Construction B-1 Facility,
(LIBOR + 6.50%, 1.00% Floor),
7.80%, 08/21/20(b)

     1,923,827           1,783,157     
    

   Principal
 Amount ($) 

 

    

 Value ($) 

 

        

 

UTILITIES: ELECTRIC (continued)

 

     

Pike Corp.
First Lien Initial Term Loan,
(LIBOR + 3.75%, 1.00% Floor),
4.98%, 03/08/24(b)

     689,371           699,281     

Second Lien Term Loan,
(LIBOR + 8.00%, 1.00% Floor),
9.23%, 09/10/24(b)(e)

     955,430           972,150     

Vistra Operations Company, LLC
Initial Term Loan,
(LIBOR + 2.75%, 0.75% Floor),
3.98%, 08/04/23(b)

     1,623,734           1,611,564     

Initial Term Loan C,
(LIBOR + 2.75%, 0.75% Floor),
3.79%, 08/04/23(b)

     372,186           369,397     

WG Partners Acquisition, LLC
Term Loan B,
(LIBOR + 4.00%, 1.00% Floor),
5.30%, 11/15/23(b)(e)

     859,691           861,840     
        

 

 

    
           12,467,631     
        

 

 

    

Total Senior Loans
(Cost $380,955,614)

 

            376,570,037     
        

 

 

    

Corporate Notes and Bonds - 13.8%(i)

 

  

 

BANKING, FINANCE, INSURANCE & REAL ESTATE - 1.0%

 

 

  

Donnelley Financial Solutions, Inc.
8.25%, 10/15/24

     2,476,000           2,630,750     
        

 

 

    

 

CONTAINERS, PACKAGING & GLASS - 0.7%

 

  

 

Reynolds Group Holdings, Inc.
6.88%, 02/15/21

     1,999,498           2,056,983     
        

 

 

    

 

HEALTHCARE & PHARMACEUTICALS - 1.4%

 

  

 

CHS/Community Health
Systems, Inc.
6.25%, 03/31/23

     1,000,000           1,036,100     

Valeant Pharmaceuticals
International, Inc. (Canada)
5.38%, 03/15/20(d)(l)

     1,000,000           970,000     

7.50%, 07/15/21(d)(l)

     2,000,000           1,945,000     
        

 

 

    
           3,951,100     
        

 

 

    

 

HIGH TECH INDUSTRIES - 0.7%

 

 

        

Riverbed Technology, Inc.
8.88%, 03/01/23(l)

     1,000,000           1,020,000     

RP Crown Parent, LLC
7.38%, 10/15/24(l)

     1,000,000           1,042,500     
        

 

 

    
           2,062,500     
        

 

 

    

 

HOTEL, GAMING & LEISURE - 0.7%

 

 

        

Scientific Games International, Inc.
7.00%, 01/01/22(l)

     1,878,000           2,004,765     
        

 

 

    

 

MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.3%

 

 

  

Acosta, Inc.
7.75%, 10/01/22(l)

     1,000,000           762,500     
        

 

 

    

 

MEDIA: BROADCASTING & SUBSCRIPTION - 3.5%

 

 

  

Altice Financing S.A. (Luxembourg)
7.50%, 05/15/26(d)(l)

     1,000,000           1,112,500     
 

 

14  |  See accompanying Notes to Financial Statements.


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments (continued)

June 30, 2017 (unaudited)

 

    

   Principal
 Amount ($) 

 

    

 Value ($) 

 

        

 

Corporate Notes and Bonds(i)  (continued)

 

  

 

MEDIA: BROADCASTING & SUBSCRIPTION (continued)

 

  

 

Columbus International, Inc.
(Barbados)
7.38%, 03/30/21(d)(l)

     1,285,000           1,366,919     

CSC Holdings, LLC
5.50%, 04/15/27(l)

     1,000,000           1,060,000     

10.13%, 01/15/23(l)

     105,000           122,063     

10.88%, 10/15/25(l)

     293,000           353,431     

SiTV, Inc.
10.38%, 07/01/19(l)

     3,420,000           2,428,200     

Univision Communications, Inc.
5.13%, 02/15/25(l)

     1,000,000           993,750     

Urban One, Inc.
7.38%, 04/15/22(l)

     1,516,000           1,576,640     

WideOpenWest Finance, LLC
10.25%, 07/15/19

     872,000           899,250     
        

 

 

    
                 9,912,753     
        

 

 

    

 

METALS & MINING - 0.0%

 

  

 

ERP Iron Ore, LLC
Libor + 8.00%, 12/31/19(e)

     40,739           14,014     

Magnetation, LLC / Mag
Finance Corp.
11.00%, 05/15/18(e)(g)(l)(m)

     639,000               
        

 

 

    
           14,014     
        

 

 

    

 

RETAIL - 0.7%

 

  

 

PetSmart, Inc.
5.88%, 06/01/25(l)

     2,116,000           2,049,875     
        

 

 

    

 

SERVICES: BUSINESS - 1.2%

 

 

  

Camelot Finance S.A. (Luxembourg)
7.88%, 10/15/24(d)(l)

     1,080,000           1,166,400     

EIG Investors Corp.
10.88%, 02/01/24

     2,000,000           2,240,000     
        

 

 

    
           3,406,400     
        

 

 

    

 

TELECOMMUNICATIONS - 3.6%

 

 

  

GTT Communications, Inc.
7.88%, 12/31/24(l)

     1,788,000           1,917,630     

 

Intelsat Jackson Holdings S.A. (Luxembourg)
7.25%, 04/01/19(d)

     2,000,000           2,003,000     

8.00%, 02/15/24(d)(l)

     2,000,000           2,160,000     

Orbcomm, Inc.
8.00%, 04/01/24(l)

     3,694,000           3,887,935     
        

 

 

    
           9,968,565     
        

 

 

    

Total Corporate Notes and Bonds
(Cost $38,824,950)

           38,820,205     
        

 

 

    
    

Share
 Quantity 

 

    

 Value ($) 

 

       

 

Common Stocks - 0.0%

 

 

       

BANKING, FINANCE, INSURANCE & REAL ESTATE - 0.0%

 

 

 

Medical Card System, Inc.(e)(g)

     991,230           52,873    
        

 

 

   

 

ENERGY: OIL & GAS - 0.0%

 

 

 

Southcross Holdings Borrower, GP LLC(e)(g)

     129              

Southcross Holdings Borrower, LP, Class A-II(e)(g)

     129           76,433    
        

 

 

   
           76,433    
        

 

 

   

 

MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.0%

 

 

 

F & W Media, Inc.(e)(g)

     9,510              
        

 

 

   

Total Common Stock
(Cost $58,051)

           129,306    
        

 

 

   

 

Preferred Stock - 1.4%

          

 

BANKING, FINANCE, INSURANCE & REAL ESTATE - 1.4%

 

 

 

Watford Holdings, Ltd. (Bermuda)
8.50% (d)(e)(l)

     160,000           3,902,696    
        

 

 

   

Total Preferred Stock
(Cost $3,920,000)

           3,902,696    
        

 

 

   

Total Investments-148.9%
(Cost of $423,758,615) (n)

           419,422,244    

Other Assets & Liabilities, Net-1.0%

           2,803,289    

Loan Outstanding-(49.9)%(o)(p)

           (140,591,032  
        

 

 

   

Net Assets (Applicable to Common Shares)-100.0%

             281,634,501    
        

 

 

   
 

 

See accompanying Notes to Financial Statements.  |  15


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments  (continued)

June 30, 2017 (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 June 30, 2017. 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 June 30, 2017, 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
       
 

 

 
  Bass Pro Group, LLC      $3,726,495        
  Equian, LLC*      205,348        
  NVA Holdings, Inc.**      419,893        
  TCB Holdings III Corp.      116,601        
  USS Parent Holding Corp.      142,893        
    

 

 

   
  Total Unfunded Loan Commitments      $4,611,230        
    

 

 

   

 

   * The loan commitment was partially funded on July 6, 2017.
   ** The loan commitment was fully funded on July 26, 2017.

 

(b)  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 June 30, 2017, the 1, 3 and 6 month LIBOR rates were 1.22%, 1.30% and 1.45%, respectively, and the Prime lending rate was 4.25%. 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.
(c) 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.
(d) Foreign issuer traded in U.S. dollars.
(e)  Fair Value Level 3 security.
(f) The issuer is in default of its payment obligations as of June 7, 2017, as such, income is no longer being accrued.
(g)  Non-income producing asset.
(h) The issuer is in default of its payment obligations as of March 28, 2017, as such, income is no longer being accrued.
(i)  Fixed rate asset.
(j) Represents a payment-in-kind (“PIK”) security, which may pay interest in additional principal amount.
(k) The issuer is in default of its reporting and covenant obligations as of May 23, 2017, however it is current with its payment obligations and income is still being accrued.
(l) 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 June 30, 2017, these securities amounted to $31,842,804, or 11.31% of net assets.
(m)  The issuer is in default of its payment obligations as of May 5, 2015, as such, income is no longer being accrued.
(n) The aggregate cost of securities for federal income tax purposes was $423,975,218. 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

   $ 6,004,435   
 

Gross unrealized depreciation

     (10,557,409)  
    

 

 

 
 

Net unrealized depreciation

   $ (4,552,974)  
    

 

 

 

 

(o)  The Fund has granted a security interest in substantially all of its assets in the event of default under the credit facility.
(p)  Principal $141,000,000 less unamortized deferred financing costs of $408,968.

 

16  |  See accompanying Notes to Financial Statements.


Apollo Tactical Income Fund Inc.

Schedule of Investments

June 30, 2017 (unaudited)

 

   

Principal
 Amount ($) 

 

   

 Value ($) 

 

     

 

Senior Loans - 117.2%(a)

 

 

 

AEROSPACE & DEFENSE - 3.0%

 

 

 

DAE Aviation Holdings, Inc.

     

Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.98%, 07/07/22(b)

    997,462           1,006,938    

PAE Holding Corp.

     

First Lien Initial Term Loan,
(LIBOR + 5.50%, 1.00% Floor),
6.73%, 10/20/22(b)(c)

    1,997,742           2,013,974    

Second Lien Initial Term Loan, (LIBOR + 9.50%, 1.00% Floor), 10.73%, 10/20/23(b)

    1,404,834           1,415,370    

Photonis Technologies SAS (France)

     

First Lien Initial Dollar Term Loan, (LIBOR + 7.50%, 1.00% Floor), 8.70%, 09/18/19(b)(d)

    1,887,413           1,731,701    

Sequa Mezzanine Holdings, LLC

     

First Lien Initial Term Loan,
(LIBOR + 5.50%, 1.00% Floor),
6.67%, 11/28/21(b)

    1,403,670           1,414,198    
   

 

 

   
              7,582,181    
   

 

 

   

 

AUTOMOTIVE - 3.4%

 

 

 

American Tire Distributors, Inc.

     

Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.48%, 09/01/21(b)

    2,612,399           2,629,549    

AP Exhaust Acquisition, LLC

     

First Lien Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.18%, 05/10/24(b)(e)

    2,056,338           2,025,493    

CH Hold Corp.

     

Second Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.48%, 02/03/25(b)

    500,000           514,063    

Innovative XCessories &

     

Services, LLC Term Loan, (LIBOR + 4.75%, 1.00% Floor), 6.04%, 11/29/22(b)

    1,293,579           1,304,898    

U.S. Farathane, LLC

     

Term Loan B-3, (LIBOR + 4.00%, 1.00% Floor), 5.30%, 12/23/21(b) .

    2,232,994           2,260,906    
   

 

 

   
      8,734,909    
   

 

 

   

 

BANKING, FINANCE, INSURANCE & REAL ESTATE - 6.6%

 

 

 

Amwins Group, LLC

     

Second Lien Term Loan, (LIBOR + 6.75%, 1.00% Floor), 7.98%, 01/25/25(b)

    342,857           350,571    

AqGen Ascensus, Inc.

     

Replacement Term Loan,
(LIBOR + 4.00%, 1.00% Floor),
5.30%, 12/05/22(b)

    2,719,645           2,753,640    
   

Principal
 Amount ($) 

 

   

 Value ($) 

 

     

 

BANKING, FINANCE, INSURANCE & REAL ESTATE (continued)

 

 

 

Asurion, LLC

     

Second Lien Term Loan, (LIBOR + 7.50%, 1.00% Floor), 8.73%, 03/03/21(b)

    1,000,000           1,006,250    

CRCI Holdings, Inc.

     

Initial Term Loan, (LIBOR + 5.50%, 1.00% Floor), 6.80%, 08/31/23(b)

    2,110,164           2,125,991    

Donnelley Financial Solutions, Inc.

     

Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 5.08%, 09/29/23(b)

    662,857           670,172    

iStar, Inc.

     

First Lien Term Loan B, (LIBOR + 3.75%, 1.00% Floor), 4.90%, 07/01/20(b)

    1,387,918           1,400,062    

Medical Card System, Inc.

     

Term Loan, (LIBOR + 0.50%, 1.00% Floor), 1.50%, 05/31/19(b)(e)

    4,913,829           3,880,436    

MMM Holdings, Inc.

     

Term Loan, (LIBOR + 8.75%, 1.50% Floor), 10.25%, 06/30/19(b)(e)

    890,532           883,853    

MSO of Puerto Rico, Inc.

     

Term Loan, (LIBOR + 8.75%, 1.50% Floor), 10.25%, 06/30/19(b)(e)

    647,412           642,557    

National Financial Partners Corp.

     

Term Loan B, (LIBOR + 3.50%, 1.00% Floor), 4.80%, 01/08/24(b)(c)

    1,304,370           1,309,464    

SG Acquisition, Inc.

     

Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.30%, 03/29/24(b)

    1,409,318           1,400,510    

SquareTwo Financial Corp. Term Loan, (LIBOR +10.00%, 1.00% Floor), 13.05%, 05/01/19(b)(e)(f)(g)

    1,210,700           164,655    
   

 

 

   
              16,588,161    
   

 

 

   

 

BEVERAGE, FOOD & TOBACCO - 3.1%

 

 

 

Arctic Glacier Group Holdings, Inc.

     

Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.48%, 03/20/24(b)

    498,750           504,984    

The Chef’s Warehouse, Inc.

     

Term Loan, (LIBOR + 5.75%, 1.00% Floor), 6.98%, 06/22/22(b)

    1,082,448           1,097,332    

PFS Holding Corp.

     

First Lien Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.73%, 01/31/21(b)

    2,997,684           2,827,805    

Second Lien Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.48%, 01/31/22(b)

    499,800           458,981    
 

 

See accompanying Notes to Financial Statements.  |  17


Apollo Tactical Income Fund Inc.

Schedule of Investments  (continued)

June 30, 2017 (unaudited)

 

   

   Principal

 Amount ($) 

 

 

 Value ($) 

 

     

 

Senior Loans(a) (continued)

 

 

 

BEVERAGE, FOOD & TOBACCO (continued)

 

Winebow Holdings, Inc. (The Vintner Group, Inc.)

       

First Lien Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.98%, 07/01/21(b)

    560,823         552,762    

Second Lien Initial Term Loan, (LIBOR + 7.50%, 1.00% Floor), 8.73%, 01/02/22(b)

    2,505,795         2,342,918    
     

 

 

   
        7,784,782    
     

 

 

   

 

CAPITAL EQUIPMENT - 1.3%

 

MTS Systems Corp.

       

Tranche B Term Loan, (LIBOR + 4.25%, 0.75% Floor), 5.33%, 07/05/23(b)

    3,308,333         3,341,416    
     

 

 

   

 

CHEMICALS, PLASTICS & RUBBER - 1.8%

 

ASP Chromaflo Intermediate Holdings, Inc.

       

Initial Tranche B-1 Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.23%, 11/20/23(b)

    327,826         329,979    

Initial Tranche B-2 Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.23%, 11/20/23(b)

    426,279         429,078    

Avantor Performance Materials Holdings, LLC

       

First Lien Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.23%, 03/11/24(b)

    1,445,434         1,450,255    

KMG Chemicals, Inc.

       

Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.75%, 06/15/24(b)(c)

    565,657         572,383    

Niacet Corporation

       

First Lien Initial Dollar Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.80%, 02/01/24(b)(e)

    712,499         711,609    

PetroChoice Holdings, Inc.

       

First Lien Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.12%, 08/19/22(b)

    997,275         1,006,001    
     

 

 

   
        4,499,305    
     

 

 

   

 

CONSTRUCTION & BUILDING - 3.6%

 

Associated Asphalt Partners, LLC

       

Tranche B Term Loan, (LIBOR + 5.25%, 1.00% Floor), 6.48%, 04/05/24(b)

    505,051         513,258    

Henry Company, LLC

       

Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.73%, 10/05/23(b)

    871,298         885,186    

Infiltrator Water Technologies, LLC

       

First Lien Term Loan B-1, (LIBOR + 3.50%, 1.00% Floor), 4.80%, 05/27/22(b)

    1,991,031                 2,005,964    
   

   Principal

 Amount ($) 

 

 

 Value ($) 

 

     

 

CONSTRUCTION & BUILDING (continued)

 

IPS Structural Adhesives Holdings, Inc.

       

First Lien Initial Term Loan, (LIBOR + 5.25%, 1.00% Floor), 6.47%, 12/20/23(b)

    1,739,973         1,748,673    

Morsco, Inc.

       

Initial Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.23%, 10/31/23(b)

    1,927,009         1,949,893    

Terra Millenium Corp.

       

First Out Term Loan, (LIBOR + 6.25%, 1.00% Floor), 7.50%, 10/31/22(b)(e)

    1,975,000         1,984,875    
     

 

 

   
        9,087,849    
     

 

 

   

 

CONSUMER GOODS: DURABLE - 0.8%

 

Serta Simmons Holdings, LLC

       

First Lien Initial Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.59%, 11/08/23(b)(c)

    2,000,000         2,001,260    
     

 

 

   

 

CONSUMER GOODS: NON-DURABLE - 5.5%

 

ABG Intermediate Holdings 2, LLC

       

Term Loan B-1, (LIBOR + 4.00%, 1.00% Floor), 5.30%, 05/27/21(b)

    3,527,682         3,551,935    

LTI Holdings, Inc.

