Apollo Senior Floating Rate Fund Inc. | ||||||||
Schedule of Investments | ||||||||
September 30, 2020 (unaudited) | ||||||||
Principal Amount ($) | Value ($) | |||||||
Senior Loans - 141.8%(a) | ||||||||
AEROSPACE & DEFENSE - 6.6% | ||||||||
Alion Science and Technology Corp. | ||||||||
First Lien Term Loan, (2M LIBOR + 3.75%, 1.00% Floor), 4.75%, 07/23/24(c) | 2,322,581 | 2,333,230 | ||||||
Bleriot US Bidco, Inc. | ||||||||
First Lien Delayed Draw Term Loan, (3M LIBOR + 4.75%, 0.00% Floor), 4.97%, 10/31/26(c) | 410,094 | 408,386 | ||||||
First Lien Term Loan, (3M LIBOR + 4.75%, 0.00% Floor), 4.97%, 10/30/26(c) | 2,624,600 | 2,613,668 | ||||||
Guidehouse, LLP | ||||||||
First Lien Term Loan, (1M LIBOR + 4.50%, 0.00% Floor), 4.66%, 05/01/25(c) | 2,868,168 | 2,846,671 | ||||||
Kestrel Bidco, Inc. (Canada) | ||||||||
First Lien Term Loan B, (6M LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26(c)(e) | 2,143,835 | 1,868,588 | ||||||
MRO Holdings, Inc. | ||||||||
First Lien Term Loan B, (3M LIBOR + 5.00%, 0.00% Floor), 5.22%, 06/04/26(b)(c) | 4,238,557 | 3,390,845 | ||||||
PAE Holding Corp. | ||||||||
First Lien Term Loan, (3M LIBOR + 5.50%, 1.00% Floor), 6.50%, 10/20/22(c) | 1,680,150 | 1,674,556 | ||||||
Second Lien Term Loan, (3M LIBOR + 9.50%, 1.00% Floor), 10.50%, 10/20/23(c) | 642,645 | 626,579 | ||||||
15,762,523 | ||||||||
AUTOMOTIVE - 0.6% | ||||||||
APC Parent, Inc. | ||||||||
First Lien Exit Term Loan, (3M LIBOR + 10.00%, 1.00% Floor), 11.00%, 07/24/25(c)(d) | 1,512,578 | 1,436,949 | ||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE - 12.3% | ||||||||
AIS Holdco, LLC | ||||||||
First Lien Term Loan, (3M LIBOR + 5.00%, 0.00% Floor), 5.26%, 08/15/25(c)(d) | 2,111,111 | 1,942,222 | ||||||
Alliant Holdings Intermediate, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.25%, 0.00% Floor), 3.40%, 05/09/25(c) | 4,803,141 | 4,725,594 | ||||||
AssuredPartners, Inc. | ||||||||
First Lien Incremental Term Loan, (1M LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/12/27(c) | 589,630 | 589,630 | ||||||
First Lien Term Loan B, (1M LIBOR + 3.50%, 0.00% Floor), 3.65%, 02/12/27(c) | 3,259,444 | 3,170,966 | ||||||
Asurion, LLC | ||||||||
First Lien Term Loan B4, (1M LIBOR + 3.00%, 0.00% Floor), 3.15%, 08/04/22(c) | 694,577 | 687,919 | ||||||
First Lien Term Loan B6, (1M LIBOR + 3.00%, 0.00% Floor), 3.15%, 11/03/23(c) | 4,411,368 | 4,353,932 | ||||||
First Lien Term Loan B7, (1M LIBOR + 3.00%, 0.00% Floor), 3.15%, 11/03/24(c) | 864,996 | 851,843 | ||||||
Second Lien Term Loan B2, (1M LIBOR + 6.50%, 0.00% Floor), 6.65%, 08/04/25(c) | 2,006,948 | 2,014,264 | ||||||
Edelman Financial Center, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.00%, 0.00% Floor), 3.14%, 07/21/25(c) | 4,847,461 | 4,693,336 | ||||||
Second Lien Term Loan, (1M LIBOR + 6.75%, 0.00% Floor), 6.89%, 07/20/26(c) | 543,048 | 521,836 | ||||||
NFP Corp. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.25%, 0.00% Floor), 3.40%, 02/15/27(c) | 1,992,688 | 1,918,800 | ||||||
Sedgwick Claims Management Services, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.00%, 0.00% Floor), 4.15%, 09/03/26(c) | 3,833,384 | 3,787,863 | ||||||
First Lien Term Loan B3, (1M LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26(c) | 297,761 | 296,272 | ||||||
29,554,477 | ||||||||
BEVERAGE, FOOD & TOBACCO - 3.0% | ||||||||
Froneri US, Inc. (United Kingdom) | ||||||||
First Lien Term Loan B2, (1M LIBOR + 2.25%, 0.00% Floor), 2.40%, 01/29/27(c)(e) | 1,736,621 | 1,673,052 | ||||||
Second Lien Term Loan, (1M LIBOR + 5.75%, 0.00% Floor), 5.90%, 01/31/28(c)(e) | 559,322 | 557,924 | ||||||
Shearer's Foods, LLC | ||||||||
First Lien Term Loan, (3M LIBOR + 4.00%, 0.75% Floor), 4.75%, 09/23/27(b)(c) | 1,598,635 | 1,590,649 | ||||||
Winebow Holdings, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 1.00% Floor), 4.75%, 07/01/21(c) | 3,990,053 | 3,323,595 | ||||||
