(a) | The Report to Shareholders is attached herewith. |
(b) | Not applicable. |
Manager Commentary | 1 | |||
Financial Data and Fund Performance | ||||
3 | ||||
5 | ||||
Consolidated Schedules of Investments | ||||
7 | ||||
14 | ||||
Consolidated Statements of Assets and Liabilities | 21 | |||
Consolidated Statements of Operations | 22 | |||
Consolidated Statements of Changes in Net Assets | ||||
23 | ||||
24 | ||||
Consolidated Statements of Cash Flows | ||||
25 | ||||
26 | ||||
Consolidated Financial Highlights | ||||
27 | ||||
28 | ||||
Notes to Consolidated Financial Statements | 29 | |||
Fund Investment Objectives, Policies and Risks | 46 | |||
Additional Information | 61 | |||
Important Information About This Report | 65 |
Portfolio Composition (as % of Current Market Value of Investment Securities) | |||||
Loans | 93.3% | ||||
High-Yield Bonds | 5.7% | ||||
Equity/Other | 1.0% | ||||
Portfolio Characteristics (a) | |||||
Weighted Average Floating-Rate Spread | 4.49% | ||||
Weighted Average Fixed-Rate Coupon | 6.76% | ||||
Weighted Average Maturity (in years) (floating assets) | 5.19 | ||||
Weighted Average Maturity (in years) (fixed assets) | 6.35 | ||||
Weighted Average Modified Duration (in years) (fixed assets) | 4.89 | ||||
Weighted Average Modified Duration (in years) (e) | 4.14 | ||||
Average Position Size by Issuer (f) | $ | 3,913,124 | |||
Number of Issuers (f) | 98 | ||||
Weighted Average S&P Rating (g) | B | ||||
Weighted Average Rating Factor (Moody’s) (g) | 3,041 | ||||
Credit Quality (b) | |||||
BB | 8.7% | ||||
B | 73.4% | ||||
CCC+ or Lower | 10.0% | ||||
Not Rated | 7.9% |
Top 5 Industries (as % of Current Market Value of Investment Securities) (c) | |||||
High Tech Industries | 14.8% | ||||
Services: Business | 12.9% | ||||
Healthcare & Pharmaceuticals | 12.5% | ||||
Banking, Finance, Insurance & Real Estate | 7.0% | ||||
Containers, Packaging & Glass | 7.0% | ||||
Total | 54.2% | ||||
Top 10 Issuers (as % of Current Market Value of Investment Securities) (d) | |||||
Garda World Security Corporation | 2.7% | ||||
The Edelman Financial Center, LLC | 2.7% | ||||
Solera, LLC | 2.5% | ||||
UKG, Inc. | 2.3% | ||||
Gainwell Acquisition Corporation | 2.3% | ||||
DCert Buyer, Inc. | 2.3% | ||||
Asurion, LLC | 2.1% | ||||
Peraton Corporation | 2.0% | ||||
LSF11 A5 Holdco, LLC | 2.0% | ||||
Advantage Sales & Marketing Inc. | 1.9% | ||||
Total | 22.8% |
(a) | Averages based on par value of investment securities, except for the weighted average modified duration, which is based on market value. |
(b) | Credit quality is calculated as a percentage of fair value of investment securities at June 30, 2022. The quality ratings reflected were issued by S&P Global Ratings (“S&P”), an internationally recognized statistical rating organization. Credit quality ratings reflect the rating agency’s opinion of the credit quality of the underlying positions in the Fund’s portfolio and not that of the Fund itself. Credit quality ratings are subject to change. |
(c) | The industry classifications reported are from widely recognized market indexes or rating group indexes, and/or as defined by Fund management, with the primary source being Moody’s Investors Service (“Moody’s”), an internationally recognized statistical rating organization. |
(d) | Holdings are subject to change and are provided for informational purposes only. |
(e) | Excludes equity investments and warrants and includes fixed and floating rate assets. |
(f) | Excludes equity investments and warrants. |
(g) | Excludes securities with no rating or non-performing defaulted securities as of June 30, 2022. |
Performance Comparison | ||||||||||||||||||||||
YTD | 5 Yr | 10 Yr | Since Inception (d) | |||||||||||||||||||
AFT - Market Price | (17.62 | )% (a) | 1.94 | % (a)(b) | 3.95 | % (a)(b) | 3.33 | % (a)(b) | ||||||||||||||
AFT - NAV | (9.38 | )% (a) | 2.90 | % (a)(b) | 4.98 | % (a)(b) | 4.82 | % (a)(b) | ||||||||||||||
S&P/LSTA Leveraged Loan Index (c) | (4.55 | )% | 2.91 | % (b) | 3.74 | % (b) | 3.60 | % (b) |
Distributions (e) | |||||
Current Monthly Distribution (per share) | $ | 0.085 | |||
Current Distribution Rate at Market Price (f) | 7.95 | % | |||
Current Distribution Rate at NAV (f) | 7.08 | % |
(a) | Performance reflects total return assuming all distributions were reinvested at the dividend reinvestment rate. Past performance does not necessarily indicate how the Fund will perform in the future. The performance information provided does not reflect the deduction of taxes that a shareholder would pay on distributions received from the Fund. |
(b) | Annualized. |
(c) | The S&P/LSTA Leveraged Loan Index is a broad index designed to reflect the performance of the U.S. dollar facilities in the leveraged loan market. |
(d) | Inception date February 23, 2011. |
(e) | All or a portion of the Fund’s distributions may be comprised of ordinary income, capital gains and/or return of capital. Refer to Note 7 in the Notes to the Financial Statements. |
(f) | Distribution rates represent the latest declared regular distribution, annualized, relative to the most recent month-end market price and NAV. Special distributions are not included in the calculation. |
Portfolio Composition (as % of Current Market Value of Investment Securities) | |||||
Loans | 72.8% | ||||
High-Yield Bonds | 19.4% | ||||
Structured Products | 6.8% | ||||
Equity/Other | 1.0% | ||||
Portfolio Characteristics (a) | |||||
Weighted Average Floating-Rate Spread | 5.13% | ||||
Weighted Average Fixed-Rate Coupon | 5.92% | ||||
Weighted Average Maturity (in years) (floating assets) | 5.70 | ||||
Weighted Average Maturity (in years) (fixed assets) | 6.19 | ||||
Weighted Average Modified Duration (in years) (fixed assets) | 4.91 | ||||
Weighted Average Modified Duration (in years) (e) | 4.29 | ||||
Average Position Size by Issuer (f) | $ | 3,825,517 | |||
Number of Issuers (f) | 93 | ||||
Weighted Average S&P Rating (g) | B | ||||
Weighted Average Rating Factor (Moody’s) (g) | 3,229 | ||||
Credit Quality (b) | |||||
BBB | 0.8% | ||||
BB | 12.0% | ||||
B | 54.0% | ||||
CCC+ or Lower | 14.3% | ||||
Not Rated | 18.9% |
Top 5 Industries (as % of Current Market Value of Investment Securities) (c) | |||||
High Tech Industries | 13.1% | ||||
Healthcare & Pharmaceuticals | 12.8% | ||||
Media: Advertising, Printing & Publishing | 8.1% | ||||
Chemicals, Plastics & Rubber | 5.8% | ||||
Services: Business | 5.6% | ||||
Total | 45.4% | ||||
Top 10 Issuers (as % of Current Market Value of Investment Securities) (d) | |||||
Gainwell Acquisition Corporation | 2.6% | ||||
LSF11 A5 Holdco, LLC | 2.6% | ||||
Churchill Middle Market CLO, Ltd. | 2.5% | ||||
DCert Buyer, Inc. | 2.4% | ||||
Solera, LLC | 2.3% | ||||
Peraton Corporation | 2.2% | ||||
Mavis Tire Express Services Corp. | 2.2% | ||||
Athenahealth, Inc. | 2.2% | ||||
LABL, Inc. | 2.0% | ||||
McGraw-Hill Education, Inc. | 1.9% | ||||
Total | 22.9% |
(a) | Averages based on par value of investment securities, except for the weighted average modified duration, which is based on market value. |
(b) | Credit quality is calculated as a percentage of fair value of investment securities at June 30, 2022. The quality ratings reflected were issued by S&P, an internationally recognized statistical rating organization. Credit quality ratings reflect the rating agency’s opinion of the credit quality of the underlying positions in the Fund’s portfolio and not that of the Fund itself. Credit quality ratings are subject to change. |
(c) | The industry classifications reported are from widely recognized market indexes or rating group indexes, and/or as defined by Fund management, with the primary source being Moody’s, an internationally recognized statistical rating organization. The Top 5 Industries table above excludes Structured Products which represents 6.8% of the portfolio as of June 30, 2022. |
(d) | Holdings are subject to change and are provided for informational purposes only. |
(e) | Excludes equity investments and warrants and includes fixed and floating rate assets. |
(f) | Excludes equity investments and warrants. |
(g) | Excludes securities with no rating or non-performing defaulted securities as of June 30, 2022. |
Performance Comparison | ||||||||||||||||
YTD | 5 Yr | Since Inception (d) | ||||||||||||||
AIF - Market Price | (18.41 | )% (a) | 1.84 | % (a)(b) | 3.04 | % (a)(b) | ||||||||||
AIF - NAV | (11.56 | )% (a) | 3.59 | % (a)(b) | 5.31 | % (a)(b) | ||||||||||
S&P/LSTA Leveraged Loan Index (c) | (4.55 | )% | 2.91 | % (b) | 3.34 | % (b) |
Distributions (e) | |||||
Current Monthly Distribution (per share) | $ | 0.090 | |||
Current Distribution Rate at Market Price (f) | 8.97 | % | |||
Current Distribution Rate at NAV (f) | 7.67 | % |
(a) | Performance reflects total return assuming all distributions were reinvested at the dividend reinvestment rate. Past performance does not necessarily indicate how the Fund will perform in the future. The performance information provided does not reflect the deduction of taxes that a shareholder would pay on distributions received from the Fund. |
(b) | Annualized. |
(c) | The S&P/LSTA Leveraged Loan Index is a broad index designed to reflect the performance of the U.S. dollar facilities in the leveraged loan market. |
(d) | Inception date February 25, 2013. |
(e) | All or a portion of the Fund’s distributions may be comprised of ordinary income, capital gains and/or return of capital. Refer to Note 7 in the Notes to the Financial Statements. |
(f) | Distribution rates represent the latest declared regular distribution, annualized, relative to the most recent month-end market price and NAV. Special distributions are not included in the calculation. |
Principal Amount ($) | Value ($) | |||||||
Senior Loans - 145.6% (a) | ||||||||
AEROSPACE & DEFENSE - 6.4% | ||||||||
Maxar Technologies Inc. | ||||||||
First Lien Term Loan B, (1M SOFR + 4.25%, 0.50% Floor), 5.88%, 06/14/29 (b)(c) | 1,257,034 | 1,195,232 | ||||||
Peraton Corporation | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/01/28 (c) | 7,564,896 | 7,124,506 | ||||||
Propulsion (BC) Finco SARL (Spain) | ||||||||
First Lien Term Loan, (SOFR + 4.00%, 0.50% Floor), 4.50%, 02/10/29 (b)(c)(e) | 932,270 | 885,656 | ||||||
Vertex Aerospace Services Corp. | ||||||||
First Lien Term Loan, (1M LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/06/28 (c) | 4,313,270 | 4,105,716 | ||||||
First Lien Term Loan, (SOFR + 4.00%, 0.75% Floor), 4.75%, 12/06/28 (b)(c) | 1,167,881 | 1,118,246 | ||||||
14,429,356 | ||||||||
AUTOMOTIVE - 1.0% | ||||||||
Truck Hero, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.50%, 0.75% Floor), 5.17%, 01/31/28 (b)(c) | 2,571,653 | 2,310,630 | ||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE - 10.2% | ||||||||
Alliant Holdings Intermediate, LLC | ||||||||
First Lien Term Loan B4, (1M LIBOR + 3.50%, 0.50% Floor), 5.01%, 11/05/27 (c) | 3,482,456 | 3,250,002 | ||||||
Apex Group Treasury, LLC | ||||||||
First Lien Term Loan, (3M LIBOR + 3.75%, 0.50% Floor), 6.00%, 07/27/28 (c) | 2,956,518 | 2,808,692 | ||||||
Asurion, LLC | ||||||||
First Lien Term Loan B8, (1M LIBOR + 3.25%, 0.00% Floor), 4.92%, 12/23/26 (b)(c) | 949,792 | 863,722 | ||||||
First Lien Term Loan B9, (1M LIBOR + 3.25%, 0.00% Floor), 4.92%, 07/31/27 (c) | 1,989,924 | 1,805,856 | ||||||
Second Lien Term Loan B3, (1M LIBOR + 5.25%, 0.00% Floor), 6.92%, 01/31/28 (c) | 1,483,118 | 1,273,627 | ||||||