       

First Lien Initial Term Loan, (LIBOR + 4.75%, 1.00% Floor), 5.92%, 05/16/24(b)(c)

    4,057,954         4,029,629    

Parfums Holding Co., Inc.

       

First Lien Term Loan B, (LIBOR + 4.75%, 1.00% Floor), 5.75%, 06/28/24(b)(c)

    1,614,776         1,608,721    

Second Lien Term Loan, (LIBOR + 8.75%, 1.00% Floor), 9.75%, 06/29/25(b)(c)

    1,000,000         980,000    

Revlon Consumer Products Corp.

       

Initial Term Loan B, (LIBOR + 3.50%, 0.75% Floor), 4.73%, 09/07/23(b)

    3,984,950         3,728,917    
     

 

 

   
                13,899,202    
     

 

 

   

 

CONTAINERS, PACKAGING & GLASS - 2.4%

 

Anchor Glass Container Corp.

       

Second Lien Term Loan, (LIBOR + 7.75%, 1.00% Floor), 8.81%, 12/07/24(b)

    1,083,333         1,105,000    

Hoover Group, Inc.

       

First Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.42%, 01/28/21(b)(e)

    759,757         698,976    

Pkc Holding Corp.

       

First Lien Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.68%, 05/08/24(b)

    820,513         823,081    

Sprint Industrial Holdings, LLC

       

First Lien Term Loan, (LIBOR + 5.75%, 1.25% Floor), 7.05%, 05/14/19(b)(e)

    2,566,011         2,219,600    
 

 

18  |  See accompanying Notes to Financial Statements.


Apollo Tactical Income Fund Inc.

Schedule of Investments   (continued)

June 30, 2017 (unaudited)

 

   

   Principal

 Amount ($) 

 

 

 Value ($) 

 

     

 

Senior Loans(a) (continued)

 

       

CONTAINERS, PACKAGING & GLASS (continued)

 

TCB Holdings III Corp. First Lien Closing Date Term Loan,
(LIBOR + 3.75%, 1.00% Floor),
5.05%, 11/30/23(b)

    1,160,178         1,171,960    
     

 

 

   
        6,018,617    
     

 

 

   

 

ENERGY: OIL & GAS - 3.0%

 

American Energy - Marcellus, LLC

       

First Lien Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.34%,
08/04/20(b)(g)(h)

    1,306,817         841,806    

Azure Midstream Energy, LLC

       

Term Loan, (LIBOR + 6.50%, 1.00% Floor), 7.73%, 11/15/18(b)

    448,205         422,808    

Drillships Financing Holding, Inc.
Tranche B-1 Term Loan,
(Prime + 4.00%, 1.00% Floor),
8.00%, 03/31/21(b)(g)(i)

    989,744         642,096    

HGIM Corp.

       

Senior Secured Term Loan A, (LIBOR + 4.25%, 1.00% Floor), 5.50%, 06/18/18(b)

    398,725         220,296    

Moss Creek Resources, LLC

       

Initial Term Loan, (LIBOR + 8.00%, 1.50% Floor), 9.50%, 04/07/22(b)(e)

    5,000,000                 4,950,000    

Sheridan Investment

       

Partners I, LLC Deferred Principal Facility I, 10/01/19(e)(g)

    4,749         2,850    

Tranche B-2 Term Loan,
(LIBOR + 3.50%, 0.75% Floor),
4.73%, 10/01/19(b)

    445,380         377,460    

Sheridan Production Partners I-A L.P.

       

Deferred Principal Facility I-A, 10/01/19(e)(g)

    629         378    

Tranche B-2 Term Loan,
(LIBOR + 3.50%, 0.75% Floor),
4.73%, 10/01/19(b)

    59,017         50,017    

Sheridan Production Partners I-M L.P.

       

Deferred Principal Facility I-M, 10/01/19(e)(g)

    384         231    

Tranche B-2 Term Loan,
(LIBOR + 3.50%, 0.75% Floor),
4.73%, 10/01/19(b)

    36,048         30,550    

Southcross Holdings Borrower, LP

       

Tranche B Term Loan (5.50% PIK), 9.00%, 04/13/23(j)(k)

    121,640         107,652    
     

 

 

   
        7,646,144    
     

 

 

   

 

ENVIRONMENTAL INDUSTRIES - 1.1%

 

Emerald 2, Ltd. (United Kingdom)

       

Facility B-1 Term Loan,
(LIBOR + 4.00%, 1.00% Floor),
5.30%, 05/14/21(b)(c)(d)

    2,809,998         2,669,499    
     

 

 

   
   

   Principal

 Amount ($) 

 

 

 Value ($) 

 

     

 

HEALTHCARE & PHARMACEUTICALS - 14.5%

 

Alvogen Pharma US, Inc.

       

First Lien Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.23%, 04/01/22(b)

    1,770,260         1,745,919    

Bioclinica, Inc.

       

First Lien Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.38%, 10/20/23(b)

    1,779,736         1,748,038    

CT Technologies Intermediate Hldgs, Inc.

       

Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.48%, 12/01/21(b)

    398,411         397,913    

Endo Luxembourg Finance I Co. S.A.R.L

       

Initial Term Loan, (LIBOR + 4.25%, 0.75% Floor), 5.50%, 04/29/24(b)

    4,598,802         4,649,113    

Equian, LLC

       

Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.93%, 05/20/24(b)

    667,379         673,429    

HCR Healthcare, LLC

       

Initial Term Loan, (Prime + 4.50%, 1.50% Floor), 8.75%, 04/06/18(b)(l)

    3,456,101         3,326,497    

Lanai Holdings II, Inc.

       

First Lien Initial Term Loan, (LIBOR + 4.75%, 1.00% Floor), 5.98%, 08/29/22(b)

    2,231,706         2,187,072    

Lanai Holdings III, Inc.

       

Second Lien Term Loan, (LIBOR + 8.50%, 1.00% Floor), 9.73%, 08/28/23(b)

    869,565         852,174    

Lantheus Medical Imaging, Inc.

       

Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.73%, 06/30/22(b)

    1,048,732         1,054,410    

Medical Solutions Holdings, Inc.

       

First Lien Closing Date Term Loan,
(LIBOR + 4.25%, 1.00% Floor),
5.25%, 06/14/24(b)(c)

    5,109,170         5,121,943    

Second Lien Closing Date Loan, (LIBOR + 8.25%, 1.00% Floor), 9.25%, 06/16/25(b)(c)

    2,000,000         1,990,000    

Nmsc Holdings, Inc.

       

Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.30%, 04/19/23(b)

    561,524         562,928    

Opal Acquisition, Inc.

       

First Lien Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 5.24%, 11/27/20(b)

    4,986,071         4,640,187    

Premier Dental Services, Inc.

       

Term Loan, (LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/22/23(b)(c)

    878,661         876,464    
 

 

See accompanying Notes to Financial Statements.  |  19


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

June 30, 2017 (unaudited)

 

   

   Principal

 Amount ($) 

 

 

 Value ($) 

 

     

 

Senior Loans(a)   (continued)

 

 

 

HEALTHCARE & PHARMACEUTICALS (continued)

 

 

 

Press Ganey Holdings, Inc.

       

Second Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.48%, 10/21/24(b)

    500,000         512,500    

Quorum Health Corp.

       

Term Loan, (LIBOR + 6.75%, 1.00% Floor), 7.98%, 04/29/22(b)(c)

    2,718,750         2,737,618    

Surgery Center Holdings, Inc.

       

First Lien Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.83%, 11/03/20(b)

    920,889         926,359    

U.S. Renal Care, Inc.

       

First Lien Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.55%, 12/30/22(b)

    1,994,937         1,934,460    

Valeant Pharmaceuticals International, Inc. (Canada)

       

Tranche Term Loan B, Series F-1, (LIBOR + 4.75%, 0.75% Floor), 5.83%, 04/01/22(b)(d)

    695,528         705,780    
     

 

 

   
                36,642,804    
     

 

 

   

 

HIGH TECH INDUSTRIES - 15.1%

 

 

 

Almonde, Inc.

       

Second Lien Dollar Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.25%, 06/13/25(b)(c)

    500,000         510,580    

Aptean, Inc.

       

First Lien Term Loan B, (LIBOR + 4.25%, 1.00% Floor), 5.50%, 12/20/22(b)(c)

    2,155,910         2,167,368    

Second Lien Initial Term Loan, (LIBOR + 9.50%, 1.00% Floor), 10.80%, 12/20/23(b)

    470,000         471,471    

Aricent Technologies (Cayman Islands)

       

First Lien Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.64%, 04/14/21(b)(d)

    3,482,398         3,497,651    

Second Lien Initial Term Loan, (LIBOR + 8.50%, 1.00% Floor), 9.64%, 04/14/22(b)(c)(d)

    1,211,538         1,220,122    

Aspect Software, Inc.

       

First Lien Exit Term Loan, (LIBOR + 10.00%, 1.00% Floor), 11.22%, 05/25/20(b)

    1,050,834         1,044,923    

Cortes NP Acquisition Corp.

       

Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 5.23%, 11/30/23(b)

    4,838,362         4,865,578    

Flexera Software, LLC

       

Second Lien Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.30%, 04/02/21(b)

    2,987,902         2,982,912    

LANDesk Software Group, Inc.

       

First Lien Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.48%, 01/20/24(b)

    1,312,917         1,308,269    

 

   

   Principal

 Amount ($) 

 

 

 Value ($) 

 

     

 

HIGH TECH INDUSTRIES (continued)

 

 

 

Lanyon Solutions, Inc.

       

First Lien Term Loan B, (LIBOR + 5.00%, 1.00% Floor), 6.23%, 11/13/20(b)

    1,941,918         1,966,192    

Second Lien Term Loan, (LIBOR + 9.50%, 1.00% Floor), 10.73%, 11/15/21(b)

    1,830,197         1,825,622    

Riverbed Technology, Inc.

       

First Amendment Term Loan, (LIBOR + 3.25%, 1.00% Floor), 4.48%, 04/24/22(b)

    2,000,000         1,974,000    

Sophia, L.P.

       

Term Loan B, (LIBOR + 3.25%, 1.00% Floor), 4.55%, 09/30/22(b)

    636,007         635,212    

Synchronoss Technologies, Inc.

       

Initial Term Loan, (LIBOR + 2.75%, 0.00% Floor), 4.08%, 01/19/24(b)(c)

    2,826,250         2,781,736    

TIBCO Software, Inc.

       

Term Loan B, (LIBOR + 4.50%, 1.00% Floor), 5.73%, 12/04/20(b)

    3,483,256         3,506,890    

Triple Point Group Holdings, Inc.

       

First Lien Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.55%, 07/10/20(b)(c)

    3,087,836         2,912,231    

Vision Solutions, Inc.

       

Term Loan, (LIBOR + 6.50%, 1.00% Floor), 7.75%, 06/16/22(b)

    3,465,152         3,469,483    

Western Digital Corp.

       

Term Loan B-2, (LIBOR + 2.75%, 0.75% Floor), 3.98%, 04/29/23(b)

    1,024,044         1,030,127    
     

 

 

   
                38,170,367    
     

 

 

   

 

HOTEL, GAMING & LEISURE - 2.9%

 

 

 

Equinox Holdings, Inc.

       

Second Lien Initial Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.23%, 09/06/24(b)

    272,109         277,977    

Everi Payments, Inc.

       

Term Loan B, (LIBOR + 4.50%, 1.00% Floor), 5.75%, 05/09/24(b)

    1,677,565         1,691,464    

The Intertain Group, Ltd. (Canada)

       

Initial Term Loan B, (LIBOR + 6.50%, 1.00% Floor), 7.80%, 04/08/22(b)(d)

    664,574         672,882    

Mohegan Tribal Gaming Authority

       

Term Loan A, (LIBOR + 3.75%, 0.00% Floor), 4.98%, 10/13/21(b)

    2,312,500         2,330,329    

Scientific Games International, Inc.

       

Term Loan B-3, (LIBOR + 4.00%, 0.75% Floor), 5.11%, 10/01/21(b)

    2,330,727         2,356,470    
     

 

 

   
        7,329,122    
     

 

 

   

 

MEDIA: ADVERTISING, PRINTING & PUBLISHING - 2.5%

 

 

 

Acosta Holdco, Inc.

       

Tranche B-1 Loan, (LIBOR + 3.25%, 1.00% Floor), 4.48%, 09/26/21(b)

    992,251         894,018    
 

 

20  |  See accompanying Notes to Financial Statements.


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

June 30, 2017 (unaudited)

 

   

   Principal

 Amount ($) 

 

 

 Value ($) 

 

     

 

Senior Loans(a)   (continued)

 

MEDIA: ADVERTISING, PRINTING & PUBLISHING (continued)

 

 

 

ALM Media, LLC

       

First Lien Term Loan B, (LIBOR + 4.50%, 1.00% Floor), 5.80%, 07/31/20(b)

    3,034,928         2,822,483    

F & W Media, Inc.

       

Term Loan B-1, (LIBOR + 6.50%, 1.50% Floor), 8.00%, 05/24/22(b)(e)

    337,174         337,174    

Term Loan B-2 (10.00% PIK), (LIBOR + 11.50%, 1.50% Floor), 13.00%, 05/24/22(b)(e)(k)

    790,869         790,869    

Information Resources, Inc.

       

First Lien Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.47%, 01/18/24(b)

    1,500,038         1,507,770    
     

 

 

   
                6,352,314    
     

 

 

   

 

MEDIA: BROADCASTING & SUBSCRIPTION - 3.9%

 

 

 

Beasley Broadcast Group, Inc.

       

Initial Term Loan, (LIBOR + 6.00%, 1.00% Floor), 7.23%, 11/01/23(b)

    731,367         741,197    

CBS Radio, Inc.

       

Term Loan, (LIBOR + 3.50%, 1.00% Floor), 4.72%, 10/17/23(b)

    1,395,901         1,401,136    

Emmis Operating Co.

       

Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.15%, 04/18/19(b)

    1,214,628         1,202,481    

Hemisphere Media Holdings, LLC

       

Term Loan B-1, (LIBOR + 3.50%, 0.00% Floor), 4.73%, 02/14/24(b)

    1,427,649         1,430,326    

SESAC Holdco II, LLC

       

Second Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.37%, 02/24/25(b)

    648,285         649,501    

Univision Communications, Inc.

       

2017 Replacement Term Loan, (LIBOR + 2.75%, 1.00% Floor), 3.98%, 03/15/24(b)(c)

    997,311         979,439    

Urban One, Inc.

       

Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.08%, 04/18/23(b)

    3,582,993         3,547,163    
     

 

 

   
        9,951,243    
     

 

 

   

 

MEDIA: DIVERSIFIED & PRODUCTION - 0.4%

 

 

 

A-L Parent, LLC

       

Second Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 8.48%, 12/02/24(b)

    500,000         502,500    

DHX Media Ltd. (Canada)

       

Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.00%, 12/29/23(b)(c)(d)

    603,175         606,381    
     

 

 

   
        1,108,881    
     

 

 

   
   

   Principal

 Amount ($) 

 

 

 Value ($) 

 

     

 

METALS & MINING - 0.0%

 

 

 

Magnetation, LLC / Mag Finance Corp.

       

DIP Term Loan,
12.00%, 10/14/16(e)(g)(j)

    1,127,504            
     

 

 

   

 

RETAIL - 9.1%

 

 

 

Academy Ltd.

       

Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.20%, 07/01/22(b)(c)

    3,275,077         2,554,560    

Charming Charlie, LLC

       

Initial Term Loan, (LIBOR + 8.00%, 1.00% Floor), 9.29%, 12/24/19(b)

    1,079,338         552,259    

David’s Bridal, Inc.

       

Initial Term Loan, (LIBOR + 4.00%, 1.25% Floor), 5.30%, 10/11/19(b)

    1,497,599         1,140,676    

J. Crew Group, Inc.

       

Initial Term Loan, (LIBOR + 3.00%, 1.00% Floor), 4.25%, 03/05/21(b)

    489,822         295,524    

JC Penney Corp., Inc.

       

Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.45%, 06/23/23(b)

    3,730,341         3,686,641    

Jo-Ann Stores, LLC

       

Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.39%, 10/20/23(b)

    1,987,506         1,982,120    

Leslie’s Poolmart, Inc.

       

Tranche B-1 Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.87%, 08/16/23(b)

    712,011         715,350    

Mister Car Wash Holdings, Inc.

       

Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.00%, 08/20/21(b)(c)

    1,270,904         1,276,731    

The Neiman Marcus Group, Inc.

       

Other Term Loan, (LIBOR + 3.25%, 1.00% Floor), 4.34%, 10/25/20(b)

    2,487,147         1,877,796    

Petco Animal Supplies, Inc.

       

Second Amendment Term Loan, (LIBOR + 3.00%, 1.00% Floor), 4.17%, 01/26/23(b)(c)

    3,532,901         3,200,808    

Sears Roebuck Acceptance Corp. (KMART Corp.)

       

Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.72%, 06/30/18(b)(c)

    3,892,933         3,842,656    

Vince, LLC (Vince Intermediate Holding LLC)

       

Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.18%, 11/27/19(b)(e)

    2,103,817         1,914,473    
     

 

 

   
                23,039,594    
     

 

 

   
 

 

See accompanying Notes to Financial Statements.  |  21


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

June 30, 2017 (unaudited)

 

    

Principal
 Amount ($) 

 

    

 Value ($) 

 

     

 

Senior Loans(a)   (continued)

 

    

 

SERVICES: BUSINESS - 18.3%

 

 

    

Americold Realty Operating
Partnership, L.P.
Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.98%, 12/01/22(b)

     3,597,003            3,653,206    

Carecore National, LLC
Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.23%, 03/05/21(b) .

