| |
| Apollo Senior Floating Rate Fund Inc. |
| Consolidated Schedule of Investments |
| March 31, 2023 (unaudited) |
| | | Principal | | |
| | | Amount ($) | | Value ($) |
| | | | | |
Senior Loans - 139.3%(a) | | | |
| AEROSPACE & DEFENSE - 4.3% | | | |
| Peraton Corporation | | | |
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 8.59%, 02/01/28(c) | 7,506,382 | | 7,428,202 |
| Vertex Aerospace Services Corp. | | | |
First Lien Term Loan, (1M LIBOR + 3.50%, 0.75% Floor), 8.34%, 12/06/28(c) | 2,290,890 | | 2,282,918 |
| | | | | 9,711,120 |
| AUTOMOTIVE - 1.3% | | | |
| Truck Hero, Inc. | | | |
First Lien Term Loan, (1M LIBOR + 3.75%, 0.75% Floor), 8.59%, 01/31/28(c) | 3,438,993 | | 3,072,999 |
| | | | | |
| BANKING, FINANCE, INSURANCE & REAL ESTATE - 13.0% | | | |
| Alliant Holdings Intermediate, LLC | | | |
First Lien Term Loan B4, (1M LIBOR + 3.50%, 0.50% Floor), 8.28%, 11/05/27(c) | 4,377,710 | | 4,339,405 |
| Apex Group Treasury, LLC | | | |
First Lien Term Loan, (3M LIBOR + 3.75%, 0.50% Floor), 8.56%, 07/27/28(c) | 2,934,177 | | 2,873,043 |
First Lien Term Loan, (3M SOFR + 5.00%, 0.50% Floor), 9.66%, 07/27/28 (c) | 1,558,594 | | 1,546,904 |
| Asurion, LLC | | | |
First Lien Term Loan B10, (1M SOFR + 4.00%, 0.00% Floor), 8.68%, 08/19/28 (c) | 995,000 | | 921,002 |
Second Lien Term Loan B3, (1M LIBOR + 5.25%, 0.00% Floor), 10.09%, 01/31/28(c) | 1,483,118 | | 1,240,999 |
Second Lien Term Loan B4, (1M LIBOR + 5.25%, 0.00% Floor), 10.09%, 01/20/29(c) | 3,866,174 | | 3,210,857 |
| Howden Group Holdings Ltd (United Kingdom) | | | |
First Lien Incremental Term Loan B, (SOFR + 4.00%, 0.50% Floor), 4.50%, 03/24/30(b)(c)(e) | 1,610,000 | | 1,603,963 |
First Lien Term Loan, (1M SOFR + 5.25%, 0.75% Floor), 10.06%, 11/12/27(c)(d)(e) | 7,000,000 | | 7,000,000 |
| The Edelman Financial Center, LLC | | | |
First Lien Term Loan B, (1M LIBOR + 3.50%, 0.75% Floor), 8.59%, 04/07/28(c) | 2,244,718 | | 2,169,306 |
Second Lien Term Loan, (1M LIBOR + 6.75%, 0.00% Floor), 11.59%, 07/20/26(c) | 4,931,380 | | 4,636,730 |
| | | | | 29,542,209 |
| BEVERAGE, FOOD & TOBACCO - 1.4% | | | |
| Primary Products Finance LLC | | | |
First Lien Term Loan, (3M SOFR + 4.00%, 0.50% Floor), 9.04%, 04/01/29(c) | 3,142,891 | | 3,102,772 |
| | | | | |
| CAPITAL EQUIPMENT - 2.6% | | | |
| Safe Fleet Holdings, LLC | | | |
First Lien Term Loan, (1M SOFR + 3.75%, 0.50% Floor), 8.61%, 02/23/29(c) | 997,481 | | 979,606 |
First Lien Term Loan, (1M SOFR + 5.00%, 0.50% Floor), 9.86%, 02/23/29(c) | 397,000 | | 389,060 |
Second Lien Term Loan, (1M LIBOR + 6.75%, 1.00% Floor), 11.60%, 02/02/26(c) | 1,403,846 | | 1,280,308 |
| SPX Flow, Inc. | | | |
First Lien Term Loan, (1M SOFR + 4.50%, 0.50% Floor), 9.41%, 04/05/29(b)(c) | 3,447,336 | | 3,298,686 |
| | | | | 5,947,660 |
| CHEMICALS, PLASTICS, & RUBBER - 8.9% | | | |
| Geon Performance Solutions, LLC | | | |
First Lien Term Loan B, (3M LIBOR + 4.50%, 0.75% Floor), 9.66%, 08/18/28(c) | 3,292,248 | | 3,249,728 |
| Ineos US Finance LLC (Luxembourg) | | | |
First Lien Term Loan C, (1M SOFR + 3.50%, 0.00% Floor), 8.41%, 02/16/30(b)(c)(e) | 1,501,348 | | 1,495,718 |
| LSF11 A5 Holdco LLC | | | |
First Lien Term Loan, (1M SOFR + 3.50%, 0.50% Floor), 8.42%, 10/15/28(c) | 3,743,102 | | 3,635,507 |
First Lien Term Loan, (1M SOFR + 4.25%, 0.50% Floor), 9.16%, 10/15/28(c) | 2,874,897 | | 2,824,600 |
| | | | | |
| Apollo Senior Floating Rate Fund Inc. |
| Consolidated Schedule of Investments (continued) |
| March 31, 2023 (unaudited) |
| | | Principal | | |
| | | Amount ($) | | Value ($) |
| | | | | |
Senior Loans - 139.3%(a) (continued) | | | |
| CHEMICALS, PLASTICS, & RUBBER - 8.9% (continued) | | | |
