(a) | The Report to Shareholders is attached herewith. |
Manager Commentary (unaudited) | 1 | |||
Financial Data and Fund Performance | ||||
3 | ||||
5 | ||||
Consolidated Schedules of Investments | ||||
7 | ||||
13 | ||||
Consolidated Statements of Assets and Liabilities | 19 | |||
Consolidated Statements of Operations | 20 | |||
Consolidated Statements of Changes in Net Assets | ||||
21 | ||||
22 | ||||
Consolidated Statements of Cash Flows | ||||
23 | ||||
24 | ||||
Consolidated Financial Highlights | ||||
25 | ||||
26 | ||||
Notes to Consolidated Financial Statements | 27 | |||
Report of Independent Registered Public Accounting Firm | 45 | |||
Fund Investment Objectives, Policies and Risks (unaudited) | 46 | |||
Additional Information (unaudited) | 61 | |||
Directors and Officers (unaudited) | 66 | |||
Important Information About This Report | 68 |
1 | JP Morgan High Yield Bond and Leveraged Loan Market Monitor, January 3, 2023 |
2 | PitchBook Data / LCD December Wrap |
Portfolio Composition (as % of Current Market Value of Investment Securities) | |||||
Loans | 93.0% | ||||
High Yield Bonds | 6.2% | ||||
Equity/Other | 0.8% | ||||
Portfolio Characteristics (a) | |||||
Weighted Average Floating-Rate Spread | 4.71% | ||||
Weighted Average Fixed-Rate Coupon | 7.07% | ||||
Weighted Average Maturity (in years) (floating assets) | 4.90 | ||||
Weighted Average Maturity (in years) (fixed assets) | 5.87 | ||||
Weighted Average Modified Duration (in years) (fixed assets) | 4.32 | ||||
Weighted Average Modified Duration (in years) (e) | 3.75 | ||||
Average Position Size by Issuer (f) | $ | 3,799,735 | |||
Number of Issuers (f) | 97 | ||||
Weighted Average S&P Rating (g) | B | ||||
Weighted Average Rating Factor (Moody’s) (g) | 3,143 | ||||
Credit Quality (b) | |||||
BBB | 0.9% | ||||
BB | 5.3% | ||||
B | 71.3% | ||||
CCC+ or Lower | 8.9% | ||||
Not Rated | 13.6% |
Top 5 Industries (as % of Current Market Value of Investment Securities) (c) | |||||
High Tech Industries | 18.5% | ||||
Services: Business | 14.6% | ||||
Healthcare & Pharmaceuticals | 12.4% | ||||
Banking, Finance, Insurance & Real Estate | 6.5% | ||||
Chemicals, Plastics, & Rubber | 6.1% | ||||
Total | 58.1% | ||||
Top 10 Issuers (as % of Current Market Value of Investment Securities) (d) | |||||
Garda World Security Corporation | 3.0% | ||||
Solera, LLC | 2.5% | ||||
UKG, Inc. | 2.5% | ||||
Dcert Buyer, Inc. | 2.4% | ||||
Gainwell Acquisition Corporation | 2.4% | ||||
Peraton Corporation | 2.2% | ||||
McGraw-Hill Education, Inc. | 2.1% | ||||
Trident TPI Holdings, Inc. | 2.1% | ||||
The Edelman Financial Center, LLC | 2.0% | ||||
LBM Acquisition, LLC | 1.8% | ||||
Total | 23.0% |
(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 December 31, 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 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 December 31, 2022. |
Performance Comparison | ||||||||||||||||||||||