Second Lien Term Loan B4, (1M LIBOR + 5.25%, 0.00% Floor), 6.92%, 01/20/29 (c) | 4,126,347 | 3,525,964 | ||||||
The Edelman Financial Center, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.50%, 0.75% Floor), 5.17%, 04/07/28 (c) | 5,235,788 | 4,859,466 | ||||||
Second Lien Term Loan, (1M LIBOR + 6.75%, 0.00% Floor), 8.42%, 07/20/26 (c) | 4,931,380 | 4,543,034 | ||||||
22,930,363 | ||||||||
Principal Amount ($) | Value ($) | |||||||
BEVERAGE, FOOD & TOBACCO - 1.7% | ||||||||
Primary Products Finance LLC | ||||||||
First Lien Term Loan, (3M SOFR + 4.00%, 0.50% Floor), 4.65%, 04/01/29 (c) | 3,843,318 | 3,747,831 | ||||||
CAPITAL EQUIPMENT - 2.9% | ||||||||
Pro Mach Group, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.00%, 1.00% Floor), 5.67%, 08/31/28 (b)(c) | 3,532,684 | 3,341,707 | ||||||
Safe Fleet Holdings, LLC | ||||||||
Second Lien Term Loan, (6M LIBOR + 6.75%, 1.00% Floor), 7.75%, 02/02/26 (c) | 1,403,846 | 1,328,979 | ||||||
SPX Flow, Inc. | ||||||||
First Lien Term Loan, (1M SOFR + 4.50%, 0.50% Floor), 6.13%, 04/05/29 (c) | 1,993,588 | 1,863,008 | ||||||
6,533,694 | ||||||||
CHEMICALS, PLASTICS, & RUBBER - 9.7% | ||||||||
Archroma Finance SARL (Luxembourg) | ||||||||
First Lien Term Loan B2, (3M LIBOR + 4.25%, 0.00% Floor), 5.43%, 08/12/24 (c)(e) | 3,894,654 | 3,738,868 | ||||||
Geon Performance Solutions, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.50%, 0.75% Floor), 6.17%, 08/18/28 (c) | 3,317,315 | 3,151,450 | ||||||
LSF11 A5 Holdco LLC | ||||||||
First Lien Term Loan, (1M SOFR + 3.50%, 0.50% Floor), 5.14%, 10/15/28 (c) | 7,040,883 | 6,607,446 | ||||||
Luxembourg Investment Company 428 SARL (Luxembourg) | ||||||||
First Lien Term Loan B, (3M SOFR + 5.00%, 0.50% Floor), 7.05%, 01/03/29 (c)(e) | 4,359,375 | 4,119,609 | ||||||
Olympus Water US Holding Corporation | ||||||||
First Lien Term Loan, (3M SOFR + 4.50%, 0.50% Floor), 6.65%, 11/09/28 (c) | 2,422,499 | 2,280,177 | ||||||
First Lien Term Loan, (3M LIBOR + 3.75%, 0.50% Floor), 6.06%, 11/09/28 (c) | 427,497 | 399,443 | ||||||
W.R. Grace Holdings, LLC | ||||||||
First Lien Term Loan B, (3M LIBOR + 3.75%, 0.50% Floor), 6.06%, 09/22/28 (c) | 1,442,985 | 1,373,361 | ||||||
21,670,354 | ||||||||
CONSTRUCTION & BUILDING - 2.7% | ||||||||
Associated Asphalt Partners, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 5.25%, 1.00% Floor), 6.92%, 04/05/24 (c) | 6,701,215 | 4,784,198 |
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
CONSTRUCTION & BUILDING (continued) | ||||||||
Oscar Acquisitionco, LLC | ||||||||
First Lien Term Loan, (SOFR + 4.50%, 0.50% Floor), 6.01%, 04/29/29 (c) | 1,313,775 | 1,179,113 | ||||||
5,963,311 | ||||||||
CONSUMER GOODS: DURABLE - 0.5% | ||||||||
Mattress Firm, Inc. | ||||||||
First Lien Term Loan B, (6M LIBOR + 4.25%, 0.75% Floor), 5.64%, 09/25/28 (c) | 1,383,239 | 1,199,960 | ||||||
CONSUMER GOODS: NON-DURABLE - 1.7% | ||||||||
ABG Intermediate Holdings 2 LLC | ||||||||
First Lien Term Loan, (1M SOFR + 3.50%, 0.50% Floor), 5.13%, 12/21/28 (c) | 2,383,562 | 2,234,589 | ||||||
Second Lien Term Loan, (1M SOFR + 6.00%, 0.50% Floor), 7.63%, 12/20/29 (c)(d) | 1,710,576 | 1,599,389 | ||||||
3,833,978 | ||||||||
CONTAINERS, PACKAGING & GLASS - 10.5% | ||||||||
Anchor Glass Container Corp. | ||||||||
First Lien Term Loan, (1M/3M LIBOR + 2.75%, 1.00% Floor), 3.76%, 12/07/23 (b)(c) | 4,265,985 | 3,469,590 | ||||||
First Lien Term Loan, (1M LIBOR + 5.00%, 1.00% Floor), 6.01%, 12/07/23 (c) | 1,586,278 | 1,272,988 | ||||||
Berlin Packaging LLC | ||||||||
First Lien Term Loan B, (1M/3M LIBOR + 3.75%, 0.50% Floor), 4.89%, 03/11/28 (c) | 4,332,239 | 4,043,409 | ||||||
Iris Holding, Inc. | ||||||||
First Lien Term Loan, (SOFR + 4.75%, 0.50% Floor), 6.34%, 06/15/28 (c) | 1,630,000 | 1,492,811 | ||||||
LABL, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 5.00%, 0.50% Floor), 6.67%, 10/29/28 (c) | 5,648,227 | 5,245,791 | ||||||
MAR Bidco SARL (Luxembourg) | ||||||||
First Lien Term Loan, (3M LIBOR + 4.05%, 0.50% Floor), 6.30%, 07/07/28 (c)(e) | 2,911,410 | 2,707,612 | ||||||
Trident TPI Holdings, Inc. | ||||||||
First Lien Delayed Draw Term Loan B3, (3M LIBOR + 4.00%, 0.50% Floor), 6.25%, 09/15/28 (c) | 471,448 | 443,632 | ||||||
First Lien Term Loan B3, (3M LIBOR + 4.00%, 0.50% Floor), 6.25%, 09/15/28 (c) | 5,287,683 | 4,975,710 | ||||||
23,651,543 | ||||||||
Principal Amount ($) | Value ($) | |||||||
ENVIRONMENTAL INDUSTRIES - 2.7% | ||||||||
Dispatch Acquisition Holdings, LLC | ||||||||
First Lien Term Loan, (1M SOFR + 4.78%, 0.75% Floor), 6.83%, 03/27/28 (c)(d) | 500,000 | 460,000 | ||||||
First Lien Term Loan B, (3M LIBOR + 4.25%, 0.75% Floor), 6.50%, 03/27/28 (c) | 2,970,000 | 2,702,700 | ||||||
LTR Intermediate Holdings, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 4.50%, 1.00% Floor), 6.75%, 05/05/28 (c) | 3,226,946 | 2,968,791 | ||||||
6,131,491 | ||||||||
FOREST PRODUCTS & PAPER - 1.1% | ||||||||
Spa US Holdco, Inc. (Finland) | ||||||||
First Lien Term Loan B, (3M LIBOR + 3.75%, 0.75% Floor), 6.00%, 02/04/28 (c)(e) | 2,677,095 | 2,496,391 | ||||||
HEALTHCARE & PHARMACEUTICALS - 18.8% | ||||||||
Athenahealth, Inc. | ||||||||
First Lien Term Loan B, (1M SOFR + 3.50%, 0.50% Floor), 5.01%, 02/15/29 (c) | 5,102,026 | 4,713,022 | ||||||
Azurity Pharmaceuticals, Inc. | ||||||||
First Lien Term Loan B, (3M LIBOR + 6.00%, 0.75% Floor), 8.31%, 09/20/27 (c)(d) | 2,089,285 | 1,984,820 | ||||||
Bausch Health Companies, Inc. | ||||||||
First Lien Term Loan B, (1M SOFR + 5.25%, 0.50% Floor), 6.55%, 02/01/27 (b)(c) | 4,068,337 | 3,505,258 | ||||||
CHG Healthcare Services, Inc. | ||||||||
First Lien Term Loan, (6M LIBOR + 3.25%, 0.50% Floor), 4.75%, 09/29/28 (c) | 3,951,006 | 3,747,529 | ||||||
Gainwell Acquisition Corporation | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.00%, 0.75% Floor), 6.25%, 10/01/27 (c) | 8,607,575 | 8,163,768 | ||||||
Loire Finco Luxembourg SARL (United Kingdom) | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 5.42%, 04/21/27 (c)(e) | 1,975,125 | 1,866,493 | ||||||
LSCS Holdings, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 4.50%, 0.50% Floor), 6.73%, 12/16/28 (c) | 2,031,675 | 1,940,249 | ||||||
MPH Acquisition Holdings, LLC | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.25%, 0.50% Floor), 5.82%, 09/01/28 (c) | 3,017,722 | 2,786,866 | ||||||
Pacira Biosciences, Inc. | ||||||||
First Lien Term Loan, (3M SOFR + 7.00%, 0.75% Floor), 7.81%, 12/07/26 (c)(d) | 1,907,116 | 1,864,206 |
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
HEALTHCARE & PHARMACEUTICALS (continued) | ||||||||
Phoenix Newco, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.25%, 0.50% Floor), 4.92%, 11/15/28 (c) | 5,252,931 | 4,946,948 | ||||||
Resonetics, LLC | ||||||||
First Lien Term Loan, (3M LIBOR + 4.00%, 0.75% Floor), 5.24%, 04/28/28 (c) | 3,970,000 | 3,781,425 | ||||||
Sunshine Luxembourg VII SARL (Luxembourg) | ||||||||
First Lien Term Loan B-3, (3M LIBOR + 3.75%, 0.75% Floor), 6.00%, 10/01/26(c)(e) | 2,992,424 | 2,779,738 | ||||||
42,080,322 | ||||||||
HIGH TECH INDUSTRIES - 22.8% | ||||||||
Anaplan, Inc. | ||||||||
First Lien Term Loan, (SOFR + 6.50%, 0.75% Floor), 8.01%, 06/21/28 (c)(d) | 5,650,529 | 5,537,518 | ||||||
Atlas CC Acquisition Corp. | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 (c) | 3,207,553 | 2,973,017 | ||||||
First Lien Term Loan C, (3M LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 (c) | 652,384 | 604,681 | ||||||
DCert Buyer, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 4.00%, 0.00% Floor), 5.67%, 10/16/26 (c) | 4,639,776 | 4,447,550 | ||||||
Second Lien Term Loan, (1M LIBOR + 7.00%, 0.00% Floor), 8.67%, 02/19/29 (c) | 3,927,401 | 3,672,120 | ||||||
Electronics for Imaging, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 5.00%, 0.00% Floor), 6.67%, 07/23/26 (c) | 4,965,686 | 4,452,582 | ||||||
Flexera Software LLC | ||||||||
First Lien Term Loan B, (3M LIBOR + 3.75%, 0.75% Floor), 5.37%, 03/03/28 (c) | 5,417,834 | 5,148,297 | ||||||
Greeneden U.S. Holdings II, LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/01/27 (c) | 2,209,912 | 2,119,306 | ||||||
Imperva, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 4.00%, 1.00% Floor), 5.40%, 01/12/26 (b)(c) | 5,508,037 | 4,973,757 | ||||||
Imprivata, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 0.50% Floor), 5.42%, 12/01/27 (c) | 497,481 | 479,139 | ||||||
Second Lien Term Loan, (1M SOFR + 6.25%, 0.50% Floor), 7.78%, 12/01/28 (c)(d) | 2,205,882 | 2,216,912 |
Principal Amount ($) | Value ($) | |||||||
HIGH TECH INDUSTRIES (continued) | ||||||||
Riverbed Technology, Inc. | ||||||||
First Lien Exit Term Loan, (2.00% PIK), (3M LIBOR + 6.00%, 1.00% Floor), 7.63%, 12/07/26 (c)(d)(f) | 823,185 | 493,656 | ||||||
Sovos Compliance, LLC | ||||||||
First Lien Delayed Draw Term Loan, (1M LIBOR + 4.50%, 0.50% Floor), 6.15%, 08/11/28 (c) | 368,151 | 347,788 | ||||||
First Lien Term Loan, (1M LIBOR + 4.50%, 0.50% Floor), 6.17%, 08/11/28 (c) | 2,121,190 | 2,003,867 | ||||||
UKG, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 0.00% Floor), 5.42%, 05/04/26 (c) | 7,670,882 | 7,270,117 | ||||||
Second Lien Term Loan, (3M LIBOR + 5.25%, 0.50% Floor), 6.21%, 05/03/27 (c) | 1,000,000 | 930,500 | ||||||
Virtusa Corporation | ||||||||
First Lien Term Loan, (1M SOFR + 3.75%, 0.75% Floor), 5.38%, 02/15/29 (c) | 3,768,077 | 3,573,399 | ||||||
51,244,206 | ||||||||
HOTEL, GAMING & LEISURE - 5.0% | ||||||||
Caesars Resort Collection, LLC | ||||||||
First Lien Term Loan B1, (1M LIBOR + 3.50%, 0.00% Floor), 5.17%, 07/21/25 (c) | 4,276,203 | 4,132,416 | ||||||
Fertitta Entertainment, LLC | ||||||||
First Lien Term Loan B, (1M SOFR + 4.00%, 0.50% Floor), 5.53%, 01/27/29 (c) | 5,483,466 | 5,072,233 | ||||||
The Enterprise Development Authority | ||||||||
First Lien Term Loan, (1M LIBOR + 4.25%, 0.75% Floor), 5.92%, 02/28/28 (c) | 1,993,481 | 1,913,124 | ||||||
11,117,773 | ||||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 5.1% | ||||||||
Associations Inc. | ||||||||
First Lien Term Loan, (2.50% PIK), (3M/6M LIBOR + 6.50%, 1.00% Floor), 7.50%, 07/02/27 (c)(d)(f) | 3,000,000 | 2,970,000 | ||||||
Houghton Mifflin Harcourt Company | ||||||||
First Lien Term Loan B, (1M SOFR + 5.25%, 0.50% Floor), 6.88%, 04/09/29 (c) | 4,180,581 | 3,801,737 | ||||||
McGraw-Hill Education, Inc. | ||||||||
First Lien Term Loan, (6M LIBOR + 4.75%, 0.50% Floor), 5.55%, 07/28/28 (c) | 5,179,852 | 4,705,015 | ||||||
11,476,752 | ||||||||
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 2.2% | ||||||||
Anuvu Holdings 2, LLC | ||||||||
First Lien Delayed Draw Term Loan, (3M LIBOR + 7.00%, 1.00% Floor), 9.15%, 09/25/23 (c)(d) | 74,320 | 72,090 | ||||||
First Lien Term Loan, (3M LIBOR + 8.00%, 1.00% Floor), 10.15%, 03/24/25 (c) | 2,479,047 | 2,423,269 | ||||||
First Lien Term Loan, (6.75% PIK), (3M LIBOR + 8.25%, 1.00% Floor), 10.40%, 03/23/26 (c)(d)(f) | 2,006,544 | 1,785,824 | ||||||
Univision Communications Inc. | ||||||||
First Lien Term Loan B, (3M SOFR + 4.25%, 0.50% Floor), 6.25%, 06/24/29 (c) | 659,340 | 630,217 | ||||||
4,911,400 | ||||||||
RETAIL - 5.2% | ||||||||
Charming Charlie, LLC | ||||||||
First Lien Delayed Draw Term Loan, 0.00%, 05/28/22 (d)(g)(h)(j) | 196,013 | — | ||||||
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 | — | ||||||
Claire’s Stores, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 6.50%, 0.00% Floor), 8.17%, 12/18/26 (c) | 1,034,392 | 986,120 | ||||||