7,145,220 | ||||||||
CAPITAL EQUIPMENT - 2.0% | ||||||||
Safe Fleet Holdings, LLC | ||||||||
First Lien Term Loan, (6M LIBOR + 3.00%, 1.00% Floor), 4.00%, 02/03/25(c) | 3,907,039 | 3,688,499 | ||||||
Second Lien Term Loan, (6M LIBOR + 6.75%, 1.00% Floor), 7.75%, 02/02/26(c) | 1,403,846 | 1,186,250 | ||||||
4,874,749 | ||||||||
CHEMICALS, PLASTICS, & RUBBER - 7.4% | ||||||||
Archroma Finance S.A.R.L (Luxembourg) | ||||||||
First Lien Term Loan B2, (6M LIBOR + 4.25%, 0.00% Floor), 5.48%, 08/12/24(c)(e) | 3,966,209 | 3,777,814 | ||||||
Diamond (BC) B.V. | ||||||||
First Lien Incremental Term Loan, (3M LIBOR + 5.00%, 1.00% Floor), 6.00%, 09/06/24(c) | 3,181,818 | 3,189,773 | ||||||
First Lien Term Loan, (3M LIBOR + 3.00%, 0.00% Floor), 3.26%, 09/06/24(c) | 997,436 | 936,343 | ||||||
Perstorp Holding AB (Sweden) | ||||||||
First Lien Term Loan, (6M LIBOR + 4.75%, 0.00% Floor), 5.02%, 02/27/26(c)(e) | 2,619,567 | 2,401,816 | ||||||
Polar US Borrower, LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 4.75%, 0.00% Floor), 4.91%, 10/15/25(c) | 1,984,848 | 1,915,379 | ||||||
Starfruit US Holdco, LLC (Netherlands) | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.00%, 0.00% Floor), 3.15%, 10/01/25(c)(e) | 5,836,951 | 5,670,190 | ||||||
17,891,315 | ||||||||
CONSTRUCTION & BUILDING - 1.7% | ||||||||
Associated Asphalt Partners, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 5.25%, 1.00% Floor), 6.25%, 04/05/24(c) | 5,161,011 | 4,190,121 | ||||||
CONSUMER GOODS: NON-DURABLE - 0.7% | ||||||||
Coty, Inc. | ||||||||
First Lien Term Loan A, (1M LIBOR + 1.75%, 0.00% Floor), 1.91%, 04/05/23(c) | 1,831,756 | 1,676,057 | ||||||
CONTAINERS, PACKAGING & GLASS - 2.4% | ||||||||
Anchor Glass Container Corp. | ||||||||
First Lien Term Loan, (1M LIBOR + 2.75%, 1.00% Floor), 3.75%, 12/07/23(c) | 2,248,574 | 1,753,888 | ||||||
Graham Packaging Company, Inc. | ||||||||
First Lien Initial Term Loan, (1M LIBOR + 3.75%, 0.75% Floor), 4.50%, 08/04/27(c) | 1,798,839 | 1,791,851 | ||||||
Strategic Materials Holding Corp. | ||||||||
First Lien Term Loan, (3M LIBOR + 3.75%, 1.00% Floor), 4.75%, 11/01/24(c) | 2,827,464 | 2,210,285 | ||||||
5,756,024 | ||||||||
ENERGY: OIL & GAS - 0.0% | ||||||||
RDV Resources, Inc. | ||||||||
First Lien Term Loan, (14.00% PIK), (1M LIBOR + 14.50%, 1.00% Floor), 15.50%, 03/29/24(c)(d)(f) | 455,203 | 102,284 | ||||||
HEALTHCARE & PHARMACEUTICALS - 18.5% | ||||||||
Amneal Pharmaceuticals, LLC | ||||||||
First Lien Initial Term Loan, (1M LIBOR + 3.50%, 0.00% Floor), 3.69%, 05/04/25(c) | 2,992,345 | 2,831,192 | ||||||
Bausch Health Companies, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 2.75%, 0.00% Floor), 2.90%, 11/27/25(c) | 986,021 | 964,861 | ||||||
First Lien Term Loan B, (1M LIBOR + 3.00%, 0.00% Floor), 3.15%, 06/02/25(c) | 4,894,855 | 4,807,163 | ||||||
BioClinica Holding I, LP | ||||||||
First Lien Initial Term Loan, (1M LIBOR + 4.25%, 1.00% Floor), 5.25%, 10/20/23(c) | 4,622,260 | 4,570,260 | ||||||
Endo International PLC | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.25%, 0.75% Floor), 5.00%, 04/29/24(c) | 6,535,812 | 6,251,047 | ||||||
Hanger, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.50%, 0.00% Floor), 3.65%, 03/06/25(c) | 2,314,479 | 2,306,529 | ||||||
Inovalon Holdings, Inc. | ||||||||
First Lien Term Loan B1, (1M LIBOR + 3.00%, 0.00% Floor), 3.19%, 04/02/25(c) | 3,160,997 | 3,101,064 | ||||||
Lanai Holdings III, Inc. | ||||||||
Second Lien Term Loan, (11.50% PIK), (3M LIBOR + 10.50%, 1.00% Floor), 11.50%, 08/28/23(c)(d)(f) | 912,058 | 790,299 | ||||||
Loire Finco Luxembourg S.A R.L. (United Kingdom) | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.50%, 0.00% Floor), 3.65%, 04/21/27(c)(e) | 1,500,513 | 1,466,752 | ||||||
Milano Acquisition Corp. | ||||||||
First Lien Term Loan B, (LIBOR + 4.00%, 0.75% Floor), 4.75%, 08/17/27(b)(c) | 3,154,329 | 3,128,700 | ||||||