| Luxembourg Investment Company 428 SARL (Luxembourg) | | | |
First Lien Term Loan B, (3M SOFR + 5.00%, 0.50% Floor), 10.05%, 01/03/29(c)(e) | 4,695,549 | | 3,809,265 |
| Nouryon USA LLC | | | |
First Lien Term Loan B, (SOFR + 4.00%, 0.00% Floor), 4.00%, 03/02/28(b)(c) | 994,475 | | 993,232 |
| Olympus Water US Holding Corporation | | | |
First Lien Term Loan, (3M SOFR + 4.50%, 0.50% Floor), 9.50%, 11/09/28(c) | 2,404,285 | | 2,309,917 |
First Lien Term Loan, (3M LIBOR + 3.75%, 0.50% Floor), 8.94%, 11/09/28(c) | 424,275 | | 403,063 |
| W.R. Grace Holdings, LLC | | | |
First Lien Term Loan B, (3M LIBOR + 3.75%, 0.50% Floor), 8.94%, 09/22/28(c) | 1,432,108 | | 1,424,647 |
| | | | | 20,145,677 |
| CONSTRUCTION & BUILDING - 1.8% | | | |
| Associated Asphalt Partners, LLC | | | |
First Lien Term Loan B, (1M LIBOR + 5.25%, 1.00% Floor), 10.09%, 04/05/24(c) | 2,302,904 | | 1,768,296 |
| Cornerstone Building Brands, Inc. | | | |
First Lien Term Loan, (1M SOFR + 5.63%, 0.50% Floor), 10.45%, 08/01/28(b)(c) | 2,555,038 | | 2,401,736 |
| | | | | 4,170,032 |
| CONSUMER GOODS: NON-DURABLE - 4.3% | | | |
| ABG Intermediate Holdings 2 LLC | | | |
First Lien Term Loan, (1M SOFR + 3.50%, 0.50% Floor), 8.41%, 12/21/28(c) | 2,365,685 | | 2,336,114 |
First Lien Term Loan B2, (SOFR + 4.00%, 0.00% Floor), 4.00%, 12/21/28(c) | 1,694,444 | | 1,678,771 |
Second Lien Term Loan, (1M SOFR + 6.00%, 0.50% Floor), 10.91%, 12/20/29(c) | 1,710,576 | | 1,588,697 |
| Iconix Brand Group | | | |
First Lien Term Loan, (3M SOFR + 6.00%, 1.00% Floor), 11.05%, 08/22/29(c)(d) | 1,823,077 | | 1,786,615 |
| | | | | 7,390,197 |
| CONTAINERS, PACKAGING & GLASS - 7.3% | | | |
| Anchor Glass Container Corp. | | | |
First Lien Incremental Term Loan, (3M LIBOR + 5.00%, 1.00% Floor), 9.73%, 12/07/23(c) | 1,574,200 | | 1,157,037 |
First Lien Term Loan, (3M LIBOR + 2.75%, 1.00% Floor), 7.99%, 12/07/23(c) | 4,232,307 | | 2,949,071 |
| Berlin Packaging LLC | | | |
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.00% Floor), 8.62%, 03/11/28(c) | 2,309,603 | | 2,279,913 |
| LABL, Inc. | | | |
First Lien Term Loan, (1M LIBOR + 5.00%, 0.50% Floor), 9.84%, 10/29/28(c) | 3,233,040 | | 3,139,088 |
| Trident TPI Holdings, Inc. | | | |
First Lien Incremental Term Loan, (3M SOFR + 5.25%, 0.50% Floor), 10.15%, 09/15/28(c) | 1,330,880 | | 1,293,729 |
First Lien Term Loan B3, (3M LIBOR + 4.00%, 0.50% Floor), 9.16%, 09/15/28(c) | 5,995,527 | | 5,810,985 |
| | | | | 16,629,823 |
| ENVIRONMENTAL INDUSTRIES - 2.6% | | | |
| Dispatch Acquisition Holdings, LLC | | | |
First Lien Term Loan, (3M SOFR + 4.63%, 0.75% Floor), 9.67%, 03/27/28(c) | 496,250 | | 451,588 |
First Lien Term Loan B, (3M LIBOR + 4.25%, 0.75% Floor), 9.30%, 03/27/28(c) | 2,947,500 | | 2,682,225 |
| LTR Intermediate Holdings, Inc. | | | |
First Lien Term Loan, (1M LIBOR + 4.50%, 1.00% Floor), 9.34%, 05/05/28(c) | 3,202,500 | | 2,902,265 |
| | | | | 6,036,078 |
| Apollo Senior Floating Rate Fund Inc. |
| Consolidated Schedule of Investments (continued) |
| March 31, 2023 (unaudited) |
| | | Principal | | |
| | | Amount ($) | | Value ($) |
| | | | | |
Senior Loans - 139.3%(a) (continued) | | | |
| FOREST PRODUCTS & PAPER - 0.7% | | | |
| Spa US Holdco, Inc. (Finland) | | | |
First Lien Term Loan B, (3M LIBOR + 3.75%, 0.75% Floor), 8.91%, 02/04/28(c)(e) | 1,550,719 | | 1,515,836 |
| | | | | |
| HEALTHCARE & PHARMACEUTICALS - 17.9% | | | |
| Advarra Holdings, Inc. | | | |
First Lien Term Loan, (1M SOFR + 5.75%, 0.75% Floor), 10.56%, 08/24/29(c)(d) | 6,403,799 | | 6,339,761 |
| Athenahealth, Inc. | | | |
First Lien Term Loan B, (1M SOFR + 3.50%, 0.50% Floor), 8.26%, 02/15/29(c) | 5,279,405 | | 4,956,041 |