Petco Health and Wellness Company, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 3.25%, 0.75% Floor), 5.50%, 03/03/28 (c) | 3,975,930 | 3,757,870 | ||||||
PetSmart, Inc. | ||||||||
First Lien Term Loan, (6M LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/11/28 (c) | 4,762,794 | 4,497,268 | ||||||
Tory Burch LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 3.00%, 0.50% Floor), 4.67%, 04/16/28 (c) | 2,749,040 | 2,478,438 | ||||||
11,719,696 | ||||||||
SERVICES: BUSINESS - 18.4% | ||||||||
Advantage Sales & Marketing Inc. | ||||||||
First Lien Term Loan B1, (1M LIBOR + 4.50%, 0.75% Floor), 6.17%, 10/28/27 (c) | 3,974,103 | 3,667,103 |
Principal Amount ($) | Value ($) | |||||||
SERVICES: BUSINESS (continued) | ||||||||
Allied Universal Holdco LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 0.50% Floor), 5.42%, 05/12/28 (b)(c) | 1,910,015 | 1,754,826 | ||||||
CareStream Health, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 7.25%, 1.00% Floor), 9.50%, 05/08/23 (c) | 118,633 | 118,010 | ||||||
Second Lien Term Loan, (8.00% PIK), (3M LIBOR + 12.50%, 1.00% Floor), 14.75%, 08/08/23 (c)(d)(f) | 2,632,311 | 1,855,779 | ||||||
Central Parent Inc | ||||||||
First Lien Term Loan B, (SOFR + 4.50%, 0.50% Floor), 5.00%, 06/08/29 (b)(c) | 2,660,720 | 2,522,376 | ||||||
Deerfield Dakota Holding, LLC | ||||||||
First Lien Term Loan, (1M SOFR + 3.75%, 1.00% Floor), 5.28%, 04/09/27 (c) | 6,302,253 | 5,918,225 | ||||||
eResearchTechnology, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.50%, 1.00% Floor), 6.17%, 02/04/27 (c) | 3,889,051 | 3,603,051 | ||||||
Garda World Security Corporation (Canada) | ||||||||
First Lien Term Loan B, (1M SOFR + 4.25%, 0.00% Floor), 5.75%, 02/01/29 (c)(e) | 1,734,748 | 1,600,305 | ||||||
First Lien Term Loan B2, (1M LIBOR + 4.25%, 0.00% Floor), 5.90%, 10/30/26 (c)(e) | 8,539,602 | 7,941,830 | ||||||
Ingenovis Health, Inc. | ||||||||
First Lien Term Loan B, (3M LIBOR + 3.75%, 0.75% Floor), 6.01%, 03/06/28 (c) | 3,973,839 | 3,780,114 | ||||||
Solera, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.00%, 0.50% Floor), 5.67%, 06/02/28 (c) | 4,043,898 | 3,748,552 | ||||||
Second Lien Term Loan, (3M LIBOR + 8.00%, 1.00% Floor), 9.00%, 06/04/29 (c) | 4,898,633 | 4,883,350 | ||||||
41,393,521 | ||||||||
SERVICES: CONSUMER - 1.1% | ||||||||
2U, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 5.75%, 0.75% Floor), 8.00%, 12/30/24 (c)(d) | 2,425,500 | 2,401,245 | ||||||
TELECOMMUNICATIONS - 6.6% | ||||||||
Flight Bidco, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.50%, 0.00% Floor), 5.17%, 07/23/25 (c) | 2,618,211 | 2,457,309 | ||||||
MLN US HoldCo LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 4.50%, 0.00% Floor), 5.62%, 11/30/25 (c)(d) | 4,050,526 | 2,794,863 |
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
TELECOMMUNICATIONS (continued) | ||||||||
Orbcomm, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 4.25%, 0.75% Floor), 5.92%, 09/01/28 (c) | 1,019,434 | 948,925 | ||||||
Radiate Holdco, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.25%, 0.75% Floor), 4.92%, 09/25/26 (c) | 2,286,672 | 2,131,899 | ||||||
U.S. TelePacific Corp. | ||||||||
First Lien Term Loan, (7.25% PIK), (3M SOFR + 8.25%, 1.00% Floor), 9.25%, 05/01/26 (c)(d)(f) | 5,914,328 | 2,966,035 | ||||||
Zacapa SARL (Luxembourg) | ||||||||
First Lien Term Loan, (3M SOFR + 4.25%, 0.50% Floor), 6.30%, 03/22/29 (c)(e) | 2,662,619 | 2,493,875 | ||||||
Zayo Group Holdings, Inc. | ||||||||
First Lien Term Loan, (1M SOFR + 4.25%, 0.50% Floor), 5.78%, 03/09/27 (c) | 1,028,103 | 963,631 | ||||||
14,756,537 | ||||||||
TRANSPORTATION: CONSUMER - 5.2% | ||||||||
The Hertz Corporation | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.25%, 0.50% Floor), 4.92%, 06/30/28 (c) | 3,215,268 | 3,037,271 | ||||||
First Lien Term Loan C, (1M LIBOR + 3.25%, 0.50% Floor), 4.92%, 06/30/28 (c) | 612,075 | 578,191 | ||||||
Travel Leaders Group, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.00%, 0.00% Floor), 5.67%, 01/25/24 (c) | 3,956,176 | 3,548,195 | ||||||
United Airlines, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 5.39%, 04/21/28 (c) | 4,796,378 | 4,478,642 | ||||||
11,642,299 | ||||||||
UTILITIES: ELECTRIC - 1.3% | ||||||||
Talen Energy Supply, LLC | ||||||||
First Lien Delayed Draw Term Loan, (3M SOFR + 4.75%, 0.75% Floor), 6.68%, 11/13/23 (b)(c) | 2,898,491 | 2,873,129 | ||||||
WHOLESALE - 2.8% | ||||||||
LBM Acquisition, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/17/27 (b)(c) | 7,473,853 | 6,162,453 | ||||||
Total Senior Loans (Cost $353,993,909) | 326,678,235 | |||||||
Principal Amount ($) | Value ($) | |||||||
Corporate Notes and Bonds - 8.9% | ||||||||
AUTOMOTIVE - 1.7% | ||||||||
Carvana Co. | ||||||||
10.25%, 05/01/30 (h)(i) | 4,735,000 | 3,898,373 | ||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE - 0.3% | ||||||||
KCF Puerto Rico, LLC (Puerto Rico) | ||||||||
0.00%, 06/28/28 (d)(e)(j) | 1,328,370 | 765,531 | ||||||
CONTAINERS, PACKAGING & GLASS - 0.4% | ||||||||
LABL, Inc. | ||||||||
5.88%, 11/01/28 (h)(i) | 1,000,000 | 809,302 | ||||||
ENERGY: OIL & GAS - 1.3% | ||||||||
Moss Creek Resources Holdings, Inc. | ||||||||
7.50%, 01/15/26 (h)(i) | 483,000 | 432,841 | ||||||
10.50%, 05/15/27 (h)(i) | 2,538,000 | 2,401,760 | ||||||
2,834,601 | ||||||||
FOREST PRODUCTS & PAPER - 0.6% | ||||||||
Spa US Holdco, Inc. (Finland) | ||||||||
4.88%, 02/04/28 (e)(h)(i) | 1,500,000 | 1,263,187 | ||||||
HEALTHCARE & PHARMACEUTICALS - 0.8% | ||||||||
Athenahealth, Inc. | ||||||||
6.50%, 02/15/30 (h)(i) | 995,000 | 830,372 | ||||||
Embecta Corp. | ||||||||
5.00%, 02/15/30 (h)(i) | 1,063,000 | 894,032 | ||||||
1,724,404 | ||||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.4% | ||||||||
McGraw-Hill Education, Inc. | ||||||||
5.75%, 08/01/28 (h)(i) | 1,000,000 | 858,195 | ||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 0.7% | ||||||||
CSC Holdings, LLC | ||||||||
4.13%, 12/01/30 (h)(i) | 2,000,000 | 1,565,360 | ||||||
METALS & MINING - 0.0% | ||||||||
ERP Iron Ore, LLC | ||||||||
LIBOR + 8.00%, 0.00%, 12/31/19 (d)(g)(j) | 18,879 | — | ||||||
Magnetation, LLC / Mag Finance Corp. | ||||||||
0.00%, 05/15/18 (d)(g)(h)(i)(j) | 639,000 | — | ||||||
— | ||||||||
SERVICES: BUSINESS - 1.6% | ||||||||
Advantage Sales & Marketing Inc. | ||||||||
6.50%, 11/15/28 (h)(i) | 3,250,000 | 2,792,400 | ||||||
Allied Universal Holdco LLC | ||||||||
4.63%, 06/01/28 (h)(i) | 1,000,000 | 827,623 | ||||||
3,620,023 | ||||||||
Principal Amount ($) | Value ($) | |||||||
Corporate Notes and Bonds (continued) | ||||||||
TELECOMMUNICATIONS - 1.1% | ||||||||
Frontier Communications Holdings, LLC | ||||||||
5.00%, 05/01/28 (h)(i) | 3,042,000 | 2,592,575 | ||||||
Total Corporate Notes and Bonds (Cost $22,117,358) | 19,931,551 | |||||||
Quantity | Value ($) | |||||||
Common Stocks - 0.9% | ||||||||
AUTOMOTIVE - 0.0% | ||||||||
APC Parent, Inc. (d) | 241,972 | — | ||||||
ENERGY: OIL & GAS - 0.0% | ||||||||
RDV Resources, Inc. (d) | 28,252 | 77,693 | ||||||
HIGH TECH INDUSTRIES - 0.1% | ||||||||
Riverbed Holdings, Inc. (j) | 32,644 | 105,114 | ||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.0% | ||||||||
Acosta, Inc. (d)(j) | 3,133 | 25,253 | ||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 0.8% | ||||||||
Anuvu Corp. (d)(j) | 108,418 | 1,804,075 | ||||||
RETAIL - 0.0% | ||||||||
Charming Charlie, LLC (d)(j) | 8,890,519 | — | ||||||
Total Common Stocks (Cost $4,570,541) | 2,012,135 | |||||||
Quantity | Value ($) | |||||||
Preferred Stocks - 0.6% | ||||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE - 0.4% | ||||||||
Somers Group Holdings Ltd. (Bermuda) | ||||||||
(LIBOR + 6.68%, 1.00 Floor), 7.68% (d)(e) | 37,863 | 903,979 | ||||||
HIGH TECH INDUSTRIES - 0.1% | ||||||||
Riverbed Holdings, Inc. (d) | 22,342 | 281,733 | ||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.1% | ||||||||
Acosta, Inc., (14.50% PIK) (d)(f)(h) | 3,353 | 155,129 | ||||||
Total Preferred Stocks (Cost $1,644,911) | 1,340,841 | |||||||
Warrants - 0.0% | ||||||||
SERVICES: BUSINESS - 0.0% | ||||||||
CareStream Health, Inc. (d)(j) | 79 | — | ||||||
Total Warrants (Cost $0) | — | |||||||
Total Investments-156.0% | 349,962,762 | |||||||
(Cost of $382,326,719) | ||||||||
Other Assets & Liabilities, Net-1.9% | 4,392,791 | |||||||
Loan Outstanding-(57.9)% (k)(l) | (129,974,335 | ) | ||||||
Net Assets (Applicable to Common Shares)-100.0% | 224,381,218 | |||||||
(a) | “Senior Loans” are senior, secured loans made to companies whose debt is below investment grade as well as investments with similar economic characteristics. Senior Loans typically hold a first lien priority and, unless otherwise indicated, are required to pay interest at floating rates that are periodically reset by reference to a base lending rate plus a spread. In some instances, the rates shown represent the weighted average rate as of June 30, 2022. 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”); however the Secured Overnight Financing Rate (“SOFR”) or the prime rate offered by one or more major U.S. banks (“Prime”) may also be used. 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 June 30, 2022, the 1, 3 and 6 month LIBOR rates were 1.79%, 2.29% and 2.94%, respectively, the 1, 3 and 6 month SOFR rates were 1.69%, 2.12% and 2.63%, respectively, and the Prime lending rate was 4.75%. 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 |
(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 June 30, 2022, these securities amounted to $19,166,020, or 8.54% 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 $25,665. |
Principal Amount ($) | Value ($) | |||||||
Senior Loans - 113.9% (a) | ||||||||
AEROSPACE & DEFENSE - 6.6% | ||||||||
Maxar Technologies Inc. | ||||||||
First Lien Term Loan B, (1M SOFR + 4.25%, 0.50% Floor), 5.88%, 06/14/29 (b)(c) | 1,147,214 | 1,090,811 | ||||||
Peraton Corporation | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/01/28 (c) | 7,564,896 | 7,124,506 | ||||||
Vertex Aerospace Services Corp. | ||||||||
First Lien Term Loan, (1M LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/06/28 (c) | 4,313,270 | 4,105,716 | ||||||
First Lien Term Loan, (SOFR + 4.00%, 0.75% Floor), 4.75%, 12/06/28 (b)(c) | 1,167,881 | 1,118,246 | ||||||
13,439,279 | ||||||||
AUTOMOTIVE - 1.1% | ||||||||
Truck Hero, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.50%, 0.75% Floor), 5.17%, 01/31/28 (b)(c) | 2,425,354 | 2,179,181 | ||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE - 5.8% | ||||||||
Alliant Holdings Intermediate, LLC | ||||||||
First Lien Term Loan B4, (1M LIBOR + 3.50%, 0.50% Floor), 5.01%, 11/05/27 (b)(c) | 2,989,962 | 2,790,382 | ||||||
Asurion, LLC | ||||||||
First Lien Term Loan B8, (1M LIBOR + 3.25%, 0.00% Floor), 4.92%, 12/23/26 (b)(c) | 2,698,746 | 2,454,186 | ||||||
Second Lien Term Loan B3, (1M LIBOR + 5.25%, 0.00% Floor), 6.92%, 01/31/28 (c) | 918,120 | 788,436 | ||||||
Second Lien Term Loan B4, (1M LIBOR + 5.25%, 0.00% Floor), 6.92%, 01/20/29 (c) | 3,079,570 | 2,631,492 | ||||||
The Edelman Financial Center, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.50%, 0.75% Floor), 5.17%, 04/07/28 (c) | 997,481 | 925,787 | ||||||
Second Lien Term Loan, (1M LIBOR + 6.75%, 0.00% Floor), 8.42%, 07/20/26 (c) | 2,428,369 | 2,237,136 | ||||||
11,827,419 | ||||||||
BEVERAGE, FOOD & TOBACCO - 1.0% | ||||||||
Ultimate Baked Goods Midco LLC | ||||||||
First Lien Revolving Term Loan, (1M LIBOR + 6.37%, 1.00% Floor), 8.03%, 08/13/27 (c)(d) | 149,189 | 144,937 | ||||||