     1,351,065            1,367,953    

Cypress Intermediate Holdings III, Inc.

       

Second Lien Initial Term Loan, (LIBOR + 6.75%, 1.00% Floor), 7.98%, 04/28/25(b)

     570,851            586,549    

EIG Investors Corp.

       

Refinancing Term Loan,
(LIBOR + 4.00%, 1.00% Floor),
5.24%, 02/09/23(b)

     4,216,345            4,234,349    

Electro Rent Corp.

       

First Lien Initial Term Loan,
(LIBOR + 5.00%, 1.00% Floor),
6.23%, 01/31/24(b)

     2,108,453            2,125,594    

Evergreen Skills Lux S.A.R.L. (Luxembourg)

       

First Lien Initial Term Loan,
(LIBOR + 4.75%, 1.00% Floor),
5.98%, 04/28/21(b)(c)(d)

     5,152,040            4,882,485    

Second Lien Initial Term Loan,
(LIBOR + 8.25%, 1.00% Floor),
9.48%, 04/28/22(b)(d)

     999,917            832,076    

Explorer Holdings, Inc.

       

First Lien Initial Term Loan,
(LIBOR + 5.00%, 1.00% Floor),
6.17%, 05/02/23(b)

     3,472,444            3,510,432    

Garda World Security Corp. (Canada)

       

Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 5.23%, 05/24/24(b)(c)(d)

     1,112,174            1,121,210    

GCA Services Group, Inc.

       

First Lien Term Loan,
(LIBOR + 4.75%, 1.00% Floor),
5.95%, 03/01/23(b)

     1,337,478            1,344,860    

IBC Capital Ltd.

       

First Lien Initial Term Loan,
(LIBOR + 3.75%, 1.00% Floor),
4.98%, 09/09/21(b)

     2,992,347            2,952,444    

Onex Carestream Finance L.P.

       

First Lien Term Loan,
(LIBOR + 4.00%, 1.00% Floor),
5.27%, 06/07/19(b)

     3,870,622            3,854,501    

Second Lien Term Loan,
(LIBOR + 8.50%, 1.00% Floor),
9.80%, 12/07/19(b)

     3,000,000            2,947,500    

SGS Cayman L.P.

       

Initial Cayman Term Loan,
(LIBOR + 5.38%, 1.00% Floor),
6.67%, 04/23/21(b)(c)

     681,749            649,366    
    

Principal
 Amount ($) 

 

    

 Value ($) 

 

     

 

SERVICES: BUSINESS (continued)

 

 

    

SMG

       

Second Lien Term Loan, (LIBOR + 8.25%, 1.00% Floor), 9.55%, 02/27/21(b)

     2,458,634            2,455,561    

Solera Holdings, Inc.

       

Dollar Term Loan, (LIBOR + 3.25%, 1.00% Floor), 4.48%, 03/03/23(b)

     997,475            1,002,028    

Sutherland Global Services, Inc.

       

Initial U.S. Term Loan, (LIBOR + 5.38%, 1.00% Floor), 6.67%, 04/23/21(b)(c)

     2,928,762            2,789,646    

U.S. Security Associates

       

Holdings, Inc. Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.30%, 07/14/23(b)

     2,000,152            2,025,154    

USS Parent Holding Corp.

       

Delayed Draw Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%, 08/11/23(b)(c)

     365,000            367,053    

Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.71%, 08/11/23(b)

     3,444,106            3,463,479    
     

 

 

   
                46,165,446    
     

 

 

   

 

SERVICES: CONSUMER - 2.5%

 

 

    

Laureate Education, Inc.

       

Series 2024 Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.73%, 04/26/24(b)(c)

     3,604,638            3,629,420    

NVA Holdings, Inc.

       

Second Lien Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.30%, 08/14/22(b)

     2,637,888            2,667,564    
     

 

 

   
        6,296,984    
     

 

 

   

 

TELECOMMUNICATIONS - 6.4%

 

 

    

CenturyLink, Inc.

       

Initial Term Loan B, (LIBOR + 2.75%, 0.00% Floor), 1.38%, 01/31/25(b)

     1,165,227            1,153,656    

Digicel International Finance Ltd. (Saint Lucia)

       

First Lien Initial Term Loan B, (LIBOR + 3.75%, 1.00% Floor), 4.94%, 05/27/24(b)(d)

     884,562            891,612    

Global Tel*Link Corp.

       

First Lien Term Loan, (LIBOR + 3.75%, 1.25% Floor), 5.05%, 05/23/20(b)

     2,530,580            2,536,375    

GTT Communications, Inc.

       

Initial Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 5.25%, 01/09/24(b)

     497,500            500,301    
 

 

22  |  See accompanying Notes to Financial Statements.


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

June 30, 2017 (unaudited)

 

    

Principal
 Amount ($) 

 

    

 Value ($) 

 

     

 

Senior Loans(a) (continued)

 

    

 

TELECOMMUNICATIONS (continued)

 

 

    

Intelsat Jackson Holdings S.A. (Luxembourg)

       

Tranche B-2 Term Loan, (LIBOR + 2.75%, 1.00% Floor), 4.00%, 06/30/19(b)(d)

     2,000,000            1,985,940    

Securus Technologies

       

Holdings, Inc. First Lien, (LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/20/24(b)(c)

     2,123,636            2,124,528    

Second Lien Initial Term Loan, (LIBOR + 7.75%, 1.25% Floor), 9.00%, 04/30/21(b)

     3,000,000            3,020,010    

Second Lien Term Loan, (LIBOR + 8.25%, 1.00% Floor), 9.25%, 06/20/25(b)(c)

     491,052            494,428    

TierPoint, LLC

       

First Lien Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.98%, 05/06/24(b)(c)

     1,000,000            1,002,500    

U.S. TelePacific Corp.

       

Advance Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.23%, 05/02/23(b)

     2,439,024            2,414,939    
     

 

 

   
                16,124,289    
     

 

 

   

 

TRANSPORTATION: CARGO - 1.5%

 

 

    

Carrix, Inc.

       

Term Loan, (LIBOR + 4.50%, 1.00% Floor),
5.73%, 01/07/19(b)

     3,791,040            3,762,607    
     

 

 

   

 

TRANSPORTATION: CONSUMER - 0.5%

 

 

    

Travel Leaders Group, LLC

       

Term Loan, (LIBOR + 5.25%, 0.00% Floor),
6.48%, 01/25/24(b)

     1,197,000            1,203,733    
     

 

 

   

 

UTILITIES: ELECTRIC - 4.0%

 

 

    

EFS Cogen Holdings I, LLC

       

Advance Term Loan B, (LIBOR + 3.50%, 1.00% Floor), 4.80%, 06/28/23(b)

     1,301,785            1,309,224    

Green Energy Partners

       

Advance Conversion Term B-1, (LIBOR + 5.50%, 1.00% Floor), 6.80%, 11/13/21(b)

     806,259            749,821    

Construction B-2 Facility, (LIBOR + 5.50%, 1.00% Floor), 6.80%, 11/13/21(b)(e)

     340,909            317,045    

Helix Gen Funding, LLC

       

Term Loan, (LIBOR + 3.75%, 1.00% Floor),
4.96%, 06/03/24(b)

     1,227,369            1,236,359    

Moxie Patriot, LLC

       

Construction B-1 Facility, (LIBOR + 5.75%, 1.00% Floor), 7.05%, 12/19/20(b)

     2,768,924            2,557,793    
    

Principal
 Amount ($) 

 

    

 Value ($) 

 

     

 

UTILITIES: ELECTRIC (continued)

 

    

Panda Liberty, LLC

       

Construction B-1 Facility, (LIBOR + 6.50%, 1.00% Floor), 7.80%, 08/21/20(b)

     1,923,827            1,783,156    

Pike Corp.

       

First Lien Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 4.98%, 03/08/24(b)

     689,371            699,281    

Second Lien Term Loan, (LIBOR + 8.00%, 1.00% Floor), 9.23%, 09/10/24(b)(e)

     700,565            712,825    

WG Partners Acquisition, LLC

       

Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 5.30%, 11/15/23(b)(e)

     859,691            861,840    
     

 

 

   
                10,227,344    
     

 

 

   

Total Senior Loans
(Cost $299,425,876)

        296,228,053    
     

 

 

   

 

Corporate Notes and Bonds - 19.0%(j)

 

 

 

 

BANKING, FINANCE, INSURANCE & REAL ESTATE - 1.0%

 

 

 

Donnelley Financial Solutions, Inc. 8.25%, 10/15/24

     2,476,000            2,630,750    
     

 

 

   

 

BEVERAGE, FOOD & TOBACCO - 1.2%

 

 

    

Land O’Lakes Capital Trust I 7.45%, 03/15/28(m)

     2,719,000            3,133,647    
     

 

 

   

 

CAPITAL EQUIPMENT - 0.4%

 

 

    

Optimas OE Solutions

       

Holding, LLC
8.63%, 06/01/21(m)

     1,000,000            992,500    
     

 

 

   

 

CHEMICALS, PLASTICS & RUBBER - 0.7%

 

 

    

TPC Group, Inc. (Texas Petrochemical) 8.75%, 12/15/20(m)

     2,007,000            1,816,335    
     

 

 

   

 

CONTAINERS, PACKAGING & GLASS - 0.8%

 

 

    

Reynolds Group Holdings, Inc.

       

6.88%, 02/15/21

     2,000,146            2,057,650    
     

 

 

   

 

ENERGY: OIL & GAS - 0.2%

 

 

    

Northern Oil and Gas, Inc.

       

8.00%, 06/01/20

     729,000            513,945    
     

 

 

   

 

HEALTHCARE & PHARMACEUTICALS - 1.6%

 

 

 

CHS/Community Health Systems, Inc.

       

6.25%, 03/31/23

     1,000,000            1,036,100    

Valeant Pharmaceuticals

       

International, Inc. (Canada) 5.38%, 03/15/20(d)(m)

     1,000,000            970,000    

7.50%, 07/15/21(d)(m)

     2,000,000            1,945,000    
     

 

 

   
        3,951,100    
     

 

 

   

 

HIGH TECH INDUSTRIES - 0.8%

 

 

    

Riverbed Technology, Inc.

       

8.88%, 03/01/23(m)

     1,000,000            1,020,000    
 

 

See accompanying Notes to Financial Statements.  |  23


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

June 30, 2017 (unaudited)

 

    

Principal
 Amount ($) 

 

    

 Value ($) 

 

     

Corporate Notes and Bonds(j)  (continued)

 

 

 

HIGH TECH INDUSTRIES (continued)

 

 

    

RP Crown Parent, LLC

       

7.38%, 10/15/24(m)

     1,000,000            1,042,500    
     

 

 

   
        2,062,500    
     

 

 

   

 

HOTEL, GAMING & LEISURE - 1.4%

 

 

    

Hilton Grand Vacations
Borrower, LLC

       

6.13%, 12/01/24(m)

     1,100,000            1,203,125    

Scientific Games International, Inc.

       

7.00%, 01/01/22(m)

     2,086,000            2,226,806    
     

 

 

   
        3,429,931    
     

 

 

   

MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.3%

 

 

Acosta, Inc.

       

7.75%, 10/01/22(m)

     1,000,000            762,500    
     

 

 

   

MEDIA: BROADCASTING & SUBSCRIPTION - 4.5%

 

 

 

Altice Financing S.A. (Luxembourg)

       

7.50%, 05/15/26(d)(m)

     1,000,000            1,112,500    

Columbus International, Inc. (Barbados)

       

7.38%, 03/30/21(d)(m)

     3,285,000            3,494,419    

CSC Holdings, LLC

       

10.13%, 01/15/23(m)

     317,000            368,513    

10.88%, 10/15/25(m)

     877,000            1,057,881    

SiTV, Inc.

       

10.38%, 07/01/19(m)

     3,420,000            2,428,200    

Univision Communications, Inc.

       

5.13%, 02/15/25(m)

     1,000,000            993,750    

Urban One, Inc.

       

7.38%, 04/15/22(m)

     882,000            917,280    

WideOpenWest Finance, LLC

       

10.25%, 07/15/19

     868,000            895,125    
     

 

 

   
              11,267,668    
     

 

 

   

METALS & MINING - 0.0%

 

 

    

ERP Iron Ore, LLC

       

Libor + 8.00%, 12/31/19(e)

     187,253            64,415    

Magnetation, LLC / Mag
Finance Corp.

       

11.00%, 05/15/18(e)(g)(m)(n)

     2,937,000               
     

 

 

   
        64,415    
     

 

 

   

RETAIL - 0.8%

 

 

    

PetSmart, Inc.

       

5.88%, 06/01/25(m)

     2,116,000            2,049,875    
     

 

 

   

 

SERVICES: BUSINESS - 1.4%

 

 

    

Camelot Finance S.A.
(Luxembourg)

       

7.88%, 10/15/24(d)(m)

     1,080,000            1,166,400    

EIG Investors Corp.

       

10.88%, 02/01/24

     2,000,000            2,240,000    
     

 

 

   
        3,406,400    
     

 

 

   

 

TELECOMMUNICATIONS - 3.9%

 

 

    

GTT Communications, Inc.

       

7.88%, 12/31/24(m)

     1,788,000            1,917,630    
    

Principal
 Amount ($) 

 

    

 Value ($) 

 

     

 

TELECOMMUNICATIONS (continued)

 

 

    

Intelsat Jackson Holdings S.A.
(Luxembourg)

       

7.25%, 04/01/19(d)

     2,000,000            2,003,000    

8.00%, 02/15/24(d)(m)

     2,000,000            2,160,000    

Orbcomm, Inc.

       

8.00%, 04/01/24(m)

     3,694,000            3,887,936    
     

 

 

   
                9,968,566    
     

 

 

   

Total Corporate Notes and Bonds

 

    

(Cost $47,634,167)

 

     48,107,782    
     

 

 

   

Structured Products - 15.0%(o)

 

 

    

Anchorage Capital CLO, Ltd. (Cayman Islands)

       

Series 2015-6A, Class ER,
6.35%, 07/15/30(d)(m)(p)

     4,400,000            4,225,320    

Series 2015-7A, Class E2,
8.26%, 10/15/27(d)(m)(p)

     3,000,000            3,015,075    

Babson CLO Ltd. (Cayman Islands)

       

Series 2014-IA, Class E,
6.81%, 07/20/25(d)(m)(p)

     1,110,000            1,009,035    

Guggenheim 1828 CLO, LLC (Cayman Island)

       

Series 2016-1A, Class D,
8.16%, 04/15/28(d)(m)(p)

     4,000,000            4,043,704    

Ivy Hill Middle Market Credit Fund, Ltd. (Cayman Islands)

       

Series 10A, Class D2,
8.46%, 07/24/27(d)(m)(p)

     2,350,000            2,349,868    

JFIN CLO, Ltd. (Cayman Islands)

       

Series 2013-1I, Class E,
7.16%, 01/20/25(d)(p)

     2,000,000            1,781,504    

Series 2015-1A, Class E,
6.25%, 03/15/26(d)(m)(p)

     4,500,000            4,145,827    

NXT Capital CLO, LLC

       

Series 2014-1A, Class E,
6.65%, 04/23/26(m)(p)

     5,000,000            4,486,320    

NZCG Funding, Ltd. (Cayman Islands)

       

Series 2015-2A, Class D,
7.47%, 04/27/27(d)(m)(p)

     1,500,000            1,497,633    
OCP CLO, Ltd. (Cayman Islands)        

Series 2016-11A, Class D2,
10.17%, 04/26/28(d)(e)(m)(p)

     5,000,000            5,010,085    

Teachers Insurance and Annuity Association of America CLO, Ltd. (Cayman Islands)

       

Series 2016-1A, Class E2,
11.16%, 07/20/28(d)(m)(p)

     2,500,000            2,550,000    

TIAA Churchill Middle Market CLO I (Cayman Islands)

       

Series 2016-1A, Class E2,
9.16%, 10/20/28(d)(m)(p)

     2,000,000            1,994,678    

Voya CLO Ltd. (Cayman Islands)

       

Series 2015-3A, Series E,
7.66%, 10/20/27(d)(m)(p)

     1,000,000            922,951    
 

 

24  |  See accompanying Notes to Financial Statements.


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

June 30, 2017 (unaudited)

 

    

Principal
 Amount ($) 

 

    

 Value ($) 

 

     

 

Structured Products(o) (continued)

 

 

    

Zais CLO Ltd. (Cayman Islands)

       

Series 2016-2A, Series D,
8.16%, 10/15/28(d)(m)(p)

     1,000,000        999,950    
     

 

 

   

Total Structured Products
(Cost $37,665,942)

              38,031,950    
     

 

 

   
       
    

Share
 Quantity 

 

    

 Value ($) 

 

     

Common Stocks - 0.1%

 

    

 

BANKING, FINANCE, INSURANCE & REAL ESTATE - 0.0%

 

 

 

Medical Card System, Inc.(e)(g)

     914,981        48,806    
     

 

 

   

 

ENERGY: OIL & GAS - 0.1%

 

 

    

Southcross Holdings Borrower, GP LLC(e)(g)

     129           

Southcross Holdings Borrower, LP, Class A-II(e)(g)

     129        76,433    
     

 

 

   
        76,433    
     

 

 

   

MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.0%

 

 

F & W Media, Inc.(e)(g)

     9,510           
     

 

 

   

 

Total Common Stock
(Cost $58,051)

        125,239    
     

 

 

   
    

Share
 Quantity 

 

    

 Value ($) 

 

     

Preferred Stock - 1.5%

 

    

 

BANKING, FINANCE, INSURANCE & REAL ESTATE - 1.5%

 

 

Watford Holdings, Ltd. (Bermuda)
8.50%,(d)(e)(m)

     160,000        3,902,696    
     

 

 

   

Total Preferred Stock
(Cost $3,920,000)

        3,902,696    
     

 

 

   

Total Investments-152.8%

 

     386,395,720    

(Cost of $388,704,036) (q)

       

Other Assets & Liabilities, Net-1.8%

        4,431,271    

Loan Outstanding-(54.6)%(r)(s)

        (137,969,885  
     

 

 

   

Net Assets -100.0%

          252,857,106    
     

 

 

   
 

 

See accompanying Notes to Financial Statements.  |  25


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

June 30, 2017 (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 June 30, 2017. 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 June 30, 2017, 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
 
  

 

 
   Bass Pro Group, LLC        $ 3,726,495      
   Equian, LLC*      205,348      
   TCB Holdings III Corp.      116,601      
   USS Parent Holding Corp.      142,893      
     

 

 

 
   Total unfunded loan commitments        $ 4,191,337      
     

 

 

 
  

 

*The loan commitment was partially funded on July 6, 2017.