Pathway Vet Alliance, LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 4.00%, 0.00% Floor), 4.15%, 03/31/27(c) | 4,534,357 | 4,473,710 | ||||||
Pluto Acquisition I, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 5.00%, 0.00% Floor), 5.16%, 06/22/26(c) | 2,122,953 | 2,117,646 | ||||||
PPD, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22(b)(c) | 3,979,003 | 3,970,488 | ||||||
Team Health Holdings, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/06/24(b)(c) | 4,484,521 | 3,781,326 | ||||||
44,561,037 | ||||||||
HIGH TECH INDUSTRIES - 16.2% | ||||||||
Almonde, Inc. | ||||||||
First Lien Term Loan B, (6M LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/13/24(c) | 3,000,000 | 2,813,250 | ||||||
Aspect Software, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 5.00%, 1.00% Floor), 6.00%, 01/15/24(c) | 3,145,906 | 3,012,205 | ||||||
Electronics for Imaging, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 5.00%, 0.00% Floor), 5.16%, 07/23/26(c) | 2,738,130 | 2,234,999 | ||||||
Flexera Software, LLC | ||||||||
First Lien Term Loan B, (6M LIBOR + 3.25%, 1.00% Floor), 4.25%, 02/26/25(c) | 3,039,896 | 3,025,167 | ||||||
Imperva, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/12/26(c) | 4,740,938 | 4,682,530 | ||||||
ION Trading Technologies S.A.R.L (United Kingdom) | ||||||||
First Lien Term Loan, (6M LIBOR + 4.00%, 1.00% Floor), 5.00%, 11/21/24(c)(e) | 4,777,076 | 4,708,071 | ||||||
Ivanti Software, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 4.25%, 1.00% Floor), 5.25%, 01/20/24(c) | 4,252,710 | 4,235,869 | ||||||
Riverbed Technology, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 3.25%, 1.00% Floor), 4.25%, 04/24/22(c) | 4,737,202 | 4,282,573 | ||||||
Surf Holdings, LLC | ||||||||
First Lien Term Loan B, (3M LIBOR + 3.50%, 0.00% Floor), 3.75%, 03/05/27(c) | 5,621,374 | 5,514,961 | ||||||
The Ultimate Software Group, Inc. | ||||||||
First Lien Incremental Term Loan B, (3M LIBOR + 4.00%, 0.75% Floor), 4.75%, 05/04/26(c) | 1,517,401 | 1,515,891 | ||||||
Vertiv Group Corp. | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.00%, 0.00% Floor), 3.16%, 03/02/27(c) | 3,027,534 | 2,990,447 | ||||||
39,015,963 | ||||||||
HOTEL, GAMING & LEISURE - 5.0% | ||||||||
Alterra Mountain Company | ||||||||
First Lien Term Loan, (1M LIBOR + 4.50%, 1.00% Floor), 5.50%, 08/01/26(c) | 2,964,126 | 2,941,895 | ||||||
Caesars Resort Collection, LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 4.50%, 0.00% Floor), 4.65%, 07/21/25(c) | 4,352,370 | 4,224,823 | ||||||
Scientific Games International, Inc. | ||||||||
First Lien Term Loan B5, (6M LIBOR + 2.75%, 0.00% Floor), 3.47%, 08/14/24(c) | 5,112,886 | 4,823,854 | ||||||
11,990,572 | ||||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 3.2% | ||||||||
Advantage Sales & Marketing, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.25%, 1.00% Floor), 4.25%, 07/23/21(c) | 6,336,914 | 6,249,781 | ||||||
First Lien Term Loan B, (1M LIBOR + 3.25%, 1.00% Floor), 4.25%, 07/23/21(c) | 1,532,009 | 1,508,454 | ||||||
F & W Media, Inc. | ||||||||
First Lien Term Loan B1, (LIBOR + 6.50%, 1.50% Floor), 0.00%, 05/24/22(c)(d)(g)(j) | 357,651 | – | ||||||
First Lien Term Loan B2, (LIBOR + 10.00%, 1.50% Floor), 0.00%, 05/24/22(c)(d)(g)(j) | 1,076,345 | – | ||||||
7,758,235 | ||||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 11.9% | ||||||||
CSC Holdings, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 2.25%, 0.00% Floor), 2.40%, 01/15/26(c) | 1,340,694 | 1,299,354 | ||||||
First Lien Term Loan B5, (1M LIBOR + 2.50%, 0.00% Floor), 2.65%, 04/15/27(c) | 1,722,915 | 1,675,182 | ||||||
Global Eagle Entertainment, Inc. | ||||||||
First Lien DIP Term Loan, (1M LIBOR + 10.00%, 1.25% Floor), 11.25%, 01/22/21(c)(d) | 1,005,679 | 1,005,679 | ||||||
First Lien Term Loan, (LIBOR + 7.50%, 1.00% Floor), 0.00%, 01/06/23(c)(g)(j) | 6,431,835 | 4,486,205 | ||||||