First Lien Term Loan L, (1M LIBOR + 6.50%, 1.00% Floor), 8.17%, 08/13/27 (c)(d) | 2,041,095 | 1,982,924 | ||||||
2,127,861 | ||||||||
Principal Amount ($) | Value ($) | |||||||
CAPITAL EQUIPMENT - 3.2% | ||||||||
Pro Mach Group, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.00%, 1.00% Floor), 5.67%, 08/31/28 (b)(c) | 3,532,684 | 3,341,707 | ||||||
Safe Fleet Holdings, LLC | ||||||||
Second Lien Term Loan, (6M LIBOR + 6.75%, 1.00% Floor), 7.75%, 02/02/26 (c) | 1,403,846 | 1,328,979 | ||||||
SPX Flow, Inc. | ||||||||
First Lien Term Loan, (1M SOFR + 4.50%, 0.50% Floor), 6.13%, 04/05/29 (c) | 1,993,588 | 1,863,008 | ||||||
6,533,694 | ||||||||
CHEMICALS, PLASTICS, & RUBBER - 7.0% | ||||||||
Geon Performance Solutions, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.50%, 0.75% Floor), 6.17%, 08/18/28 (c) | 3,317,315 | 3,151,450 | ||||||
LSF11 A5 Holdco LLC | ||||||||
First Lien Term Loan, (1M SOFR + 3.50%, 0.50% Floor), 5.14%, 10/15/28 (c) | 5,985,000 | 5,616,563 | ||||||
Luxembourg Investment Company 428 SARL (Luxembourg) | ||||||||
First Lien Term Loan B, (3M SOFR + 5.00%, 0.50% Floor), 7.05%, 01/03/29 (c)(e) | 4,359,375 | 4,119,609 | ||||||
W.R. Grace Holdings, LLC | ||||||||
First Lien Term Loan B, (3M LIBOR + 3.75%, 0.50% Floor), 6.06%, 09/22/28 (c) | 1,442,985 | 1,373,361 | ||||||
14,260,983 | ||||||||
CONSTRUCTION & BUILDING - 4.6% | ||||||||
Associated Asphalt Partners, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 5.25%, 1.00% Floor), 6.92%, 04/05/24 (c) | 6,489,250 | 4,632,870 | ||||||
Keystone Acquisition Corp. | ||||||||
First Lien Term Loan, (3M LIBOR + 5.75%, 0.75% Floor), 7.95%, 01/26/29 (c)(d) | 4,011,685 | 3,991,626 | ||||||
Oscar Acquisitionco, LLC | ||||||||
First Lien Term Loan, (SOFR + 4.50%, 0.50% Floor), 6.01%, 04/29/29 (c) | 875,850 | 786,076 | ||||||
9,410,572 | ||||||||
CONSUMER GOODS: DURABLE - 0.6% | ||||||||
Mattress Firm, Inc. | ||||||||
First Lien Term Loan B, (6M LIBOR + 4.25%, 0.75% Floor), 5.64%, 09/25/28 (c) | 1,383,239 | 1,199,960 | ||||||
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
CONSUMER GOODS: NON-DURABLE - 0.8% | ||||||||
ABG Intermediate Holdings 2 LLC | ||||||||
Second Lien Term Loan, (1M SOFR + 6.00%, 0.50% Floor), 7.63%, 12/20/29 (c)(d) | 1,710,576 | 1,599,389 | ||||||
CONTAINERS, PACKAGING & GLASS - 5.4% | ||||||||
Anchor Glass Container Corp. | ||||||||
First Lien Term Loan, (1M/3M LIBOR + 2.75%, 1.00% Floor), 3.76%, 12/07/23 (b)(c) | 4,178,805 | 3,398,685 | ||||||
First Lien Term Loan, (1M LIBOR + 5.00%, 1.00% Floor), 6.01%, 12/07/23 (c) | 1,494,176 | 1,199,077 | ||||||
Iris Holding, Inc. | ||||||||
First Lien Term Loan, (SOFR + 4.75%, 0.50% Floor), 6.34%, 06/15/28 (c) | 1,630,000 | 1,492,811 | ||||||
LABL, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 5.00%, 0.50% Floor), 6.67%, 10/29/28 (c) | 5,270,174 | 4,894,674 | ||||||
10,985,247 | ||||||||
ENVIRONMENTAL INDUSTRIES - 1.5% | ||||||||
LTR Intermediate Holdings, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 4.50%, 1.00% Floor), 6.75%, 05/05/28 (c) | 3,226,946 | 2,968,791 | ||||||
FOREST PRODUCTS & PAPER - 2.1% | ||||||||
Spa US Holdco, Inc. (Finland) | ||||||||
First Lien Term Loan B, (3M LIBOR + 3.75%, 0.75% Floor), 6.00%, 02/04/28 (b)(c)(e) | 4,667,107 | 4,352,078 | ||||||
HEALTHCARE & PHARMACEUTICALS - 16.2% | ||||||||
Athenahealth, Inc. | ||||||||
First Lien Term Loan B, (1M SOFR + 3.50%, 0.50% Floor), 5.01%, 02/15/29 (c) | 3,906,532 | 3,608,679 | ||||||
Azurity Pharmaceuticals, Inc. | ||||||||
First Lien Term Loan B, (3M LIBOR + 6.00%, 0.75% Floor), 8.31%, 09/20/27 (c)(d) | 2,646,427 | 2,514,105 | ||||||
Bausch Health Companies, Inc. | ||||||||
First Lien Term Loan B, (1M SOFR + 5.25%, 0.50% Floor), 6.55%, 02/01/27 (b)(c) | 3,218,843 | 2,773,339 | ||||||
Gainwell Acquisition Corporation | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.00%, 0.75% Floor), 6.25%, 10/01/27 (c) | 8,607,575 | 8,163,768 | ||||||
Gateway US Holdings, Inc. | ||||||||
First Lien Delayed Draw Term Loan, (SOFR + 5.50%, 0.75% Floor), 8.33%, 09/22/24 (c)(d) | 151,994 | 150,474 | ||||||
First Lien Revolving Term Loan, (SOFR + 5.50%, 0.75% Floor), 8.23%, 09/22/24 (c)(d) | 5,634 | 5,578 |
Principal Amount ($) | Value ($) | |||||||
HEALTHCARE & PHARMACEUTICALS (continued) | ||||||||
Gateway US Holdings, Inc. (continued) | ||||||||
First Lien Term Loan, (SOFR + 5.50%, 0.75% Floor), 7.70%, 09/22/24 (c)(d) | 2,803,061 | 2,775,031 | ||||||
Inovalon Holdings, Inc. | ||||||||
First Lien Term Loan, (2.75% PIK), (1M LIBOR + 6.25%, 0.75% Floor), 7.22%, 11/24/28 (c)(d)(f) | 6,280,151 | 6,123,147 | ||||||
Second Lien Term Loan, (10.50% PIK), (1M LIBOR + 10.50%, 0.75% Floor), 12.13%, 11/25/33 (c)(d)(f) | 106,781 | 98,772 | ||||||
Pacira Biosciences, Inc. | ||||||||
First Lien Term Loan, (3M SOFR + 7.00%, 0.75% Floor), 7.81%, 12/07/26 (c)(d) | 1,907,116 | 1,864,205 | ||||||
Tivity Health, Inc. | ||||||||
First Lien Term Loan, (3M SOFR + 6.00%, 0.75% Floor), 8.01%, 06/28/29 (c)(d) | 5,000,000 | 4,925,000 | ||||||
33,002,098 | ||||||||
HIGH TECH INDUSTRIES - 19.5% | ||||||||
Anaplan, Inc. | ||||||||
First Lien Term Loan, (SOFR + 6.50%, 0.75% Floor), 8.01%, 06/21/28 (c)(d) | 5,650,529 | 5,537,518 | ||||||
DCert Buyer, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 4.00%, 0.00% Floor), 5.67%, 10/16/26 (c) | 4,176,883 | 4,003,834 | ||||||
Second Lien Term Loan, (1M LIBOR + 7.00%, 0.00% Floor), 8.67%, 02/19/29 (c) | 3,933,068 | 3,677,419 | ||||||
Greeneden U.S. Holdings II, LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/01/27 (c) | 2,992,424 | 2,869,735 | ||||||
Imperva, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 4.00%, 1.00% Floor), 5.40%, 01/12/26 (c) | 6,799,683 | 6,140,114 | ||||||
Imprivata, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 0.50% Floor), 5.42%, 12/01/27 (c) | 497,481 | 479,139 | ||||||
Second Lien Term Loan, (1M SOFR + 6.25%, 0.50% Floor), 7.78%, 12/01/28 (c)(d) | 2,205,882 | 2,216,911 | ||||||
IQN Holding Corp. | ||||||||
First Lien Term Loan, (3M SOFR + 5.50%, 0.75% Floor), 6.90%, 05/02/29 (c)(d) | 3,877,005 | 3,838,235 | ||||||
Riverbed Technology, Inc. | ||||||||
First Lien Exit Term Loan, (2.00% PIK), (3M LIBOR + 6.00%, 1.00% Floor), 7.63%, 12/07/26 (c)(d)(f) | 734,986 | 440,764 |
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
HIGH TECH INDUSTRIES (continued) | ||||||||
Sovos Compliance, LLC | ||||||||
First Lien Delayed Draw Term Loan, (1M LIBOR + 4.50%, 0.50% Floor), 6.15%, 08/11/28 (c) | 368,151 | 347,788 | ||||||
First Lien Term Loan, (1M LIBOR + 4.50%, 0.50% Floor), 6.17%, 08/11/28 (c) | 2,121,190 | 2,003,867 | ||||||
UKG, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 0.00% Floor), 5.42%, 05/04/26 (c) | 3,850,187 | 3,649,034 | ||||||
Second Lien Term Loan, (3M LIBOR + 5.25%, 0.50% Floor), 6.21%, 05/03/27 (c) | 2,000,000 | 1,861,000 | ||||||
Virtusa Corporation | ||||||||
First Lien Term Loan, (1M SOFR + 3.75%, 0.75% Floor), 5.38%, 02/15/29 (c) | 2,770,577 | 2,627,435 | ||||||
39,692,793 | ||||||||
HOTEL, GAMING & LEISURE - 2.3% | ||||||||
Fertitta Entertainment, LLC | ||||||||
First Lien Term Loan B, (1M SOFR + 4.00%, 0.50% Floor), 5.53%, 01/27/29 (c) | 2,989,716 | 2,765,502 | ||||||
The Enterprise Development Authority | ||||||||
First Lien Term Loan, (1M LIBOR + 4.25%, 0.75% Floor), 5.92%, 02/28/28 (c) | 1,993,481 | 1,913,124 | ||||||
4,678,626 | ||||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 10.9% | ||||||||
Accelerate360 Holdings, LLC | ||||||||
First Lien Revolving Term Loan, (SOFR + 5.50%, 0.00% Floor), 7.23%, 02/11/27 (c)(d) | 890,529 | 890,529 | ||||||
First Lien Term Loan L, (SOFR + 5.50%, 0.00% Floor), 7.23%, 02/11/27 (c)(d) | 5,000,000 | 5,000,000 | ||||||
Associations Inc. | ||||||||
First Lien Term Loan, (2.50% PIK), (3M/6M LIBOR + 6.50%, 1.00% Floor), 7.50%, 07/02/27 (c)(d)(f) | 3,000,000 | 2,970,000 | ||||||
Houghton Mifflin Harcourt Company | ||||||||
First Lien Term Loan B, (1M SOFR + 5.25%, 0.50% Floor), 6.88%, 04/09/29 (c) | 4,180,581 | 3,801,737 | ||||||
McGraw-Hill Education, Inc. | ||||||||
First Lien Term Loan, (6M LIBOR + 4.75%, 0.50% Floor), 5.55%, 07/28/28 (c) | 5,179,852 | 4,705,015 | ||||||
R. R. Donnelley & Sons Company | ||||||||
First Lien Term Loan B, (1M SOFR + 5.00%, 0.50% Floor), 6.63%, 11/01/26 (c)(d) | 4,949,560 | 4,850,568 | ||||||
22,217,849 | ||||||||
Principal Amount ($) | Value ($) | |||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 2.3% | ||||||||
Anuvu Holdings 2, LLC | ||||||||
First Lien Delayed Draw Term Loan, (3M LIBOR + 7.00%, 1.00% Floor), 9.15%, 09/25/23 (c)(d) | 70,337 | 68,227 | ||||||
First Lien Term Loan, (3M LIBOR + 8.00%, 1.00% Floor), 10.15%, 03/24/25 (c) | 2,346,207 | 2,293,417 | ||||||
First Lien Term Loan, (6.75% PIK), (3M LIBOR + 8.25%, 1.00% Floor), 10.40%, 03/23/26 (c)(d)(f) | 1,899,023 | 1,690,131 | ||||||
Univision Communications Inc. | ||||||||
First Lien Term Loan B, (3M SOFR + 4.25%, 0.50% Floor), 6.25%, 06/24/29 (c) | 659,340 | 630,217 | ||||||
4,681,992 | ||||||||
RETAIL - 3.3% | ||||||||
Charming Charlie, LLC | ||||||||
First Lien Delayed Draw Term Loan, 0.00%, 05/28/22 (d)(g)(h)(j) | 59,069 | — | ||||||
First Lien Term Loan A, (LIBOR + 5.00%, 1.00% Floor), 0.00%, 04/24/23 (c)(d)(g)(j) | 261,799 | — | ||||||
First Lien Term Loan B, (LIBOR + 1.00%, 1.00% Floor), 0.00%, 04/24/23 (c)(d)(g)(j) | 320,539 | — | ||||||
First Lien Vendor Term Loan, 0.00%, 05/15/20 (d)(g)(h)(j) | 10,627 | — | ||||||
Claire’s Stores, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 6.50%, 0.00% Floor), 8.17%, 12/18/26 (c) | 1,034,392 | 986,120 | ||||||
PetSmart, Inc. | ||||||||
First Lien Term Loan, (6M LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/11/28 (c) | 4,429,315 | 4,182,381 | ||||||
Tory Burch LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 3.00%, 0.50% Floor), 4.67%, 04/16/28 (c) | 1,832,693 | 1,652,292 | ||||||
6,820,793 | ||||||||
SERVICES: BUSINESS - 7.3% | ||||||||
Advantage Sales & Marketing Inc. | ||||||||
First Lien Term Loan B1, (1M LIBOR + 4.50%, 0.75% Floor), 6.17%, 10/28/27 (c) | 1,987,052 | 1,833,553 | ||||||
CareStream Health, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 7.25%, 1.00% Floor), 9.50%, 05/08/23 (c) | 55,356 | 55,065 | ||||||
Second Lien Term Loan, (8.00% PIK), (3M LIBOR + 12.50%, 1.00% Floor), 14.75%, 08/08/23 (c)(d)(f) | 1,228,279 | 865,937 |
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
SERVICES: BUSINESS (continued) | ||||||||
Central Parent Inc | ||||||||
First Lien Term Loan B, (SOFR + 4.50%, 0.50% Floor), 5.00%, 06/08/29 (b)(c) | 2,660,720 | 2,522,376 | ||||||
eResearchTechnology, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.50%, 1.00% Floor), 6.17%, 02/04/27 (c) | 2,562,117 | 2,373,699 | ||||||
Solera, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.00%, 0.50% Floor), 5.67%, 06/02/28 (c) | 2,845,826 | 2,637,981 | ||||||
Second Lien Term Loan, (3M LIBOR + 8.00%, 1.00% Floor), 9.00%, 06/04/29 (c) | 4,561,123 | 4,546,893 | ||||||
14,835,504 | ||||||||
SERVICES: CONSUMER - 2.1% | ||||||||
Mavis Tire Express Services Corporation | ||||||||
First Lien Term Loan B, (1M SOFR + 4.00%, 0.75% Floor), 5.63%, 05/04/28 (c) | 4,649,269 | 4,312,197 | ||||||
TELECOMMUNICATIONS - 5.1% | ||||||||
Flight Bidco, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.50%, 0.00% Floor), 5.17%, 07/23/25 (c) | 2,396,602 | 2,249,319 | ||||||