| Azurity Pharmaceuticals, Inc. | | | |
First Lien Term Loan B, (3M LIBOR + 6.00%, 0.75% Floor), 11.19%, 09/20/27(c) | 2,008,928 | | 1,946,992 |
| Bausch Health Companies, Inc. | | | |
First Lien Term Loan B, (1M SOFR + 5.25%, 0.50% Floor), 10.09%, 02/01/27(b)(c) | 4,624,889 | | 3,459,718 |
| Gainwell Acquisition Corporation | | | |
First Lien Term Loan B, (3M SOFR + 4.00%, 0.75% Floor), 9.00%, 10/01/27(c) | 8,542,035 | | 8,178,998 |
| Loire Finco Luxembourg SARL (United Kingdom) | | | |
First Lien Term Loan B, (1M LIBOR + 3.50%, 0.75% Floor), 8.34%, 04/21/27(c)(e) | 1,955,447 | | 1,872,341 |
| LSCS Holdings, Inc. | | | |
First Lien Term Loan, (1M LIBOR + 4.50%, 0.50% Floor), 9.34%, 12/16/28(c) | 2,016,360 | | 1,944,104 |
| Medical Solutions Holdings, Inc. | | | |
First Lien Term Loan, (3M SOFR + 3.50%, 0.50% Floor), 8.24%, 11/01/28(b)(c) | 4,482,487 | | 4,367,624 |
| Phoenix Newco, Inc. | | | |
First Lien Term Loan, (1M LIBOR + 3.25%, 0.50% Floor), 8.09%, 11/15/28(b)(c) | 1,994,962 | | 1,975,392 |
| Resonetics, LLC | | | |
First Lien Term Loan, (6M LIBOR + 4.00%, 0.75% Floor), 9.10%, 04/28/28(c) | 3,940,000 | | 3,790,280 |
| Zest Acquisition Corp. | | | |
First Lien Term Loan, (1M SOFR + 5.50%, 0.00% Floor), 10.22%, 02/08/28(c) | 1,995,000 | | 1,927,679 |
| | | | | 40,758,930 |
| HIGH TECH INDUSTRIES - 25.4% | | | |
| Anaplan, Inc. | | | |
First Lien Term Loan, (1M SOFR + 6.50%, 0.75% Floor), 11.31%, 06/21/29(c)(d) | 5,650,529 | | 5,565,771 |
| Avalara, Inc. | | | |
First Lien Term Loan, (3M SOFR + 7.25%, 0.75% Floor), 12.15%, 10/19/28(c)(d) | 4,545,455 | | 4,454,545 |
| Cloud Software Group, Inc. | | | |
First Lien Term Loan A, (3M SOFR + 4.50%, 0.50% Floor), 9.18%, 09/29/28(c) | 3,000,000 | | 2,719,815 |
| Coupa Software, Inc. | | | |
First Lien Term Loan, (1M SOFR + 7.50%, 0.75% Floor), 12.29%, 02/27/30(c)(d) | 2,591,455 | | 2,526,668 |
| DCert Buyer, Inc. | | | |
First Lien Term Loan, (6M SOFR + 4.00%, 0.00% Floor), 8.70%, 10/16/26(c) | 4,604,176 | | 4,518,585 |
Second Lien Term Loan, (6M SOFR + 7.00%, 0.00% Floor), 11.70%, 02/19/29(c) | 3,927,401 | | 3,651,383 |
| Electronics for Imaging, Inc. | | | |
First Lien Term Loan, (1M LIBOR + 5.00%, 0.00% Floor), 9.63%, 07/23/26(c) | 4,914,216 | | 3,886,137 |
| Flexera Software LLC | | | |
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 8.59%, 03/03/28(c) | 3,386,649 | | 3,344,316 |
| Imperva, Inc. | | | |
First Lien Term Loan, (3M LIBOR + 4.00%, 1.00% Floor), 8.86%, 01/12/26(c) | 5,465,449 | | 4,812,328 |
| Apollo Senior Floating Rate Fund Inc. |
| Consolidated Schedule of Investments (continued) |
| March 31, 2023 (unaudited) |
| | | Principal | | |
| | | Amount ($) | | Value ($) |
| | | | | |
Senior Loans - 139.3%(a) (continued) | | | |
| HIGH TECH INDUSTRIES - 25.4% (continued) | | | |
| Imprivata, Inc. | | | |
Second Lien Term Loan, (1M SOFR + 6.25%, 0.50% Floor), 11.06%, 12/01/28(c) | 2,205,882 | | 2,216,912 |
| Riverbed Technology, Inc. | | | |
First Lien Exit Term Loan, (2.00% PIK), (3M LIBOR + 6.00%, 1.00% Floor), 2.00%, 12/07/26(c)(f)(g) | 834,442 | | 264,518 |
| Sovos Compliance, LLC | | | |
First Lien Term Loan, (1M LIBOR + 4.50%, 0.50% Floor), 9.34%, 08/11/28(c) | 3,468,067 | | 3,292,497 |
| UKG, Inc. | | | |
First Lien Term Loan, (3M LIBOR + 3.75%, 0.00% Floor), 8.58%, 05/04/26(c) | 7,611,724 | | 7,503,295 |
Second Lien Term Loan, (3M LIBOR + 5.25%, 0.50% Floor), 10.27%, 05/03/27(c) | 1,000,000 | | 963,500 |
| Virtusa Corporation | | | |
First Lien Term Loan, (1M SOFR + 3.75%, 0.75% Floor), 8.66%, 02/15/29(c) | 3,739,745 | | 3,704,685 |
| Zendesk, Inc. | | | |