YTD | 5 Yr | 10 Yr | Since Inception (d) | |||||||||||||||||||
AFT - Market Price | (16.94 | )% (a) | 2.15% | (a)(b) | 3.21% | (a)(b) | 3.26% | (a)(b) | ||||||||||||||
AFT - NAV | (6.46 | )% (a) | 3.04% | (a)(b) | 4.68% | (a)(b) | 4.89% | (a)(b) | ||||||||||||||
S&P/LSTA Leveraged Loan Index (c) | (0.60 | )% | 3.31% | (b) | 3.67% | (b) | 3.80% | (b) |
Distributions (e) | |||||
Current Monthly Distribution (per share) | $0.108 | ||||
Current Distribution Rate at Market Price (f) | 10.50 | % | |||
Current Distribution Rate at NAV (f) | 9.13 | % |
(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 Consolidated 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 | 76.2% | ||||
High Yield Bonds | 15.9% | ||||
Structured Products | 7.2% | ||||
Equity/Other | 0.7% | ||||
Portfolio Characteristics (a) | |||||
Weighted Average Floating-Rate Spread | 5.32% | ||||
Weighted Average Fixed-Rate Coupon | 6.39% | ||||
Weighted Average Maturity (in years) (floating assets) | 5.42 | ||||
Weighted Average Maturity (in years) (fixed assets) | 5.29 | ||||
Weighted Average Modified Duration (in years) (fixed assets) | 4.15 | ||||
Weighted Average Modified Duration (in years) (e) | 3.82 | ||||
Average Position Size by Issuer (f) | $ | 3,704,028 | |||
Number of Issuers (f) | 90 | ||||
Weighted Average S&P Rating (g) | B | ||||
Weighted Average Rating Factor (Moody’s) (g) | 3,252 | ||||
Credit Quality (b) | |||||
BBB | 0.7% | ||||
BB | 10.8% | ||||
B | 52.0% | ||||
CCC+ or Lower | 12.7% | ||||
Not Rated | 23.8% |
Top 5 Industries (as % of Current Market Value of Investment Securities) (c) | |||||
High Tech Industries | 18.2% | ||||
Healthcare & Pharmaceuticals | 13.6% | ||||
Media: Advertising, Printing & Publishing | 8.2% | ||||
Services: Business | 6.7% | ||||
Chemicals, Plastics, & Rubber | 5.4% | ||||
Total | 52.1% | ||||
Top 10 Issuers (as % of Current Market Value of Investment Securities) (d) | |||||
Gainwell Acquisition Corporation | 2.7% | ||||
Churchhill Middle Market CLO, Ltd. | 2.6% | ||||
DCert Buyer, Inc. | 2.6% | ||||
Mavis Tire Express Services Corporation | 2.5% | ||||
Peraton Corporation | 2.5% | ||||
Solera, LLC | 2.4% | ||||
Advarra Holdings, Inc. | 2.1% | ||||
Inovalon Holdings, Inc. | 2.1% | ||||
PetSmart, Inc. | 2.1% | ||||
Fortress Credit CLO, LTD | 2.0% | ||||
Total | 23.6% |
(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 December 31, 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 7.2% of the portfolio as of December 31, 2022. |
(d) | Holdings are subject to change and are provided for informational purposes only. |
(e) | Excludes equity investments and includes fixed and floating rate assets. |
(f) | Excludes equity investments and warrants. |
(g) | Excludes securities with no rating or in default as of December 31, 2022. |
Performance Comparison | ||||||||||||||||
YTD | 5 Yr | Since Inception (d) | ||||||||||||||