MLN US HoldCo LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 4.50%, 0.00% Floor), 5.62%, 11/30/25 (c)(d) | 2,430,316 | 1,676,918 | ||||||
U.S. TelePacific Corp. | ||||||||
First Lien Term Loan, (7.25% PIK), (3M SOFR + 8.25%, 1.00% Floor), 9.25%, 05/01/26 (c)(d)(f) | 5,914,328 | 2,966,035 | ||||||
Zacapa SARL (Luxembourg) | ||||||||
First Lien Term Loan, (3M SOFR + 4.25%, 0.50% Floor), 6.30%, 03/22/29 (c)(e) | 2,662,619 | 2,493,875 | ||||||
Zayo Group Holdings, Inc. | ||||||||
First Lien Term Loan, (1M SOFR + 4.25%, 0.50% Floor), 5.78%, 03/09/27 (c) | 1,028,103 | 963,631 | ||||||
10,349,778 | ||||||||
TRANSPORTATION: CONSUMER - 1.7% | ||||||||
Travel Leaders Group, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.00%, 0.00% Floor), 5.67%, 01/25/24 (c) | 3,956,176 | 3,548,195 | ||||||
Principal Amount ($) | Value ($) | |||||||
UTILITIES: ELECTRIC - 1.3% | ||||||||
Talen Energy Supply, LLC | ||||||||
First Lien Delayed Draw Term Loan, (3M SOFR + 4.75%, 0.75% Floor), 6.68%, 11/13/23 (b)(c) | 2,651,544 | 2,628,343 | ||||||
WHOLESALE - 2.1% | ||||||||
LBM Acquisition, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/17/27 (b)(c) | 5,284,702 | 4,357,422 | ||||||
Total Senior Loans (Cost $249,296,091) | 232,010,044 | |||||||
Corporate Notes and Bonds - 29.8% | ||||||||
AUTOMOTIVE - 3.5% | ||||||||
Carvana Co. 10.25%, 05/01/30 (h)(i) | 6,601,000 | 5,434,669 | ||||||
Lithia Motors, Inc. 3.88%, 06/01/29 (h)(i) | 2,000,000 | 1,703,130 | ||||||
7,137,799 | ||||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE - 1.7% | ||||||||
Alliant Holdings Intermediate, LLC 5.88%, 11/01/29 (h)(i) | 3,400,000 | 2,825,927 | ||||||
KCF Puerto Rico, LLC (Puerto Rico) 0.00%, 06/28/28 (d)(e)(j) | 1,226,187 | 706,644 | ||||||
3,532,571 | ||||||||
CHEMICALS, PLASTICS, & RUBBER - 2.1% | ||||||||
LSF11 A5 HoldCo, LLC 6.63%, 10/15/29 (h)(i) | 3,007,000 | 2,537,577 | ||||||
W.R. Grace Holdings, LLC 4.88%, 06/15/27 (h)(i) | 2,000,000 | 1,742,980 | ||||||
4,280,557 | ||||||||
CONTAINERS, PACKAGING & GLASS - 0.8% | ||||||||
LABL, Inc. 5.88%, 11/01/28 (h)(i) | 2,000,000 | 1,618,604 | ||||||
ENERGY: OIL & GAS - 2.8% | ||||||||
Moss Creek Resources Holdings, Inc. 7.50%, 01/15/26 (h)(i) | 484,000 | 433,737 | ||||||
10.50%, 05/15/27 (h)(i) | 5,541,000 | 5,243,559 | ||||||
5,677,296 | ||||||||
FOREST PRODUCTS & PAPER - 0.6% | ||||||||
Spa US Holdco, Inc. (Finland) 4.88%, 02/04/28 (e)(h)(i) | 1,500,000 | 1,263,187 | ||||||
HEALTHCARE & PHARMACEUTICALS - 3.9% | ||||||||
Athenahealth, Inc. 6.50%, 02/15/30 (h)(i) | 3,931,000 | 3,280,597 |
Principal Amount ($) | Value ($) | |||||||
Corporate Notes and Bonds(continued) | ||||||||
HEALTHCARE & PHARMACEUTICALS (continued) | ||||||||
Embecta Corp. 5.00%, 02/15/30 (h)(i) | 1,063,000 | 894,032 | ||||||
Encompass Health Corp. 4.75%, 02/01/30 (h) | 1,767,000 | 1,483,299 | ||||||
4.63%, 04/01/31 (h) | 1,262,000 | 1,023,747 | ||||||
RP Escrow Issuer, LLC 5.25%, 12/15/25 (h)(i) | 1,463,000 | 1,266,737 | ||||||
7,948,412 | ||||||||
HIGH TECH INDUSTRIES - 0.8% | ||||||||
Austin BidCo Inc. 7.13%, 12/15/28 (h)(i) | 2,000,000 | 1,610,650 | ||||||
HOTEL, GAMING & LEISURE - 2.3% | ||||||||
Churchill Downs, Inc. 5.75%, 04/01/30 (h)(i) | 2,000,000 | 1,824,220 | ||||||
Life Time, Inc. 5.75%, 01/15/26 (h)(i) | 3,000,000 | 2,698,500 | ||||||
4,522,720 | ||||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 1.6% | ||||||||
McGraw-Hill Education, Inc. 5.75%, 08/01/28 (h)(i) | 1,780,000 | 1,527,587 | ||||||
Outfront Media Capital, LLC 5.00%, 08/15/27 (h)(i) | 2,000,000 | 1,750,060 | ||||||
3,277,647 | ||||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 2.8% | ||||||||
CSC Holdings, LLC 4.13%, 12/01/30 (h)(i) | 5,000,000 | 3,913,400 | ||||||
Ziggo BV (Netherlands) 4.88%, 01/15/30 (e)(h)(i) | 2,000,000 | 1,701,254 | ||||||
5,614,654 | ||||||||
METALS & MINING - 0.0% | ||||||||
ERP Iron Ore, LLC LIBOR + 8.00%, 0.00%, 12/31/19 (d)(g)(j) | 86,775 | — | ||||||
Magnetation, LLC / Mag Finance Corp. 0.00%, 05/15/18 (d)(g)(h)(i)(j) | 2,937,000 | — | ||||||
— | ||||||||
RETAIL - 0.9% | ||||||||
PetSmart, Inc. 7.75%, 02/15/29 (h)(i) | 2,000,000 | 1,805,510 | ||||||
SERVICES: BUSINESS - 1.5% | ||||||||
Advantage Sales & Marketing Inc. 6.50%, 11/15/28 (h)(i) | 2,621,000 | 2,251,963 | ||||||
Allied Universal Holdco LLC 4.63%, 06/01/28 (h)(i) | 1,000,000 | 827,623 | ||||||
3,079,586 | ||||||||
Principal Amount ($) | Value ($) | |||||||
SERVICES: CONSUMER - 1.4% | ||||||||
Mavis Tire Express Services Corporation 6.50%, 05/15/29 (h)(i) | 3,500,000 | 2,786,969 | ||||||
TELECOMMUNICATIONS - 2.4% | ||||||||
Lumen Technologies, Inc. 4.00%, 02/15/27 (h)(i) | 3,000,000 | 2,545,290 | ||||||
4.25%, 07/01/28 (h)(i) | 3,000,000 | 2,412,510 | ||||||
4,957,800 | ||||||||
WHOLESALE - 0.7% | ||||||||
LBM Acquisition, LLC 6.25%, 01/15/29 (h)(i) | 2,344,000 | 1,512,675 | ||||||
Total Corporate Notes and Bonds (Cost $69,739,983) | 60,626,637 | |||||||
Convertible Bonds - 0.6% | ||||||||
HOTEL, GAMING & LEISURE - 0.6% | ||||||||
Peloton Interactive, Inc 0.00% 02/15/26 (h)(j) | 2,022,000 | 1,283,859 | ||||||
Total Convertible Bonds (Cost $1,700,766) | 1,283,859 | |||||||
Structured Products - 10.7% (m) | ||||||||
Basswood Park CLO Ltd (Cayman Islands) 2021-1, Class E, 7.21%, 04/20/34(e)(i)(n) | 2,000,000 | 1,756,922 | ||||||
Churchill Middle Market CLO, Ltd. (Cayman Islands) 2021-1A E, Class E, 9.34%, 10/24/33(e)(i)(n) | 4,000,000 | 3,528,124 | ||||||
Fortress Credit BSL CLO, Ltd. (Cayman Islands) 2021-3 Class E, 8.12%, 07/20/34(e)(i)(n) | 3,000,000 | 2,580,084 | ||||||
Fortress Credit Opportunities CLO, Ltd. (Cayman Islands) 2018-11A, Class E, 8.19%, 04/15/31(e)(i)(n) | 4,000,000 | 3,489,692 | ||||||
Franklin Park Place CLO, Ltd. (Cayman Islands) 2022-1A, Class E, 8.27%, 04/14/35(e)(i)(n) | 2,000,000 | 1,669,554 | ||||||
Golub Capital Partners CLO, Ltd. (Cayman Islands) 20121-55A, Class E, 7.62%, 07/20/34(e)(i)(n) | 2,000,000 | 1,749,272 | ||||||
KKR Financial CLO, Ltd. (Cayman Islands) 2017, Class ER, 8.43%, 04/15/34 (e)(i)(n) | 2,750,000 | 2,428,602 | ||||||
TIAA Churchill Middle Market CLO, Ltd. (Cayman Islands) 2016-1A, Class ER, 9.03%, 10/20/30(e)(i)(n) | 5,000,000 | 4,520,155 | ||||||
Total Structured Products (Cost $24,287,349) | 21,722,405 | |||||||
Quantity | Value ($) | |||||||
Common Stocks - 0.9% | ||||||||
AUTOMOTIVE - 0.0% | ||||||||
APC Parent, Inc. (d) | 241,972 | — | ||||||
ENERGY: OIL & GAS - 0.0% | ||||||||
RDV Resources, Inc. (d) | 7,743 | 21,293 | ||||||
Common Stocks (continued) | ||||||||
HIGH TECH INDUSTRIES - 0.1% | ||||||||
Riverbed Holdings, Inc. (j) | 29,146 | 93,850 | ||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.0% | ||||||||
Acosta, Inc. (d)(j) | 3,133 | 25,253 | ||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 0.8% | ||||||||
Anuvu Corp. (d)(j) | 102,608 | 1,707,397 | ||||||
RETAIL - 0.0% | ||||||||
Charming Charlie, LLC (d)(j) | 2,679,190 | — | ||||||
Total Common Stocks (Cost $4,160,335) | 1,847,793 | |||||||
Preferred Stocks - 0.6% | ||||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE - 0.4% | ||||||||
Somers Group Holdings Ltd. (Bermuda) | ||||||||
(LIBOR + 6.68%, 1.00 Floor), 7.68% (d)(e) | 37,863 | 903,979 | ||||||
HIGH TECH INDUSTRIES - 0.1% | ||||||||
Riverbed Holdings, Inc. (d) | 19,948 | 251,544 | ||||||
Quantity | Value ($) | |||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.1% | ||||||||
Acosta, Inc., (14.50% PIK) (d)(f)(h) | 3,353 | 155,130 | ||||||
Total Preferred Stocks (Cost $1,586,309) | 1,310,653 | |||||||
Warrants - 0.0% | ||||||||
SERVICES: BUSINESS - 0.0% | ||||||||
CareStream Health, Inc. (d)(j) | 37 | — | ||||||
Total Warrants (Cost $0) | — | |||||||
Total Investments - 156.5% | 318,801,391 | |||||||
(Cost of $350,770,833) | ||||||||
Other Assets & Liabilities, Net - 2.8% | 5,703,671 | |||||||
Loan Outstanding - (59.3)% (k)(l) | (120,737,158 | ) | ||||||
Net Assets (Applicable to Common Shares) - 100.0% | 203,767,904 | |||||||
(a) | “Senior Loans” are senior, secured loans made to companies whose debt is below investment grade as well as investments with similar economic characteristics. Senior Loans typically hold a first lien priority and, unless otherwise indicated, are required to pay interest at floating rates that are periodically reset by reference to a base lending rate plus a spread. In some instances, the rates shown represent the weighted average rate as of June 30, 2022. 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”); however the Secured Overnight Financing Rate (“SOFR”) or the prime rate offered by one or more major U.S. banks (“Prime”) may also be used. 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 June 30, 2022, the 1, 3 and 6 month LIBOR rates were 1.79%, 2.29% and 2.94%, respectively, the 1, 3 and 6 month SOFR rates were 1.69%, 2.12% and 2.63%, respectively, and the Prime lending rate was 4.75%. 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 |
(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 June 30, 2022, these securities amounted to $79,135,352, or 38.83% 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 $262,842. |
(m) | Structured Products include collateralized loan obligations (“CLOs”). A CLO typically takes the form of a financing company (generally called a special purpose vehicle or “SPV”), created to reapportion the risk and return characteristics of a pool of assets. While the assets underlying CLOs are often Senior Loans or corporate notes and bonds, the assets may also include (i) subordinated loans; (ii) debt tranches of other CLOs; and (iii) equity securities incidental to investments in Senior Loans. The Fund may invest in lower tranches of CLOs, which typically experience a lower recovery, greater risk of loss or deferral or non-payment of interest than more senior tranches of the CLO. A key feature of the CLO structure is the prioritization of the cash flows from a pool of debt securities among the several classes of the CLO. The SPV is a company founded for the purpose of securitizing payment claims arising out of this asset pool. On this basis, marketable securities are issued by the SPV and the redemption of these securities typically takes place at maturity out of the cash flow generated by the collected claims. |
(n) | Floating rate asset. The interest rate shown reflects the rate in effect at June 30, 2022. |
Apollo Senior Floating Rate Fund Inc. | Apollo Tactical Income Fund Inc. | |||||||
Assets: | ||||||||
Investment securities at fair value (cost $382,326,719 and $350,770,833, respectively) | $ | 349,962,762 | $ | 318,801,391 | ||||
Cash and cash equivalents | 1,829,382 | 3,548,464 | ||||||
Interest receivable | 1,037,486 | 1,972,018 | ||||||
Receivable for investment securities sold | 26,936,347 | 31,649,011 | ||||||
Prepaid expenses | 639,177 | 639,695 | ||||||
Total assets | 380,405,154 | 356,610,579 | ||||||
Liabilities: | ||||||||
Borrowings under credit facility (principal $130,000,000 and $121,000,000, less unamortized deferred financing costs of $25,665 and $262,842, respectively) (Note 8) | 129,974,335 | 120,737,158 | ||||||
Payable for investment securities purchased | 25,006,930 | 31,121,467 | ||||||
Net unrealized depreciation on unfunded loan commitments (Note 9) | 80,964 | 36,882 | ||||||
Interest payable | 62,125 | 58,349 | ||||||
Investment advisory fee payable | 298,740 | 274,125 | ||||||
Other payables and accrued expenses due to affiliates | 161,767 | 162,666 | ||||||
Other payables and accrued expenses | 439,075 | 452,028 | ||||||
