Apollo Senior Floating Rate Fund Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number            811-22481                             

                                     Apollo Senior Floating Rate Fund Inc.                                    

(Exact name of registrant as specified in charter)

9 West 57th Street

                                             New York, New York 10019                                             

(Address of principal executive offices) (Zip code)

Joseph Moroney, President

9 West 57th Street

                                             New York, New York 10019                                             

(Name and address of agent for service)

Registrant’s telephone number, including area code: (212) 515-3200

Date of fiscal year end: December 31

Date of reporting period: September 30, 2018

Item 1. Schedule of Investments.

The Schedule of Investments is attached herewith.

 

Apollo Senior Floating Rate Fund Inc.

Schedule of Investments

September 30, 2018 (unaudited)

 

   

Principal   

 Amount ($) 

 

    

 Value ($) 

 

      

Senior Loans - 133.9%(a)

     

AEROSPACE & DEFENSE - 3.9%

      

MRO Holdings, Inc.

      

Initial Term Loan, (LIBOR + 5.25%, 1.00% Floor), 7.64%, 10/25/23(b)

    595,500           600,710    

PAE Holding Corp.

      

First Lien Initial Term Loan,

      

(LIBOR + 5.50%, 1.00% Floor),

7.89%, 10/20/22(b)

    1,886,938           1,897,552    

Second Lien Initial Term Loan,

      

(LIBOR + 9.50%, 1.00% Floor),

11.89%, 10/20/23(b)

    1,324,023           1,330,643    

Photonis Technologies SAS

      

(France)

      

First Lien Initial Dollar Term

      

Loan, (LIBOR + 7.50%, 1.00%

      

Floor), 9.89%, 09/18/19(b)(c)(d)

    3,152,510           2,935,775    

StandardAero Aviation

      

Holdings, Inc.

      

Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.99%, 07/07/22(b)

    3,995,130           4,021,658    
   

 

 

    
            10,786,338    
   

 

 

    

AUTOMOTIVE - 2.8%

      

AP Exhaust Acquisition, LLC

      

First Lien Initial Term Loan,

      

(LIBOR + 5.00%, 1.00% Floor), 7.32%, 05/10/24(b)(d)

    6,158,162           5,588,532    

Innovative XCessories &

      

Services, LLC

      

Term Loan, (LIBOR + 4.75%, 1.00% Floor), 6.97%, 11/29/22(b)

    2,226,026           2,228,808    
   

 

 

    
      7,817,340    
   

 

 

    

BANKING, FINANCE, INSURANCE & REAL ESTATE - 8.5%

 

  

AIS Holdco, LLC

      

First Lien Term Loan, (LIBOR + 5.00%, 0.00% Floor), 7.31%,
08/15/25(b)(e)

    2,222,222           2,219,443    

Alera Group Intermediate Holdings, Inc.

      

Term Loan B, (LIBOR + 4.50%, 0.00% Floor), 6.74%, 08/01/25(b)

    1,242,170           1,260,802    

Alliant Holdings Intermediate, LLC

      

Initial Term Loan (2018), (LIBOR

      

+ 3.00%, 0.00% Floor), 5.15%, 05/09/25(b)(d)

    1,995,000           2,003,579    

Aretec Group, Inc.

      

First Lien Term Loan, (LIBOR + 4.25%, 0.00% Floor), 4.25%,
08/15/25(b)(d)

    1,447,254           1,461,727    
   

Principal   

 Amount ($) 

 

    

 Value ($) 

 

      

BANKING, FINANCE, INSURANCE & REAL ESTATE (continued)

 

  

Asurion, LLC

      

New Term Loan B-7, (LIBOR + 3.00%, 0.00% Floor), 5.24%, 11/03/24(b)

    1,995,000           2,011,369    

Replacement Term Loan B-6,

      

(LIBOR + 3.00%, 0.00% Floor), 5.24%, 11/03/23(b)

    3,340,185           3,368,894    

Second Lien Replacement Term

      

Loan B-2, (LIBOR + 6.50%, 0.00% Floor), 8.74%, 08/04/25(b)

    2,136,429           2,199,860    

Edelman Financial Holdings II, Inc.

      

First Lien Initial Term Loan,

      

(LIBOR + 3.25%, 0.00% Floor), 5.59%, 07/21/25(b)

    889,485           898,567    

Second Lien Initial Term Loan,

      

(LIBOR + 6.75%, 0.00% Floor), 9.09%, 07/20/26(b)

    500,000           511,875    

Medical Card System, Inc.

      

Term Loan, (LIBOR + 4.50%, 1.00% Floor), 5.50%, 09/02/19(b)(e)

    5,039,600           4,510,060    

Mitchell International, Inc.

      

Second Lien Initial Term Loan,

      

(LIBOR + 7.25%, 0.00% Floor), 9.49%, 12/01/25(b)

    1,000,000           1,002,000    

SG Acquisition, Inc.

      

Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 7.39%, 03/29/24(b)

    1,894,982           1,902,088    
   

 

 

    
            23,350,264    
   

 

 

    

BEVERAGE, FOOD & TOBACCO - 2.8%

 

  

8th Avenue Food & Provisions, Inc.

      

First Lien Term Loan, (LIBOR + 3.75%, 0.00% Floor), 3.75%, 10/01/25(b)(d)

    975,000           985,057    

JBS, S.A.

      

Initial Term Loan, (LIBOR + 2.50%, 0.75% Floor), 4.84%, 10/30/22(b)

    1,994,937           2,002,278    

Winebow Holdings, Inc.

      

First Lien Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.99%, 07/01/21(b)(d)

    3,318,304           3,110,910    

Second Lien Term Loan, (LIBOR

      

+ 7.50%, 1.00% Floor), 9.74%,
01/02/22(b)

    2,260,897           1,684,368    
   

 

 

    
      7,782,613    
   

 

 

    

CAPITAL EQUIPMENT - 1.4%

 

  

Altra Industrial Motion Corp.

      

Term Loan, (LIBOR + 2.00%, 0.00% Floor), 2.00%, 09/26/25(b)(d)

    1,462,857           1,468,569    
 

 

See accompanying Notes to Schedule of Investments.  |  1

Apollo Senior Floating Rate Fund Inc.

Schedule of Investments  (continued)

September 30, 2018 (unaudited)

 

   

Principal   

 Amount ($) 

 

    

 Value ($) 

 

      

Senior Loans(a)  (continued)

      

CAPITAL EQUIPMENT (continued)

      

Safe Fleet Holdings, LLC

      

First Lien Initial Term Loan,

      

(LIBOR + 3.00%, 1.00% Floor), 5.11%, 02/03/25(b)

    997,494           989,394    

Second Lien Initial Term Loan,

      

(LIBOR + 6.75%, 1.00% Floor), 8.86%, 02/02/26(b)

    1,403,846           1,393,317    
   

 

 

    
      3,851,280    
   

 

 

    

CHEMICALS, PLASTICS, & RUBBER - 5.5%

 

    

Archroma Finance S.A.R.L

      

(Luxembourg)

      

Facility B-2, (LIBOR + 4.25%, 0.00% Floor), 6.58%, 08/12/24(b)(c)

    2,105,952           2,111,216    

Diamond (BC) B.V.