 

 

(b) 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 June 30, 2017, the 1, 3 and 6 month LIBOR rates were 1.22%, 1.30% and 1.45%, respectively, and the Prime lending rate was 4.25%. 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.
(c) 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.
(d) Foreign issuer traded in U.S. dollars.
(e)  Fair Value Level 3 security.
(f) The issuer is in default of its payment obligations as of March 19, 2017, as such, income is no longer being accrued.
(g)  Non-income producing asset.
(h) The issuer is in default of its payment obligations as of June 7, 2017, as such, income is no longer being accrued.
(i)  The issuer is in default of its payment obligations as of March 28, 2017, as such, income is no longer being accrued.
(j)  Fixed rate asset.
(k) Represents a payment-in-kind (“PIK”) security, which may pay interest in additional principal amount.
(l) The issuer is in default of its reporting and covenant obligations as of May 23, 2017, however it is current with its payment obligations and income is still being accrued.
(m) 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 June 30, 2017, these securities amounted to $76,819,940, or 30.38% of net assets.
(n) The issuer is in default of its payment obligations as of May 5, 2015, as such, income is no longer being accrued.
(o) Structured Products include collateralized loan obligations (“CLOs”). A CLO typically takes the form of a financing company (generally called a special purpose vehicle or “SPV”), created to reapportion the risk and return characteristics of a pool of assets. While the assets underlying CLOs are often Senior Loans or corporate notes and bonds, the assets may also include (i) subordinated loans; (ii) debt tranches of other CLOs; and (iii) equity securities incidental to investments in Senior Loans. The Fund may invest in lower tranches of CLOs, which typically experience a lower recovery, greater risk of loss or deferral or non-payment of interest than more senior tranches of the CLO. A key feature of the CLO structure is the prioritization of the cash flows from a pool of debt securities among the several classes of the CLO. The SPV is a company founded for the purpose of securitizing payment claims arising out of this asset pool. On this basis, marketable securities are issued by the SPV and the redemption of these securities typically takes place at maturity out of the cash flow generated by the collected claims.
(p) Floating rate asset. The interest rate shown reflects the rate in effect at June 30, 2017.
(q) The aggregate cost of securities for federal income tax purposes was $388,926,322. 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

     $ 6,430,481   
 

Gross unrealized depreciation

     (8,961,083)  
    

 

 

 
 

Net unrealized depreciation

     $ (2,530,602)  
    

 

 

 

 

(r) The Fund has granted a security interest in substantially all of its assets in the event of default under the credit facility.
(s) Principal $138,000,000 less unamortized deferred financing costs of $30,115.

 

26  |  See accompanying Notes to Financial Statements.


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Statements of Assets and Liabilities

June 30, 2017 (unaudited)

 

     

Apollo

Senior

Floating Rate
Fund Inc.

 

Apollo

Tactical

Income

Fund Inc.

 

Assets:

        

Investment securities at fair value (cost $423,758,615 and $388,704,036, respectively)

     $ 419,422,244     $ 386,395,720

Cash and cash equivalents

       15,400,977       9,588,155

Interest receivable

       3,041,840       2,268,739

Receivable for investment securities sold

       19,929,377       30,131,662

Prepaid expenses

       246,426       246,701
    

 

 

     

 

 

 

Total assets

     $ 458,040,864     $ 428,630,977
    

 

 

     

 

 

 

Liabilities:

        

Borrowings under credit facility (principal $141,000,000 and $138,000,000, respectively, less unamortized deferred financing costs of $408,968 and $30,115, respectively) (Note 8)

     $ 140,591,032     $ 137,969,885

Payable for investment securities purchased

       34,985,509       37,041,001

Interest payable

       81,331       23,733

Net unrealized depreciation on unfunded loan commitments (Note 9)

       56,079       58,966

Distributions payable to common shareholders

       50,539       40,026

Investment advisory fee payable

       348,091       321,595

Other payables and accrued expenses due to affiliates

       70,638       58,801

Other payables and accrued expenses

       223,144       259,864
    

 

 

     

 

 

 

Total liabilities

       176,406,363       175,773,871
    

 

 

     

 

 

 

Commitments and Contingencies (Note 9)

        

Net Assets (Applicable to Common Shareholders)

     $ 281,634,501     $ 252,857,106
    

 

 

     

 

 

 

Net Assets Consist of:

        

Paid-in capital ($0.001 par value, 999,998,466 and 1,000,000,000 common shares authorized, respectively, and 15,573,061 and 14,464,026 issued and outstanding, respectively) (Note 6)

     $ 296,699,291     $ 275,624,904

Undistributed net investment income (loss)

       882,127       (115,490 )

Accumulated net realized loss from investments

       (11,554,467 )       (20,285,026 )

Net unrealized depreciation on investments and unfunded loan commitments

       (4,392,450 )       (2,367,282 )
    

 

 

     

 

 

 

Net Assets (Applicable to Common Shareholders)

     $ 281,634,501     $ 252,857,106
    

 

 

     

 

 

 

Number of Common Shares Outstanding

       15,573,061       14,464,026

Net Asset Value, per Common Share

     $ 18.08     $ 17.48

 

See accompanying Notes to Financial Statements.  |  27


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Statements of Operations

For the Six Months Ended June 30, 2017 (unaudited)

 

      Apollo
Senior
Floating Rate
Fund Inc.
        Apollo
Tactical
Income
Fund Inc.
    

 

Investment Income:

             

Interest

     $ 13,023,475        $ 13,350,455  

Dividends

       170,000          170,000  
    

 

 

        

 

 

   

Total investment income

       13,193,475          13,520,455  
    

 

 

        

 

 

   

Expenses:

             

Investment advisory fee (Note 3)

       2,099,610          1,935,452  

Interest and commitment fee expense (Note 8)

       1,329,655          1,374,407  

Professional fees

       186,277          184,333  

Administrative services of the Adviser (Note 3)

       308,206          303,019  

Fund administration and accounting services (Note 3)

       130,903          125,277  

Insurance expense

       156,272          156,272  

Amortization of deferred financing costs (Note 8)

       109,063          21,336  

Board of Directors fees (Note 3)

       64,263          64,109  

Other operating expenses

       76,764          70,811  
    

 

 

        

 

 

   

Total expenses

       4,461,013          4,235,016  

Expense reimbursement waived by the Adviser (Note 3)

                 
    

 

 

        

 

 

   

Net expenses

       4,461,013          4,235,016  
    

 

 

        

 

 

   

Net Investment Income

       8,732,462          9,285,439  
    

 

 

        

 

 

   

Net Realized and Unrealized Gain/(Loss) on Investments

             

Net realized gain/(loss) on investments

       562,530          (9,087,648 )  

Net change in unrealized appreciation/(depreciation) on investments and unfunded loan commitments (Note 9)

       (578,953 )          13,709,471  
    

 

 

        

 

 

   

Net realized and unrealized gain/(loss) on investments

       (16,423 )          4,621,823  
    

 

 

        

 

 

   

Net Increase in Net Assets, Applicable to Common Shareholders, Resulting From Operations

     $ 8,716,039        $ 13,907,262  
    

 

 

        

 

 

   

 

28  |  See accompanying Notes to Financial Statements.


Apollo Senior Floating Rate Fund Inc.

Statements of Changes in Net Assets

 

     

Six Months

Ended

June 30, 2017

(unaudited)

       

Year

Ended

December 31,

2016

Increase/(Decrease) in Net Assets from:

           

Operations

           

Net investment income

     $ 8,732,462        $ 19,368,995

Net realized gain/(loss) on investments

       562,530          (4,249,370 )

Net change in unrealized appreciation/(depreciation) on investments and unfunded loan commitments

       (578,953 )          22,141,583
    

 

 

        

 

 

 

Net increase in net assets from operations

       8,716,039          37,261,208
    

 

 

        

 

 

 

Distributions to Common Shareholders

           

From net investment income

       (8,409,453 )          (19,371,331 )
    

 

 

        

 

 

 

Total distributions to common shareholders

       (8,409,453 )          (19,371,331 )
    

 

 

        

 

 

 

Total increase in net assets

     $ 306,586        $ 17,889,877

Net Assets Applicable to Common Shares

           

Beginning of period

       281,327,915          263,438,038
    

 

 

        

 

 

 

End of period

     $ 281,634,501        $ 281,327,915
    

 

 

        

 

 

 

Undistributed net investment income

     $ 882,127        $ 556,680
    

 

 

        

 

 

 

 

See accompanying Notes to Financial Statements.  |  29


Apollo Tactical Income Fund Inc.

Statements of Changes in Net Assets

 

     

Six Months

Ended

June 30,

2017

(unaudited)

       

Year    

Ended    

December 31,    

2016    

Increase/(Decrease) in Net Assets from:

           

Operations

           

Net investment income

     $ 9,285,439        $ 21,714,036

Net realized loss on investments

       (9,087,648 )          (7,130,897 )

Net change in unrealized appreciation on investments and unfunded loan commitments

       13,709,471          24,787,359
    

 

 

        

 

 

 

Net increase in net assets from operations

       13,907,262          39,370,498
    

 

 

        

 

 

 

Distributions to Common Shareholders

           

From net investment income

       (9,473,937 )          (21,941,928 )
    

 

 

        

 

 

 

Total distributions to common shareholders

       (9,473,937 )          (21,941,928 )
    

 

 

        

 

 

 

Total increase in net assets

     $ 4,433,325        $ 17,428,570

Net Assets Applicable to Common Shares

           

Beginning of period

       248,423,781          230,995,211
    

 

 

        

 

 

 

End of period

     $ 252,857,106        $ 248,423,781
    

 

 

        

 

 

 

Undistributed net investment income/(loss)

     $ (115,490 )        $ 73,008
    

 

 

        

 

 

 

 

30  |  See accompanying Notes to Financial Statements.


Apollo Senior Floating Rate Fund Inc.

Statement of Cash Flows

For the Six Months Ended June 30, 2017 (unaudited)

 

 

 

 

Cash Flows from Operating Activities:

  

Net increase in net assets from operations

   $ 8,716,039  

Adjustments to Reconcile Net Increase in Net Assets from Operations to Net Cash Flows Provided by Operating Activities:

  

Net realized gain on investments

     (562,530

Net change in unrealized depreciation on investments and unfunded loan commitments

     578,953  

Net amortization/(accretion) of premium/(discount)

     (956,478

Purchase of investment securities

     (281,080,091

Proceeds from disposition of investment securities and principal paydowns

     278,024,960  

Payment-in-kind interest

     (605,823

Amortization of deferred financing costs

     109,064  

Changes in Operating Assets and Liabilities:

  

Increase in interest receivable

     (411,706

Increase in prepaid expenses

     (167,750

Decrease in interest payable

     (272,352

Decrease in investment advisory fee payable

     (9,161

Increase in other payables and accrued expenses due to affiliates

     63,172  

Decrease in other payables and accrued expenses

     (29,671
  

 

 

 

Net cash flows provided by operating activities

     3,396,626  
  

 

 

 

Cash Flows from Financing Activities:

  

Distributions paid to common shareholders (net of change in distributions payable to common shareholders) ..

     (8,500,412
  

 

 

 

Net cash flows used in financing activities

     (8,500,412
  

 

 

 

Net Decrease in Cash and Cash Equivalents

     (5,103,786

Cash and cash equivalents, beginning of period

     20,504,763  
  

 

 

 

Cash and cash equivalents, end of period

   $ 15,400,977  
  

 

 

 

Supplemental Disclosure of Cash Flow Information

  

Cash paid during the period for interest and commitment fee

   $ 1,602,007  
  

 

 

 

 

See accompanying Notes to Financial Statements.  |  31


Apollo Tactical Income Fund Inc.

Statement of Cash Flows

For the Six Months Ended June 30, 2017 (unaudited)

 

 

 

Cash Flows from Operating Activities:

  

Net increase in net assets from operations

   $ 13,907,262  

Adjustments to Reconcile Net Increase in Net Assets from Operations to Net Cash Flows Provided by Operating Activities:

  

Net realized loss on investments

     9,087,648  

Net change in unrealized appreciation on investments and unfunded loan commitments

     (13,709,471

Net amortization/(accretion) of premium/(discount)

     (1,042,720

Purchase of investment securities

     (259,639,156

Proceeds from disposition of investment securities and principal paydowns

     259,189,678  

Payment-in-kind interest

     (136,523

Amortization of deferred financing costs

     21,336  

Changes in Operating Assets and Liabilities:

  

Decrease in interest receivable

     885,990  

Increase in prepaid expenses

     (167,788

Decrease in interest payable

     (509,561

Decrease in investment advisory fee payable

     (5,259

Increase in other payables and accrued expenses due to affiliates

     39,061  

Decrease in other payables and accrued expenses

     (224
  

 

 

 

Net cash flows provided by operating activities

     7,920,273  
  

 

 

 

Cash Flows from Financing Activities:

  

Deferred financing cost

     (37,639

Distributions paid to common shareholders (net of change in distributions payable to common shareholders) ..

     (9,530,151
  

 

 

 

Net cash flows used in financing activities

     (9,567,790
  

 

 

 

Net Decrease in Cash and Cash Equivalents

     (1,647,517

Cash and cash equivalents, beginning of period

     11,235,672  
  

 

 

 

Cash and cash equivalents, end of period

   $ 9,588,155  
  

 

 

 

Supplemental Disclosure of Cash Flow Information

  

Cash paid during the period for interest

   $ 1,883,968  
  

 

 

 

 

32  |  See accompanying Notes to Financial Statements.


Apollo Senior Floating Rate Fund Inc.

Financial Highlights

For a Common Share Outstanding throughout the Period

 

  Per Common Share Operating Performance:   

For the

Six Months
Ended
June 30,
2017
(unaudited)

 

For the

Year

Ended
December 31,
2016

 

For the

Year

Ended

December 31,

2015

 

For the

Year

Ended

December 31,

2014

 

For the

Year

Ended

December 31,

2013

 

For the

Year

Ended

December 31,

2012

 

Net Asset Value, Beginning of Period

    

 

$

 

18.07

 

   

 

$

 

16.92

 

   

 

$

 

18.30

 

   

 

$

 

19.12

 

   

 

$

 

18.73

 

   

 

$

 

17.68

 

    

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

Income from Investment Operations:

                        

Net investment income(a)

       0.56       1.24       1.22       1.18       1.34       1.39

Net realized and unrealized gain/(loss) on investments and unfunded loan commitments

       (0.01 )       1.15       (1.37 )       (0.75 )       0.35       1.10

Distributions from net investment income to Series A Preferred Shareholders

                         (0.02 )       (0.04 )       (0.05 )
    

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

Total from investment operations

       0.55       2.39       (0.15 )       0.41       1.65       2.44
    

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

Less Distributions Paid to Common Shareholders from:

                        

Net investment income

       (0.54 )       (1.24 )       (1.23 )       (1.23 )       (1.26 )       (1.38 )

Net realized gain on investments

                                     (0.01 )
    

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

Total distributions paid to Common Shareholders

       (0.54 )       (1.24 )       (1.23 )       (1.23 )       (1.26 )       (1.39 )
    

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

Net Asset Value, End of Period

     $ 18.08     $ 18.07     $ 16.92     $ 18.30     $ 19.12     $ 18.73

Market Value, End of Period

     $ 16.87     $ 17.40     $ 15.15     $ 16.63     $ 18.10     $ 18.77

Total return based on net asset value(b)

       3.19 %(c)       15.33 %       (0.52 )%       2.63 %       9.19 %       14.23 %

Total return based on market value(b)

       (0.01 )%(c)       24.03 %       (1.98 )%       (1.48 )%       3.14 %       26.41 %

Ratios to Average Net Assets Applicable to Common Shareholders:

                        

Ratio of total expenses to average net assets

       3.19 %(d)       3.21 %       3.01 %       3.07 %       3.00 %       3.21 %

Ratio of net expenses to average net assets

       3.19 %(d)       3.21 %       3.01 %       3.07 %       3.00 %       3.18 %

Ratio of net investment income to average net assets

       6.24 %(d)       7.11 %       6.71 %       6.22 %(e)       7.03 %(e)       7.51 %(e)

Ratio of net investment income to average net assets net of distributions to Series A Preferred Shareholders

                         6.13 %       6.80 %       7.25 %

Supplemental Data:

                        

Portfolio turnover rate

       67.0 %(c)       109.5 %       66.1 %       80.0 %       72.0 %       66.6 %

Net assets at end of period (000’s)

     $ 281,635     $ 281,328     $ 263,438     $ 284,992     $ 297,731       $290,822  

Senior Securities:

                        

Total Series A Preferred Shares outstanding

                               1,534       1,534

Liquidation and market value per Series A Preferred Shares

                             $ 20,000     $ 20,000

Asset coverage per share(f)

                             $ 294,078     $ 289,574

Principal loan outstanding (in 000’s)

     $ 141,000     $ 141,000     $ 149,269     $ 149,269     $ 122,705     $ 122,705

Asset coverage per $1,000 of loan outstanding

     $ 2,997 (g)     $ 2,995 (g)     $ 2,765 (g)     $ 2,909 (g)     $ 3,676 (h)     $ 3,620 (h)

 

 

(a)  Based on weighted average outstanding shares.
(b)  Total return based on net asset value and total return based on market value assuming all distributions reinvested at reinvestment rate.
(c)  Not annualized.
(d)  Annualized.
(e)  Net investment income ratio does not reflect payment to preferred shareholders.
(f)  Calculated by subtracting the Fund’s total liabilities (not including the Series A Preferred Shares and borrowings outstanding) from the Fund’s total assets, and dividing this by the number of Series A Preferred Shares outstanding.
(g)  Calculated by subtracting the Fund’s total liabilities (not including the borrowings outstanding) from the Fund’s total assets, and dividing this by the amount of borrowings outstanding.
(h)  Calculated by subtracting the Fund’s total liabilities (not including the Series A Preferred Shares and borrowings outstanding) from the Fund’s total assets, and dividing this by the amount of borrowings outstanding.