Total liabilities | 156,023,936 | 152,842,675 | ||||||
Commitments and Contingencies (Note 9) | ||||||||
Net Assets (Applicable to Common Shareholders) | $ | 224,381,218 | $ | 203,767,904 | ||||
Net Assets Consist of: | ||||||||
Paid-in capital ($0.001 par value, 999,998,466 and 1,000,000,000 common shares authorized, respectively, and 15,573,575 and 14,464,026 issued and outstanding, respectively) (Note 6) | $ | 295,515,991 | $ | 275,434,361 | ||||
Total accumulated loss | (71,134,773 | ) | (71,666,457 | ) | ||||
Net Assets (Applicable to Common Shareholders) | $ | 224,381,218 | $ | 203,767,904 | ||||
Number of Common Shares Outstanding | 15,573,575 | 14,464,026 | ||||||
Net Asset Value, per Common Share | $ | 14.41 | $ | 14.09 |
Apollo Senior Floating Rate Fund Inc. | Apollo Tactical Income Fund Inc. | |||||||
Investment Income: | ||||||||
Interest | $ | 10,694,760 | $ | 10,853,688 | ||||
Dividends (net of withholding taxes of $45,457 and $12,458, respectively) | 320,745 | 115,737 | ||||||
Total investment income | 11,015,505 | 10,969,425 | ||||||
Expenses: | ||||||||
Investment advisory fee (Note 3) | 1,872,909 | 1,729,590 | ||||||
Interest and commitment fee expense (Note 8) | 841,147 | 830,226 | ||||||
Professional fees | 60,545 | 60,545 | ||||||
Legal fees | 74,017 | 76,098 | ||||||
Administrative services of the Adviser (Note 3) | 381,608 | 389,997 | ||||||
Fund administration and accounting services (Note 3) | 108,209 | 102,513 | ||||||
Insurance expense | 163,746 | 163,746 | ||||||
Amortization of deferred financing costs (Note 8) | 74,927 | 111,873 | ||||||
Board of Directors fees (Note 3) | 64,527 | 66,122 | ||||||
Other operating expenses | 68,109 | 63,417 | ||||||
Total expenses | 3,709,744 | 3,594,127 | ||||||
Net Investment Income | 7,305,761 | 7,375,298 | ||||||
Net Realized and Unrealized Gain/(Loss) on Investments | ||||||||
Net realized loss on investments | (4,357,497 | ) | (6,794,994 | ) | ||||
Net change in unrealized depreciation on investments and unfunded loan commitments (Note 9) | (27,136,833 | ) | (28,518,128 | ) | ||||
Net realized and unrealized loss on investments | (31,494,330 | ) | (35,313,122 | ) | ||||
Net Decrease in Net Assets, Applicable to Common Shareholders, Resulting From Operations | $ | (24,188,569 | ) | $ | (27,937,824 | ) | ||
For the Six Months Ended June 30, 2022 (unaudited) | For the Year Ended December 31, 2021 (a) | |||||||
Increase/(Decrease) in Net Assets from: | ||||||||
Operations | ||||||||
Net investment income | $ | 7,305,761 | $ | 13,422,681 | ||||
Net realized gain/(loss) on investments | (4,357,497 | ) | 8,519,152 | |||||
Net change in unrealized depreciation on investments and unfunded loan commitments | (27,136,833 | ) | (2,193,025 | ) | ||||
Net increase/(decrease) in net assets from operations | (24,188,569 | ) | 19,748,808 | |||||
Distributions to Common Shareholders | ||||||||
From net investment income | (7,631,052 | ) | (13,989,900 | ) | ||||
Return of capital | — | (1,100,440 | ) | |||||
Total distributions to common shareholders | (7,631,052 | ) | (15,090,340 | ) | ||||
Capital Transactions from Common Shares | ||||||||
Reinvestment of dividends | — | 8,416 | ||||||
Total increase/(decrease) in net assets | $ | (31,819,621 | ) | $ | 4,666,884 | |||
Net Assets Applicable to Common Shares | ||||||||
Beginning of period | 256,200,839 | 251,533,955 | ||||||
End of period | $ | 224,381,218 | $ | 256,200,839 | ||||
(a) | Presented on a non-consolidated basis (Note 1) |
For the Six Months Ended June 30, 2022 (unaudited) | For the Year Ended December 31, 2021 (a) | |||||||
Increase/(Decrease) in Net Assets from: | ||||||||
Operations | ||||||||
Net investment income | $ | 7,375,298 | $ | 13,596,723 | ||||
Net realized gain/(loss) on investments | (6,794,994 | ) | 9,474,722 | |||||
Net change in unrealized depreciation on investments and unfunded loan commitments | (28,518,128 | ) | (4,687,659 | ) | ||||
Net increase/(decrease) in net assets from operations | (27,937,824 | ) | 18,383,786 | |||||
Distributions to Common Shareholders | ||||||||
From net investment income | (7,521,292 | ) | (14,244,987 | ) | ||||
Return of capital | — | (190,110 | ) | |||||
Total distributions to common shareholders | (7,521,292 | ) | (14,435,097 | ) | ||||
Total increase/(decrease) in net assets | $ | (35,459,116 | ) | $ | 3,948,689 | |||
Net Assets Applicable to Common Shares | ||||||||
Beginning of period | 239,227,020 | 235,278,331 | ||||||
End of period | $ | 203,767,904 | $ | 239,227,020 | ||||
(a) | Presented on a non-consolidated basis (Note 1) |
Cash Flows from Operating Activities: | ||||
Net decrease in net assets from operations | $ | (24,188,569 | ) | |
Adjustments to Reconcile Net Decrease in Net Assets from Operations to Net Cash Flows Used In Operating Activities: | ||||
Net realized loss on investments | 4,357,497 | |||
Net change in unrealized depreciation on investments and unfunded loan commitments | 27,136,833 | |||
Net amortization/(accretion) of premium/(discount) | (473,892 | ) | ||
Purchase of investment securities | (221,827,789 | ) | ||
Proceeds from disposition of investment securities and principal paydowns | 198,723,080 | |||
Payment-in-kind | (283,079 | ) | ||
Amortization of deferred financing costs | 74,927 | |||
Changes in Operating Assets and Liabilities: | ||||
Increase in interest receivable | (166,121 | ) | ||
Decrease in receivable from affiliate | 62,759 | |||
Increase in prepaid expenses | (502,140 | ) | ||
Decrease in interest payable | (21,755 | ) | ||
Decrease in investment advisory fee payable | (29,028 | ) | ||
Increase in other payables and accrued expenses due to affiliates | 161,767 | |||
Increase in other payables and accrued expenses | 234,864 | |||
Net cash flows used in operating activities | (16,740,646 | ) | ||
Cash Flows from Financing Activities: | ||||
Distributions paid to common shareholders (net of change in distributions payable to common shareholders) | (7,631,052 | ) | ||
Net cash flows used in financing activities | (7,631,052 | ) | ||
Net Decrease in Cash and Cash Equivalents | (24,371,698 | ) | ||
Cash and cash equivalents, beginning of period | 26,201,080 | |||
Cash and cash equivalents, end of period | $ | 1,829,382 | ||
Supplemental Disclosure of Cash Flow Information | ||||
Cash paid during the period for interest and commitment fee | $ | 862,902 | ||
Cash Flows from Operating Activities: | ||||
Net decrease in net assets from operations | $ | (27,937,824 | ) | |
Adjustments to Reconcile Net Decrease in Net Assets from Operations to Net Cash Flows Used In Operating Activities: | ||||
Net realized loss on investments | 6,794,994 | |||
Net change in unrealized depreciation on investments and unfunded loan commitments | 28,518,128 | |||
Net amortization/(accretion) of premium/(discount) | (502,053 | ) | ||
Purchase of investment securities | (266,964,297 | ) | ||
Proceeds from disposition of investment securities and principal paydowns | 252,857,804 | |||
Payment-in-kind | (331,153 | ) | ||
Amortization of deferred financing costs | 111,873 | |||
Changes in Operating Assets and Liabilities: | ||||
Decrease in interest receivable | 222,482 | |||
Decrease in receivable from affiliate | 213,399 | |||
Increase in prepaid expenses | (502,530 | ) | ||
Decrease in interest payable | (23,925 | ) | ||
Decrease in investment advisory fee payable | (31,265 | ) | ||
Increase in other payables and accrued expenses due to affiliates | 162,666 | |||
Increase in other payables and accrued expenses | 252,706 | |||
Net cash flows used in operating activities | (7,158,995 | ) | ||
Cash Flows from Financing Activities: | ||||
Deferred financing cost | (302,684 | ) | ||
Distributions paid to common shareholders (net of change in distributions payable to common shareholders) | (7,521,292 | ) | ||
Net cash flows used in financing activities | (7,823,976 | ) | ||
Net Decrease in Cash and Cash Equivalents | (14,982,971 | ) | ||
Cash and cash equivalents, beginning of period | 18,531,435 | |||
Cash and cash equivalents, end of period | $ | 3,548,464 | ||
Supplemental Disclosure of Cash Flow Information | ||||
Cash paid during the period for interest and commitment fee | $ | 854,151 | ||
Per Common Share Operating Performance: | For the Six Months Ended June 30, 2022 (unaudited) | For the Year Ended December 31, 2021 (f) | For the Year Ended December 31, 2020 (f) | For the Year Ended December 31, 2019 (f) | For the Year Ended December 31, 2018 (f) | For the Year Ended December 31, 2017 (f) | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 16.45 | $ | 16.15 | $ | 16.94 | $ | 16.34 | $ | 17.86 | $ | 18.07 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (a) | 0.47 | 0.86 | 0.98 | 1.21 | 1.25 | 1.13 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments and unfunded loan commitments | (2.02 | ) | 0.41 | (0.75 | ) | 0.59 | (1.51 | ) | (0.18 | ) | ||||||||||||||
Total from investment operations | (1.55 | ) | 1.27 | 0.23 | 1.80 | (0.26 | ) | 0.95 | ||||||||||||||||
Less Distributions Paid to Common Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.49 | ) | (0.90 | ) | (1.02 | ) | (1.20 | ) | (1.26 | ) | (1.16 | ) | ||||||||||||
Return of capital | — | (0.07 | ) | — | — | — | — | |||||||||||||||||
Total distributions paid to Common Shareholders | (0.49 | ) | (0.97 | ) | (1.02 | ) | (1.20 | ) | (1.26 | ) | (1.16 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 14.41 | $ | 16.45 | $ | 16.15 | $ | 16.94 | $ | 16.34 | $ | 17.86 | ||||||||||||
Market Value, End of Period | $ | 12.83 | $ | 16.11 | $ | 14.40 | $ | 15.14 | $ | 14.39 | $ | 16.22 | ||||||||||||
Total return based on net asset value (b) | (9.38 | )% (c) | 8.38 | % | 2.99 | % | 12.35 | % | (0.98 | )% | 5.80 | % | ||||||||||||
Total return based on market value (b) | (17.62 | )% (c) | 19.04 | % | 2.75 | % | 14.02 | % | (3.98 | )% | (0.22 | )% | ||||||||||||
Ratios to Average Net Assets Applicable to Common Shareholders: | ||||||||||||||||||||||||
Ratio of total expenses to average net assets | 3.53 | % (d) | 2.91 | % | 3.12 | % | 4.01 | % | 3.84 | % | 3.33 | % | ||||||||||||
Ratio of net expenses to average net assets | 3.53 | % (d) | 2.89 | % | 3.12 | % | 4.01 | % | 3.84 | % | 3.33 | % | ||||||||||||
Ratio of net investment income to average net assets | 5.48 | % (d) | 5.22 | % | 6.37 | % | 7.23 | % | 7.10 | % | 6.24 | % | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Portfolio turnover rate | 51.0 | % (c) | 123.3 | % | 93.6 | % | 101.2 | % | 122.4 | % | 102.2 | % | ||||||||||||
Net assets at end of period (000’s) | $ | 224,381 | $ | 256,201 | $ | 251,534 | $ | 263,807 | $ | 254,427 | $ | 278,070 | ||||||||||||
Senior Securities: | ||||||||||||||||||||||||
Principal loan outstanding (in 000’s) | $ | 130,000 | $ | 130,000 | $ | 121,000 | $ | 141,000 | $ | 141,000 | $ | 141,000 | ||||||||||||
Asset coverage per $1,000 of loan outstanding (e) | $ | 2,726 | $ | 2,971 | $ | 3,079 | $ | 2,871 | $ | 2,804 | $ | 2,972 |
(a) | Based on the weighted average outstanding shares. |
(b) | Total return based on net asset value and total return based on market value assuming all distributions reinvested at reinvestment rate. |
(c) | Not Annualized. |
(d) | Annualized. |
(e) | Calculated by subtracting the Fund’s total liabilities (not including the borrowings outstanding) from the Fund’s total assets, and dividing this by the amount of borrowings outstanding. |