      

Initial Term Loan, (LIBOR + 3.00%, 0.00% Floor), 5.24%, 09/06/24(b)

    4,973,600           4,893,823    

Polar US Borrower, LLC

      

First Lien Term Loan, (LIBOR + 4.75%, 0.00% Floor), 4.75%,
08/17/25(b)(d)

    3,000,000           3,018,750    

Starfruit US Holdco, LLC

      

Term Loan, (LIBOR + 3.25%, 0.00% Floor), 3.25%, 09/19/25(b)(d)

    5,011,718           5,038,856    
   

 

 

    
            15,062,645    
   

 

 

    

CONSTRUCTION & BUILDING - 3.9%

 

    

Associated Asphalt Partners, LLC

      

Tranche B Term Loan, (LIBOR + 5.25%, 1.00% Floor), 7.49%,
04/05/24(b)

    4,484,414           4,498,450    

KBR, Inc.

      

Term Loan B, (LIBOR + 3.75%, 0.00% Floor), 5.99%, 04/25/25(b)(e)

    4,428,579           4,481,168    

Terra Millennium Corp.

      

First Out Term Loan, (LIBOR + 6.25%, 1.00% Floor), 8.50%, 10/31/22(b)(e)

    1,912,500           1,926,844    
   

 

 

    
      10,906,462    
   

 

 

    

CONSUMER GOODS: DURABLE - 0.8%

 

    

PT Holdings, LLC

      

First Lien Term Loan B, (LIBOR

      

+ 4.00%, 1.00% Floor), 6.39%, 12/09/24(b)

    1,615,117           1,618,154    

Second Lien Initial Loan, (LIBOR

      

+ 8.00%, 1.00% Floor), 10.39%, 12/08/25(b)(e)

    625,000           634,375    
   

 

 

    
      2,252,529    
   

 

 

    
   

Principal   

 Amount ($) 

 

    

 Value ($) 

 

      

CONSUMER GOODS: NON-DURABLE - 2.3%

 

    

ABG Intermediate Holdings 2, LLC

      

First Lien Initial Term Loan,

      

(LIBOR + 3.50%, 1.00% Floor), 5.74%, 09/27/24(b)

    2,976,181           2,990,318    

American Greetings Corp.

      

Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 6.74%, 04/06/24(b)

    3,403,691           3,421,781    
   

 

 

    
              6,412,099    
   

 

 

    

CONTAINERS, PACKAGING & GLASS - 3.2%

 

    

Anchor Glass Container Corp.

      

July 2017 Additional Term Loan,

      

(LIBOR + 2.75%, 1.00% Floor), 4.99%, 12/07/23(b)(d)

    5,255,965           4,746,425    

Hoover Group, Inc.

      

First Lien Initial Term Loan,

      

(LIBOR + 7.25%, 1.00% Floor), 9.56%, 01/28/21(b)

    1,443,354           1,428,921    

SMI Acquisition, Inc.

      

First Lien Initial Term Loan,

      

(LIBOR + 3.75%, 1.00% Floor), 6.09%, 11/01/24(b)

    2,885,613           2,765,384    
   

 

 

    
      8,940,730    
   

 

 

    

ENERGY: OIL & GAS - 1.5%

 

    

Ascent Resources - Marcellus, LLC

      

Exit Term Loan, (LIBOR + 6.50%, 1.00% Floor), 8.62%, 03/30/23(b)

    452,027           454,097    

Oryx Southern Delaware Holdings, LLC

      

Initial Term Loan, (LIBOR + 3.25%, 1.00% Floor), 5.49%, 02/28/25(b)

    2,052,195           2,025,260    

Sheridan Investment

      

Partners I, LLC

      

Deferred Principal Facility I, 10/01/19(e)(f)

    4,749           3,325    

Tranche B-2 Term Loan, (LIBOR

      

+ 3.50%, 0.75% Floor), 5.83%,
10/01/19(b)

    1,441,396           1,330,892    

Sheridan Production

      

Partners I-A, L.P.

      

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

    629           441    

Tranche B-2 Term Loan, (LIBOR

      

+ 3.50%, 0.75% Floor), 5.83%,
10/01/19(b)

    190,997           176,354    

Sheridan Production

      

Partners I-M, L.P.

      

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

    384           269    

Tranche B-2 Term Loan, (LIBOR

      

+ 3.50%, 0.75% Floor), 5.83%,
10/01/19(b)

    116,662           107,718    
 

 

 

2  |  See accompanying Notes to Schedule of Investments.

Apollo Senior Floating Rate Fund Inc.

Schedule of Investments  (continued)

September 30, 2018 (unaudited)

 

   

Principal   
 Amount ($) 

 

    

 Value ($) 

 

      

 

Senior Loans(a) (continued)

 

  

ENERGY: OIL & GAS (continued)

      

Southcross Holdings Borrower, L.P.

      

Tranche B Term Loan (5.50%

      

PIK), 9.00%, 04/13/23(g)(h)

    130,376       123,368    
   

 

 

    
              4,221,724    
   

 

 

    

ENVIRONMENTAL INDUSTRIES - 0.8%

 

    

Emerald 2, Ltd. (United Kingdom)

      

Facility B-1, (LIBOR + 4.00%, 1.00% Floor), 6.39%, 05/14/21(b)(c)

    2,084,623       2,095,921    
   

 

 

    

HEALTHCARE & PHARMACEUTICALS - 19.0%

 

    

Akorn, Inc.

      

Term Loan, (LIBOR + 4.75%, 1.00% Floor), 7.00%, 04/16/21(b)

    3,769,533       3,661,159    

Auris Luxembourg III S.A.R.L

      

(Luxembourg)

      

Term Loan, (LIBOR + 3.75%, 0.00% Floor), 3.75%, 07/24/25(b)(c)(d)

    1,887,324       1,913,284    

BioClinica Holding I, LP

      

First Lien Initial Term Loan,

      

(LIBOR + 4.25%, 1.00% Floor), 6.63%, 10/20/23(b)

    2,201,022       2,097,860    

BW NHHC HoldCo, Inc.

      

First Lien Initial Term Loan,

      

(LIBOR + 5.00%, 0.00% Floor), 7.16%, 05/15/25(b)

    2,038,295       2,009,005    

Community Health Systems, Inc.

      

Incremental 2021 Term Loan H,

      

(LIBOR + 3.25%, 1.00% Floor), 5.56%, 01/27/21(b)(d)

    4,713,570       4,662,592    

CT Technologies Intermediate

      

Hldgs, Inc.

      

Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 6.49%, 12/01/21(b)

    3,957,561       3,734,948    

Endo Luxembourg Finance I Co.

      

S.A.R.L

      

Initial Term Loan, (LIBOR + 4.25%, 0.75% Floor), 6.50%, 04/29/24(b)

    2,984,887       3,009,452    

Hanger, Inc.

      

Term Loan B, (LIBOR + 3.50%, 0.00% Floor), 5.74%, 03/06/25(b)(d)(e)

    2,361,955       2,359,003    

Inovalon Holdings, Inc.