First Lien Term Loan, (3.50% PIK), (3M SOFR + 7.00%, 0.75% Floor), 11.88%, 11/22/28(c)(d)(f) | 4,419,603 | | 4,353,309 |
| | | | | 57,778,264 |
| HOTEL, GAMING & LEISURE - 2.4% | | | |
| Fertitta Entertainment, LLC | | | |
First Lien Term Loan B, (1M SOFR + 4.00%, 0.50% Floor), 8.81%, 01/27/29(c) | 5,442,237 | | 5,370,508 |
| | | | | |
| MEDIA: ADVERTISING, PRINTING & PUBLISHING - 7.4% | | | |
| Associations Inc. | | | |
First Lien Term Loan, (2.50% PIK), (3M LIBOR + 4.00%, 1.00% Floor), 8.92%, 07/02/27(c)(d)(f) | 3,057,657 | | 3,042,369 |
| Houghton Mifflin Harcourt Company | | | |
First Lien Term Loan B, (1M SOFR + 5.25%, 0.50% Floor), 10.16%, 04/09/29(c) | 4,699,338 | | 4,225,880 |
| McGraw-Hill Education, Inc. | | | |
First Lien Term Loan, (3M LIBOR + 4.75%, 0.50% Floor), 9.82%, 07/28/28(c) | 5,946,540 | | 5,571,908 |
| R. R. Donnelley & Sons Company | | | |
First Lien Term Loan, (1M SOFR + 7.25%, 0.75% Floor), 12.10%, 03/17/28(c) | 4,000,000 | | 3,966,660 |
| | | | | 16,806,817 |
| MEDIA: BROADCASTING & SUBSCRIPTION - 1.9% | | | |
| Anuvu Holdings 2, LLC | | | |
First Lien Term Loan, (3M LIBOR + 8.00%, 1.00% Floor), 13.02%, 03/24/25(c) | 2,479,047 | | 2,433,593 |
First Lien Term Loan, (6.75% PIK), (3M LIBOR + 8.25%, 1.00% Floor), 13.27%, 03/23/26(c)(d)(f) | 2,111,016 | | 1,804,919 |
| | | | | 4,238,512 |
| RETAIL - 4.8% | | | |
| Claire's Stores, Inc. | | | |
First Lien Term Loan B, (1M LIBOR + 6.50%, 0.00% Floor), 11.34%, 12/18/26(c) | 2,023,884 | | 1,824,866 |
| Petco Health and Wellness Company, Inc. | | | |
First Lien Term Loan, (3M SOFR + 3.25%, 0.75% Floor), 8.09%, 03/03/28(c) | 1,919,785 | | 1,889,491 |
| PetSmart, Inc. | | | |
First Lien Term Loan, (1M SOFR + 3.75%, 0.75 % Floor), 8.66%, 02/11/28(c) | 4,726,803 | | 4,696,292 |
| Tory Burch LLC | | | |
First Lien Term Loan, (1M LIBOR + 3.50%, 0.50% Floor), 8.34%, 04/16/28(c) | 2,728,214 | | 2,550,607 |
| | | | | 10,961,256 |
| Apollo Senior Floating Rate Fund Inc. |
| Consolidated Schedule of Investments (continued) |
| March 31, 2023 (unaudited) |
| | | Principal | | |
| | | Amount ($) | | Value ($) |
| | | | | |
Senior Loans - 139.3%(a) (continued) | | | |
| SERVICES: BUSINESS - 21.6% | | | |
| Advantage Sales & Marketing Inc. | | | |
First Lien Term Loan B1, (3M LIBOR + 4.50%, 0.75% Floor), 9.29%, 10/28/27(c) | 3,185,728 | | 2,750,255 |
| Allied Universal Holdco LLC | | | |
First Lien Term Loan, (1M SOFR + 3.75%, 0.50% Floor), 8.66%, 05/12/28(b)(c) | 4,054,477 | | 3,856,476 |
| Carestream Health, Inc. | | | |
First Lien Term Loan, (3M SOFR + 7.50%, 1.00% Floor), 12.50%, 09/30/27(c)(d) | 118,571 | | 78,850 |
| Coretrust Purchasing Group LLC | | | |
First Lien Term Loan, (1M SOFR + 6.75%, 0.75% Floor), 11.56%, 10/01/29(c)(d) | 2,317,500 | | 2,247,975 |
| Deerfield Dakota Holding, LLC | | | |
First Lien Term Loan, (3M SOFR + 3.75%, 1.00% Floor), 8.65%, 04/09/27(c) | 6,254,021 | | 6,071,623 |
| eResearchTechnology, Inc. | | | |
First Lien Term Loan B, (1M LIBOR + 4.50%, 1.00% Floor), 9.34%, 02/04/27(c) | 6,359,927 | | 6,018,113 |
| Garda World Security Corporation (Canada) | | | |
First Lien Term Loan B, (1M SOFR + 4.25%, 0.00% Floor), 9.01%, 02/01/29(c)(e) | 1,726,074 | | 1,677,537 |
First Lien Term Loan B2, (1M SOFR + 4.25%, 0.00% Floor), 9.11%, 10/30/26(c)(e) | 8,539,602 | | 8,470,261 |
| Ingenovis Health, Inc. | | | |
First Lien Term Loan, (6M SOFR + 4.25%, 0.50% Floor), 9.21%, 03/06/28(c) | 997,500 | | 962,587 |
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 8.60%, 03/06/28(c) | 3,943,658 | | 3,820,419 |
| Planet US Buyer LLC | | | |
First Lien Term Loan, (3M SOFR + 6.75%, 0.75% Floor), 11.43%, 02/01/30(c)(d) | 2,777,778 | | 2,694,444 |