AIF - Market Price | (13.44 | )% (a) | 2.91 | % (a)(b) | 3.51 | % (a)(b) | ||||||||||
AIF - NAV | (8.38 | )% (a) | 3.56 | % (a)(b) | 5.41 | % (a)(b) | ||||||||||
S&P/LSTA Leveraged Loan Index (c) | (0.60 | )% | 3.31 | % (b) | 3.60 | % (b) | ||||||||||
Distributions (e) | |||||||||||||||
Current Monthly Distribution (per share) | $0.122 | ||||||||||||||
Current Distribution Rate at Market Price (f) | 12.08 | % | |||||||||||||
Current Distribution Rate at NAV (f) | 10.57 | % |
(a) | Performance reflects total return assuming all distributions were reinvested at the dividend reinvestment rate. Past performance does not necessarily indicate how the Fund will perform in the future. The performance information provided does not reflect the deduction of taxes that a shareholder would pay on distributions received from the Fund. |
(b) | Annualized. |
(c) | The S&P/LSTA Leveraged Loan Index is a broad index designed to reflect the performance of the U.S. dollar facilities in the leveraged loan market. |
(d) | Inception date February 25, 2013. |
(e) | All or a portion of the Fund’s distributions may be comprised of ordinary income, capital gains and/or return of capital. Refer to Note 7 in the Notes to the Consolidated Financial Statements. |
(f) | Distribution rates represent the latest declared regular distribution, annualized, relative to the most recent month-end market price and NAV. Special distributions are not included in the calculation. |
Principal Amount ($) | Value ($) | |||||||
Senior Loans - 141.5% (a) | ||||||||
AEROSPACE & DEFENSE - 4.4% | ||||||||
Peraton Corporation | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 8.13%, 02/01/28 (c) | 7,525,887 | 7,362,838 | ||||||
Vertex Aerospace Services Corp. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.50%, 0.75% Floor), 7.88%, 12/06/28 (c) | 2,296,675 | 2,259,722 | ||||||
9,622,560 | ||||||||
AUTOMOTIVE - 1.5% | ||||||||
Truck Hero, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 0.75% Floor), 8.13%, 01/31/28 (b)(c) | 3,802,197 | 3,277,019 | ||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE - 9.7% | ||||||||
Alliant Holdings Intermediate, LLC | ||||||||
First Lien Term Loan B4, (1M LIBOR + 3.50%, 0.50% Floor), 7.85%, 11/05/27 (c) | 3,464,912 | 3,391,283 | ||||||
Apex Group Treasury, LLC | ||||||||
First Lien Term Loan, (1M SOFR + 5.00%, 0.50% Floor), 9.33%, 07/27/28 (c) | 1,562,500 | 1,523,438 | ||||||
First Lien Term Loan, (3M LIBOR + 3.75%, 0.50% Floor), 8.26%, 07/27/28 (c) | 2,941,624 | 2,816,605 | ||||||
Asurion, LLC | ||||||||
First Lien Term Loan B10, (3M SOFR + 4.00%, 0.00% Floor), 8.68%, 08/19/28 (c) | 997,500 | 892,513 | ||||||
Second Lien Term Loan B3, (1M LIBOR + 5.25%, 0.00% Floor), 9.63%, 01/31/28 (c) | 1,483,118 | 1,165,478 | ||||||
Second Lien Term Loan B4, (1M LIBOR + 5.25%, 0.00% Floor), 9.63%, 01/20/29 (c) | 3,866,174 | 3,028,045 | ||||||
Howden Group Holdings Limited(United Kingdom) | ||||||||