      

Term Loan, (LIBOR + 3.50%, 0.00% Floor), 5.63%, 04/02/25(b)

    2,781,866       2,790,559    

Lanai Holdings II, Inc.

      

First Lien Initial Term Loan,

      

(LIBOR + 4.75%, 1.00% Floor), 7.09%, 08/29/22(b)

    2,718,561       2,623,412    

Lanai Holdings III, Inc.

      

Second Lien Initial Term Loan,

      

(LIBOR + 8.50%, 1.00% Floor),

10.84%, 08/28/23(b)

    869,565       830,435    
    

Principal   
 Amount ($) 

 

     

 Value ($) 

 

      

HEALTHCARE & PHARMACEUTICALS (continued)

 

  

Lantheus Medical Imaging, Inc.

        

New Term Loan B 2017, (LIBOR

        

+ 3.75%, 1.00% Floor), 5.99%, 06/30/22(b)

     1,035,590        1,035,590    

Medical Solutions Holdings, Inc.

        

First Lien Closing Date Term

        

Loan, (LIBOR + 3.75%, 1.00%

        

Floor), 5.99%, 06/14/24(b)

     2,963,225        2,974,337    

Second Lien Closing Date Loan,

        

(LIBOR + 8.25%, 1.00% Floor), 10.49%, 06/16/25(b)

     2,000,000        2,007,500    

MModal, Inc.

        

Term Loan B, (LIBOR + 4.75%, 1.00% Floor), 7.27%, 02/13/23(b)

     2,025,535        2,026,812    

One Call Corp.

        

First Lien Extended Term Loan,

        

(LIBOR + 5.25%, 1.00% Floor), 7.38%, 11/27/22(b)

     3,841,198        3,654,420    

Onex Schumacher Finance, LP

        

First Lien Initial Term Loan,

        

(LIBOR + 4.00%, 1.00% Floor), 6.24%, 07/29/22(b)

     2,000,000        2,020,000    

PharMerica Corp.

        

First Lien Initial Term Loan,

        

(LIBOR + 3.50%, 0.00% Floor), 5.65%, 12/06/24(b)

     1,723,860        1,737,600    

Radiology Partners, Inc.

        

First Lien Term Loan B, (LIBOR

        

+ 4.25%, 0.00% Floor), 6.59%, 07/09/25(b)

     2,497,569        2,516,301    

Team Health Holdings, Inc.

        

Initial Term Loan, (LIBOR + 2.75%, 1.00% Floor), 4.99%, 02/06/24(b)

     2,896,411        2,822,190    

U.S. Renal Care, Inc.

        

First Lien Initial Term Loan,

        

(LIBOR + 4.25%, 1.00% Floor), 6.64%, 12/30/22(b)

     1,918,532        1,874,166    
     

 

 

    
              52,360,625    
     

 

 

    

HIGH TECH INDUSTRIES - 18.6%

 

     

DigiCert, Inc.

        

First Lien Term Loan, (LIBOR + 4.00%, 1.00% Floor), 6.24%, 10/31/24(b)(d)

     4,265,745        4,283,085    

Second Lien Term Loan, (LIBOR

        

+ 8.00%, 1.00% Floor), 10.24%, 10/31/25(b)

     3,014,727        3,012,843    

Flexera Software, LLC

        

First Lien Initial Term Loan,

        

(LIBOR + 3.25%, 1.00% Floor), 5.50%, 02/26/25(b)(d)

     1,250,435        1,255,905    

Second Lien Initial Term Loan,

        

(LIBOR + 7.25%, 1.00% Floor), 9.50%, 02/26/26(b)

     1,192,308        1,200,505    
 

 

See accompanying Notes to Schedule of Investments.  |  3

Apollo Senior Floating Rate Fund Inc.

Schedule of Investments  (continued)

September 30, 2018 (unaudited)

 

   

Principal   
 Amount ($) 

 

    

 Value ($) 

 

      

Senior Loans(a) (continued)

 

    

HIGH TECH INDUSTRIES  (continued)

 

  

Help/Systems Holdings, Inc.

      

First Lien Term Loan, (LIBOR + 3.75%, 0.00% Floor), 5.99%, 03/28/25(b)

    2,592,098           2,611,539    

ION Trading Finance, Ltd. (Ireland)

      

Initial Dollar Term Loan, (LIBOR

      

+ 4.00%, 1.00% Floor), 6.39%, 11/21/24(b)(c)(d)

    6,483,668           6,466,454    

Ivanti Software, Inc.

      

First Lien Term Loan, (LIBOR + 4.25%, 1.00% Floor), 6.33%,
01/20/24(b)

    3,969,058           4,007,081    

MA FinanceCo., LLC

      

Tranche B-3 Term Loan, (LIBOR

      

+ 2.50%, 0.00% Floor), 4.74%, 06/21/24(b)

    256,667           256,293    

Ocean Bidco, Inc.

      

Initial Dollar Term Loan, (LIBOR

      

+ 5.00%, 1.00% Floor), 7.39%, 03/21/25(b)(d)

    1,332,902           1,339,014    

Riverbed Technology, Inc.

      

First Amendment Term Loan,

      

(LIBOR + 3.25%, 1.00% Floor), 5.50%, 04/24/22(b)

    3,968,559           3,968,321    

Seattle SpinCo, Inc.

      

Initial Term Loan, (LIBOR + 2.50%, 0.00% Floor), 4.74%, 06/21/24(b)

    1,733,333           1,730,811    

SolarWinds Holdings, Inc.
2018 Refinancing Term Loan,

      

(LIBOR + 3.00%, 0.00% Floor), 5.24%, 02/05/24(b)

    2,360,966           2,377,528    

SS&C European Holdings, S.A.R.L

      

(Luxembourg)

      

Term Loan B-4, (LIBOR + 2.25%, 0.00% Floor), 4.49%, 04/16/25(b)(c)(d)

    989,402           991,569    

SS&C Technologies, Inc.

      

Term Loan B-3, (LIBOR + 2.25%, 0.00% Floor), 4.49%,
04/16/25(b)(d)

    2,548,913           2,554,495    

Syncsort, Inc.

      

First Lien Initial Term Loan,

      

(LIBOR + 5.00%, 1.00% Floor), 7.26%, 08/16/24(b)(d)

    3,480,221           3,492,402    

Second Lien Initial Term Loan,

      

(LIBOR + 9.00%, 1.00% Floor), 11.24%, 08/18/25(b)

    2,500,000           2,508,337    

Triple Point Group Holdings, Inc.

      

First Lien Term Loan, (LIBOR + 4.25%, 1.00% Floor), 6.64%,
07/10/20(b)

    3,929,782                   3,523,305    
    

Principal   
 Amount ($) 

 

     

 Value ($) 

 

      

HIGH TECH INDUSTRIES (continued)

 

  

Vertafore, Inc.

        

First Lien Initial Term Loan,

        

(LIBOR + 3.25%, 0.00% Floor), 5.49%, 07/02/25(b)

     2,999,783            3,016,117    

Second Lien Initial Term Loan,

        

(LIBOR + 7.25%, 0.00% Floor), 9.49%, 07/02/26(b)

     2,720,000            2,748,914    
     

 

 

    
              51,344,518    
     

 

 

    

HOTEL, GAMING & LEISURE - 2.6%

 

  

Everi Payments, Inc.