Nexstar Broadcasting, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 2.75%, 0.00% Floor), 2.91%, 09/18/26(c) | 2,451,354 | 2,402,841 | ||||||
Univision Communications, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 2.75%, 1.00% Floor), 3.75%, 03/15/24(b)(c) | 3,149,873 | 3,041,328 | ||||||
UPC Financing Partnership | ||||||||
First Lien Term Loan B1, (LIBOR + 3.50%, 0.00% Floor), 3.50%, 01/31/29(b)(c) | 2,078,086 | 2,024,056 | ||||||
First Lien Term Loan B2, (LIBOR + 3.50%, 0.00% Floor), 3.50%, 01/31/29(b)(c) | 2,078,086 | 2,024,056 | ||||||
Urban One, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 4.00%, 1.00% Floor), 5.00%, 04/18/23(c) | 1,342,472 | 1,135,060 | ||||||
Virgin Media Bristol, LLC | ||||||||
First Lien Term Loan, (LIBOR + 3.25%, 0.00% Floor), 3.25%, 01/31/29(b)(c) | 2,688,608 | 2,649,542 | ||||||
WideOpenWest Finance, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.25%, 1.00% Floor), 4.25%, 08/18/23(c) | 1,994,859 | 1,970,392 | ||||||
William Morris Endeavor Entertainment, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 2.75%, 0.00% Floor), 2.90%, 05/18/25(c) | 5,657,646 | 4,870,300 | ||||||
28,583,995 | ||||||||
MEDIA: DIVERSIFIED & PRODUCTION - 1.6% | ||||||||
Learfield Communications, LLC | ||||||||
First Lien Initial Term Loan, (1M LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23(c) | 4,441,434 | 3,818,700 | ||||||
RETAIL - 6.4% | ||||||||
Charming Charlie, LLC | ||||||||
First Lien Delayed Draw Term Loan, 0.00%, 05/28/22(d)(g)(h)(j) | 196,013 | 27,442 | ||||||
First Lien Term Loan A, (LIBOR + 5.00%, 1.00% Floor), 0.00%, 04/24/23(c)(d)(g)(j) | 868,743 | – | ||||||
First Lien Term Loan B, (LIBOR + 1.00%, 1.00% Floor), 0.00%, 04/24/23(c)(d)(g)(j) | 1,063,663 | – | ||||||
First Lien Vendor Term Loan, 0.00%, 05/15/20(d)(g)(h)(j) | 35,263 | 4,937 | ||||||
EG America, LLC | ||||||||
First Lien Term Loan, (3M LIBOR + 4.00%, 0.00% Floor), 4.22%, 02/07/25(c) | 3,988,468 | 3,921,781 | ||||||
Petco Animal Supplies, Inc. | ||||||||
First Lien Term Loan B1, (3M LIBOR + 3.25%, 1.00% Floor), 4.25%, 01/26/23(b)(c) | 5,738,212 | 5,300,673 | ||||||
PetSmart, Inc. | ||||||||
First Lien Term Loan B2, (6M LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/11/22(c) | 6,041,562 | 6,037,242 | ||||||
15,292,075 | ||||||||
SERVICES: BUSINESS - 19.0% | ||||||||
Alchemy Copyrights, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.25%, 0.75% Floor), 4.00%, 08/16/27(c) | 3,859,059 | 3,859,059 | ||||||
Allied Universal Holdco, LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 4.25%, 0.00% Floor), 4.40%, 07/10/26(c) | 1,989,975 | 1,972,384 | ||||||
AQ Carver Buyer, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 5.00%, 1.00% Floor), 6.00%, 09/23/25(c)(d) | 1,082,590 | 1,033,873 | ||||||
Camelot Finance S.A. | ||||||||
First Lien Term Loan, (LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/31/26(b)(c) | 3,000,000 | 2,990,625 | ||||||
CareStream Health, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 6.75%, 1.00% Floor), 7.75%, 05/08/23(c) | 629,989 | 615,291 | ||||||
Second Lien Term Loan, (8.00% PIK), (3M LIBOR + 12.50%, 1.00% Floor), 13.50%, 08/08/23(c)(f) | 2,287,596 | 1,835,795 | ||||||
Deerfield Dakota Holding, LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/09/27(c) | 4,677,597 | 4,660,056 | ||||||
DG Investment Intermediate Holdings 2, Inc. | ||||||||
First Lien Incremental Term Loan, (1M LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/03/25(c) | 1,859,037 | 1,803,266 | ||||||
First Lien Term Loan, (1M LIBOR + 3.00%, 0.75% Floor), 3.75%, 02/03/25(c) | 3,957,217 | 3,808,842 | ||||||
DTI Holdco, Inc. | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/29/23(c) | 4,784,201 | 4,201,127 | ||||||
Electro Rent Corp. | ||||||||
First Lien Term Loan, (3M LIBOR + 5.00%, 1.00% Floor), 6.00%, 01/31/24(c) | 2,832,863 | 2,825,780 | ||||||
Ensemble RCM, LLC | ||||||||