| Solera, LLC | | | |
First Lien Term Loan B, (3M LIBOR + 4.00%, 0.50% Floor), 9.16%, 06/02/28(c) | 4,013,340 | | 3,671,082 |
Second Lien Term Loan, (3M LIBOR + 8.00%, 1.00% Floor), 12.95%, 06/04/29(c) | 4,898,633 | | 4,751,674 |
| Wellsky | | | |
First Lien Term Loan, (1M SOFR + 5.75%, 0.75% Floor), 10.56%, 03/10/28(c)(d) | 1,990,000 | | 1,940,250 |
| | | | | 49,011,546 |
| SERVICES: CONSUMER - 0.7% | | | |
| 2U, Inc. | | | |
First Lien Term Loan B, (6M SOFR + 6.50%, 0.75% Floor), 11.32%, 12/28/26(c) | 1,614,379 | | 1,557,876 |
| | | | | |
| TELECOMMUNICATIONS - 7.0% | | | |
| Flight Bidco, Inc. | | | |
First Lien Term Loan, (1M LIBOR + 3.50%, 0.00% Floor), 8.34%, 07/23/25(c) | 2,597,809 | | 2,429,601 |
| MLN US Holdco LLC | | | |
First Lien Second Out Term Loan, (6M SOFR + 6.70%, 1.00% Floor), 11.15%, 10/18/27(c)(d) | 3,807,495 | | 3,274,445 |
First Lien Term Loan, (6M SOFR + 6.44%, 1.00% Floor), 10.89%, 10/18/27(c)(d) | 638,138 | | 615,803 |
| Orbcomm, Inc. | | | |
First Lien Term Loan, (1M/3M LIBOR + 4.25%, 0.75% Floor), 9.15%, 09/01/28(c) | 1,036,902 | | 860,194 |
| U.S. TelePacific Corp. | | | |
First Lien Term Loan, (7.25% PIK), (3M SOFR + 8.25%, 1.00% Floor), 13.16%, 05/01/26(c)(d)(f) | 6,247,959 | | 2,499,183 |
| Zacapa SARL (Luxembourg) | | | |
First Lien Term Loan, (3M SOFR + 4.25%, 0.50% Floor), 8.90%, 03/22/29(c)(e) | 3,762,675 | | 3,690,789 |
| Zayo Group Holdings, Inc. | | | |
First Lien Term Loan, (1M SOFR + 4.25%, 0.50% Floor), 9.06%, 03/09/27(c) | 3,191,016 | | 2,626,621 |
| | | | | 15,996,636 |
| Apollo Senior Floating Rate Fund Inc. |
| Consolidated Schedule of Investments (continued) |
| March 31, 2023 (unaudited) |
| | | Principal | | |
| | | Amount ($) | | Value ($) |
| | | | | |
Senior Loans - 139.3%(a) (continued) | | | |
| WHOLESALE - 3.1% | | | |
| LBM Acquisition, LLC | | | |
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 8.59%, 12/17/27(c) | 7,417,856 | | 7,011,024 |
| Total Senior Loans | | | |
| (Cost $334,058,667) | | | 316,755,772 |
| | | | |
| Corporate Notes and Bonds - 10.1% | | | |
| AUTOMOTIVE - 1.2% | | | |
| Carvana Co. | | | |
10.25%, 05/01/30(h)(i) | 4,735,000 | | 2,723,587 |
| | | | | |
| BANKING, FINANCE, INSURANCE & REAL ESTATE - 0.3% | | | |
| KCF Puerto Rico, LLC (Puerto Rico) | | | |
0.00%, 06/28/28(d)(e)(j) | 882,529 | | 604,448 |
| | | | | |
| CHEMICALS, PLASTICS, & RUBBER - 0.3% | | | |
| Cheever Escrow Issuer, LLC | | | |
7.13%, 10/01/27(h)(i) | 750,000 | | 705,860 |
| | | | | |
| CONTAINERS, PACKAGING & GLASS - 0.4% | | | |
| LABL, Inc. | | | |
5.88%, 11/01/28(h)(i) | 1,000,000 | | 896,400 |
| | | | | |
| ENERGY: OIL & GAS - 1.1% | | | |
| Moss Creek Resources Holdings, Inc. | | | |
10.50%, 05/15/27(h)(i) | 2,538,000 | | 2,440,287 |
| | | | | |
| FOREST PRODUCTS & PAPER - 0.6% | | | |
| Spa US Holdco, Inc. (Finland) | | | |
4.88%, 02/04/28(e)(h)(i) | 1,500,000 | | 1,269,450 |
| | | | | |
| HEALTHCARE & PHARMACEUTICALS - 0.4% | | | |
| Embecta Corp. | | | |
5.00%, 02/15/30(h)(i) | 1,063,000 | | 915,509 |
| | | | | |
| HIGH TECH INDUSTRIES - 0.6% | | | |
| Cloud Software Group, Inc. | | | |
6.50%, 03/31/29(h)(i) | 1,534,000 | | 1,337,456 |
| | | | | |
| HOTEL, GAMING & LEISURE - 1.5% | | | |
| Carnival Corporation | | | |
9.88%, 08/01/27(h)(i) | 44,000 | | 45,337 |
10.38%, 05/01/28(h)(i) | 2,028,000 | | 2,180,932 |
| NCL Corporation Ltd. | | | |
9.75%, 02/22/28(d)(h)(i) | 1,153,000 | | 1,209,958 |
| | | | | 3,436,227 |
| MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.4% | | | |
| McGraw-Hill Education, Inc. | | | |
5.75%, 08/01/28(h)(i) | 1,000,000 | | 871,250 |
| | | | | |
| MEDIA: BROADCASTING & SUBSCRIPTION - 0.6% | | | |