        

New Term Loan B, (LIBOR + 3.00%, 1.00% Floor), 5.24%, 05/09/24(b)

     1,776,228            1,788,884    

Mohegan Tribal Gaming Authority

        

Term Loan A, (LIBOR + 3.75%, 0.00% Floor), 5.99%, 10/13/21(b)

     478,421            471,604    

Penn National Gaming, Inc.

        

First Lien Term Loan, (LIBOR + 2.25%, 0.00% Floor), 2.25%, 08/14/25(b)(d)

     2,824,978            2,843,693    

SeaWorld Parks & Entertainment, Inc.

        

Term Loan B-5, (LIBOR + 3.00%, 0.75% Floor), 5.24%, 04/01/24(b)

     1,982,361            1,982,163    
     

 

 

    
        7,086,344    
     

 

 

    

MEDIA: ADVERTISING, PRINTING & PUBLISHING - 4.1%

 

  

Acosta, Inc.

        

Tranche B-1 Loan, (LIBOR + 3.25%, 1.00% Floor), 5.49%, 09/26/21(b)

     997,423            747,444    

Advantage Sales & Marketing, Inc.

        

First Lien Initial Term Loan,

        

(LIBOR + 3.25%, 1.00% Floor), 5.49%, 07/23/21(b)

     2,135,620            1,982,923    

Incremental Term Loan B-2,

        

(LIBOR + 3.25%, 1.00% Floor), 5.49%, 07/23/21(b)(d)

     2,378,353            2,197,004    

Second Lien Term Loan, (LIBOR

        

+ 6.50%, 1.00% Floor), 8.74%, 07/25/22(b)

     2,002,715            1,694,798    

F & W Media, Inc.

        

Term Loan B-1 (8.75% PIK),

        

(LIBOR + 6.50%, 1.50% Floor), 8.75%, 05/24/22(b)(e)(h)

     332,809            332,809    

Term Loan B-2 (12.25% PIK),

        

(LIBOR + 10.00%, 1.50% Floor), 12.25%, 05/24/22(b)(e)(h)

     911,862            7,389    

Getty Images, Inc.

        

Initial Term Loan, (LIBOR + 3.50%, 1.25% Floor), 5.74%, 10/18/19(b)

     2,822,840            2,807,131    

Information Resources, Inc.

        

First Lien Initial Term Loan,

        

(LIBOR + 4.25%, 1.00% Floor), 6.57%, 01/18/24(b)

     1,481,240            1,494,201    
     

 

 

    
        11,263,699    
     

 

 

    
 

 

4  |  See accompanying Notes to Schedule of Investments.

Apollo Senior Floating Rate Fund Inc.

Schedule of Investments  (continued)

September 30, 2018 (unaudited)

 

   

Principal   

 Amount ($) 

 

    

 Value ($) 

 

      

Senior Loans(a)  (continued)

      

MEDIA: BROADCASTING & SUBSCRIPTION - 7.3%

 

  

Altice France S.A. (France)

      

USD Term Loan B-12, (LIBOR + 3.69%, 0.00% Floor), 5.85%,
01/31/26(b)(c)(d)

    3,000,000           2,970,810    

USD Incremental Term Loan

      

B-13, (LIBOR + 4.00%, 0.00%

      

Floor), 6.16%, 08/14/26(b)(c)

    4,114,432           4,090,918    

Emmis Operating Co.

      

Term Loan, (LIBOR + 7.00%, 1.00% Floor), 9.25%, 04/18/19(b)(e)

    227,950           226,526    

Global Eagle Entertainment, Inc.

      

Initial Term Loan, (LIBOR + 7.50%, 1.00% Floor), 10.02%, 01/06/23(b)

    4,888,053           5,046,915    

SESAC Holdco II, LLC

      

First Lien Initial Term Loan,

      

(LIBOR + 3.00%, 1.00% Floor), 5.24%, 02/23/24(b)

    1,237,437           1,227,767    

Second Lien Initial Term Loan,

      

(LIBOR + 7.25%, 1.00% Floor), 9.49%, 02/24/25(b)

    725,278           720,274    

Telenet Financing USD, LLC

      

(Netherlands)

      

Term Loan AN Facility, (LIBOR + 2.25%, 0.00% Floor), 4.41%,
08/15/26(b)(c)(d)

    1,462,904           1,458,676    

Univision Communications, Inc.
2017 Replacement Term Loan,

      

(LIBOR + 2.75%, 1.00% Floor), 4.99%, 03/15/24(b)

    2,982,103           2,905,687    

Urban One, Inc.

      

Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 6.25%, 04/18/23(b)

    1,454,686           1,427,709    
   

 

 

    
            20,075,282    
   

 

 

    

MEDIA: DIVERSIFIED & PRODUCTION - 1.6%

 

    

A-L Parent, LLC

      

First Lien Initial Term Loan,

      

(LIBOR + 3.25%, 1.00% Floor), 5.50%, 12/01/23(b)

    1,328,449           1,345,054    

Second Lien Initial Term Loan,

      

(LIBOR + 7.25%, 1.00% Floor), 9.50%, 12/02/24(b)

    375,000           378,750    

DHX Media, Ltd. (Canada)

      

Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.99%, 12/29/23(b)(c)

    2,669,753           2,618,027    
   

 

 

    
      4,341,831    
   

 

 

    

METALS & MINING - 0.0%

 

    

Magnetation, LLC / Mag

      

Finance Corp.

      

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

    245,303           —    
   

 

 

    
   

Principal   

 Amount ($) 

 

    

 Value ($) 

 

      

RETAIL - 9.4%

 

    

Academy, Ltd.

      

Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 6.10%, 07/01/22(b)(d)

    4,158,428           3,245,050    

Albertson’s, LLC

      

Replacement 2017-1 Term Loan

      

B-4, (LIBOR + 2.75%, 0.75%

      

Floor), 4.99%, 08/25/21(b)

    4,840,410           4,850,986    

Replacement 2017-1 Term Loan

      

B-5, (LIBOR + 3.00%, 0.75%

      

Floor), 5.38%, 12/21/22(b)

    1,009,987           1,011,830    

Charming Charlie, LLC

      

Term Loan A (5.00% PIK),

      

(LIBOR + 10.00%, 1.00% Floor), 12.34%, 04/24/23(b)(e)(h)

    784,617           231,060    

Term Loan B (9.00% PIK),

      

(LIBOR + 10.00%, 1.00% Floor), 12.34%, 04/24/23(b)(e)(h)

    950,941           280,040    

Vendor Payment Financing

      

Facility, 20.00%, 05/15/19(e)(g)

    46,489           46,489    

EG America, LLC

      

Additional Facility Loan, (LIBOR

      

+ 4.00%, 0.00% Floor), 6.39%,
02/07/25(b)

    2,502,395           2,510,616    

General Nutrition Centers, Inc.