First Lien Term Loan, (3M LIBOR + 3.75%, 0.00% Floor), 4.01%, 08/03/26(c) | 2,729,789 | 2,704,757 | ||||||
Envision Healthcare Corp. | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.00% Floor), 3.90%, 10/10/25(b)(c) | 4,081,191 | 2,964,700 | ||||||
Garda World Security Corp. (Canada) | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.75%, 0.00% Floor), 4.90%, 10/30/26(c)(e) | 5,353,721 | 5,335,652 | ||||||
GT Polaris, Inc. | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/24/27(b)(c) | 1,258,150 | 1,251,073 | ||||||
SGS Cayman, L.P. | ||||||||
First Lien Term Loan B, (3M LIBOR + 5.38%, 1.00% Floor), 6.38%, 04/23/21(c) | 593,163 | 516,793 | ||||||
Software Luxembourg Acquisition S.A.R.L. (Luxembourg) | ||||||||
First Lien First Out Term Loan, (3M LIBOR + 7.50%, 1.00% Floor), 8.50%, 12/27/24(c)(d)(e) | 270,138 | 272,839 | ||||||
First Lien Second Out Term Loan, (3M LIBOR + 7.50%, 1.00% Floor), 8.50%, 04/27/25(c)(d)(e) | 892,532 | 883,607 | ||||||
Sutherland Global Services, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 5.38%, 1.00% Floor), 6.38%, 04/23/21(c) | 2,547,659 | 2,219,648 | ||||||
45,755,167 | ||||||||
SERVICES: CONSUMER - 1.0% | ||||||||
USS Ultimate Holdings, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 3.75%, 1.00% Floor), 4.75%, 08/25/24(c) | 2,536,529 | 2,507,993 | ||||||
TELECOMMUNICATIONS - 15.1% | ||||||||
CenturyLink, Inc. | ||||||||
First Lien Term Loan A, (1M LIBOR + 2.00%, 0.00% Floor), 2.15%, 01/31/25(c) | 705,104 | 686,303 | ||||||
First Lien Term Loan B, (1M LIBOR + 2.25%, 0.00% Floor), 2.40%, 03/15/27(c) | 2,753,298 | 2,651,288 | ||||||
Consolidated Communications, Inc. | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/15/27(b)(c) | 1,018,657 | 1,010,380 | ||||||
Flight Bidco, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.50%, 0.00% Floor), 3.65%, 07/23/25(c) | 3,602,827 | 3,472,225 | ||||||
Intelsat Jackson Holdings S.A. (Luxembourg) | ||||||||
First Lien DIP Term Loan, (6M LIBOR + 5.50%, 1.00% Floor), 6.50%, 07/13/22(c)(e) | 1,702,631 | 1,737,390 | ||||||
First Lien Term Loan, 8.63%, 01/02/24(b)(e)(g)(h) | 4,984,426 | 5,054,008 | ||||||
First Lien Term Loan, (Prime + 6.50%, 1.00% Floor), 8.75%, 01/02/24(c)(e)(g) | 5,444,878 | 5,506,977 | ||||||
First Lien Term Loan B, (Prime + 5.75%, 1.00% Floor), 8.00%, 11/27/23(c)(e)(g) | 1,188,001 | 1,197,897 | ||||||
Radiate Holdco, LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 3.50%, 0.75% Floor), 4.25%, 09/11/26(b)(c) | 4,733,191 | 4,660,560 | ||||||
U.S. TelePacific Corp. | ||||||||
First Lien Term Loan B, (6M LIBOR + 5.50%, 1.00% Floor), 6.50%, 05/02/23(c) | 4,784,808 | 4,153,381 | ||||||
Zacapa, LLC (Luxembourg) | ||||||||
First Lien Term Loan B, (6M LIBOR + 4.50%, 0.00% Floor), 4.77%, 07/02/25(c)(e) | 3,150,827 | 3,136,065 | ||||||
Zayo Group Holdings, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.00%, 0.00% Floor), 3.15%, 03/09/27(c) | 3,144,059 | 3,058,163 | ||||||
36,324,637 | ||||||||
TRANSPORTATION: CONSUMER - 3.0% | ||||||||
Atlantic Aviation FBO, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.00% Floor), 3.90%, 12/06/25(c) | 3,337,991 | 3,274,019 | ||||||
Delta Air Lines, Inc. | ||||||||
First Lien Term Loan B, (3M LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/20/27(c) | 2,438,971 | 2,459,885 | ||||||
Travel Leaders Group, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.00%, 0.00% Floor), 4.15%, 01/25/24(c) | 1,967,286 | 1,467,064 | ||||||
7,200,968 | ||||||||
UTILITIES: ELECTRIC - 4.2% | ||||||||
Brookfield WEC Holdings, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.00%, 0.75% Floor), 3.75%, 08/01/25(c) | 4,433,620 | 4,332,267 | ||||||
PG&E Corporation | ||||||||
First Lien Term Loan, (3M LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/23/25(c) | 5,946,131 | 5,837,109 | ||||||
10,169,376 | ||||||||
Total Senior Loans | ||||||||
(Cost $354,416,874) | 341,368,437 | |||||||