First Lien Term Loan, (1M SOFR + 5.25%, 0.75% Floor), 9.57%, 11/12/27 (c)d)(e) | 2,040,000 | 1,999,200 | ||||||
The Edelman Financial Center, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.50%, 0.75% Floor), 7.88%, 04/07/28 (c) | 2,250,430 | 2,105,840 | ||||||
Second Lien Term Loan, (1M LIBOR + 6.75%, 0.00% Floor), 11.13%, 07/20/26 (c) | 4,931,380 | 4,458,929 | ||||||
21,381,331 | ||||||||
BEVERAGE, FOOD & TOBACCO - 2.3% | ||||||||
IRB Holding Corporation | ||||||||
First Lien Term Loan B, (1M SOFR + 3.00%, 0.75% Floor), 7.69%, 12/15/27 (b)(c) | 2,000,000 | 1,944,000 |
Principal Amount ($) | Value ($) | |||||||
BEVERAGE, FOOD & TOBACCO (continued) | ||||||||
Primary Products Finance LLC | ||||||||
First Lien Term Loan, (3M SOFR + 4.00%, 0.50% Floor), 8.74%, 04/01/29 (c) | 3,150,807 | 3,105,246 | ||||||
5,049,246 | ||||||||
CAPITAL EQUIPMENT - 2.7% | ||||||||
Pro Mach Group, Inc. | ||||||||
First Lien Term Loan, (SOFR + 5.00%, 0.50% Floor), 5.50%, 08/31/28 (b)(c) | 136,478 | 131,701 | ||||||
First Lien Term Loan B, (1M LIBOR + 4.00%, 1.00% Floor), 8.38%, 08/31/28 (c) | 1,696,140 | 1,653,525 | ||||||
Safe Fleet Holdings, LLC | ||||||||
First Lien Term Loan, (1M SOFR + 5.00%, 0.50% Floor), 9.42%, 02/23/29 (c) | 398,000 | 386,060 | ||||||
Second Lien Term Loan, (1M LIBOR + 6.75%, 1.00% Floor), 11.14%, 02/02/26 (c) | 1,403,846 | 1,284,084 | ||||||
SPX Flow, Inc. | ||||||||
First Lien Term Loan, (1M SOFR + 4.50%, 0.50% Floor), 8.92%, 04/05/29 (c) | 2,801,447 | 2,623,863 | ||||||
6,079,233 | ||||||||
CHEMICALS, PLASTICS, & RUBBER - 9.0% | ||||||||
Archroma Finance S.A.R.L (Luxembourg) | ||||||||
First Lien Term Loan B2, (1M LIBOR + 3.75%, 0.00% Floor), 8.14%, 08/12/24 (c)(e) | 3,874,209 | 3,796,725 | ||||||
Geon Performance Solutions, LLC | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.50%, 0.75% Floor), 9.23%, 08/18/28 (c) | 3,300,604 | 3,218,088 | ||||||
LSF11 A5 Holdco LLC | ||||||||
First Lien Term Loan, (1M SOFR + 3.50%, 0.50% Floor), 7.94%, 10/15/28 (c) | 5,010,616 | 4,852,781 | ||||||
Luxembourg Investment Company 428 SARL (Luxembourg) | ||||||||
First Lien Term Loan B, (3M SOFR + 5.00%, 0.50% Floor), 9.73%, 01/03/29 (c)(e) | 4,695,549 | 3,756,440 | ||||||
Olympus Water US Holding Corporation | ||||||||
First Lien Term Loan, (3M SOFR + 4.50%, 0.50% Floor), 9.18%, 11/09/28 (c) | 2,410,356 | 2,345,277 | ||||||
First Lien Term Loan, (3M LIBOR + 3.75%, 0.50% Floor), 8.50%, 11/09/28 (c) | 425,349 | 409,458 | ||||||
W.R. Grace Holdings, LLC | ||||||||
First Lien Term Loan B, (3M LIBOR + 3.75%, 0.50% Floor), 8.50%, 09/22/28 (c) | 1,435,734 | 1,412,970 | ||||||
19,791,739 | ||||||||
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
CONSTRUCTION & BUILDING - 2.7% | ||||||||
Associated Asphalt Partners, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 5.25%, 1.00% Floor), 9.63%, 04/05/24 (c) | 2,309,901 | 1,785,680 | ||||||