      

Extended Term Loan B, (LIBOR

      

+ 9.25%, 0.75% Floor), 11.50%, 03/04/21(b)(d)

    984,332           972,028    

First In Last Out Term Loan,

      

(LIBOR + 7.00%, 0.00% Floor), 9.25%, 12/31/22(b)

    3,072,350           3,158,115    

J.C. Penney Corp.

      

Term Loan B, (LIBOR + 4.25%, 1.00% Floor), 6.57%, 06/23/23(b)

    993,421           915,438    

Neiman Marcus Group, Inc.

      

Other Term Loan, (LIBOR + 3.25%, 1.00% Floor), 5.37%, 10/25/20(b)(d)

    3,000,000           2,793,420    

Petco Animal Supplies, Inc.

      

Term Loan, (LIBOR + 3.25%, 1.00% Floor), 5.59%, 01/26/23(b)(d)

    3,791,674           3,085,020    

PetSmart, Inc.

      

Tranche B-2 Loan, (LIBOR + 3.00%, 1.00% Floor), 5.12%, 03/11/22(b)

    3,430,255           3,002,639    
   

 

 

    
            26,102,731    
   

 

 

    

SERVICES: BUSINESS - 15.3%

 

    

Air Medical Group Holdings, Inc.
2017-2 New Term Loan, (LIBOR

      

+ 4.25%, 1.00% Floor), 6.42%,
03/14/25(b)

    2,951,681           2,944,006    

EIG Investors Corp.
2018 Refinancing Term Loan,

      

(LIBOR + 3.75%, 1.00% Floor), 6.06%, 02/09/23(b)

    2,851,795           2,878,274    
 

 

See accompanying Notes to Schedule of Investments.  |  5

Apollo Senior Floating Rate Fund Inc.

Schedule of Investments  (continued)

September 30, 2018 (unaudited)

 

   

Principal   

 Amount ($) 

 

    

 Value ($) 

 

      

Senior Loans(a) (continued)

 

    

SERVICES: BUSINESS  (continued)

 

    

Electro Rent Corp.

      

First Lien Initial Term Loan,

      

(LIBOR + 5.00%, 1.00% Floor), 7.19%, 01/31/24(b)

    2,250,247                   2,276,508    

Enterprise Merger Sub, Inc.

      

Term Loan, (LIBOR + 3.75%, 0.00% Floor), 3.75%, 09/26/25(b)(d)

    4,922,121           4,898,273    

Evergreen Skills Lux S.A.R.L

      

(Luxembourg)

      

First Lien Initial Term Loan,

      

(LIBOR + 4.75%, 1.00% Floor), 6.99%, 04/28/21(b)(c)

    4,164,818           3,972,195    

Second Lien Initial Term Loan,

      

(LIBOR + 8.25%, 1.00% Floor), 10.49%, 04/28/22(b)(c)

    1,000,000           853,125    

GI Revelation Acquisition, LLC

      

First Lien Term Loan, (LIBOR + 5.00%, 0.00% Floor), 7.24%,
04/16/25(b)

    1,995,000           2,002,481    

Michael Baker International, LLC

      

Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 6.74%, 11/21/22(b)

    918,955           923,550    

National Intergovernmental

      

Purchasing Alliance Co.

      

First Lien Initial Term Loan,

      

(LIBOR + 3.75%, 0.00% Floor), 6.14%, 05/23/25(b)

    2,633,072           2,646,237    

Onex Carestream Finance, L.P.

      

Second Lien Term Loan, (LIBOR

      

+ 8.50%, 1.00% Floor), 10.74%, 12/07/19(b)

    2,143,089           2,139,339    

R1 RCM, Inc.

      

Initial Term Loan, (LIBOR + 5.25%, 0.00% Floor), 7.43%, 05/08/25(b)(e)

    1,428,571           1,432,142    

Refinitiv US Holdings, Inc.

      

Term Loan B, (LIBOR + 3.75%, 0.00% Floor), 3.75%, 10/01/25(b)(d)

    4,137,385           4,133,082    

Restaurant Technologies, Inc.

      

First Lien Term Loan, (LIBOR + 3.25%, 0.00% Floor), 3.25%,
09/24/25(b)(d)

    611,803           617,156    

SGS Cayman, L.P.

      

Initial Cayman Term Loan,

      

(LIBOR + 5.38%, 1.00% Floor), 7.76%, 04/23/21(b)

    778,268           746,815    

Solera, LLC

      

Dollar Term Loan, (LIBOR + 2.75%, 0.00% Floor), 4.99%, 03/03/23(b)

    2,083,038           2,089,881    

STG-Fairway Acquisitions, Inc.

      

First Lien Term Loan, (LIBOR + 5.25%, 1.00% Floor), 7.59%,
06/30/22(b)

    2,577,911           2,581,134    
   

Principal   

 Amount ($) 

 

    

 Value ($) 

 

      

SERVICES: BUSINESS (continued)

 

    

Sutherland Global Services, Inc.

      

Initial U.S. Term Loan, (LIBOR + 5.38%, 1.00% Floor), 7.76%, 04/23/21(b)

    3,343,403           3,208,279    

Verscend Holding Corp.

      

Term Loan B, (LIBOR + 4.50%, 0.00% Floor), 6.74%, 08/27/25(b)

    2,000,000           2,020,420    
   

 

 

    
            42,362,897    
   

 

 

    

SERVICES: CONSUMER - 1.7%

 

    

Laureate Education, Inc.

      

Series 2024 Term Loan, (LIBOR

      

+ 3.50%, 1.00% Floor), 5.74%,
04/26/24(b)

    2,219,334           2,232,417    

USS Ultimate Holdings, Inc.

      

Second Lien Initial Term Loan,

      

(LIBOR + 7.75%, 1.00% Floor), 9.99%, 08/25/25(b)(d)

    2,500,000           2,512,500    
   

 

 

    
      4,744,917    
   

 

 

    

TELECOMMUNICATIONS - 13.9%

 

    

CenturyLink, Inc.

      

Initial Term Loan B, (LIBOR + 2.75%, 0.00% Floor), 4.99%, 01/31/25(b)(d)

    5,969,969           5,935,641    

Flight Bidco, Inc.

      

First Lien Initial Term Loan,

      

(LIBOR + 3.50%, 0.00% Floor), 5.84%, 07/23/25(b)(d)

    3,092,364           3,096,229    

Frontier Communications Corp.

      

Initial Term Loan, (LIBOR + 2.75%, 0.00% Floor), 5.00%, 03/31/21(b)

    3,793,014           3,730,201    

Term Loan, (LIBOR + 4.38%, 0.00% Floor), 6.63%, 10/12/21(b)

    4,403,714           4,333,034    

Global Tel*Link Corp.

      

First Lien Term Loan, (LIBOR + 4.00%, 1.25% Floor), 6.39%, 05/23/20(b)

    2,346,161           2,364,051    

Intelsat Jackson Holdings S.A.