 

See accompanying Notes to Financial Statements.  |  33


Apollo Tactical Income Fund Inc.

Financial Highlights

For a Common Share Outstanding throughout the Period

 

  Per Common Share Operating Performance:   

For the

Six Months
Ended
June 30,
2017
(unaudited)

 

For the

Year

Ended
December 31,
2016

 

For the

Year

Ended

December 31,

2015

 

For the

Year

Ended

December 31,

2014

 

For the
Period

Ended

December 31,

2013(a)

    

Net Asset Value, Beginning of Period

     $ 17.18     $ 15.97     $ 18.21     $ 19.51     $ 19.10 (b)  
    

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

 

Income from Investment Operations:

                      

Net investment income(c)

       0.65       1.50       1.48       1.50       1.03  

Net realized and unrealized gain/(loss) on investments and unfunded loan commitments

       0.31       1.23       (2.16 )       (1.14 )       0.39  
    

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

 

Total from investment operations

       0.96       2.73       (0.68 )       0.36       1.42  
    

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

 

Less Distributions Paid to Common Shareholders from:

                      

Net investment income

       (0.66 )       (1.52 )       (1.55 )       (1.50 )       (0.96 )  

Net realized gain on investments

                   (0.01 )       (0.16 )       (0.01 )  
    

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

 

Total distributions paid to Common Shareholders

       (0.66 )       (1.52 )       (1.56 )       (1.66 )       (0.97 )  
    

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

   

 

 

 

 

Common share offering charges to paid-in capital

                               (0.04 )    

Net Asset Value, End of Period

     $ 17.48     $ 17.18     $ 15.97     $ 18.21     $ 19.51  

Market Value, End of Period

     $ 16.27     $ 15.43     $ 13.89     $ 15.96     $ 18.00  

Total return based on net asset value(d)

       5.90 %(e)       19.34 %       (2.91 )%       2.63 %       7.94 %(e)  

Total return based on market value(d)

       9.75 %(e)       23.24 %       (3.65 )%       (2.51 )%       (4.90 )%(e)    

Ratios to Average Net Assets Applicable to Common Shareholders:

                      

Ratio of total expenses to average net assets

       3.39 %(f)       3.36 %       2.97 %       2.90 %       2.58 %(f)  

Ratio of net expenses to average net assets

       3.39 %(f)       3.36 %       2.97 %       2.90 %       2.55 %(f)  

Ratio of net investment income to average net assets

       7.42 %(f)       9.20 %       8.22 %       7.63 %       6.38 %(f)  

Supplemental Data:

                      

Portfolio turnover rate

       69.5 %(e)       111.6 %       67.6 %       78.7 %       72.4 %(e)  

Net assets at end of period (000’s)

     $ 252,857     $ 248,424     $ 230,995     $ 263,428     $ 282,177    

Senior Securities:

                      

Principal loan outstanding (in 000’s)

     $ 138,000     $ 138,000     $ 138,000     $ 138,000     $ 138,000  

Asset coverage per $1,000 of loan outstanding(g)

     $ 2,832     $ 2,800     $ 2,674     $ 2,909     $ 3,045  

 

(a)  From February 25, 2013 (commencement of operations) to December 31, 2013.
(b)  Net of sales load of $0.90 per share of initial offering.
(c)  Based on weighted average outstanding shares.
(d)  Total return based on net asset value and total return based on market value assuming all distributions reinvested at reinvestment rate.
(e)  Not annualized.
(f)  Annualized.
(g)  Calculated by subtracting the Fund’s total liabilities (not including the borrowings outstanding) from the Fund’s total assets, and dividing this by the amount of borrowings outstanding.

 

34  |  See accompanying Notes to Financial Statements.


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements

June 30, 2017 (unaudited)

Note 1. Organization and Operations

Apollo Senior Floating Rate Fund Inc. (“AFT”) and Apollo Tactical Income Fund Inc. (“AIF”) (individually, a “Fund” or, together, the “Funds”) are corporations organized under the laws of the State of Maryland and registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “Investment Company Act”) as non-diversified, closed-end management investment companies. AFT and AIF commenced operations on February 23, 2011 and February 25, 2013, respectively. Prior to that, the Funds had no operations other than matters relating to their organization and the sale and issuance of 5,236 shares of common stock in each Fund to Apollo Credit Management, LLC (the “Adviser”) at a price of $19.10 per share. The Adviser serves as the Funds’ investment adviser and is an affiliate of Apollo Global Management, LLC (“AGM”). The Funds’ common shares are listed on the New York Stock Exchange (“NYSE”) and trade under the symbols “AFT” and “AIF”, respectively.

Investment Objective

AFT’s investment objective is to seek current income and preservation of capital. AFT seeks to achieve its investment objective by investing primarily in senior, secured loans made to companies whose debt is rated below investment grade (“Senior Loans”) and investments with similar characteristics. Senior Loans typically hold a first lien priority and pay interest at rates that are determined periodically on the basis of a floating 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 and the certificate of deposit rate used by commercial lenders. Senior Loans are typically made to U.S. and, to a limited extent, non-U.S. corporations, partnerships and other business entities (“Borrower(s)”) that operate in various industries and geographical regions. AFT seeks to generate current income and preservation of capital through a disciplined approach to credit selection and under normal market conditions will invest at least 80% of its managed assets in floating rate Senior Loans and investments with similar economic characteristics. This policy and AFT’s investment objective are not fundamental and may be changed by the board of directors of AFT with at least 60 days’ prior written notice provided to shareholders. Part of AFT’s investment objective is to seek preservation of capital. AFT’s ability to achieve capital preservation may be limited by its investment in credit instruments that have speculative characteristics. There can be no assurance that AFT will achieve its investment objective.

AIF’s primary investment objective is to seek current income with a secondary objective of preservation of capital. AIF seeks to achieve its investment objectives primarily by allocating its assets among different types of credit instruments based on absolute and relative value considerations and its analysis of the credit markets. This ability to dynamically allocate AIF’s assets may result in AIF’s portfolio becoming concentrated in a particular type of credit instrument (such as Senior Loans or high yield corporate bonds) and substantially less invested in other types of credit instruments. Under normal market conditions, at least 80% of AIF’s managed assets will be invested in credit instruments and investments with similar economic characteristics. For purposes of this policy, “credit instruments” will include Senior Loans, subordinated loans, high yield corporate bonds, notes, bills, debentures, distressed securities, mezzanine securities, structured products (including, without limitation, collateralized debt obligations (“CDOs”), collateralized loan obligations (“CLOs”) and asset-backed securities), bank loans, corporate loans, convertible and preferred securities, government and municipal obligations, mortgage-backed securities, repurchase agreements, and other fixed-income instruments of a similar nature that may be represented by derivatives such as options, forwards, futures contracts or swap agreements. This policy and AIF’s investment objectives are not fundamental and may be changed by the board of directors of AIF (together with the board of directors of AFT, the “Board of Directors” or “Board”) with at least 60 days’ prior written notice provided to shareholders. AIF will seek to preserve capital to the extent consistent with its primary investment objective. AIF’s ability to achieve capital preservation may be limited by its investment in credit instruments that have speculative characteristics. There can be no assurance that AIF will achieve its investment objectives.

As a result of the Funds’ classification as “non-diversified” under the Investment Company Act, each Fund can invest a greater portion of its assets in obligations of a single issuer than a “diversified” fund. Each Fund may therefore be more susceptible than a diversified fund to being adversely affected by any single corporate, economic, political or regulatory occurrence.

Note 2. Significant Accounting Policies

The Funds are investment companies that follow the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to investment companies. The Funds’ financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results may differ from those estimates and these differences could be material.

 

Semi-Annual Report  |  35


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017 (unaudited)

 

Fund Valuation

Each Fund’s net asset value (“NAV”) per share will be determined daily generally as of 4:00 pm on each day that the NYSE is open for trading, or at other times as determined by the Board. The NAV of each Fund’s common shares is the total assets of the Fund (including all securities, cash and other assets) minus the sum of the Fund’s total liabilities (including accrued expenses, dividends payable, borrowings and the liquidation value of any preferred stock) divided by the total number of common shares of the Fund outstanding.

Security Valuation

The Funds value their 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, structured products 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 Board. In general, the fair value of a security is the amount that the Funds 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, a Fund’s 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 a Fund’s valuation of a security will not differ from the amount that it realizes upon the sale of such security.

Fair Value Measurements

Each 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 Funds’ 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 Funds have 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 Funds have 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 Funds’ 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.

 

36  |  Semi-Annual Report


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017 (unaudited)

 

The valuation techniques used by the Funds to measure fair value at June 30, 2017, maximized the use of observable inputs and minimized the use of unobservable inputs. The inputs or methodology 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. Summaries of the Funds’ investments categorized in the fair value hierarchy as of June 30, 2017, are as follows:

 

  Apollo Senior Floating Rate Fund Inc.

 

                      
                      
    

Total Fair Value at
June 30,

2017

 

 

Level 1
Quoted Price

 

  

 

Level 2
Significant
Observable
Inputs

 

  

 

Level 3
Significant

Unobservable

Inputs

 

   
                      

 

Assets:

                      

Cash and Cash Equivalents

     $ 15,400,977     $ 15,400,977      $      $    

Senior Loans

       376,570,037              352,263,761        24,306,276    

Corporate Notes and Bonds

       38,820,205              38,806,191        14,014    

Common Stock

       129,306                     129,306    

Preferred Stock

       3,902,696                     3,902,696    

Unrealized appreciation on Unfunded Loan Commitments

       9,130              9,130           
    

 

 

     

 

 

      

 

 

      

 

 

     

Total Assets

     $ 434,832,351     $ 15,400,977      $ 391,079,082      $ 28,352,292    
    

 

 

     

 

 

      

 

 

      

 

 

     

Liabilities:

                      

Unrealized depreciation on Unfunded Loan Commitments

       (65,209 )                     (65,209 )    
    

 

 

     

 

 

      

 

 

      

 

 

     

Total Liabilities

       (65,209 )                     (65,209 )    
    

 

 

     

 

 

      

 

 

      

 

 

     
     $ 434,767,142     $ 15,400,977      $ 391,079,082      $ 28,287,083    
    

 

 

     

 

 

      

 

 

      

 

 

     

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, 2017 through June 30, 2017:

 

  Apollo Senior Floating Rate Fund Inc.

 

                                                        
                    
    

Total

 

   

Senior Loans

 

   

 

Corporate
Notes

and Bonds

 

   

Common
Stock

 

          

Preferred
Stock

 

          

 

Unfunded
Loan
Commitments

 

       
                    

 

Total Fair Value, beginning of period

  

 

$

 

32,178,376

 

 

 

 

$

 

28,275,505

 

 

 

 

$

 

 

 

 

 

$

 

48,375

 

 

    

 

$

 

3,854,496

 

 

    

 

$

 

 

 

 

Purchases, including capitalized PIK

     10,586,723       10,545,984       40,739                            

Sales/Paydowns

     (10,236,643     (10,236,643                                

Accretion/(amortization) of discounts/(premiums)

     347,681       347,681                                  

Net realized gain/(loss)

     (870,354     (174,835     (695,519                          

Change in net unrealized appreciation/(depreciation)

     1,617,815       819,890       668,794       80,931          48,200             

Transfers into Level 3

     725,660       790,869                               (65,209  

Transfers out of Level 3

     (6,062,175     (6,062,175                                
  

 

 

   

 

 

   

 

 

   

 

 

      

 

 

      

 

 

   

Total Fair Value, end of period

   $ 28,287,083     $ 24,306,276     $ 14,014     $         129,306        $ 3,902,696        $ (65,209  
  

 

 

   

 

 

   

 

 

   

 

 

      

 

 

      

 

 

   

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 above. There were no transfers between Level 1 and Level 2 fair value measurement during the period shown. The net change in unrealized appreciation/(depreciation) attributable to Level 3 investments still held at June 30, 2017 was $1,750,654.

 

Semi-Annual Report  |  37


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017 (unaudited)

 

The following table provides quantitative measures used to determine the fair values of the Level 3 investments as of June 30, 2017:

 

  Apollo Senior Floating Rate Fund Inc.

 

      
              

  Assets/Liabilities

 

       

 

Fair Value at
June 30,

2017

 

   

Valuation Technique(s)(a)

 

  

Unobservable Input(s)

 

   

 

Range of
Unobservable
Input(s) Utilized

 

       
              

 

Senior Loans

     

 

$

 

14,024,427

 

 

 

 

Independent pricing service and/or broker quotes

  

 

 

 

Vendor and/or
broker quotes

 

 
 

 

 

 

 

N/A

 

 

 
        4,950,000    

Discounted Cash Flow(b)

     Discount Rate(b)       9.7% - 11.7%    
        4,203,806    

Discounted Cash Flow(b)

     Discount Rate(b)       15%    
        1,128,043    

Transaction Value(c)

     Cost(c)       N/A    
           

Recoverability(d)

     Liquidation Proceeds(d)       $0 - $7m    

Corporate Notes and Bonds

        14,014    

Discounted Cash Flow(b)

     Discount Rate(b)       22.5%    
       

Recoverability(d)

     Liquidation Proceeds(d)       $0 - $7m  

Common Stock

        52,873    

Black-Scholes Option Pricing Model(e)

     Volatility(e)       25%    
           

Transaction Value(c)

     Cost(c)       N/A    
        76,433    

Independent pricing service and/or broker quotes

    
Vendor and/or
broker quotes
 
 
    N/A    

Preferred Stock

        3,902,696    

Discounted Cash Flow(b)

     Discount Rate(b)       8.75%    

Unfunded Loan Commitments

        (65,209  

Independent pricing service and/or broker quotes

    
Vendor and/or
broker quotes
 
 
    N/A    
     

 

 

          

Total Fair Value

      $ 28,287,083           
     

 

 

          
              

 

(a)  For the assets which have multiple valuation techniques, the Fund may rely on the techniques individually or in aggregate based on a weight ranging from 0-100%.

 

(b)  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.

 

(c)  The Fund utilized a recent restructuring transaction to fair value this security, specifically the implied fair value of the restructured capital.

 

(d)  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 liquidation proceeds. Significant increases and decreases in the inputs in isolation may result in a significantly higher or lower fair value measurement.

 

(e)  The Fund utilized a Black-Scholes options pricing model to fair value this security. The significant unobservable input used in the valuation model was volatility. Significant increases or decreases in the input in isolation may result in a significantly higher or lower fair value measurement.

 

38  |  Semi-Annual Report


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017 (unaudited)

 

  Apollo Tactical Income Fund Inc.

 

                      
                      
    

Total Fair Value at
June 30,

2017

  Level 1
Quoted Price
  

 

Level 2
Significant
Observable
Inputs

  

 

Level 3
Significant

Unobservable

Inputs

   
                      

Assets:

                      

Cash and Cash Equivalents

     $ 9,588,155     $ 9,588,155      $      $    

Senior Loans

       296,228,053              273,128,314        23,099,739    

Corporate Notes and Bonds

       48,107,782              48,043,367        64,415    

Structured Products

       38,031,950              33,021,865        5,010,085    

Common Stock

       125,239                     125,239    

Preferred Stock

       3,902,696                     3,902,696    

Unrealized appreciation on Unfunded Loan Commitments

       6,243              6,243           
    

 

 

     

 

 

      

 

 

      

 

 

     

Total Assets

     $ 395,990,118     $ 9,588,155      $ 354,199,789      $ 32,202,174    
    

 

 

     

 

 

      

 

 

      

 

 

     

Liabilities:

                      

Unrealized depreciation on Unfunded Loan Commitments

       (65,209 )                     (65,209 )    
    

 

 

     

 

 

      

 

 

      

 

 

     

Total Liabilities

       (65,209 )                     (65,209 )    
    

 

 

     

 

 

      

 

 

      

 

 

     
     $ 395,924,909     $ 9,588,155      $ 354,199,789      $ 32,136,965    
    

 

 

     

 

 

      

 

 

      

 

 

     
                      

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, 2017 through June 30, 2017:

 

  Apollo Tactical Income Fund Inc.                                                          
                       
     Total     Senior
Loans
   

 

Corporate
Notes

and Bonds

         Structured
Products
         Common
Stock
     Preferred
Stock
   

 

Unfunded
Loan
Commitments

     
                       

 

Total Fair Value, beginning of period

  

 

$

 

35,486,453

 

 

 

 

$

 

30,089,922

 

 

 

 

$

 

 

 

    

 

$

 

1,490,200

 

 

    

 

$

 

48,375

 

 

  

 

$

 

3,854,496

 

 

 

 

$

 

3,460

 

 

 

Purchases, including capitalized PIK

     9,759,163       9,571,910       187,253                                   

Sales/Paydowns

     (12,279,446     (12,275,986                                    (3,460  

Accretion/(amortization) of discounts/ (premiums)

     337,568       317,913                19,655                          

Net realized gain/(loss)

     (4,870,201     (807,685     (3,079,307                        (986,669     3,460    

Change in net unrealized appreciation/ (depreciation)

     5,811,362       1,474,971       2,956,469          271,649          76,864        1,034,869       (3,460  

Transfers into Level 3

     5,735,745       790,869                5,010,085                       (65,209  

Transfers out of Level 3

     (7,843,679     (6,062,175              (1,781,504                        
  

 

 

   

 

 

   

 

 

      

 

 

      

 

 

    

 

 

   

 

 

   

Total Fair Value, end of period

   $ 32,136,965     $ 23,099,739     $ 64,415        $ 5,010,085        $     125,239      $ 3,902,696     $ (65,209  
  

 

 

   

 

 

   

 

 

      

 

 

      

 

 

    

 

 

   

 

 

   

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 above. There were no transfers between Level 1 and Level 2 fair value measurement during the period shown. The net change in unrealized appreciation/(depreciation) attributable to Level 3 investments still held at June 30, 2017 was $4,687,102.