Corporate Notes and Bonds - 4.1% | ||||||||
AEROSPACE & DEFENSE - 0.5% | ||||||||
Transdigm, Inc. | ||||||||
8.00%, 12/15/25(h)(i) | 1,068,000 | 1,162,518 | ||||||
ENERGY: OIL & GAS - 0.8% | ||||||||
Moss Creek Resources Holdings, Inc. | ||||||||
7.50%, 01/15/26(h)(i) | 2,635,000 | 1,590,380 | ||||||
10.50%, 05/15/27(h)(i) | 553,000 | 347,594 | ||||||
1,937,974 | ||||||||
HIGH TECH INDUSTRIES - 0.5% | ||||||||
Riverbed Technology, Inc. | ||||||||
8.88%, 03/01/23(h)(i) | 1,730,000 | 1,211,000 | ||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 0.5% | ||||||||
CSC Holdings, LLC | ||||||||
5.38%, 02/01/28(h)(i) | 1,000,000 | 1,058,750 | ||||||
METALS & MINING - 0.0% | ||||||||
ERP Iron Ore, LLC | ||||||||
LIBOR + 8.00%, 0.00%, 12/31/19(d)(g)(j) | 18,879 | – | ||||||
Magnetation, LLC / Mag Finance Corp. | ||||||||
0.00%, 05/15/18(d)(g)(h)(i)(j) | 639,000 | – | ||||||
– | ||||||||
RETAIL - 0.4% | ||||||||
EG Global Finance PLC (United Kingdom) | ||||||||
8.50%, 10/30/25(e)(h)(i) | 1,000,000 | 1,054,375 | ||||||
TELECOMMUNICATIONS - 1.4% | ||||||||
Front Range Bidco, Inc. | ||||||||
4.00%, 03/01/27(h)(i) | 271,000 | 267,079 | ||||||
Orbcomm, Inc. | ||||||||
8.00%, 04/01/24(h)(i) | 3,255,000 | 3,172,616 | ||||||
3,439,695 | ||||||||
Total Corporate Notes and Bonds | ||||||||
(Cost $11,373,872) | 9,864,312 | |||||||
Common Stocks - 2.7% | Share Quantity | Value $ | ||||||
AUTOMOTIVE - 0.7% | ||||||||
APC Parent, Inc.(d)(j) | 241,972 | 1,762,372 | ||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE - 1.3% | ||||||||
Medical Card System, Inc.(d)(j) | 991,230 | 3,150,133 | ||||||
ENERGY: OIL & GAS - 0.1% | ||||||||
Ascent Resources, LLC(d)(j) | 324,739 | 146,133 | ||||||
HGIM Corp.(d)(j) | 9,820 | 3,682 | ||||||
RDV Resources, Inc.(d)(j) | 28,252 | – | ||||||
149,815 | ||||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.0% | ||||||||
Acosta, Inc.(d)(j) | 3,133 | 27,634 | ||||||
F & W Media, Inc.(d)(j) | 9,511 | – | ||||||
27,634 | ||||||||
RETAIL - 0.0% | ||||||||
Charming Charlie, LLC(d)(j) | 8,890,519 | – | ||||||
SERVICES: BUSINESS - 0.6% | ||||||||
Software Luxembourg Holding S.A. Class A (Luxembourg)(d)(e)(j) | 8,359 | 1,379,235 | ||||||
Software Luxembourg Holding S.A. Class B (Luxembourg)(d)(e)(j) | 239 | 39,435 | ||||||
1,418,670 | ||||||||
Total Common Stocks | ||||||||
(Cost $5,307,865) | 6,508,624 | |||||||
Preferred Stocks - 0.5% | ||||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE - 0.4% | ||||||||
Watford Holdings, Ltd. (Bermuda) (LIBOR + 6.68%, 1.00% Floor), 7.68%(e) | 946,575 | 952,255 | ||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.1% | ||||||||
Acosta, Inc., (14.50% PIK)(d)(f)(h) | 2,526 | 169,633 | ||||||
Total Preferred Stocks | ||||||||
(Cost $1,098,067) | 1,121,888 | |||||||
Warrants - 0.0% | ||||||||
AUTOMOTIVE - 0.0% | ||||||||
APC Parent, Inc.(d)(j) | 3,567 | 218 | ||||||
ENERGY: OIL & GAS - 0.0% | ||||||||
Ascent Resources, LLC(d)(j) | 84,077 | 5 | ||||||
SERVICES: BUSINESS - 0.0% | ||||||||
Software Luxembourg Holding S.A. Class A (Luxembourg)(d)(e)(j) | 351 | 16,069 | ||||||
Software Luxembourg Holding S.A. Class B (Luxembourg)(d)(e)(j) | 702 | 30,291 | ||||||
46,360 | ||||||||
Total Warrants | ||||||||
(Cost $51,383) | 46,583 | |||||||
Total Investments - 149.1% | ||||||||
(Cost of $372,248,061) | 358,909,844 | |||||||
Other Assets & Liabilities, Net - 1.1% | 2,661,556 | |||||||
Loan Outstanding - (50.2)%(k)(l) | (120,929,560 | ) | ||||||
Net Assets (Applicable to Common Shares) - 100.0% | 240,641,840 |
(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, 2020. 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) | All or a portion of this Senior Loan position has not settled. Full contract rates do not take effect until settlement date and therefore are subject to change. | |