      

(Luxembourg)

      

Tranche B-4 Term Loan, (LIBOR

      

+ 4.50%, 1.00% Floor), 6.73%,
01/02/24(b)(c)

    3,448,622           3,634,003    

Tranche B-5 Term Loan, 6.63%, 01/02/24(c)(g)

    3,748,810           3,916,569    

MLN US Holdco, LLC

      

First Lien Term Loan, (LIBOR + 4.50%, 0.00% Floor), 4.50%, 07/11/25(b)(d)

    1,543,860           1,561,715    

Securus Technologies

      

Holdings, Inc.

      

First Lien Initial Term Loan,

      

(LIBOR + 4.50%, 1.00% Floor), 6.74%, 11/01/24(b)

    1,703,263           1,710,076    

TDC A/S (Denmark)

      

Facility B2, (LIBOR + 3.50%, 0.00% Floor), 5.84%, 06/04/25(b)(c)

    3,076,358           3,111,736    
 

 

6  |  See accompanying Notes to Schedule of Investments.

Apollo Senior Floating Rate Fund Inc.

Schedule of Investments  (continued)

September 30, 2018 (unaudited)

 

   

Principal   

 Amount ($) 

 

    

 Value ($) 

 

      

Senior Loans(a)  (continued)

      

TELECOMMUNICATIONS (continued)

 

  

U.S. TelePacific Corp.

      

Advance Term Loan, (LIBOR + 5.00%, 1.00% Floor), 7.39%, 05/02/23(b)

    2,565,429           2,530,154    

Zacapa, LLC

      

Initial Term Loan, (LIBOR + 5.00%, 0.75% Floor), 7.39%, 07/02/25(b)

    2,333,333           2,350,833    
   

 

 

    
      38,274,242    
   

 

 

    

TRANSPORTATION: CARGO - 1.1%

 

  

Savage Enterprises, LLC

      

Initial Term Loan, (LIBOR + 4.50%, 0.00% Floor), 6.60%, 08/01/25(b)

    2,971,070           3,016,245    
   

 

 

    

TRANSPORTATION: CONSUMER - 1.0%

 

  

Travel Leaders Group, LLC
2018 Refinancing Term Loan,

      

(LIBOR + 4.00%, 0.00% Floor), 6.16%, 01/25/24(b)

    2,608,513           2,642,750    
   

 

 

    

UTILITIES: ELECTRIC - 0.9%

 

  

Brookfield WEC Holdings, Inc.

      

First Lien Initial Term Loan,

      

(LIBOR + 3.75%, 0.75% Floor), 5.99%, 08/01/25(b)

    2,534,984           2,569,371    
   

 

 

    

Total Senior Loans
(Cost $370,586,026)

            369,665,397    
   

 

 

    

Corporate Notes and Bonds - 16.2%(g)

 

  

BANKING, FINANCE, INSURANCE & REAL ESTATE - 0.6%

 

  

NFP Corp.
6.88%, 07/15/25(i)

    1,708,000           1,716,540    
   

 

 

    

BEVERAGE, FOOD & TOBACCO - 1.4%

 

  

JBS, S.A.
6.75%, 02/15/28(i)

    2,000,000           1,990,000    

Sigma Holdco B.V. (Netherlands)
7.88%, 05/15/26(c)(i)

    2,000,000           1,885,000    
   

 

 

    
      3,875,000    
   

 

 

    

CHEMICALS, PLASTICS & RUBBER - 0.4%

 

  

Starfruit US Holdco, LLC

      

(Netherlands)
8.00%, 10/01/26(c)(i)

    1,000,000           1,016,250    
   

 

 

    

CONTAINERS, PACKAGING & GLASS - 0.4%

 

  

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

     1,069,068           1,082,431    
   

 

 

    

ENERGY: OIL & GAS - 1.7%

 

  

Moss Creek Resources Holdings, Inc.
7.50%, 01/15/26(i)

    4,762,000           4,779,857    
   

 

 

    
   

Principal   

 Amount ($) 

 

    

 Value ($) 

 

      

HEALTHCARE & PHARMACEUTICALS - 3.9%

 

    

Bausch Health Companies, Inc.

      

(Canada)
5.63%, 12/01/21(c)(i)

    2,389,000           2,389,000    

5.88%, 05/15/23(c)(i)

    1,111,000           1,087,391    

6.50%, 03/15/22(c)(i)

    1,500,000           1,563,750    

7.50%, 07/15/21(c)(i)

    1,864,000           1,903,610    

Community Health Systems, Inc.
8.63%, 01/15/24(i)

    2,005,000           2,082,694    

Team Health Holdings, Inc.
6.38%, 02/01/25(i)

    2,000,000           1,765,000    
   

 

 

    
            10,791,445    
   

 

 

    

HIGH TECH INDUSTRIES - 1.2%

 

  

Infor Software Parent, LLC
7.13%, 05/01/21(i)

    1,000,000           1,013,740    

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

    2,500,000           2,365,625    
   

 

 

    
      3,379,365    
   

 

 

    

HOTEL, GAMING & LEISURE - 1.7%

 

  

Churchill Downs, Inc.
4.75%, 01/15/28(i)

    2,990,000           2,810,600    

Scientific Games Corp.
5.00%, 10/15/25(i)

    2,000,000           1,905,000    
   

 

 

    
      4,715,600    
   

 

 

    

MEDIA: BROADCASTING & SUBSCRIPTION - 2.3%

 

  

CSC Holdings, LLC
5.38%, 02/01/28(i)

    2,000,000           1,910,000    

10.88%, 10/15/25(i)

    293,000           341,345    

Univision Communications, Inc.
5.13%, 05/15/23(i)

    1,500,000           1,436,250    

5.13%, 02/15/25(i)

    1,500,000           1,406,250    

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

    1,211,000           1,204,945    
   

 

 

    
      6,298,790    
   

 

 

    

METALS & MINING - 0.0%

 

  

ERP Iron Ore, LLC

      

LIBOR + 8.00%, 12/31/19(e)(f)(j)

    26,469           3,066    

Magnetation, LLC / Mag

      

Finance Corp.
11.00%, 05/15/18(e)(f)(i)(k)

     639,000           —    
   

 

 

    
      3,066    
   

 

 

    

RETAIL - 0.1%

 

  

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

    145,000           119,580    
   

 

 

    

SERVICES: BUSINESS - 0.6%

 

  

Refinitiv US Holdings, Inc.
6.25%, 05/15/26(i)

    1,000,000           1,004,940    

8.25%, 11/15/26(i)

    500,000           498,220    
   

 

 

    
      1,503,160    
   

 

 

    

SERVICES: CONSUMER - 0.7%

 

  

NVA Holdings, Inc.
6.88%, 04/01/26(i)

    2,000,000           2,005,000    
   

 

 

    
 

 

See accompanying Notes to Schedule of Investments.  |  7

Apollo Senior Floating Rate Fund Inc.