| CSC Holdings, LLC | | | |
4.13%, 12/01/30(h)(i) | 2,000,000 | | 1,436,250 |
| Apollo Senior Floating Rate Fund Inc. |
| Consolidated Schedule of Investments (continued) |
| March 31, 2023 (unaudited) |
| | | Principal | | |
| | | Amount ($) | | Value ($) |
| | | | | |
Corporate Notes and Bonds - 10.1% (continued) | | | |
| METALS & MINING - 0.0% | | | |
| ERP Iron Ore, LLC | | | |
LIBOR + 8.00%, 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 | | – |
| | | | | – |
| SERVICES: BUSINESS - 1.5% | | | |
| Advantage Sales & Marketing Inc. | | | |
6.50%, 11/15/28(h)(i) | 3,327,000 | | 2,536,837 |
| Allied Universal Holdco LLC | | | |
4.63%, 06/01/28(h)(i) | 1,000,000 | | 848,750 |
| | | | | 3,385,587 |
| TELECOMMUNICATIONS - 1.2% | | | |
| Frontier Communications Holdings, LLC | | | |
5.00%, 05/01/28(h)(i) | 3,239,000 | | 2,813,611 |
| Total Corporate Notes and Bonds | | | |
| (Cost $26,188,753) | | | 22,835,922 |
| | | | |
| | | | | |
| | | Quantity | | Value $ |
| | | | | |
| Common Stocks - 0.8% | | | |
| AUTOMOTIVE - 0.0% | | | |
APC Parent, Inc.(d)(j) | 241,972 | | – |
| ENERGY: OIL & GAS - 0.0% | | | |
RDV Resources, Inc.(d) | 28,252 | | 33,295 |
| HIGH TECH INDUSTRIES - 0.0% | | | |
Riverbed Holdings, Inc.(j) | 32,644 | | 8,324 |
| MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.0% | | | |
Acosta, Inc.(d)(j) | 3,133 | | 28,239 |
| MEDIA: BROADCASTING & SUBSCRIPTION - 0.3% | | | |
Anuvu Corp.(d)(j) | 108,418 | | 773,020 |
| SERVICES: BUSINESS - 0.5% | | | |
Carestream Health, Inc.(d)(j) | 118,564 | | 1,052,848 |
| Total Common Stocks | | | |
| (Cost $6,691,651) | | | 1,895,726 |
| | | | |
| Preferred Stocks - 0.1% | | | |
| HIGH TECH INDUSTRIES - 0.0% | | | |
| Riverbed Holdings, Inc. | 22,342 | | 5,697 |
| MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.1% | | | |
Acosta, Inc., (14.50% PIK) (d)(f) | 3,858 | | 167,322 |
| Total Preferred Stocks | | | |
| (Cost $717,268) | | | 173,019 |
| | | | |
| Total Investments - 150.3% | | | 341,660,439 |
| (Cost of $367,656,339) | | | |
| Other Assets & Liabilities, Net - 6.8% | | | 15,489,853 |
Loan Outstanding - (57.1)%(k)(l) | | | (129,795,248) |
| Net Assets (Applicable to Common Shares) - 100.0% | | | 227,355,044 |
| Apollo Senior Floating Rate Fund Inc. |
| Consolidated Schedule of Investments (continued) |
| March 31, 2023 (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 March 31, 2023. 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”) or the Secured Overnight Financing Rate (“SOFR”) 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/SOFR/Prime rate. As of March 31, 2023, the 1, 3 and 6 month LIBOR rates were 4.86%, 5.19%, and 5.31%, respectively, the 1, 3 and 6 month SOFR rates were 4.80%, 4.91% and 4.90%, respectively, and the Prime lending rate was 8.00%. Senior Loans may contain multiple contracts of the same issuer which may be subject to base lending rates of LIBOR, SOFR 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 March 31, 2023, these securities amounted to $22,231,474, or 9.78% 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 $130,000,000 less unamortized deferred financing costs of $204,752. | | | |
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 by the Adviser as the valuation designee approved 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 by the valuation 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’s valuation designee 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 valuation designee’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 valuation designee to measure fair value at March 31, 2023 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.