Cornerstone Building Brands, Inc. | ||||||||
First Lien Term Loan, (1M SOFR + 5.63%, 0.50% Floor), 9.96%, 08/01/28 (b)(c) | 2,000,000 | 1,889,000 | ||||||
Oscar Acquisitionco, LLC | ||||||||
First Lien Term Loan, (3M SOFR + 4.50%, 0.50% Floor), 9.18%, 04/29/29 (c) | 2,507,491 | 2,380,562 | ||||||
6,055,242 | ||||||||
CONSUMER GOODS: DURABLE - 0.3% | ||||||||
Mattress Firm, Inc. | ||||||||
First Lien Term Loan B, (6M LIBOR + 4.25%, 0.75% Floor), 8.44%, 09/25/28 (c) | 768,604 | 657,156 | ||||||
CONSUMER GOODS: NON-DURABLE - 2.6% | ||||||||
ABG Intermediate Holdings 2 LLC | ||||||||
First Lien Term Loan, (1M SOFR + 3.50%, 0.50% Floor), 7.92%, 12/21/28 (c) | 2,371,644 | 2,301,977 | ||||||
Second Lien Term Loan, (1M SOFR + 6.00%, 0.50% Floor), 10.42%, 12/20/29 (c) | 1,710,576 | 1,571,592 | ||||||
Iconix Brand Group | ||||||||
First Lien Term Loan, (3M SOFR + 6.00%, 1.00% Floor), 10.73%, 08/22/29 (c)(d) | 1,834,615 | 1,797,923 | ||||||
5,671,492 | ||||||||
CONTAINERS, PACKAGING & GLASS - 7.6% | ||||||||
Anchor Glass Container Corp. | ||||||||
First Lien Term Loan, (3M LIBOR + 2.75%, 1.00% Floor), 6.55%, 12/07/23 (c) | 4,243,533 | 3,118,509 | ||||||
First Lien Term Loan, (3M LIBOR + 5.00%, 1.00% Floor), 9.73%, 12/07/23 (c)(d) | 1,578,226 | 1,185,248 | ||||||
Berlin Packaging L.L.C. | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.50% Floor), 8.14%, 03/11/28 (c) | 2,315,465 | 2,233,162 | ||||||
LABL, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 5.00%, 0.50% Floor), 9.38%, 10/29/28 (c) | 3,241,225 | 3,085,241 | ||||||
Trident TPI Holdings, Inc. | ||||||||
First Lien Term Loan, (3M SOFR + 5.25%, 0.50% Floor), 9.83%, 09/15/28 (c) | 1,334,216 | 1,286,685 | ||||||
First Lien Term Loan B3, (3M LIBOR + 4.00%, 0.50% Floor), 8.73%, 09/15/28 (c) | 6,010,554 | 5,786,240 | ||||||
16,695,085 | ||||||||
Principal Amount ($) | Value ($) | |||||||
ENVIRONMENTAL INDUSTRIES - 2.7% | ||||||||
Dispatch Acquisition Holdings, LLC | ||||||||
First Lien Term Loan, (3M SOFR + 4.63%, 0.75% Floor), 9.36%, 03/27/28 (c)(d) | 497,500 | 437,104 | ||||||
First Lien Term Loan B, (3M LIBOR + 4.25%, 0.75% Floor), 8.98%, 03/27/28 (c)(d) | 2,955,000 | 2,553,415 | ||||||
LTR Intermediate Holdings, Inc. | ||||||||
First Lien Term Loan, (1M/3M LIBOR + 4.50%, 1.00% Floor), 9.18%, 05/05/28 (c) | 3,210,649 | 2,929,717 | ||||||
5,920,236 | ||||||||
FOREST PRODUCTS & PAPER - 1.2% | ||||||||
Spa US Holdco, Inc. (Finland) | ||||||||
First Lien Term Loan B, (3M LIBOR + 3.75%, 0.75% Floor), 8.48%, 02/04/28 (c)(e) | 2,663,726 | 2,557,177 | ||||||
HEALTHCARE & PHARMACEUTICALS - 18.5% | ||||||||
Advarra Holdings, Inc. | ||||||||
First Lien Term Loan, (3M SOFR + 5.75%, 0.75% Floor), 10.15%, 08/24/29 (c)(d) | 6,419,849 | 6,323,551 | ||||||
Athenahealth, Inc. | ||||||||
First Lien Delayed Draw Term Loan, (1M SOFR + 3.50%, 0.50% Floor), 7.82%, 02/15/29 (c) | 216,188 | 195,728 | ||||||