Schedule of Investments  (continued)

September 30, 2018 (unaudited)

 

    

Share     

  Quantity  

 

     

 Value ($) 

 

      

Corporate Notes and Bonds(g)  (continued)

 

  

TELECOMMUNICATIONS - 1.2%

 

  
Orbcomm, Inc.
8.00%, 04/01/24(i) 		     3,194,000            3,401,610    
     

 

 

    

Total Corporate Notes and Bonds
(Cost $44,346,842)

               44,687,694    
     

 

 

    

Common Stocks - 0.6%

        

BANKING, FINANCE, INSURANCE & REAL ESTATE - 0.0%

 

  

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

     991,230            48,690    
     

 

 

    

ENERGY: OIL & GAS - 0.6%

 

  

Ascent Resources Marcellus

        

Holdings, Inc.(f)

     324,739            1,039,165    

HGIM Corp.(e)(f)

     9,820            530,280    

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

     129            —    

Southcross Holdings Borrower, LP,

        

Class A-II(e)(f)

     129            33,056    
     

 

 

    
        1,602,501    
     

 

 

    

MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.0%

 

  

F & W Media, Inc.(e)(f)

     9,510            —    
     

 

 

    

RETAIL - 0.0%

 

  

Charming Charlie, LLC(e)(f)

     8,890,519            —    
     

 

 

    

Total Common Stock
(Cost $2,032,380)

         1,651,191    
     

 

 

    
    

Share     

  Quantity  

 

     

 Value ($) 

 

      

Preferred Stock - 1.4%

 

     

BANKING, FINANCE, INSURANCE & REAL ESTATE - 1.4%

 

  

Watford Holdings, Ltd. (Bermuda)

        

8.50% (c)(e)(i)

     160,000            3,897,596    
     

 

 

    

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

         3,897,596    
     

 

 

    

Warrants — 0.0%

        

ENERGY: OIL & GAS - 0.0%

 

  

Ascent Resources Marcellus

        

Holdings, Inc.(e)(f)

     84,077            2,522    
     

 

 

    

Total Warrants

    (Cost $8,408)

         2,522    
     

 

 

    

Total Investments-152.1%

         419,904,400    

(Cost of $420,893,656)

        

Other Assets & Liabilities, Net-(1.1)%

         (2,956,992 )   

Loan Outstanding-(51.0)%(l)(m)

        (140,866,236 )   
     

 

 

    

Net Assets (Applicable to Common Shares)-100.0%

             276,081,172    
     

 

 

    
 

 

8  |  See accompanying Notes to Schedule of Investments.

Apollo Senior Floating Rate Fund Inc.

Schedule of Investments  (continued)

September 30, 2018 (unaudited)

 

 

(a) 

“Senior Loans” are senior, secured loans made to companies whose debt is below investment grade as well as investments with similar economic characteristics. Senior Loans typically hold a first lien priority and, unless otherwise indicated, are required to pay interest at floating rates that are periodically reset by reference to a base lending rate plus a spread. In some instances, the rates shown represent the weighted average rate as of September 30, 2018. 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.

(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 September 30, 2018, the 1, 2, 3 and 6 month LIBOR rates were 2.26%, 2.31%, 2.40% and 2.60%, respectively, and the Prime lending rate was 5.25%. 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) 

Foreign issuer traded in U.S. dollars.

(d) 

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.

(e) 

Fair Value Level 3 security.

(f) 

Non-income producing asset.

(g) 

Fixed rate asset.

(h) 

Represents a payment-in-kind (“PIK”) security, which may pay interest in additional principal amount.

(i) 

Securities exempt from registration pursuant to Rule 144A under the 1933 Act. These securities may only be resold in transactions exempt from registration to qualified institutional buyers. At September 30, 2018, these securities amounted to $47,499,793, or 17.21% of net assets.

(j) 

The issuer is in default of its payment obligations as of July 5, 2018, as such, income is no longer being accrued.

(k) 

The issuer is in default of its payment obligations as of May 5, 2015, as such, income is no longer being accrued.

(l) 

The Fund has granted a security interest in substantially all of its assets in the event of default under the credit facility.

(m) 

Principal $141,000,000 less unamortized deferred financing costs of $133,764.

 

See accompanying Notes to Schedule of Investments.  |  9

Apollo Senior Floating Rate Fund Inc.

Notes to Schedule of Investments

September 30, 2018 (unaudited)

 

 

Security Valuation

Apollo Senior Floating Rate Fund Inc. (the “Fund”) values its investments primarily using the mean of the bid and ask prices provided by a nationally recognized security pricing service or broker. Senior Loans, corporate notes and bonds, common stock, preferred stock and warrants are priced based on valuations provided by an approved independent pricing service or broker, if available. If market or broker quotations are not available, or a price is not available from an independent pricing service or broker, or if the price provided by the independent pricing service or broker is believed to be unreliable, the security will be fair valued pursuant to procedures adopted by the Fund’s board of directors (the “Board”). In general, the fair value of a security is the amount that the Fund might reasonably expect to receive upon the sale of an asset or pay to transfer a liability in an orderly transaction between willing market participants at the reporting date. Fair value procedures generally take into account any factors deemed relevant, which may include, among others, (i) the nature and pricing history of the security, (ii) the liquidity or illiquidity of the market for the particular security, (iii) recent purchases or sales transactions for the particular security or similar securities and (iv) press releases and other information published about the issuer. In these cases, the Fund’s net asset value (“NAV”) will reflect the affected portfolio securities’ fair value as determined in the judgment of the Board or its designee instead of being determined by the market. Using a fair value pricing methodology to value securities may result in a value that is different from a security’s most recent sale price and from the prices used by other investment companies to calculate their NAV. Determination of fair value is uncertain because it involves subjective judgments and estimates. There can be no assurance that the Fund’s valuation of a security will not differ from the amount that it realizes upon the sale of such security.

Fair Value Measurements

The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. The levels of fair value inputs used to measure the Fund’s investments are characterized into a fair value hierarchy. The three levels of the fair value hierarchy are described below:

Level 1 — Quoted unadjusted prices for identical assets and liabilities in active markets to which the Fund has access at the date of measurement;

Level 2 — Quoted prices for similar assets and liabilities in active markets, quoted prices for identical or similar assets and liabilities in markets that are not active, but are valued based on executed trades, broker quotations that constitute an executable price, and alternative pricing sources supported by observable inputs which, in each case, are either directly or indirectly observable for the asset in connection with market data at the measurement date; and

Level 3 — Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. In certain cases, investments classified within Level 3 may include securities for which the Fund has obtained indicative quotes from broker-dealers that do not necessarily represent prices the broker may be willing to trade on, as such quotes can be subject to material management judgment. Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.

At the end of each reporting period, management evaluates the Level 2 and Level 3 assets, if any, for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from independent pricing services, and the existence of contemporaneous, observable trades in the market.

 

10  |  

Apollo Senior Floating Rate Fund Inc.

Notes to Schedule of Investments  (continued)

September 30, 2018 (unaudited)

 

 

The valuation techniques used by the Fund to measure fair value at September 30, 2018 maximized the use of observable inputs and minimized the use of unobservable inputs. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers into and out of the levels are recognized at the value at the end of the period. A summary of the Fund’s investments categorized in the fair value hierarchy as of September 30, 2018 is as follows:

 

 

  Apollo Senior Floating Rate Fund Inc.