(f) | Presented on a non-consolidated basis (Note 1) |
Per Common Share Operating Performance: | For the Six Months Ended June 30, 2022 (unaudited) | For the Year Ended December 31, 2021 (f) | For the Year Ended December 31, 2020 (f) | For the Year Ended December 31, 2019 (f) | For the Year Ended December 31, 2018 (f) | For the Year Ended December 31, 2017 (f) | ||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 16.54 | $ | 16.27 | $ | 16.85 | $ | 16.07 | $ | 17.44 | $ | 17.18 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (a) | 0.51 | 0.94 | 1.02 | 1.25 | 1.33 | 1.27 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments and unfunded loan commitments | (2.44 | ) | 0.33 | (0.54 | ) | 0.77 | (1.38 | ) | 0.28 | |||||||||||||||
Total from investment operations | (1.93 | ) | 1.27 | 0.48 | 2.02 | (0.05 | ) | 1.55 | ||||||||||||||||
Less Distributions Paid to Common Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.52 | ) | (0.99 | ) | (1.06 | ) | (1.24 | ) | (1.32 | ) | (1.29 | ) | ||||||||||||
Return of capital | — | (0.01 | ) | — | — | — | — | |||||||||||||||||
Total distributions paid to Common Shareholders | (0.52 | ) | (1.00 | ) | (1.06 | ) | (1.24 | ) | (1.32 | ) | (1.29 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 14.09 | $ | 16.54 | $ | 16.27 | $ | 16.85 | $ | 16.07 | $ | 17.44 | ||||||||||||
Market Value, End of Period | $ | 12.04 | $ | 15.32 | $ | 14.48 | $ | 15.10 | $ | 13.77 | $ | 15.75 | ||||||||||||
Total return based on net asset value (b) | (11.56 | )% (c) | 8.44 | % | 4.71 | % | 13.97 | % | 0.47 | % | 9.87 | % | ||||||||||||
Total return based on market value (b) | (18.41 | )% (c) | 12.86 | % | 3.99 | % | 19.20 | % | (4.67 | )% | 10.47 | % | ||||||||||||
Ratios to Average Net Assets Applicable to Common Shareholders: | ||||||||||||||||||||||||
Ratio of total expenses to average net assets | 3.66 | % (d) | 3.01 | % | 3.16 | % | 4.03 | % | 3.85 | % | 3.53 | % | ||||||||||||
Ratio of net expenses to average net assets | 3.66 | % (d) | 2.92 | % | 3.16 | % | 4.03 | % | 3.85 | % | 3.53 | % | ||||||||||||
Ratio of net investment income to average net assets | 6.09 | % (d) | 5.66 | % | 6.72 | % | 7.53 | % | 7.65 | % | 7.27 | % | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Portfolio turnover rate | 70.9 | % (c) | 137.5 | % | 96.4 | % | 112.3 | % | 130.9 | % | 111.8 | % | ||||||||||||
Net assets at end of period (000’s) | $ | 203,768 | $ | 239,227 | $ | 235,278 | $ | 243,751 | $ | 232,432 | $ | 252,265 | ||||||||||||
Senior Securities: | ||||||||||||||||||||||||
Principal loan outstanding (in 000’s) | $ | 121,000 | $ | 121,000 | $ | 110,000 | $ | 126,500 | $ | 126,500 | $ | 138,000 | ||||||||||||
Asset coverage per $1,000 of loan outstanding (e) | $ | 2,684 | $ | 2,977 | $ | 3,139 | $ | 2,927 | $ | 2,837 | $ | 2,828 |
(a) | Based on the weighted average outstanding shares. |
(b) | Total return based on net asset value and total return based on market value assuming all distributions reinvested at reinvestment rate. |
(c) | Not Annualized. |
(d) | Annualized. |
(e) | Calculated by subtracting the Fund’s total liabilities (not including the borrowings outstanding) from the Fund’s total assets, and dividing this by the amount of borrowings outstanding. |
(f) | Presented on a non-consolidated basis (Note 1) |
Apollo Senior Floating Rate Fund Inc. | ||||||||||||||||||||||
Total Fair Value at June 30, 2022 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||||
Assets: | ||||||||||||||||||||||
Cash and Cash Equivalents | $ | 1,829,382 | $ | 1,829,382 | $ | — | $ | — | ||||||||||||||
Senior Loans | 326,678,235 | — | 297,675,898 | 29,002,337 | ||||||||||||||||||
Corporate Notes and Bonds | 19,931,551 | — | 19,166,020 | 765,531 | ||||||||||||||||||
Common Stocks | 2,012,135 | — | 105,114 | 1,907,021 | ||||||||||||||||||
Preferred Stocks | 1,340,841 | — | 1,340,841 | |||||||||||||||||||
Warrants | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on Unfunded Loan Commitments | — | — | — | — | ||||||||||||||||||
Total Assets | $ | 351,792,144 | $ | 1,829,382 | $ | 316,947,032 | $ | 33,015,730 | ||||||||||||||
Liabilities: | ||||||||||||||||||||||
Unrealized depreciation on Unfunded Loan Commitments | (80,964 | ) | — | (78,235 | ) | (2,729 | ) | |||||||||||||||
Total Liabilities | (80,964 | ) | — | (78,235 | ) | (2,729 | ) | |||||||||||||||
$ | 351,711,180 | $ | 1,829,382 | $ | 316,868,797 | $ | 33,013,001 | |||||||||||||||
Apollo Senior Floating Rate Fund Inc. | ||||||||||||||||||||||||||||||||||||||||
Total | Senior Loans | Corporate Notes and Bonds | Common Stocks | Preferred Stocks | Warrants | Unfunded Loan Commitments | ||||||||||||||||||||||||||||||||||
Total Fair Value, beginning of period | $ | 15,647,794 | $ | 11,462,078 | $ | 768,411 | $ | 2,301,925 | $ | 1,116,801 | $ | — | $ | (1,421 | ) | |||||||||||||||||||||||||
Purchases, including capitalized PIK | 21,879,635 | 21,879,635 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Sales/Paydowns | (8,423,202 | ) | (8,307,219 | ) | — | (115,983 | ) | — | — | — | ||||||||||||||||||||||||||||||
Accretion/(amortization) of discounts/(premiums) | 158,263 | 158,263 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Net realized gain/(loss) | (1,901,587 | ) | (2,017,570 | ) | — | 115,983 | — | — | — | |||||||||||||||||||||||||||||||
Change in net unrealized appreciation/(depreciation) | (2,894,569 | ) | (2,437,784 | ) | (2,880 | ) | (394,904 | ) | (57,693 | ) | — | (1,308 | ) | |||||||||||||||||||||||||||
Transfers into Level 3 | 8,546,667 | 8,264,934 | — | — | 281,733 | — | — | |||||||||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Total Fair Value, end of period | $ | 33,013,001 | $ | 29,002,337 | $ | 765,531 | $ | 1,907,021 | $ | 1,340,841 | $ | — | $ | (2,729 | ) | |||||||||||||||||||||||||
Apollo Senior Floating Rate Fund Inc. | |||||||||||||||||||
Assets/Liabilities | Fair Value at June 30, 2022 | Valuation Technique(s) (a) | Unobservable Input(s) | Range of Unobservable Input(s) Utilized | Weighted Average Unobservable Input(s) | ||||||||||||||
Senior Loans | $ | 9,429,025 | Independent pricing service and/or broker quotes | Vendor and/or broker quotes | N/A | N/A | |||||||||||||
1,855,779 | Guideline Public Company (b) | TEV | EBITDA Multiple (b) | 3.4x-3.8x | 3.6x | |||||||||||||||
— | Recoverability (c) | Estimated Proceeds (c) | $— | $— | |||||||||||||||
4,259,159 | Discounted Cash Flow (d) | Discount Rate (d) | 10.45%-16.58% | 13.33% | |||||||||||||||
10,492,339 | Transaction Approach (e) | Cost (e) | N/A | N/A | |||||||||||||||
2,966,035 | Guideline Public Company (f) | TEV | Revenue (f) | 0.55x-0.65x | 0.55x | |||||||||||||||
Discounted Cash Flow (d) | Discount Rate (d) | 13.50%-15.50% | 15.50% | ||||||||||||||||
Corporate Notes and Bonds | 765,531 | Recoverability (c) | Estimated Proceeds (c) | $53.9m | $53.9m | ||||||||||||||
Discounted Cash Flow (d) | Discount Rate (d) | 2.0% | 2.0% | ||||||||||||||||
— | Recoverability (c) | Estimated Proceeds (c) | $— | $— | |||||||||||||||
Common Stocks | 1,829,328 | Guideline Public Company (b) | TEV | EBITDA Multiple (b) | 4.25x-8.0x | 4.43x | ||||||||||||||
— | Recoverability (c) | Estimated Proceeds (c) | $— | $— | |||||||||||||||
77,693 | Recoverability (c) | Estimated Proceeds (c) | $33.2m | $33.2m | |||||||||||||||
Discounted Cash Flow (d) | Discount Rate (d) | 6.0%-10.0% | 8.0% | ||||||||||||||||
Preferred Stocks | 155,129 | Guideline Public Company (b) | TEV | EBITDA Multiple (b) | 8.0x | 8.0x | ||||||||||||||
903,979 | Discounted Cash Flow (d) | Discount Rate (d) | 10.68%-11.18% | 10.93% | |||||||||||||||
281,733 | Option Model (g) | Volatility (g) | 40.0% | 40.0% | |||||||||||||||
Discounted Cash Flow (d) | Discount Rate (d) | 24.13%-26.13% | 25.13% | ||||||||||||||||
Warrants | — | Guideline Public Company (b) | TEV | EBITDA Multiple (b) | 3.4x-3.8x | 3.6x | ||||||||||||||
Unfunded Loan Commitments | (2,697 | ) | Discounted Cash Flow (d) | Discount Rate (d) | 12.53%-13.53% | 13.03% | |||||||||||||
(32 | ) | Transaction Approach (e) | Cost (e) | N/A | N/A | ||||||||||||||
Total Fair Value | $ | 33,013,001 | |||||||||||||||||
(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 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. |
(c) | 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 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. |
(d) | 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. |
(e) | The Fund utilized a recent transaction, specifically purchase price, to fair value this security. |
(f) | 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. |
(g) | 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 the input in isolation may result in a significantly higher or lower fair value measurement. |
Apollo Tactical Income Fund Inc. | ||||||||||||||||||||||
Total Fair Value at June 30, 2022 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||||
Assets: | ||||||||||||||||||||||
Cash and Cash Equivalents | $ | 3,548,464 | $ | 3,548,464 | $ | — | $ | — | ||||||||||||||
Senior Loans | 232,010,044 | — | 172,823,083 | 59,186,961 | ||||||||||||||||||
Corporate Notes and Bonds | 60,626,637 | — | 59,919,993 | 706,644 | ||||||||||||||||||
Convertible Bonds | 1,283,859 | — | 1,283,859 | — | ||||||||||||||||||
Structured Products | 21,722,405 | — | 21,722,405 | — | ||||||||||||||||||
Common Stocks | 1,847,793 | — | 93,850 | 1,753,943 | ||||||||||||||||||
Preferred Stocks | 1,310,653 | — | — | 1,310,653 | ||||||||||||||||||
Warrants | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on Unfunded Loan Commitments | 16,324 | — | — | 16,324 | ||||||||||||||||||
Total Assets | $ | 322,366,179 | $ | 3,548,464 | $ | 255,843,190 | $ | 62,974,525 | ||||||||||||||
Liabilities: | ||||||||||||||||||||||
Unrealized depreciation on Unfunded Loan Commitments | (53,206 | ) | — | (49,342 | ) | (3,864 | ) | |||||||||||||||
Total Liabilities | (53,206 | ) | — | (49,342 | ) | (3,864 | ) | |||||||||||||||
$ | 322,312,973 | $ | 3,548,464 | $ | 255,793,848 | $ | 62,970,661 | |||||||||||||||
Apollo Tactical Income Fund Inc. | ||||||||||||||||||||||||||||||||||||||||
Total | Senior Loans | Corporate Notes and Bonds | Common Stocks | Preferred Stocks | Warrants | Unfunded Loan Commitments | ||||||||||||||||||||||||||||||||||
Total Fair Value, beginning of period | $ | 22,189,981 | $ | 18,179,101 | $ | 709,303 | $ | 2,186,073 | $ | 1,116,802 | $ | — | $ | (1,298 | ) | |||||||||||||||||||||||||
Purchases, including capitalized PIK | 45,922,915 | 45,922,915 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Sales/Paydowns | (7,681,422 | ) | (7,681,422 | ) | — | — | — | — | — | |||||||||||||||||||||||||||||||
Accretion/(amortization) of discounts/(premiums) | 152,215 | 152,215 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Net realized gain/(loss) | (10,694 | ) | (10,694 | ) | — | — | — | — | — | |||||||||||||||||||||||||||||||
Change in net unrealized appreciation/(depreciation) | (4,098,267 | ) | (3,619,543 | ) | (2,659 | ) | (432,130 | ) | (57,693 | ) | — | 13,758 | ||||||||||||||||||||||||||||
Transfers into Level 3 | 6,495,933 | 6,244,389 | — | — | 251,544 | — | — | |||||||||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Total Fair Value, end of period | $ | 62,970,661 | $ | 59,186,961 | $ | 706,644 | $ | 1,753,943 | $ | 1,310,653 | $ | — | $ | 12,460 | ||||||||||||||||||||||||||
Apollo Tactical Income Fund Inc. | |||||||||||||||||||