(c) | The interest rate on this Senior Loan is subject to a base lending rate plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily the prime rate offered by one or more major U.S. banks (“Prime”). The interest rate is subject to a minimum floor, which may be less than or greater than the prevailing period end LIBOR/Prime rate. As of September 30, 2020, the 1, 2, 3 and 6 month LIBOR rates were 0.15%, 0.19%, 0.23% and 0.26%, respectively, and the Prime lending rate was 3.25%. 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. | |
(d) | Fair Value Level 3 security. | |
(e) | Foreign issuer traded in U.S. dollars. | |
(f) | Represents a payment-in-kind (“PIK”) security, which may pay interest in additional principal amount/share quantity. | |
(g) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |
(h) | Fixed rate asset. | |
(i) | Securities exempt from registration pursuant to Rule 144A under the 1933 Act. These securities may only be resold in transactions exempt from registration to qualified institutional buyers. At September 30, 2020, these securities amounted to $9,864,312, or 4.1% of net assets. | |
(j) | Non-income producing asset. | |
(k) | The Fund has granted a security interest in substantially all of its assets in the event of default under the credit facility. | |
(l) | Principal of $121,000,000 less unamortized deferred financing costs of $70,440. |
Apollo Senior Floating Rate Fund Inc.
Notes to Schedule of Investments
September 30, 2020 (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.
The valuation techniques used by the Fund to measure fair value at September 30, 2020 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. A summary of the Fund’s investments categorized in the fair value hierarchy as of September 30, 2020 is as follows:
Apollo Senior Floating Rate Fund Inc. | ||||||||||||||||
Total Fair Value at September 30, 2020 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets: | ||||||||||||||||
Cash and Cash Equivalents | $ | 5,277,300 | $ | 5,277,300 | $ | - | $ | - | ||||||||
Senior Loans | 341,368,437 | - | 333,868,306 | 7,500,131 | ||||||||||||
Corporate Notes and Bonds | 9,864,312 | - | 9,864,312 | - | ||||||||||||
Common Stocks | 6,508,624 | - | - | 6,508,624 | ||||||||||||
Preferred Stocks | 1,121,888 | - | 952,255 | 169,633 | ||||||||||||
Warrants | 46,583 | - | - | 46,583 | ||||||||||||
Unrealized appreciation on Unfunded Loan Commitments | 38,832 | - | 38,832 | - | ||||||||||||
Total Assets | $ | 364,225,976 | $ | 5,277,300 | $ | 344,723,705 | $ | 14,224,971 |
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, 2020 through September 30, 2020:
Apollo Senior Floating Rate Fund Inc. | ||||||||||||||||||||||||
Total | Senior Loans | Corporate Notes and Bonds | Common Stocks | Preferred Stock | Warrants | |||||||||||||||||||
Total Fair Value, beginning of period | $ | 8,806,870 | $ | 6,969,076 | $ | - | $ | 1,664,855 | $ | 170,417 | $ | 2,522 | ||||||||||||
Purchases, including capitalized PIK | 7,228,013 | 3,879,147 | - | 3,305,891 | - | 42,975 | ||||||||||||||||||
Sales/Paydowns | (893,626 | ) | (884,602 | ) | - | (9,024 | ) | - | - | |||||||||||||||
Accretion/(amortization) of discounts/(premiums) | 46,946 | 46,946 | - | - | - | - | ||||||||||||||||||
Net realized gain/(loss) | (69,223 | ) | (12,137 | ) | (8,060 | ) | (49,026 | ) | - | - | ||||||||||||||
Change in net unrealized appreciation/(depreciation) | 1,095,508 | (362,649 | ) | 8,060 | 1,449,795 | (784 | ) | 1,086 | ||||||||||||||||
Transfers into Level 3 | 2,088,355 | 1,942,222 | - | 146,133 | - | - | ||||||||||||||||||
Transfers out of Level 3 | (4,077,872 | ) | (4,077,872 | ) | - | - | - | - | ||||||||||||||||
Total Fair Value, end of period | $ | 14,224,971 | $ | 7,500,131 | $ | - | $ | 6,508,624 | $ | 169,633 | $ | 46,583 |
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. The net change in unrealized appreciation/(depreciation) attributable to Level 3 investments still held at September 30, 2020 was $1,275,365.