Apollo Senior Floating Rate Fund Inc.
Notes to Consolidated Schedule of Investments (continued)
March 31, 2023 (unaudited)
A summary of the Fund’s investments categorized in the fair value hierarchy as of March 31, 2023 is as follows:
| Apollo Senior Floating Rate Fund Inc. | | | | | | | | | | | | |
| | | Total Fair Value at March 31, 2023 | | | Level 1 Quoted Price | | | Level 2 Significant Observable Inputs | | | Level 3 Significant Unobservable Inputs | |
| Assets: | | | | | | | | | | | | |
| Cash and Cash Equivalents | | $ | 21,968,372 | | | $ | 21,968,372 | | | $ | - | | | $ | - | |
| Senior Loans | | | 316,755,772 | | | | - | | | | 266,530,865 | | | | 50,224,907 | |
| Corporate Notes and Bonds | | | 22,835,922 | | | | - | | | | 21,021,516 | | | | 1,814,406 | |
| Common Stocks | | | 1,895,726 | | | | - | | | | 8,324 | | | | 1,887,402 | |
| Preferred Stocks | | | 173,019 | | | | - | | | | 5,697 | | | | 167,322 | |
| Unrealized appreciation on Unfunded Commitments | | | 14,630 | | | | - | | | | 3,124 | | | | 11,506 | |
| Total Assets | | $ | 363,643,441 | | | $ | 21,968,372 | | | $ | 287,569,526 | | | $ | 54,105,543 | |
| Liabilities: | | | | | | | | | | | | | | | | |
| Unrealized depreciation on Unfunded Commitments | | | (42,120 | ) | | | - | | | | (30,468 | ) | | | (11,652 | ) |
| Total Liabilities | | | (42,120 | ) | | | - | | | | (30,468 | ) | | | (11,652 | ) |
| | | $ | 363,601,321 | | | $ | 21,968,372 | | | $ | 287,539,058 | | | $ | 54,093,891 | |
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, 2023 through March 31, 2023:
| Apollo Senior Floating Rate Fund Inc. | |
| | | Total | | | Senior
Loans | | | Corporate Notes and Bonds | | | Common Stocks | | | Preferred Stock | | | Unfunded Commitments | |
| Total Fair Value, beginning of period | | $ | 55,573,493 | | | $ | 52,192,218 | | | $ | 596,966 | | | $ | 2,599,549 | | | $ | 190,255 | | | $ | (5,495 | ) |
| Purchases, including capitalized PIK | | | 14,515,140 | | | | 13,373,670 | | | | 1,141,470 | | | | - | | | | - | | | | - | |
| Sales/Paydowns | | | (3,285,624 | ) | | | (3,234,204 | ) | | | - | | | | (51,420 | ) | | | - | | | | - | |
| Accretion/(amortization) of discounts/ (premiums) | | | 85,567 | | | | 85,375 | | | | 192 | | | | - | | | | - | | | | - | |
| Net realized gain/(loss) | | | 69,994 | | | | 18,574 | | | | - | | | | 51,420 | | | | - | | | | - | |
| Change in net unrealized appreciation/ (depreciation) | | | (437,569 | ) | | | 210,687 | | | | 75,778 | | | | (712,147 | ) | | | (17,236 | ) | | | 5,349 | |
| Transfers into Level 3 | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | |
| Transfers out of Level 3 | | | (12,427,110 | ) | | | (12,421,413 | ) | | | - | | | | - | | | | (5,697 | ) | | | - | |
| Total Fair Value, end of period | | $ | 54,093,891 | | | $ | 50,224,907 | | | $ | 1,814,406 | | | $ | 1,887,402 | | | $ | 167,322 | | | $ | (146 | ) |
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 March 31, 2023 was $(540,424).
Apollo Senior Floating Rate Fund Inc.