Assets/ Liabilities | Fair Value at June 30, 2022 | Valuation Technique(s) (a) | Unobservable Input(s) | Range of Unobservable Input(s) Utilized | Weighted Average Unobservable Input(s) | ||||||||||||||
Senior Loans | $ | 7,798,186 | Independent pricing service and/or broker quotes | Vendor and/or broker quotes | N/A | N/A | |||||||||||||
865,937 | Guideline Public Company (b) | TEV / EBITDA Multiple (b) | 3.4x-3.8x | 3.6x | |||||||||||||||
— | Recoverability (c) | Estimated Proceeds (c) | $— | $— | |||||||||||||||
18,950,333 | Discounted Cash Flow (d) | Discount Rate (d) | 8.34%-16.58% | 9.97% | |||||||||||||||
28,606,470 | Transaction Approach (e) | Cost (e) | N/A | N/A | |||||||||||||||
2,966,035 | Guideline Public Company (f) | TEV | Revenue (f) | 0.55x-0.65x | 0.55x | |||||||||||||||
Discounted Cash Flow (d) | Discount Rate (d) | 13.50%-15.50% | 15.50% | ||||||||||||||||
Corporate Notes and Bonds | 706,644 | Recoverability (c) | Estimated Proceeds (c) | $53.9m | $53.9m | ||||||||||||||
Discounted Cash Flow (d) | Discount Rate (d) | 2.0% | 2.0% | ||||||||||||||||
— | Recoverability (c) | Estimated Proceeds (c) | $— | $— | |||||||||||||||
Common Stocks | 1,732,650 | Guideline Public Company (b) | TEV | EBITDA Multiple (b) | 4.25x-8.0x | 4.43x | ||||||||||||||
— | Recoverability (c) | Estimated Proceeds (c) | $— | $— | |||||||||||||||
21,293 | Recoverability (c) | Estimated Proceeds (c) | $33.2m | $33.2m | |||||||||||||||
Discounted Cash Flow (d) | Discount Rate (d) | 6.0%-10.0% | 8.0x | ||||||||||||||||
Preferred Stocks | 155,130 | Guideline Public Company (b) | TEV | EBITDA Multiple (b) | 8.0x | 8.0x | ||||||||||||||
903,979 | Discounted Cash Flow (d) | Discount Rate (d) | 10.68%-11.18% | 10.93% | |||||||||||||||
251,544 | Option Model (g) | Volatility (g) | 40.0% | 40.0% | |||||||||||||||
Discounted Cash Flow (d) | Discount Rate (d) | 24.13%-26.13% | 25.13% | ||||||||||||||||
Warrants | — | Guideline Public Company (b) | TEV | EBITDA Multiple (b) | 3.4x-3.8x | 3.6x | ||||||||||||||
Unfunded Loan Commitments | 13,424 | Discounted Cash Flow (d) | Discount Rate (d) | 8.87%-13.53% | 9.53% | ||||||||||||||
(964 | ) | Transaction Approach (e) | Cost (e) | N/A | N/A | ||||||||||||||
Total Fair Value | $ | 62,970,661 | |||||||||||||||||
(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 guideline public company method to fair value this security. The significant unobservable input 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. |
(c) | 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 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. |
(d) | 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. |
(e) | The Fund utilized a recent transaction, specifically purchase price, to fair value this security. |
(f) | 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. |
(g) | 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 the input in isolation may result in a significantly higher or lower fair value measurement. |
Fund | Purchases | Sales | ||||||||
Apollo Senior Floating Rate Fund Inc. | $ | 187,701,610 | $ | 194,254,998 | ||||||
Apollo Tactical Income Fund Inc. | $ | 244,572,191 | $ | 257,168,480 | ||||||
Apollo Senior Floating Rate Fund Inc. | ||||||||||||||||||||||
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | |||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||
Common shares outstanding, beginning of the period | 15,573,575 | $ | 295,515,991 | 15,573,061 | $ | 296,608,015 | ||||||||||||||||
Common shares issued as reinvestment of dividends | — | — | 514 | 8,416 | ||||||||||||||||||
Permanent differences reclassified (primarily non-deductible expenses) | — | — | — | — | ||||||||||||||||||
Return of Capital | — | — | — | (1,100,440 | ) | |||||||||||||||||
Common shares outstanding, end of the period | 15,573,575 | $ | 295,515,991 | 15,573,575 | $ | 295,515,991 | ||||||||||||||||
Apollo Tactical Income Fund Inc. | ||||||||||||||||||||||
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | |||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||
Common shares outstanding, beginning of the period | 14,464,026 | $ | 275,434,361 | 14,464,026 | $ | 275,624,471 | ||||||||||||||||
Common shares issued as reinvestment of dividends | — | — | — | — | ||||||||||||||||||
Permanent differences reclassified (primarily non-deductible expenses) | — | — | — | — | ||||||||||||||||||
Return of Capital | — | — | — | (190,110 | ) | |||||||||||||||||
Common shares outstanding, end of the period | 14,464,026 | $ | 275,434,361 | 14,464,026 | $ | 275,434,361 | ||||||||||||||||
Apollo Senior Floating Rate Fund Inc. | |||||||||||||||||||||||||||||
Dividend Declaration Date | Ex-Dividend Date | Record Date | Payment Date | Per Share Amount | Gross Distribution | Cash Distribution | Value of new Common Shares Issued | ||||||||||||||||||||||
January 14, 2022 | January 21, 2022 | January 24, 2022 | January 31, 2022 | $ | 0.0800 | $ | 1,245,886 | $ | 1,245,886 | — | |||||||||||||||||||
February 4, 2022 | February 16, 2022 | February 17, 2022 | February 28, 2022 | $ | 0.0800 | $ | 1,245,886 | $ | 1,245,886 | — | |||||||||||||||||||
March 11, 2022 | March 22, 2022 | March 23, 2022 | March 31, 2022 | $ | 0.0800 | $ | 1,245,886 | $ | 1,245,886 | — | |||||||||||||||||||
April 11, 2022 | April 20, 2022 | April 21, 2022 | April 29, 2022 | $ | 0.0800 | $ | 1,245,886 | $ | 1,245,886 | — | |||||||||||||||||||
May 5, 2022 | May 19, 2022 | May 20, 2022 | May 31, 2022 | $ | 0.0850 | $ | 1,323,754 | $ | 1,323,754 | — | |||||||||||||||||||
June 8, 2022 | June 21, 2022 | June 22, 2022 | June 30, 2022 | $ | 0.0850 | $ | 1,323,754 | $ | 1,323,754 | — | |||||||||||||||||||
July 5, 2022* | July 20, 2022 | July 21, 2022 | July 29, 2022 | $ | 0.0920 | $ | 1,432,769 | $ | 1,432,769 | — | |||||||||||||||||||
August 12, 2022* | August 22, 2022 | August 23, 2022 | August 31, 2022 | $ | 0.0920 | ||||||||||||||||||||||||
Apollo Tactical Income Fund Inc. | ||||||||||||||||||||||||||||
Dividend Declaration Date | Ex-Dividend Date | Record Date | Payment Date | Per Share Amount | Gross Distribution | Cash Distribution | Value of new Common Shares Issued | |||||||||||||||||||||
January 14, 2022 | January 21, 2022 | January 24, 2022 | January 31, 2022 | $ | 0.0850 | $ | 1,229,442 | $ | 1,229,442 | — | ||||||||||||||||||
February 4, 2022 | February 16, 2022 | February 17, 2022 | February 28, 2022 | $ | 0.0850 | $ | 1,229,442 | $ | 1,229,442 | — | ||||||||||||||||||
March 11, 2022 | March 22, 2022 | March 23, 2022 | March 31, 2022 | $ | 0.0850 | $ | 1,229,442 | $ | 1,229,442 | — | ||||||||||||||||||
April 11, 2022 | April 20, 2022 | April 21, 2022 | April 29, 2022 | $ | 0.0850 | $ | 1,229,442 | $ | 1,229,442 | — | ||||||||||||||||||
May 5, 2022 | May 19, 2022 | May 20, 2022 | May 31, 2022 | $ | 0.0900 | $ | 1,301,762 | $ | 1,301,762 | — | ||||||||||||||||||
June 8, 2022 | June 21, 2022 | June 22, 2022 | June 30, 2022 | $ | 0.0900 | $ | 1,301,762 | $ | 1,301,762 | — | ||||||||||||||||||
July 5, 2022* | July 20, 2022 | July 21, 2022 | July 29, 2022 | $ | 0.0970 | $ | 1,403,011 | $ | 1,403,011 | — | ||||||||||||||||||
August 12, 2022* | August 22, 2022 | August 23, 2022 | August 31, 2022 | $ | 0.0970 | |||||||||||||||||||||||
Apollo Senior Floating Rate Fund Inc. | |||||
Distributions Paid to Common Shareholders from: | 2021 | ||||
Ordinary Income* | $ | 13,989,900 | |||
Return of Capital | 1,100,440 | ||||
Total Distributions | $ | 15,090,340 | |||
Apollo Tactical Income Fund Inc. | |||||
Distributions Paid to Common Shareholders from: | 2021 | ||||
Ordinary Income* | $ | 14,244,987 | |||
Return of Capital | 190,110 | ||||
Total Distributions | $ | 14,435,097 | |||
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Net Unrealized Appreciation/ (Depreciation)* | Accumulated Capital and Other Losses | ||||||||||||||||||
Apollo Senior Floating Rate Fund Inc. | $ | — | $ | — | $ | (6,579,770 | ) | $ | (32,735,382 | ) | ||||||||||||
Apollo Tactical Income Fund Inc. | — | — | (4,833,204 | ) | (31,374,137 | ) | ||||||||||||||||
Apollo Senior Floating Rate Fund Inc. | Apollo Tactical Income Fund Inc. | |||||||||
Federal tax basis, cost | $ | 382,453,582 | $ | 351,044,406 | ||||||
Unrealized appreciation | $ | 1,111,319 | $ | 1,141,964 | ||||||
Unrealized depreciation | (33,602,139 | ) | (33,384,978 | ) | ||||||
Net unrealized appreciation/(depreciation)* | $ | (32,490,820 | ) | $ | (32,243,014 | ) | ||||
Borrower | AFT | AIF | ||||||||
Accelerate360 Holdings, LLC Revolving Term Loan* | $ | — | $ | 636,092 | ||||||
Anaplan, Inc. Revolving Term Loan | 349,471 | 349,471 | ||||||||
Anuvu Holdings 2, LLC Delayed Draw Term Loan | 108,821 | 102,990 | ||||||||
Athenahealth Group, Inc. Delayed Draw Term Loan | 864,750 | 662,124 | ||||||||
Carestream Health, Inc. Backstop Term Loan | 4,101,500 | 1,913,827 | ||||||||
Gateway US Holdings, Inc. Delayed Draw Term Loan* ** | — | 636,491 | ||||||||
Gateway US Holdings, Inc. Revolving Term Loan* | — | 107,052 | ||||||||
Inovalon Holdings, Inc. Delayed Draw Term Loan* | — | 660,211 | ||||||||
IQN Holding Corporation Delayed Draw Term Loan* | — | 802,139 | ||||||||
IQN Holding Corporation Revolving Term Loan* | — | 320,856 | ||||||||
Keystone Acquisition Corporation Delayed Draw Term Loan* | — | 652,174 | ||||||||
Keystone Acquisition Corporation Revolving Term Loan* | — | 326,087 | ||||||||
Pro Mach Group, Inc. Delayed Draw Term Loan** | 176,993 | 176,993 | ||||||||
Trident TPI Holdings, Inc. Delayed Draw Term Loan* | 281,118 | — | ||||||||
Ultimate Baked Goods Midco, LLC Revolving Term Loan* | — | 99,459 | ||||||||
Zoro Bidco, Inc. Term Loan | 5,212,415 | 5,212,415 | ||||||||
Zoro Bidco, Inc. Delayed Draw Loan | 1,266,662 | 1,266,662 | ||||||||
Zoro Bidco, Inc. Revolving Term Loan | 520,923 | 520,923 | ||||||||
$ | 12,882,653 | $ | 14,445,966 | |||||||
* | The loan commitment was held only in AFT or AIF. |
** | Subsequent to June 30, 2022, all or a portion of the outstanding loan commitment was funded. |
Name | For | Withheld | ||||||||
Glenn N. Marchak | 8,614,206 | 599,520 | ||||||||
Todd J. Slotkin | 8,608,776 | 604,950 | ||||||||
Elliot Stein, Jr. | 8,616,036 | 597,690 | ||||||||
For | Against | Withheld | Non-Vote | |||||||||||||||||
Change in Fundamental Investment Restriction | 6,480,666 | 268,373 | 305,587 | 2,159,099 | ||||||||||||||||
Name | For | Withheld | ||||||||
Glenn N. Marchak | 10,240,243 | 2,049,844 | ||||||||
Todd J. Slotkin | 10,243,244 | 2,046,843 | ||||||||
Elliot Stein, Jr. | 10,242,302 | 2,047,786 | ||||||||
• | Calling 1-877-864-4834; |
• | Writing us at the following address: |
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to this filing.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recently filed annual report on Form N-CSR.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
None in the reporting period.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors implemented since the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. | |
(a)(2) | ||
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) |
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 Tactical Income Fund Inc. |
By (Signature and Title) /s/ Joseph Moroney |
Joseph Moroney, President |
(principal executive officer) |
Date August 23, 2022 |
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 August 23, 2022 |
By (Signature and Title) /s/ Kenneth Seifert �� |
Kenneth Seifert, Treasurer and Chief Financial Officer |
(principal financial officer) |
Date August 23, 2022 |