 

Semi-Annual Report  |  39


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017  (unaudited)

 

The following table provides quantitative measures used to determine the fair values of the Level 3 investments as of June 30, 2017:

 

Apollo Tactical Income Fund Inc.                                 
              
Assets/Liabilities        

Fair Value at
June 30,

2017

    Valuation Technique(s)(a)    Unobservable Input(s)    

Range of
Unobservable

Input(s) Utilized

     
              

Senior Loans

      $ 12,976,605    

Independent pricing service and/or broker quotes

    
Vendor and/or
broker quotes
 
 
    N/A    
        4,950,000    

Discounted Cash Flow(b)

     Discount Rate(b)       9.7% - 11.7%    
        3,880,436    

Discounted Cash Flow(b)

     Discount Rate(b)       15%    
        1,128,043    

Transaction Value(c)

     Cost(c)       N/A    
           

Recoverability(d)

     Liquidation Proceeds(d)       $0 - $7m    
        164,655    

Discounted Cash Flow(b)

     Discount Rate(b)       1.13%    

Corporate Notes and Bonds

        64,415    

Discounted Cash Flow(b) Recoverability(d)

    

Discount Rate(b)

Liquidation Proceeds(d)

 

 

   

22.5%

$0 - $7m

 

 

 

Structured Products

        5,010,085    

Independent pricing service and/or broker quotes

    
Vendor and/or
broker quotes
 
 
    N/A    

Common Stock

        48,806    

Black-Scholes Option Pricing Model(e)

     Volatility(e)       25%    
           

Transaction Value(c)

     Cost(c)       N/A    
        76,433    

Independent pricing service and/or broker quotes

    
Vendor and/or
broker quotes
 
 
    N/A    

Preferred Stock

        3,902,696    

Discounted cash flow(b)

     Discount rate(b)       8.75%    

Unfunded Loan Commitments

        (65,209  

Independent pricing service and/or broker quotes

    
Vendor and/or
broker quotes
 
 
    N/A    
     

 

 

          

Total Fair Value

      $   32,136,965           
     

 

 

          

 

(a)  For the assets which have multiple valuation techniques, the Fund may rely on the techniques individually or in aggregate based on a weight ranging from 0-100%.
(b)  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.
(c) The Fund utilized a recent restructuring transaction to fair value this security, specifically the implied fair value of the restructured capital.
(d)  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 liquidation proceeds. Significant increases and decreases in the inputs in isolation may result in a significantly higher or lower fair value measurement.
(e)  The Fund utilized a Black-Scholes options pricing model to fair value this security. The significant unobservable input used in the valuation model was volatility. Significant increases or decreases in the input in isolation may result in a significantly higher or lower fair value measurement.

Cash and Cash Equivalents

Cash and cash equivalents of the Funds consist of cash held in bank accounts and liquid investments with maturities, at the date of acquisition, not exceeding 90 days that, at times, may exceed federally insured limits. As of June 30, 2017, cash and cash equivalents were comprised of cash deposited with U.S. financial institutions in which carrying value approximated fair value and are considered to be Level 1 in the fair value hierarchy.

 

40  |  Semi-Annual Report


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017  (unaudited)

 

Industry Classifications

The industry classifications of the Funds’ investments, as presented in the accompanying Schedules of Investments, represent management’s belief as to the most meaningful presentation of the classification of such investments. For Fund compliance purposes, the Funds’ industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, with the primary source being Moody’s, and/or as defined by the Funds’ management. These definitions may not apply for purposes of this report, which may combine industry sub-classifications.

Fair Value of Financial Instruments

The fair value of the Funds’ assets and liabilities that qualify as financial instruments under U.S. GAAP approximates the carrying amounts presented in the accompanying Statements of Assets and Liabilities.

Securities Transactions and Investment Income

Securities transactions of the Funds are recorded on the trade date for financial reporting purposes. Cost is determined based on consideration given, and the unrealized appreciation/(depreciation) on investment securities is the difference between fair value determined in compliance with the valuation policy approved by the Board and the cost. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statements of Operations. Interest and dividend income is recorded on the accrual basis and includes the accretion of original issue discounts and amortization of premiums where applicable using the effective interest rate method over the lives of the respective debt securities.

The Funds hold investments that have designated payment-in-kind (“PIK”) interest. PIK interest is included in interest income and reflected as a receivable in accrued interest up to the payment date. On payment dates, the Funds capitalize the accrued interest receivable as an additional investment and mark it at the fair value associated with the position.

U.S. Federal Income Tax Status

The Funds intend to maintain their status each year as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and will distribute substantially all of their net investment income and net capital gains, if any, for their tax years. The Funds may elect to incur excise tax if it is deemed prudent by the Board from a cash management perspective or in the best interest of shareholders due to other facts and circumstances. For the year ended December 31, 2016, AFT and AIF did not record a U.S. federal excise tax provision. During 2017, excise tax of $2,438 was paid by AFT relating to the 2016 tax year. AIF did not pay any excise tax during 2017 related to the 2016 tax year. No federal income tax provision or excise tax provision is required for the six months ended June 30, 2017.

The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no material effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired. The statute of limitations on AFT’s federal and state tax filings remains open for the years ended December 31, 2013 to 2016. The statute of limitations on AIF’s federal and state fillings remains open for the years ended December 31, 2013 to 2016.

Distributions to Common Shareholders

The Funds intend to make regular monthly cash distributions of all or a portion of their net investment income available to common shareholders. The Funds intend to pay common shareholders at least annually all or substantially all of their capital gains and net investment income after the payment of dividends and interest owed with respect to outstanding preferred shares and/or notes or other forms of leverage utilized by the Funds, although for cash management purposes, the Funds may elect to retain distributable amounts and pay excise tax as described above. If the Funds make a long-term capital gain distribution, they will be required to allocate such gain between the common shares and any preferred shares issued by the Funds in proportion to the total dividends paid to each class for the year in which the income is realized.

The distributions for any full or partial year might not be made in equal amounts, and one distribution may be larger than the other. The Funds will make a distribution only if authorized by the Board and declared by the Funds out of assets legally available for these distributions. The Funds may pay a special distribution at the end of each calendar year, if necessary, to comply with U.S. federal income tax requirements. This distribution policy may, under certain circumstances, have certain adverse consequences to the Funds and their shareholders because it may result in a return of capital to

 

Semi-Annual Report   |  41


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017  (unaudited)

 

shareholders, which would reduce the Funds’ NAV and, over time, potentially increase the Funds’ expense ratios. If the Funds distribute a return of capital, it means that the Funds are returning to shareholders a portion of their investment rather than making a distribution that is funded from the Funds’ earned income or other profits. The Board may elect to change AFT’s or AIF’s distribution policy at any time.

Asset Segregation

In accordance with the Investment Company Act and various SEC and SEC staff interpretive positions, a Fund may “set aside” liquid assets (often referred to as “asset segregation”), or engage in measures in accordance with SEC or Staff guidance, to “cover” open positions with respect to certain kinds of financial instruments that could otherwise be considered “senior securities” as defined in Section 18(g) of the Investment Company Act. With respect to certain derivative contracts that are contractually required to cash settle, for example, a Fund is permitted to set aside liquid assets in an amount equal to the Fund’s daily marked-to-market net obligations (i.e., the Fund’s daily net liability) under the contracts, if any, rather than such contracts’ full notional value. In other circumstances, a Fund may be required to set aside liquid assets equal to such a financial instrument’s full notional value, or enter into appropriate offsetting transactions, while the position is open. Each Fund reserves the right to modify its asset segregation policies in the future to comply with any changes in the positions from time to time announced by the SEC or its staff regarding asset segregation. These segregation and coverage requirements could result in a Fund maintaining securities positions that it would otherwise liquidate, segregating assets at a time when it might be disadvantageous to do so or otherwise restricting portfolio management. Such segregation and coverage requirements will not limit or offset losses on related positions.

New Accounting Pronouncements

In November 2016, the FASB issued guidance to reduce diversity in practice in the classification and presentation of changes in restricted cash on the statement of cash flows. The new guidance requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash. As a result, amounts generally described as restricted cash should be included with cash and cash equivalents when reconciling the beginning and ending total amounts shown on the statement of cash flows. The guidance is effective for interim and annual periods beginning after December 15, 2017. Early adoption is permitted. The Funds are in the process of evaluating the impact that this guidance will have on its financial statements.

Note 3. Investment Advisory, Administration and Other Agreements with Affiliates

Investment Advisory Fee

The Adviser provides certain investment advisory, management and administrative services to the Funds pursuant to investment advisory and management agreements with each of the Funds. For its services, each Fund pays the Adviser monthly at the annual rate of 1.0% of the average daily value of the Fund’s managed assets. Managed assets are defined as the total assets of a Fund (including any assets attributable to any preferred shares that may be issued or to money borrowed or notes issued by the Fund) minus the sum of the Fund’s accrued liabilities, including accrued interest and accumulated dividends (other than liabilities for money borrowed (including the liquidation preference of preferred shares) or notes issued). The Adviser may elect from time to time, in its sole discretion, to waive its receipt of the advisory fee from a Fund. If the Adviser elects to waive its compensation, such action may have a positive effect on the Fund’s performance or yield. The Adviser is under no obligation to waive its fees, may elect not to do so, may decide to waive its compensation periodically or may decide to waive its compensation on only one of the Funds at any given time. For the six months ended June 30, 2017, the Adviser earned fees of $2,099,610 and $1,935,452 from AFT and AIF, respectively.

Administrative Services and Expense Reimbursements

The Funds and the Adviser have entered into Administrative Services and Expense Reimbursement Agreements pursuant to which the Adviser provides certain administrative services, personnel and facilities to the Funds and performs operational services necessary for the operation of the Funds not otherwise provided by other service providers of the Funds. These services may include, without limitation, certain bookkeeping and recordkeeping services, compliance and legal services, investor relations assistance, and accounting and auditing support. Pursuant to these agreements, the Funds will reimburse the Adviser at cost, at the Adviser’s request, for certain costs and expenses incurred by the Adviser that are necessary for the administration and operation of the Funds. In addition, the Adviser or one of its affiliates may pay certain expenses on behalf of the Funds and then allocate these expenses to the Funds for reimbursement. For the six months ended June 30, 2017, the Adviser provided services under these agreements totaling $308,206 and $303,019 for AFT and AIF, respectively, which is shown in the Statements of Operations as administrative services of the Adviser. Included in these amounts is approximately $37,000 and $37,000 for AFT and AIF, respectively, of remuneration for officers of the Funds. The Adviser did not waive the right to expense reimbursements and investment advisory fees for either Fund during the six months ended June 30, 2017.

 

42  |  Semi-Annual Report


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017  (unaudited)

 

Each Fund has also entered into an Administration and Accounting Services Agreement (the “Administration Agreements”) with BNY Mellon Investment Servicing (US) Inc. (“BNYMIS”). Under the Administration Agreements, BNYMIS provides certain administrative services necessary for the operation of the Funds, including maintaining the Funds’ books and records, providing accounting services and preparing regulatory filings. The Funds pay BNYMIS for these services. The Bank of New York Mellon (“BNY Mellon”) serves as the Funds’ custodian. BNYMIS serves as the Funds’ transfer agent. BNY Mellon and BNYMIS provided services totaling $130,903 and $125,277 for AFT and AIF, respectively, for the six months ended June 30, 2017, which are included in fund administration and accounting services in the Statements of Operations.

Board of Directors Fees

On an annual basis, AFT and AIF pay each member of the Board who is not an “interested person” (as defined in the Investment Company Act) of the Funds an annual retainer of $16,000 per Fund, plus $2,000 for each in-person Board meeting of a single Fund ($3,000, or $1,500 per Fund, for a joint meeting of both Funds), plus $1,000 for attendance at telephonic Board meetings of a single Fund or participation in special committee meetings of a single Fund not held in conjunction with regularly scheduled Board meetings ($1,500, or $750 per Fund, for a joint meeting of both Funds). In addition, the chairman of the audit committee receives $5,000 per year from each Fund. The Funds also reimburse independent Board members for travel and out-of-pocket expenses incurred in connection with such meetings, and the Funds split the cost of such expenses for meetings involving both AFT and AIF. Included in the Statements of Operations in Board of Directors fees for the six months ended June 30, 2017 is $64,263 and $64,109 of expenses related to the Board for each of AFT and AIF, respectively.

Note 4. Investment Transactions

For the six months ended June 30, 2017, the cost of investment purchases and proceeds from sales of securities and principal paydowns were as follows:

 

  Fund    Purchases      Sales  
     

Apollo Senior Floating Rate Fund Inc.

   $ 290,993,272      $ 284,128,790  

Apollo Tactical Income Fund Inc.

     274,773,700        272,552,928  

Note 5. Risks

Senior Loans

Senior Loans are usually rated below investment grade and may also be unrated. As a result, the risks associated with Senior Loans are similar to the risks of below investment grade fixed income instruments, although Senior Loans are senior and secured, in contrast to other below investment grade fixed income instruments, which are often subordinated or unsecured. Investments in Senior Loans rated below investment grade are considered speculative because of the credit risk of their issuers. Such issuers are considered more likely than investment grade issuers to default on their payments of interest and principal owed to the Funds, and such defaults could reduce the Funds’ NAV and income distributions. An economic downturn would generally lead to a higher non-payment rate, and a Senior Loan may lose significant market value before a default occurs. Moreover, any specific collateral used to secure a Senior Loan may decline in value or become illiquid, which would adversely affect the Senior Loan’s value. Senior Loans are subject to a number of risks, including liquidity risk and the risk of investing in below investment grade fixed income instruments.

Senior Loans are subject to the risk of non-payment of scheduled interest or principal. Such non-payment would result in a reduction of income to the Funds, a reduction in the value of the investment and a potential decrease in the NAV of the Funds. There can be no assurance that the liquidation of any collateral securing a Senior Loan would satisfy the Borrower’s obligation in the event of non-payment of scheduled interest or principal payments, or that the collateral could be readily liquidated. In the event of bankruptcy or insolvency of a Borrower, the Funds could experience delays or limitations with respect to their ability to realize the benefits of the collateral securing a Senior Loan. The collateral securing a Senior Loan may lose all or substantially all of its value in the event of the bankruptcy or insolvency of a Borrower. Some Senior Loans are subject to the risk that a court, pursuant to fraudulent conveyance or other similar laws, could subordinate such Senior Loans to presently existing or future indebtedness of the Borrower or take other action detrimental to the holders of Senior Loans including, in certain circumstances, invalidating such Senior Loans or causing interest previously paid to be refunded to the Borrower.

There may be less readily available and reliable information about most Senior Loans than is the case for many other types of securities, including securities issued in transactions registered under the Securities Act of 1933 (the “1933 Act”) or registered under the Securities Exchange Act of 1934. As a result, the Adviser will rely primarily on its own evaluation

 

Semi-Annual Report  |  43


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017  (unaudited)

 

of a Borrower’s credit quality, rather than on any available independent sources. Therefore, the Funds will be particularly dependent on the analytical abilities of the Adviser.

In general, the secondary trading market for Senior Loans is not well developed. No active trading market may exist for certain Senior Loans, which may make it difficult to value them. Illiquidity and adverse market conditions may mean that the Funds may not be able to sell Senior Loans quickly or at a fair price. To the extent that a secondary market does exist for certain Senior Loans, the market for them may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods.

Senior Loans are generally not registered under the 1933 Act and often contain 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 shown on the Schedule of Investments.

The Funds may acquire Senior Loans through assignments or participations. The purchaser of an assignment typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the purchaser’s rights can be more restricted than those of the assigning institution, and the Funds may not be able to unilaterally enforce all rights and remedies under the loan and with regard to any associated collateral. In general, a participation is a contractual relationship only with the institution participating out the interest, not with the Borrower. Sellers of participations typically include banks, broker-dealers and other financial and lending institutions. In purchasing participations, the Funds generally will have no right to enforce compliance by the Borrower with the terms of the loan agreement against the Borrower, and the Funds may not directly benefit from the collateral supporting the debt obligation in which they have purchased the participation. As a result, the Funds will be exposed to the credit risk of both the Borrower and the institution selling the participation. Further, in purchasing participations in lending syndicates, the Funds will not be able to conduct the due diligence on the Borrower or the quality of the Senior Loan with respect to which they are buying a participation that the Funds would otherwise conduct if they were investing directly in the Senior Loan, which may result in the Funds being exposed to greater credit or fraud risk with respect to the Borrower or the Senior Loan.

Corporate Bonds

The Funds may invest in a wide variety of bonds of varying maturities issued by U.S. and foreign corporations, other business entities, governments and municipalities and other issuers. Corporate bonds are issued with varying features and may differ in the way that interest is calculated, the amount and frequency of payments, the type of collateral, if any, and the presence of special features (e.g., conversion rights, call rights or other rights of the issuer). The Funds’ investments in corporate bonds may include, but are not limited to, senior, junior, secured and unsecured bonds, notes and other debt securities, and may be fixed rate, variable rate or floating rate, among other things.