Notes to Consolidated Schedule of Investments (continued)
March 31, 2023 (unaudited)
The following table provides quantitative measures used to determine the fair values of the Level 3 investments as of March 31, 2023:
| | Assets/Liabilities | | Fair Value at March 31, 2023 | Valuation Technique(s)(a) | | Unobservable Input(s) | | Range of Unobservable Input(s) Utilized | Weighted Average Unobservable Input(s) |
| Senior Loans | $
| 38,151,302 | | Discounted Cash Flow (b) | | Discount Rate (b) | | 8.91% - 29.12% | | 11.51% |
| | | | | | | | | | | | |
| | | | 2,499,183 | | Guideline Public Company (c) | | TEV | Revenue (c) | | 0.45x-0.55x | | 0.50x |
| | | | | | Recoverability (d) | | Estimated Proceeds (d) | | 40.0% - 50.0% | | 45.00% |
| | | | | | Independent pricing service and/or broker quotes | Vendor and/or broker quotes | 29.0% - 35.0% | | 32.00% |
| | | | | | | | | | | | |
| | | | 4,353,309 | | Transaction Approach (e) | | Recent Trade (e) | | 98.50% | | 98.50% |
| | | | | | | | | | | | |
| | | | 5,221,113 | | Transaction Approach (f) | | Cost (f) | | N/A | | N/A |
| | | | | | | | | | | | |
| Corporate Notes and Bonds | 1,209,958 | | Discounted Cash Flow (b) | | Discount Rate (b) | | 8.2% | | 8.2% |
| | | | | | | | | | | | |
| | | | 604,448 | | Discounted Cash Flow (b) | | Discount Rate (b) | | 4.5% | | 4.5% |
| | | | | | Recoverability (d) | | Estimated Proceeds (d) | | $55.5m | | $55.5m |
| | | | | | | | | | | | |
| | | | - | | Recoverability (d) | | Estimated Proceeds (d) | | $- | | $- |
| | | | | | | | | | | | |
| Common Stocks | | 1,081,087 | | Guideline Public Company (g) | | TEV | EBITDA Multiple (g) | | 2.5x - 7.0x | | 3.10x |
| | | | | | | | | | | | |
| | | | 773,020 | | Guideline Public Company (c) | | TEV | Revenue (c) | 1.5x - 1.7x | | 1.6x |
| | | | | | Guideline Public Company (g) | | TEV | EBITDA Multiple (g) | | 4.0x - 5.0x | | 4.5x |
| | | | | | | | | | | | |
| | | | 33,295 | | Discounted Cash Flow (b) | Discount Rate (b) | | 7.5% | | 7.5% |
| | | | | | Recoverability (d) | | Estimated Proceeds (d) | | $14.3m | | $14.3m |
| | | | | | | | | | | | |
| | | | - | | Recoverability (d) | | Estimated Proceeds (d) | | $- | | $- |
| | | | | | | | | | | | |
| Preferred Stock | | 167,322 | | Guideline Public Company (g) | | TEV | EBITDA Multiple (g) | | 7.0x | | 7.0x |
| | | | | | | | | | | | |
| Unfunded Commitments | | (5,522) | | Discounted Cash Flow (b) | | Discount Rate (b) | | 10.11% - 16.75% | | 14.11% |
| | | | | | | | | | | | |
| | | | 5,736 | | Transaction Approach (e) | | Recent Trade (e) | | 98.50% | | 98.50% |
| | | | | | | | | | | | |
| | | | (360) | | Transaction Approach (f) | | Cost (f) | | N/A | | N/A |
| | | | | | | | | | | | |
| Total Fair Value | $
| 54,093,891 | | | | | | | | |
(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 guideline public company method to fair value this security. The significant unobservable inputs used in the valuation model were total enterprise value ("TEV") and revenue 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. |
| |
(d) | The Fund utilized a recoverability approach to fair value this security, specifically a liquidation analysis. There are various, company specific inputs used in the valuation analysis that relate to the liquidation value of a company’s assets. The significant unobservable input used in the valuation model was estimated proceeds. 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 recent transaction, specifically a recent trade price, to fair value this security. |
(f) | The Fund utilized a recent transaction, specifically purchase price, to fair value this security. |
(g) | 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. |
| |
Apollo Senior Floating Rate Fund Inc.
Notes to Consolidated Schedule of Investments (continued)
March 31, 2023 (unaudited)
General Commitments and Contingencies
As of March 31, 2023, the Fund had unfunded commitments outstanding, which could be extended at the option of the borrower, as detailed below:
Borrower | Unfunded Commitments |
| ABG Intermediate Holdings 2, LLC Delayed Draw Term Loan | $ | 555,556 |
| Advarra Holdings, Inc. Delayed Draw Term Loan | | 580,151 |
| Anaplan, Inc. Revolving Term Loan | | 349,471 |
| Anuvu Holdings 2, LLC Delayed Draw Term Loan | | 108,821 |
| Anuvu Holdings 2, LLC Delayed Draw Term Loan B | | 582,017 |
| Athenahealth Group, Inc. Delayed Draw Term Loan | | 648,563 |
| Avalara, Inc. Revolving Term Loan | | 454,545 |
| Coretrust Purchasing Group, LLC Delayed Draw Term Loan | | 338,346 |
| Coretrust Purchasing Group, LLC Revolving Term Loan | | 338,346 |
| Coupa Software, Inc. Delayed Draw Term Loan | | 231,380 |
| Coupa Software, Inc. Revolving Term Loan | | 177,165 |
| NCL Corporation Ltd. Backstop Notes | | 694,000 |
| NCL Corporation Ltd. Class B Bridge Notes | | 1,153,000 |
| Planet US Buyer, LLC Revolving Term Loan | | 222,222 |
| Zendesk, Inc. Delayed Draw Term Loan | | 1,104,901 |
| Zendesk, Inc. Revolving Term Loan | | 454,959 |
| | $
| 7,993,443 |
Additionally, from time to time, the Adviser and its affiliates may commit to an investment on behalf of the funds it manages, including the Fund. Certain terms of these investments are not finalized at the time of the commitment and each respective fund’s allocation may change prior to the date of the funding. In this regard, the Fund may have to fund additional commitments in the future that it is currently not obligated to but may be at a future point in time.
For more information with regard to significant accounting policies, see the Fund’s most recent annual report filed with the Securities and Exchange Commission.