 

                    
                   
    

Total Fair Value at
September 30, 2018

 

   

Level 1
Quoted Price

 

   

 

Level 2
Significant
Observable
Inputs

 

   

 

Level 3
Significant
Unobservable 
Inputs

 

                   

Assets:

                    

Cash and Cash Equivalents

      $     7,658,288      $ 7,658,288      $                  —      $                —

Senior Loans

        369,665,397        —        350,974,014        18,691,383

Corporate Notes and Bonds

        44,687,694        —        44,684,628        3,066

Common Stock

        1,651,191        —        1,039,165        612,026

Preferred Stock

        3,897,596        —        —        3,897,596

Warrants

        2,522        —        —        2,522

Unrealized appreciation on Unfunded Loan Commitments

        14,388        —        14,388        —
    

 

 

       

 

 

       

 

 

       

 

 

  

Total Assets

      $ 427,577,076      $ 7,658,288      $ 396,712,195      $ 23,206,593
    

 

 

       

 

 

       

 

 

       

 

 

  

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, 2018 through September 30, 2018:

 

 

  Apollo Senior Floating Rate Fund Inc.

 

                             
                            
    

Total

 

  

Senior Loans

 

  

 

Corporate
Notes
and Bonds

 

  

Common
Stock

 

  

Preferred
Stock

 

  

Warrants

 

  

 

Unfunded
Loan
Commitments 

 

                            
Total Fair Value, beginning of period      $ 25,664,960     $ 21,655,599     $ 8,775     $ 68,975     $ 3,915,225     $ —         $ 16,386
Purchases, including capitalized PIK        12,224,463       11,284,950       —       931,105       —       8,408       —

Sales/Paydowns

        (11,095,478 )       (11,088,343 )       (7,135 )       —       —       —       —
Accretion/(amortization) of discounts/(premiums)        410,636       408,386       2,250       —       —       —       —

Net realized gain/(loss)

        (270 )       (4,221 )       3,951       —       —       —       —
Change in net unrealized appreciation/(depreciation)        (1,353,471 )       (933,850 )       (4,775 )       (388,054 )       (17,629 )       (5,886 )       (3,277 )

Transfers into Level 3

        860,901       860,901       —       —       —       —       —

Transfers out of Level 3

        (3,505,148 )       (3,492,039 )       —       —       —       —       (13,109 )
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Total Fair Value, end of period

      $  23,206,593     $  18,691,383     $         3,066     $     612,026     $ 3,897,596     $         2,522         $         —
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Assets were transferred from Level 2 to Level 3 or from Level 3 to Level 2 as a result of changes in levels of liquid market observability when subject to various criteria as discussed previously. There were no transfers between Level 1 and Level 2 fair value measurement during the period shown. The net change in unrealized appreciation/(depreciation) attributable to Level 3 investments still held at September 30, 2018 was $(810,342).

 

  |  11

Apollo Senior Floating Rate Fund Inc.

Notes to Schedule of investments  (continued)

September 30, 2018 (unaudited)

 

 

The following table provides quantitative measures used to determine the fair values of the Level 3 investments as of

September 30, 2018:

 

 

  Apollo Senior Floating Rate Fund Inc.

 

            
                     

  Assets

 

   

Fair Value at
September 30, 2018

 

   

Valuation Technique(s)(a) 

 

  

Unobservable Input(s)

 

  

 

Range of
Unobservable

Input(s) Utilized

 

    
                     

Senior Loans

      $ 13,330,025       

 Independent pricing service

    and/or broker quotes

     
 Vendor and/or
broker quotes
      N/A    
       4,510,060        Discounted Cash Flow(b)       Discount Rate(b)       22.6%    
       511,100        Recoverability(c)(d)      


 Liquidation proceeds(c)

EBITDA /EV Multiple(d)


     

 $33.5m - $39.9m  

$12m / 3.0x

   
       340,198        Recoverability(c)       Liquidation Proceeds(c)        $15.2m    
       —        Recoverability(c)       Liquidation Proceeds(c)        $0    

Corporate Notes and Bonds

        3,066        Recoverability(c)       Liquidation Proceeds(c)        $10.9m    
       —        Recoverability(c)       Liquidation Proceeds(c)        $0    
       —        Recoverability(c)(d)      


 Liquidation Proceeds(c) 

EBITDA / EV Multiple(d)


     
 $33.5m - $39.9m  
$12m / 3.0x
   
       —        Recoverability(c)      
 Liquidation Proceeds(c)
      $15.2m    

Common Stock

        48,690        Option Model(e)       Volatility(e)       20.7%    
       563,336       

 Independent pricing service

    and/or broker quotes

     

 Vendor and/or

broker quotes

      N/A    

Preferred Stock

        3,897,596        Discounted Cash Flow(b)       Discount Rate(b)       8.72%    

Warrants

        2,522       

 Independent pricing service

    and/or broker quotes

     

 Vendor and/or

broker quotes

      N/A    
    

 

 

                   

Total Fair Value

      $ 23,206,593                 
    

 

 

                   
                     

 

(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 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 a company’s assets. The significant unobservable inputs used in the valuation model were liquidation proceeds. Significant increases or decreases in the input in isolation may result in a significantly higher or lower fair value measurement.

(d) 

The Fund utilized a recoverability approach to fair value these securities. The significant unobservable inputs used in the valuation model were EBITDA and enterprise value multiple. Significant increases or decreases in the input 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.

 

12  |  

Apollo Senior Floating Rate Fund Inc.

Notes to Schedule of Investments (continued)

September 30, 2018 (unaudited)

 

 

Federal Tax Information

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 as of September 30, 2018 were as follows:

 

    

Apollo Senior
Floating Rate
Fund Inc.

 

  

Federal tax basis, cost

    $ 421,364,429  
  

 

 

  

Unrealized appreciation

    $ 4,172,488  

Unrealized depreciation

      (5,632,517 ) 
  

 

 

  

Net unrealized appreciation/(depreciation)

    $ (1,460,029 ) 
  

 

 

  

General Commitments and Contingencies

As of September 30, 2018, the Fund had unfunded loan commitments outstanding, which could be extended at the option of the borrower, as detailed below:

 

     Unfunded Loan     
Borrower    Commitments     

A-L Parent, LLC

      $ 1,310,878     

Charming Charlie, LLC

        573,369     

Securus Technologies Holdings, Inc.

        299,063     
    

 

 

     

 

Total unfunded loan commitments

     

 

$

 

2,183,310

 

 

   
    

 

 

     

For more information with regard to significant accounting policies, see the Fund’s most recent semi-annual report filed with the Securities and Exchange Commission.

 

  |  13

Item 2. Controls and Procedures.

 

  (a)

The Fund’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Fund’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

  (b)

There were no changes in the Fund’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Fund’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

Item 3. Exhibits.

 

  (a)

Certifications pursuant to Rule 30a-2(a) under the 1940 Act are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)     Apollo Senior Floating Rate Fund Inc.                                 

By (Signature and Title)       /s/ Joseph Moroney                                          

                                               Joseph Moroney, President

                                               (principal executive officer)

Date    11/15/18                                                                                               

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    11/15/18                                                                                               

By (Signature and Title)       /s/ Frank Marra                                                  

                                               Frank Marra, Treasurer and Chief Financial Officer

                                               (principal financial officer)

Date    11/15/18