The Adviser expects most of the corporate bonds in which the Funds invest will be high yield bonds (commonly referred to as “junk” bonds). An issuer of corporate bonds typically pays the investor a fixed rate of interest and must repay the amount borrowed on or before maturity. The investment return of corporate bonds reflects interest on the security and changes in the market value of the security. The market value of a corporate bond generally may be expected to rise and fall inversely with interest rates. The value of intermediate and longer-term corporate bonds normally fluctuates more in response to changes in interest rates than does the value of shorter-term corporate bonds. The market value of a corporate bond also may be affected by investors’ perceptions of the creditworthiness of the issuer, the issuer’s performance and perceptions of the issuer in the marketplace.

Subordinated Loans

Subordinated loans generally are subject to similar risks as those associated with investments in Senior Loans, except that such loans are subordinated in payment and/or lower in lien priority to first lien holders. In the event of default on a subordinated loan, the first priority lien holder has first claim to the underlying collateral of the loan. Subordinated loans are subject to the additional risk that the cash flow of the Borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior unsecured or senior secured obligations of the Borrower. This risk is generally higher for subordinated unsecured loans or debt that are not backed by a security interest in any specific collateral. Subordinated loans generally have greater price volatility than Senior Loans and may be less liquid.

 

44  |  Semi-Annual Report


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017  (unaudited)

 

Structured Products

Investments in structured products involve risks, including credit risk and market risk. When the Funds’ investments in structured products (such as CDOs, CLOs and asset-backed securities) are based upon the movement of one or more factors, including currency exchange rates, interest rates, reference bonds (or loans) or stock indices, depending on the factor used and the use of multipliers or deflators, changes in interest rates and movement of any factor may cause significant price fluctuations. Additionally, changes in the reference instrument or security may cause the interest rate on a structured product to be reduced to zero and any further changes in the reference instrument may then reduce the principal amount payable on maturity of the structured product. Structured products may be less liquid than other types of securities and more volatile than the reference instrument or security underlying the product.

The Funds may have the right to receive payments only from the structured product and generally do not have direct rights against the issuer or the entity that sold the assets to be securitized. While certain structured products enable the investor to acquire interests in a pool of securities without the brokerage and other expenses associated with directly holding the same securities, investors in structured products generally pay their share of the structured product’s administrative and other expenses. Although it is difficult to predict whether the prices of indices and securities underlying structured products will rise or fall, these prices (and, therefore, the prices of structured products) will be influenced by the same types of political and economic events that generally affect issuers of securities and capital markets. If the issuer of a structured product uses shorter-term financing to purchase longer-term securities, the issuer may be forced to sell its securities at below market prices if it experiences difficulty in obtaining short-term financing, which may adversely affect the value of the structured products owned by the Funds.

Certain structured products may be thinly traded or have a limited trading market. CLOs are typically privately offered and sold. As a result, investments in CLOs may be characterized by the Funds as illiquid securities. CLOs carry additional risks, including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii) the quality of the collateral may decline in value or default, (iii) the possibility that the investments in CLOs are subordinate to other classes or tranches of the CLOs and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

Brexit Risk

In a referendum held in June 2016, citizens of the United Kingdom (the “UK”) voted to leave the European Union (the “EU”), creating economic and political uncertainty in its wake. On February 1, 2017, the House of Commons of the UK parliament voted to advance the bill that would give the UK prime minister the authority to invoke Article 50 of the Treaty of Lisbon (the “Treaty”), which enables the UK to enter into negotiations with the EU and begin withdrawal proceedings. The Treaty provides for a two-year negotiation period, which may be shortened or extended by agreement of the parties. It is unclear how withdrawal negotiations will be conducted and what the potential consequences may be. During, and possibly after, this period, there is likely to be considerable uncertainty as to the position of the UK and the arrangements that will apply to its relationships with the EU and other countries following its anticipated withdrawal. This uncertainty may affect other countries in the EU, or elsewhere, if they are considered to be impacted by these events.

The UK has one of the largest economies in Europe, and member countries of the EU are substantial trading partners of the UK. The City of London’s economy is dominated by financial services, some of which may have to move outside of the UK post-referendum (e.g., currency trading, international settlement). Under the referendum, banks may be forced to move staff and comply with two separate sets of rules or lose business to banks in Europe. Furthermore, the referendum creates the potential for decreased trade, the possibility of capital outflows, devaluation of the pound sterling, the cost of higher corporate bond spreads due to uncertainty, and the risk that all the above could damage business and consumer spending as well as foreign direct investment. As a result of the referendum, the British economy and its currency may be negatively impacted by changes to its economic and political relations with the EU.

The impact of the referendum and anticipated withdrawal in the near- and long-term is still unknown and could have additional adverse effects on economies, financial markets and asset valuations around the world.

 

Semi-Annual Report  |  45


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017  (unaudited)

 

Note 6. Common Shares

Common share transactions were as follows:

 

 

  Apollo Senior Floating Rate Fund Inc.

 

 
         
    

 

Six Months Ended June 30,
2017

 

   

Year Ended December 31,

2016

 

 
           
    

Shares

   

Amount

   

Shares

    

Amount

 
         

Common shares outstanding, beginning of period

     15,573,061     $ 296,701,729       15,573,061      $ 296,704,310  

Common shares issued as reinvestment of dividends

                         

Permanent differences reclassified (primarily non-deductible expenses)

           (2,438            (2,581
  

 

 

   

 

 

   

 

 

    

 

 

 

Common shares outstanding, end of period

     15,573,061     $ 296,699,291       15,573,061      $ 296,701,729  
  

 

 

   

 

 

   

 

 

    

 

 

 
         

 

  Apollo Tactical Income Fund Inc.

 

 
         
    

 

Six Months Ended June
30, 2017

 

   

Year Ended December 31,

2016

 

 
           
     Shares     Amount     Shares      Amount  

Common shares outstanding, beginning of period

     14,464,026     $ 275,624,904       14,464,026      $ 275,624,904  

Common shares issued as reinvestment of dividends

                         

Permanent differences reclassified (primarily non-deductible expenses)

                         
  

 

 

   

 

 

   

 

 

    

 

 

 

Common shares outstanding, end of period

     14,464,026     $ 275,624,904       14,464,026      $ 275,624,904  
  

 

 

   

 

 

   

 

 

    

 

 

 

Dividends declared on common shares with a record date of January 1, 2017 or later through the date of this report were as follows:

 

 

  Apollo Senior Floating Rate Fund Inc.

 

                    

  Dividend

  Declaration

  Date

 

  

Ex-Dividend

Date

 

  

Record

Date

 

  

Payment

Date

 

  

Per

Share
Amount

 

    

Gross
Distribution

 

    

Cash
Distribution

 

    

Value of new  
Common  
Shares  
Issued  

 

                    

  December 20, 2016

   January 17, 2017    January 19, 2017    January 31, 2017      $0.0900          $1,401,575          $1,401,575       

  January 23, 2017

   February 13, 2017    February 15, 2017    February 28, 2017      $0.0900          $1,401,575          $1,401,575       

  February 16, 2017

   March 17, 2017    March 21, 2017    March 31, 2017      $0.0900          $1,401,575          $1,401,575       

  March 29, 2017

   April 13, 2017    April 18, 2017    April 28, 2017      $0.0900          $1,401,575          $1,401,575       

  April 21, 2017

   May 16, 2017    May 18, 2017    May 31, 2017      $0.0900          $1,401,575          $1,401,575       

  May 24, 2017

   June 16, 2017    June 20, 2017    June 30, 2017      $0.0900          $1,401,575          $1,401,575       

  June 29, 2017

   July 17, 2017    July 19, 2017    July 31, 2017      $0.0900          $1,401,575          $1,401,575       

  July 27, 2017*

   August 17, 2017    August 21, 2017    August 31, 2017      $0.0900             

  August 9, 2017*

   September 15, 2017    September 19, 2017    September 29, 2017      $0.0900             

  *   Declared subsequent to June 30, 2017.

 

     

     
                    

 

  Apollo Tactical Income Fund Inc.

 

                    

  Dividend

  Declaration

  Date

  

Ex-Dividend

Date

  

Record

Date

  

Payment

Date

   Per
Share
Amount
     Gross
Distribution
     Cash
Distribution
     Value of new
Common
Shares
Issued
                    

  December 20, 2016

   January 17, 2017    January 19, 2017    January 31, 2017      $0.1100          $1,591,043          $1,591,043       

  January 23, 2017

   February 13, 2017    February 15, 2017    February 28, 2017      $0.1100          $1,591,043          $1,591,043       

  February 16, 2017

   March 17, 2017    March 21, 2017    March 31, 2017      $0.1100          $1,591,043          $1,591,043       

  March 29, 2017

   April 13, 2017    April 18, 2017    April 28, 2017      $0.1100          $1,591,043          $1,591,043       

  April 21, 2017

   May 16, 2017    May 18, 2017    May 31, 2017      $0.1100          $1,591,043          $1,591,043       

  May 24, 2017

   June 16, 2017    June 20, 2017    June 30, 2017      $0.1050          $1,518,723          $1,518,723       

  June 29, 2017

   July 17, 2017    July 19, 2017    July 31, 2017      $0.1050          $1,518,723          $1,518,723       

  July 27, 2017*

   August 17, 2017    August 21, 2017    August 31, 2017      $0.1050             

  August 9, 2017*

   September 15, 2017    September 19, 2017    September 29, 2017      $0.1000             

  *   Declared subsequent to June 30, 2017.

 

     

  

 

46  |  Semi-Annual Report


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017 (unaudited)

 

Note 7. Federal Tax Information

The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. GAAP. As a result, net investment income/(loss) and net realized gain/(loss) on investment transactions for a reporting period may differ significantly from distributions during such period.

The tax character of distributions paid by AFT during the fiscal year ended December 31, 2016, was as follows:

 

  Apollo Senior Floating Rate Fund Inc.       
  
  Distributions paid from Ordinary Income: *    2016  

Common Shareholders

  

 

$

 

19,371,331

 

 

  

 

 

 

Total Distributions

   $ 19,371,331  
  

 

 

 

 

* For tax purposes, short-term capital gains distributions, if any, are considered ordinary income distributions.

The tax character of distributions paid by AIF during the fiscal year ended December 31, 2016, was as follows:

 

  Apollo Tactical Income Fund Inc.       
  
  Distributions paid from Ordinary Income: *    2016  

Common Shareholders

  

 

$

 

21,941,928

 

 

  

 

 

 

Total Distributions

   $ 21,941,928  
  

 

 

 

 

* For tax purposes, short-term capital gains distributions, if any, are considered ordinary income distributions.

As of December 31, 2016, the most recent tax year end, the components of distributable earnings on a tax basis were as follows:

 

  Fund    Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital
Gains
    

Net

Unrealized
Appreciation/
(Depreciation)*

     Accumulated
Capital and
Other Losses
 
           

Apollo Senior Floating Rate Fund Inc.

     $585,602        $—        $  (4,126,075)        $(11,833,341)  

Apollo Tactical Income Fund Inc.

       553,205          —        (17,162,562)        (10,591,766)  

* Any differences between book basis and tax basis net unrealized appreciation/(depreciation) are primarily due to the deferral of losses from wash sales, defaulted security interest adjustments, underlying investment partnership adjustments and disallowed losses due to restructuring.

For federal income tax purposes, capital loss carryforwards are available to offset future capital gains. As of December 31, 2016, long-term capital loss carryforwards totaled $11,833,341 for AFT and $10,591,766 for AIF, which may be carried forward for an unlimited period.

Unrealized appreciation/(depreciation) and basis of investments for U.S. federal income tax purposes at June 30, 2017 were as follows:

 

     Apollo Senior
Floating Rate
Fund Inc.
    Apollo
Tactical
Income
Fund Inc.
 
    

Federal tax basis, cost

   $ 423,975,218     $ 388,926,322  
  

 

 

   

 

 

 

 

Unrealized appreciation

   $ 6,004,435     $ 6,430,481  

Unrealized depreciation

     (10,557,409     (8,961,083
  

 

 

   

 

 

 

Net unrealized appreciation/(depreciation)*

   $ (4,552,974   $ (2,530,602
  

 

 

   

 

 

 

* Any differences between book basis and tax basis net unrealized appreciation/(depreciation) are primarily due to the deferral of losses from wash sales, defaulted security interest adjustments, underlying investment partnership adjustments and disallowed losses due to restructuring.

Note 8. Credit Agreements and Preferred Shares

The Funds utilize leverage and may utilize leverage to the maximum extent permitted by law for investment and other general corporate purposes. The Funds may obtain leverage by issuing preferred shares and/or notes and may also borrow funds from banks and other financial institutions. The Funds may also gain leverage synthetically through swaps and other derivatives. The use of leverage to purchase additional securities creates an opportunity for increased common share

 

Semi-Annual Report  |  47


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017 (unaudited)

 

dividends, but also creates risks for common shareholders, including increased variability of the Funds’ net income, distributions and/or NAV in relation to market changes. Leverage is a speculative technique that exposes the Funds to greater risk and increased costs than if it were not implemented. Increases and decreases in the value of the Funds’ portfolios will be magnified due to the use of leverage. In particular, leverage may magnify interest rate risk, which is the risk that the prices of portfolio securities will fall (or rise) if market interest rates for those types of securities rise (or fall). As a result, leverage may cause greater changes in the Funds’ NAV, which will be borne entirely by the Funds’ common shareholders. If the Funds issue preferred shares and/or notes or engage in other borrowings, they will have to pay dividends on their shares or interest on their notes or borrowings, which will increase expenses and may reduce the Funds’ return. These dividend payments or interest expenses (which will be borne entirely by the common shareholders) may be greater than the Funds’ return on the underlying investments. The Funds’ leveraging strategy may not be successful.

Apollo Senior Floating Rate Fund Inc.

On May 11, 2016, AFT entered into a $150,000,000 credit facility (the “Credit Facility”) with Sumitomo Mitsui Banking Corporation (“SMBC”) as lender. Under the terms of the Credit Facility, AFT may borrow a single term loan not to exceed $112,500,000 (the “Term Loan”) and may borrow up to an additional $37,500,000 on a revolving basis (the “Revolving Loans”). AFT has granted a security interest in substantially all of its assets in the event of default under the Credit Facility. AFT may borrow on a revolving basis until May 11, 2019, at which time any loans outstanding under the Credit Facility must be repaid in full. The Fund will pay SMBC a quarterly commitment fee equal to 0.15% per annum on the average daily amount of available commitments. As of June 30, 2017, $9,000,000 of the available revolving credit remains undrawn. As of June 30, 2017, AFT has $141,000,000 principal outstanding under the Credit Facility, which is comprised of a Term Loan of $112,500,000 and Revolving Loans totaling $28,500,000, all of which bear interest at a rate of LIBOR plus 1.05%.

For the six months ended June 30, 2017, the average daily principal loan balance outstanding on days where borrowings existed was $141,000,000, the weighted average annual interest rate was 1.88% and the interest expense, which is included on the Statements of Operations in interest expense, was $1,329,655.

The fair value of AFT’s borrowings under the Credit Facility approximates the carrying amount presented in the accompanying Statements of Assets and Liabilities based on a yield analysis and remaining maturities for which AFT has determined would be categorized as Level 2 in the fair-value hierarchy.

The Credit Facility contains certain customary affirmative and negative covenants, including limitations on debt, liens and restricted payments, as well as certain portfolio limitations and customary prepayment provisions, including a requirement to prepay loans or take certain other actions if certain asset value tests are not met. As of June 30, 2017, AFT was not aware of any instances of non-compliance related to the Credit Facility.

In connection with AFT’s entry into the Credit Facility, certain debt financing costs were incurred by AFT and are shown net of the principal amount in the Statements of Assets and Liabilities. The deferred financing costs are amortized over the life of the credit facility. The amortization of the deferred financing costs is included in the Statements of Operations.

Apollo Tactical Income Fund Inc.

On April 21, 2017, AIF entered into a $138,000,000 revolving credit facility with JPMorgan Chase Bank, N.A. (“JPM”) as lender and administrative agent. AIF has granted a security interest in substantially all of its assets in the event of default under the credit facility. AIF may borrow on a revolving basis until April 20, 2018, at which time any loan outstanding under the credit facility must be repaid in full. The loan bears interest at a rate of LIBOR plus 1.15%. As of June 30, 2017, AIF has $138,000,000 principal outstanding, which is the maximum commitment amount under the credit facility.

Prior to April 21, 2017, AIF had a $138,000,000 revolving credit facility with JPM as lender and administrative agent that expired on April 22, 2017. The loan bore interest at a rate of LIBOR plus 1.00%.

For the six months ended June 30, 2017, the average daily principal loan balance outstanding on days where borrowings existed was $138,000,000, the weighted average annual interest rate was 1.98% and the interest expense, which is included on the Statements of Operations in interest expense, was $1,374,407.

The fair value of AIF’s borrowings under the credit facility approximates the carrying amount presented in the accompanying Statements of Assets and Liabilities based on a yield analysis and remaining maturities for which AIF has determined would be categorized as Level 2 in the fair-value hierarchy.

The credit facility contains certain customary affirmative and negative covenants, including limitations on debt, liens and restricted payments, as well as certain portfolio limitations and customary prepayment provisions, including a requirement

 

48  |  Semi-Annual Report


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Notes to Financial Statements (continued)

June 30, 2017 (unaudited)

 

to prepay loans or take certain other actions if certain asset value tests are not met. As of June 30, 2017, AIF was not aware of any instances of non-compliance related to the credit facility.

In connection with AIF’s entry into the credit facility, certain debt financing costs were incurred by AIF and are shown net of the principal amount in the Statements of Assets and Liabilities. The deferred financing costs are amortized over the life of the credit facility. The amortization of the deferred financing costs is included in the Statements of Operations.