The following table provides quantitative measures used to determine the fair values of the Level 3 investments as of September 30, 2020:
Apollo Senior Floating Rate Fund Inc. |
Assets | Fair Value at September 30, 2020 | Valuation Technique(s)(a) | Unobservable Input(s) | Range of Unobservable Input(s) Utilized | Weighted Average Unobservable Input(s) | ||||||
Senior Loans | $ 5,138,220 | Independent pricing service and/or broker quotes | Vendor and/or broker quotes | N/A | N/A | ||||||
32,379 | Recoverability (b) | Estimated Proceeds (b) | $843k | $843k | |||||||
- | Recoverability (b) | Estimated Proceeds (b) | $- | $- | |||||||
790,299 | Discounted Cash Flow (c) | Discount Rate (c) | 21.0% | 21.0% | |||||||
1,436,949 | Discounted Cash Flow (c) | Discount Rate (c) | 11.73% - 12.23% | 11.98% | |||||||
102,284 | Guideline Public Company (d) | TEV | EBITDA Multiple (d) | 1.0x - 1.5x | 1.25x | |||||||
Corporate Notes and Bonds | - | Recoverability (b) | Estimated Proceeds (b) | $- | $- | ||||||
- | Recoverability (b) | Estimated Proceeds (b) | $- | $- | |||||||
Common Stocks | 27,634 | Transaction Approach (e) | TEV | EBITDA Multiple (e) | 5.3x | 5.3x | ||||||
146,133 | Guideline Public Company (d) | TEV | EBITDA Multiple (d) | 5.50x - 6.25x | 5.88x | |||||||
- | Recoverability (b) | Estimated Proceeds (b) | $843k | $843k | |||||||
- | Recoverability (b) | Estimated Proceeds (b) | $- | $- | |||||||
3,150,133 | Guideline Public Company (d) | TEV | EBITDA Multiple (d) | 2.8x | 2.8x | |||||||
- | Guideline Public Company (d) | TEV | EBITDA Multiple (d) | 1.0x - 1.5x | 1.25x | |||||||
1,762,372 | Guideline Public Company (d) | TEV | EBITDA Multiple (d) | 6.75x - 8.25x | 7.5x | |||||||
1,422,352 | Independent pricing service and/or broker quotes | Vendor and/or broker quotes | N/A | N/A | |||||||
Preferred Stock | 169,633 | Transaction Approach (e) | TEV | EBITDA Multiple (e) | 5.3x | 5.3x | ||||||
Warrants | 5 | Option Model (f) | Volatility (f) | 60.0% | 60.0% | ||||||
218 | Option Model (f) | Volatility (f) | 29.9% | 29.9% | |||||||
46,360 | Option Model (f) | Volatility (f) | 53.0% | 53.0% | |||||||
Total Fair Value | $ 14,224,971 |
(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 recoverability approach to fair value these securities, 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 estimated proceeds. Significant increases or decreases in the input in isolation may result in a significantly higher or lower fair value measurement. | ||||||||||
(c) | The Fund utilized a discounted cash flow model to fair value this security. The significant unobservable input used in the valuation model was the discount rate, which was determined based on the market rates an investor would expect for a similar investment with similar risks. The discount rate was applied to present value the projected cash flows in the valuation model. Significant increases in the discount rate may significantly lower the fair value of an investment; conversely, significant decreases in the discount rate may significantly increase the fair value of an investment. | ||||||||||
(d) | The Fund utilized a guideline public company method to fair value this security. The significant unobservable inputs used in the valuation model were total enterprise value ("TEV") and earnings before interest, taxes, depreciation and amortization (“EBITDA”) based on comparable multiples for a similar investment with similar risks. Significant increases or decreases in either of these inputs in isolation may result in a significantly higher or lower fair value measurement. | ||||||||||
(e) | The Fund utilized a transaction approach to fair value this security. The significant unobservable inputs used in the valuation model were total enterprise value TEV and EBITDA. Significant increases or decreases in either of these inputs in isolation may result in a significantly higher or lower fair value measurement. | ||||||||||
(f) | The Fund utilized an options pricing model to fair value this security. The significant unobservable input used in the valuation model was volatility. Significant increases or decreases in either of these inputs in isolation may result in a significantly higher or lower fair value measurement. |
General Commitments and Contingencies
As of September 30, 2020, the Fund had unfunded loan commitments outstanding, which could be extended at the option of the borrower, as detailed below:
Borrower | Unfunded Loan Commitments | |||
Intelsat Jackson Holdings S.A. DIP Bridge Loan | $ | 1,702,631 | ||
Pathway Vet Alliance, LLC Delayed Draw Term Loan* | 369,730 | |||
Total unfunded loan commitments | $ | 2,072,361 |
* The loan commitment was partially funded subsequent to September 30, 2020.
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.