Note 9. General Commitments and Contingencies

As of June 30, 2017, the Funds had unfunded loan commitments outstanding, which could be extended at the option of the borrower, as detailed below:

 

Borrower    AFT      AIF       

Bass Pro Group, LLC

   $ 3,726,495      $ 3,726,495     

Equian, LLC*

     205,348        205,348     

NVA Holdings, Inc.**/***

     419,893            

TCB Holdings III Corp.

     116,601        116,601     

USS Parent Holding Corp.

     142,893        142,893     
  

 

 

    

 

 

    

Total unfunded loan commitments

   $ 4,611,230      $ 4,191,337     
  

 

 

    

 

 

    

*The loan commitment was partially funded on July 6, 2017.

**The loan commitment was fully funded on July 26, 2017.

***NVA Holding, Inc. was held in AFT only.

Unfunded loan commitments are marked to market on the relevant day of the valuation in accordance with the Funds’ valuation policies. Any related unrealized appreciation/(depreciation) on unfunded loan commitments is recorded on the Statements of Assets and Liabilities and the Statements of Operations. For the six months ended June 30, 2017, AFT and AIF recorded a net change in unrealized depreciation on unfunded loan commitments totaling $64,824 and $71,172, respectively.

Note 10. Indemnification

The Funds each have a variety of indemnification obligations under contracts with their service providers. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. Based upon historical experience, the risk of loss from such claims is currently considered remote; however, there can be no assurance that losses will not occur or if claims are made against the Funds the losses will not be material.

Note 11. Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events that would require disclosure in or adjustments to the financial statements.

 

Semi-Annual Report  |  49


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Additional Information

June 30, 2017 (unaudited)

 

Dividend Reinvestment Plan

Unless a shareholder specifically elects to receive common stock of the Funds as set forth below, all net investment income dividends and all capital gains distributions declared by the Board will be payable in cash.

A shareholder may elect to have net investment income dividends and capital gains distributions reinvested in common stock of the Funds. To exercise this option, such shareholder must notify BNYMIS, the plan administrator and the Funds’ transfer agent and registrar, in writing so that such notice is received by the plan administrator not less than 10 days prior to the record date fixed by the Board for the net investment income dividend and/or capital gains distribution involved.

The plan administrator will set up an account for shares acquired pursuant to the plan for each shareholder that elects to receive dividends and distributions in additional shares of common stock of the Funds (each a “Participant”). The plan administrator may hold each Participant’s shares, together with the shares of other Participants, in non-certificated form in the plan administrator’s name or that of its nominee.

The shares are acquired by the plan administrator for a participant’s account, depending upon the circumstances described below, either (i) through receipt of additional unissued but authorized shares of common stock from the Funds (“Newly Issued Shares”) or (ii) by purchase of outstanding shares of common stock on the open market (“Open-Market Purchases”) on the NYSE or elsewhere. If, on the dividend payment date, the NAV per share of the common stock is equal to or less than the market price per share of the common stock plus estimated brokerage commissions (such condition being referred to as “market premium”), the plan administrator will invest the dividend amount in Newly Issued Shares on behalf of the Participant. The number of Newly Issued Shares of common stock to be credited to the Participant’s account will be determined by dividing the dollar amount of the dividend by the NAV per share on the date the shares are issued, unless the NAV is less than 95% of the then current market price per share, in which case the dollar amount of the dividend will be divided by 95% of the then current market price per share. If, on the dividend payment date, the NAV per share is greater than the market value (such condition being referred to as “market discount”), the plan administrator will invest the dividend amount in shares acquired on behalf of the Participant in Open-Market Purchases.

The plan administrator’s service fee, if any, and expenses for administering the plan will be paid for by the Funds. If a Participant elects by written notice to the plan administrator to have the plan administrator sell part or all of the shares held by the plan administrator in the Participant’s account and remit the proceeds to the Participant, the plan administrator is authorized to deduct a $15 transaction fee plus a 5¢ per share brokerage commission from the proceeds.

Shareholders who receive dividends in the form of stock are subject to the same federal, state and local tax consequences as are shareholders who elect to receive their dividends in cash. A shareholder’s basis for determining gain or loss upon the sale of stock received in a dividend from the Funds will be equal to the total dollar amount of the dividend payable to the shareholders. Any stock received in a dividend will have a new holding period for tax purposes commencing on the day following the day on which the shares are credited to the U.S. shareholder’s account.

Participants may terminate their accounts under the plan by notifying the plan administrator via its website at bnymellon.com/ shareowner, by filling out the transaction request form located at the bottom of the Participant’s statement and sending it to the plan administrator at P.O. Box 30170, College Station, TX 77842 or by calling the plan administrator at 800-331-1710.

The plan may be terminated by the Funds upon notice in writing mailed to each Participant at least 30 days prior to any record date for the payment of any dividend or distribution by the Funds. All correspondence, including requests for additional information, concerning the plan should be directed to the plan administrator by mail at P.O. Box 30170, College Station, TX 77842.

 

50  |  Semi-Annual Report


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Additional Information (continued)

June 30, 2017 (unaudited)

 

Approval of the Investment Advisory and Management Agreements for AFT and AIF

At a meeting of the Boards of Directors (together, the “Board” or the “Directors”) of Apollo Senior Floating Rate Fund Inc. (“AFT”) and Apollo Tactical Income Fund Inc. (“AIF”) (each, a “Fund” and together, the “Funds”) held on February 14, 2017, the Directors met in person to consider the approval of the Investment Advisory and Management Agreement between AFT and Apollo Credit Management, LLC (the “Adviser”) and the Investment Advisory and Management Agreement between AIF and the Adviser (each, an “Advisory Agreement” and together, the “Advisory Agreements”) for an additional one-year term. While the meetings occurred at the same time, the Directors considered each Advisory Agreement separately.

The Board has the responsibility under the Investment Company Act of 1940, as amended (the “Investment Company Act”), to approve annual renewal of each Fund’s Advisory Agreement at meetings of the Board called for the purpose of voting on such renewal. The Board generally receives, reviews and evaluates information concerning the services and personnel of the Adviser and its affiliates at quarterly meetings of the Board. While particular emphasis might be placed on information concerning the investment performance of each Fund, each Fund’s fees and expenses in comparison with other funds’ fees and expenses and the Adviser’s profitability at the meeting at which the renewal of the Advisory Agreements is considered, the process of evaluating each Fund’s investment advisory and management arrangements is an ongoing one.

In preparation for their review of the Advisory Agreements, all of the Directors who are not “interested persons,” as defined in the Investment Company Act (the “Independent Directors”), of the Funds present at the meeting met with their independent counsel in an executive session. In considering whether to approve the Advisory Agreements, the Directors, including the Independent Directors, reviewed materials provided in advance of the meeting by the Adviser and counsel to the Independent Directors and other materials which included, among other things: (i) information concerning the services rendered to each Fund by the Adviser; (ii) information concerning the revenues generated and expenses incurred by the Adviser from the operation of each Fund; and (iii) a memorandum outlining the legal duties of the Board under the Investment Company Act. The Board also reviewed information prepared by Strategic Insight, a third party service provider, which included information in respect of each Fund comparing (1) the Fund’s performance with that of a group of comparable funds selected by Strategic Insight (the “Peer Group”) and with a broader group of funds (the “Morningstar Category”) and (2) the Fund’s contractual and net management fees and total net expenses with those of its Peer Group and Morningstar Category.

Counsel to the Independent Directors discussed the factors outlined by the federal courts as relevant to a board’s consideration of the approval of an investment advisory agreement and referred the Directors to the materials provided in connection with the meeting. The Directors also received information regarding each Fund’s operations, expenses and performance periodically throughout the year.

The nature, extent and quality of services provided by the Adviser. Representatives of the Adviser discussed the nature, extent and quality of the services provided by the Adviser to each Fund, including the Adviser’s expertise in managing loan portfolios, the integrated platform of the Adviser and its affiliates and the benefits, resources and opportunities of the platform that the Adviser is able to access. Fund management discussed the size and experience of the Adviser’s staff, the experience of its key personnel in providing investment management services, the systems used by the Adviser’s personnel and the ability of the Adviser to attract and retain capable personnel. Representatives of the Adviser discussed the reputation, compliance history, compliance program and financial condition of the Adviser. They discussed the terms of each Advisory Agreement and the Adviser’s responsibilities with respect to each Fund.

Investment performance of the Funds and the Adviser. Representatives of the Adviser reviewed with the Board the performance of each Fund. Fund management discussed each Fund’s stock price, and its yield. Representatives of the Adviser compared each Fund’s yield (based on the ratio of net investment income to average net assets) to the average yield of certain of its peer funds identified by the Adviser for each calendar year since the Fund’s inception. Fund management then discussed each Fund’s investment performance as compared to the performance of relevant reference indexes (the “Benchmarks”) for various periods. On a net asset value basis, AFT outperformed the Benchmarks for the one-year period ended December 31, 2016 and for the periods from inception to December 31, 2016, December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 and underperformed the Benchmarks for the period from inception to December 31, 2011. On a net asset value basis, AIF outperformed the Benchmarks for the one-year period ended December 31, 2016 and for the periods from inception to December 31, 2016, December 31, 2015, December 31, 2014 and December 31, 2013. On a market value basis, AFT outperformed the Benchmarks for the one-year period ended December 31, 2016 and for the period from inception to December 31, 2016 and underperformed the Benchmarks for the periods from inception to December 31, 2015, December 31, 2014, December 31, 2013, December 31, 2012

 

Semi-Annual Report  |  51


Apollo Senior Floating Rate Fund Inc.

Apollo Tactical Income Fund Inc.

Additional Information (continued)

June 30, 2017 (unaudited)

 

and December 31, 2011. On a market value basis, AIF outperformed the Benchmarks for the one-year period ended December 31, 2016 and underperformed the Benchmarks for the periods from inception to December 31, 2016, December 31, 2015, December 31, 2014 and December 31, 2013. Representatives of the Adviser next reviewed each Fund’s investment performance as compared to that of its Peer Group and Morningstar Category for various annual periods ended December 31, 2016. Each Fund ranked above the medians of its Peer Group and Morningstar Category for the various annual periods, except that AFT ranked in the third quartile of its Morningstar Category for the one-year period and AIF ranked in the third quartile of its Peer Group for the one-year period.

Cost of services provided and profits realized by the Adviser and its affiliates from the relationship with the Funds. The Directors received information from the Adviser regarding the profitability of each Fund to the Adviser and its affiliate and the methodology used by the Adviser in allocating its costs regarding the operations of the Funds and calculating profitability. In addition, the Directors considered whether any direct or indirect collateral benefits inured to the Adviser as a result of its affiliation with the Funds. It was noted that each Fund has entered into an Administrative Services and Reimbursement Agreement with the Adviser pursuant to which the Adviser provides the Fund with certain personnel and services not otherwise provided under the relevant Advisory Agreement, which services are required for the operations of the Fund, and the Fund generally reimburses the Adviser on an at cost basis for such services.

The extent to which economies of scale would be realized as the Funds grow and whether fee levels would reflect such economies of scale. The Directors considered the extent to which economies of scale are relevant for the Funds. It was noted that, because each Fund is a closed-end fund, any increase in asset levels generally would have to come from material appreciation through investment performance. It was also noted that an investment objective of each Fund is to seek current income and that much of each Fund’s realized income is expected to be distributed to its shareholders through monthly dividends.

Comparison of services rendered and fees paid to those under other investment advisory contracts, such as contracts of the same and other investment advisers or other clients. The Board discussed the net management fee and net expense ratio comparisons set forth in the Strategic Insight report with representatives of the Adviser. For each Fund, the Fund’s contractual management fee was within the range of those of its Peer Group funds. Each Fund’s net total expense ratio at both managed and common asset levels ranked in the fourth quartile of its Peer Group and Morningstar Category. In considering the comparison of services rendered to and fees paid by each Fund to those under other investment advisory contracts, the Directors were aware of the nature of the investment strategies of each Fund and the fact that the relevant comparison funds may have investment strategies, restrictions and leverage different from those of the Fund. In regard to compensation paid to the Adviser with respect to other funds or accounts, the Adviser stated that none of the other funds or accounts advised by it or any of its affiliates are comparable to either Fund with respect to investment strategies.

Conclusion. After consideration of the factors discussed above, the Directors, including the Independent Directors, unanimously voted to approve each Advisory Agreement for an additional one-year term.

Shareholder Meeting Results

On May 22, 2017, AFT held its Annual Meeting of Shareholders for the election of Directors. The proposal was approved by AFT’s shareholders and the results of the voting are as follows:

 

  NAME    FOR      WITHHELD  
     

Robert Borden

     14,094,079        206,559  

 

Carl J. Rickertsen

     14,092,657        207,981  

On May 22, 2017, AIF held its Annual Meeting of Shareholders for the election of Directors. The proposal was approved by AIF’s shareholders and the results of the voting are as follows:

 

  NAME    FOR      WITHHELD  
     

Robert Borden

     12,914,674        171,246  

 

Carl J. Rickertsen

     12,940,254        145,665  

Glenn N. Marchak, Barry Cohen, Todd J. Slotkin and Elliot Stein, Jr. continue to serve in their capacities as Directors of the Funds.

 

52  |  Semi-Annual Report


Important Information About This Report

 

Investment Adviser

Apollo Credit Management, LLC

9 West 57th Street

New York, NY 10019

Administrator

BNY Mellon Investment Servicing (US) Inc.

4400 Computer Drive

Westborough, MA 01581

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

P.O. Box 30170

College Station, TX 77842

Custodian

The Bank of New York Mellon

One Wall Street

New York, NY 10286

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

30 Rockefeller Plaza

New York, NY 10112

Fund Counsel

Willkie Farr & Gallagher LLP

787 Seventh Avenue

New York, NY 10019

This report has been prepared for shareholders of Apollo Senior Floating Rate Fund Inc. and Apollo Tactical Income Fund Inc. (the “Funds”). The Funds mail one shareholder report to each shareholder address. If you would like more than one report, please call shareholder services at 1-888-301-3838 and additional reports will be sent to you.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to their portfolio securities, and the Funds’ proxy voting records for the most recent period ended June 30, 2017 are available (i) without charge, upon request, by calling 1-888-301-3838 and (ii) on the SEC’s website at http://www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and also may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the Public Reference Room may be obtained by calling 1-800-SEC-0330.

 

 

Semi-Annual Report  |  53


Important Information About This Report (continued)

 

 

 

 

Privacy Policy

We recognize and respect your privacy expectations, whether you are a visitor to our website, a potential shareholder, a current shareholder or even a former shareholder.

Collection of Information. We may collect nonpublic personal information about you from the following sources:

 

   

Account applications and other forms, which may include your name, address and social security number, written and electronic correspondence and telephone contacts;

   

Website information, including any information captured through our use of “cookies”; and

   

Account history, including information about the transactions and balances in your accounts with us or our affiliates.

Disclosure of Information. We may share the information we collect with our affiliates and nonaffiliated third parties for our everyday business purposes, such as to process your transactions, maintain your investments in the Funds, and to respond to court orders and legal investigations. We also provide such information to our affiliates, attorneys, banks, auditors, securities brokers and service providers as may be necessary to facilitate the acceptance and management of your account or your investments in the Funds and to enable them to perform services on our behalf. We may also provide your name, address, telephone number, social security number or financial condition information to affiliates or nonaffiliated third parties, such as broker-dealers, engaged in marketing activities on our behalf, such as the solicitation of your investment in future funds managed by Apollo. We do not sell your personal information to third parties for their independent use.

Confidentiality and Security of Information. We restrict access to nonpublic personal information about you to our employees and agents who need to know such information to provide products or services to you. We maintain physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information, although you should be aware that data protection cannot be guaranteed.

Opt-Out Notice. We reserve the right to disclose nonpublic personal information about you to a nonaffiliated third party as discussed above. If you wish to limit the distribution of your personal information with our affiliates and nonaffiliated third parties, as described herein, you may do so by:

 

   

Calling us at 1-888-301-3838; or

   

Writing us at the following address:

  Apollo Global Management, LLC

  c/o: Apollo Senior Floating Rate Fund Inc., Apollo Tactical Income Fund Inc.

  9 West 57th Street, 43rd Floor, New York, New York 10019

  Attn: Cindy Z. Michel

The ability to opt-out of disclosure of nonpublic personal information about you may not apply to arrangements necessary to effect or administer a transaction in shares of a Fund or maintain or service your account.

If you choose to write to us, your request should include your name, address, telephone number and account number(s) to which the opt-out applies and the extent to which your personal information shall be withheld. If you are a joint account owner we will apply those instructions to the entire account. If you have accounts or relationships with our affiliates, you may receive multiple privacy policies from them, and will need to separately notify those companies of your privacy choices for those accounts or relationships.

Please understand that if you limit our sharing or our affiliated companies’ use of personal information, you and any joint account holder(s) may not receive information about our affiliated companies’ products and services, including products or services that could help you manage your financial resources and achieve your investment objectives.

If your shares are held in “street name” at a bank or brokerage, we do not have access to your personal information and you should refer to your bank’s or broker’s privacy policies for a statement of the treatment of your personal information.

 

54  |  Semi-Annual Report


 

 

 

 

 

 

 

LOGO

9 West 57th Street, New York, NY 10019

1-888-301-3838   •   www.agmfunds.com

06/30/17


Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this filing.

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 due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this filing.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

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.

None in the reporting period.

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 implemented since 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 this report, based on the 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 have materially affected, or are 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)

 

                     Apollo Senior Floating Rate Fund Inc.

 

 

By (Signature and Title)

 

/s/Joseph Moroney

 

Joseph Moroney, President

  
 

(principal executive officer)

  

 

Date

 

                                         8/21/17

  

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)

  

 

Date

 

                                         8/21/17

  

 

By (Signature and Title)

 

/s/Frank Marra

  
 

Frank Marra, Treasurer and Chief Financial Officer

  
 

(principal financial officer)

  

 

Date

 

                                         8/21/17