First Lien Term Loan B, (1M SOFR + 3.50%, 0.50% Floor), 7.82%, 02/15/29 (c) | 5,076,515 | 4,596,074 | ||||||
Azurity Pharmaceuticals, Inc. | ||||||||
First Lien Term Loan B, (3M LIBOR + 6.00%, 0.75% Floor), 10.75%, 09/20/27 (c)(d) | 2,035,713 | 1,959,781 | ||||||
Bausch Health Companies, Inc. | ||||||||
First Lien Term Loan B, (1M SOFR + 5.25%, 0.50% Floor), 9.67%, 02/01/27 (b)(c) | 4,684,952 | 3,580,100 | ||||||
Gainwell Acquisition Corporation | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.00%, 0.75% Floor), 8.73%, 10/01/27 (c) | 8,563,881 | 8,060,753 | ||||||
Loire Finco Luxembourg SARL (United Kingdom) | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.50%, 0.75% Floor), 7.88%, 04/21/27 (c)(e) | 1,965,261 | 1,847,346 | ||||||
LSCS Holdings, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 4.50%, 0.50% Floor), 8.88%, 12/16/28 (c) | 2,021,465 | 1,936,816 | ||||||
Medical Solutions Holdings, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.50%, 0.50% Floor), 7.88%, 11/01/28 (b)(c) | 2,493,750 | 2,342,828 | ||||||
Pacira Biosciences, Inc. | ||||||||
First Lien Term Loan, (3M SOFR + 7.00%, 0.75% Floor), 11.50%, 12/07/26 (c) | 1,548,513 | 1,525,285 |
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
HEALTHCARE & PHARMACEUTICALS (continued) | ||||||||
Resonetics, LLC | ||||||||
First Lien Term Loan, (3M LIBOR + 4.00%, 0.75% Floor), 8.41%, 04/28/28 (c) | 3,950,000 | 3,772,250 | ||||||
Sunshine Luxembourg VII SARL (Luxembourg) | ||||||||
First Lien Term Loan B-3, (3M LIBOR + 3.75%, 0.75% Floor), 8.48%, 10/01/26(c)(e) | 4,967,146 | 4,769,156 | ||||||
40,909,668 | ||||||||
HIGH TECH INDUSTRIES - 27.4% | ||||||||
Anaplan, Inc. | ||||||||
First Lien Term Loan, (1M SOFR + 6.50%, 0.75% Floor), 10.82%, 06/21/29 (c)d) | 5,650,529 | 5,537,518 | ||||||
Avalara, Inc., | ||||||||
First Lien Term Loan, (3M SOFR + 7.25%, 0.75% Floor), 11.83%, 10/19/28 (c)(d) | 4,545,455 | 4,431,818 | ||||||
DCert Buyer, Inc. | ||||||||
First Lien Term Loan, (6M SOFR + 4.00%, 0.00% Floor), 8.70%, 10/16/26 (c) | 4,616,043 | 4,469,322 | ||||||
Second Lien Term Loan, (6M LIBOR + 7.00%, 0.00% Floor), 11.70%, 02/19/29 (c) | 3,927,401 | 3,601,426 | ||||||
Electronics for Imaging, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 5.00%, 0.00% Floor), 9.38%, 07/23/26 (c) | 4,931,373 | 3,321,945 | ||||||
Flexera Software LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 8.14%, 03/03/28 (c) | 3,395,342 | 3,266,964 | ||||||
Imperva, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 4.00%, 1.00% Floor), 8.59%, 01/12/26 (c) | 5,479,645 | 4,504,268 | ||||||
Imprivata, Inc. | ||||||||
First Lien Term Loan, (1M SOFR + 4.25%, 0.50% Floor), 8.57%, 12/01/27 (c) | 997,494 | 964,766 | ||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 0.50% Floor), 8.13%, 12/01/27 (c) | 494,962 | 477,515 | ||||||
Second Lien Term Loan, (1M SOFR + 6.25%, 0.50% Floor), 10.57%, 12/01/28 (c)d) | 2,205,882 | 2,216,912 | ||||||
Ivanti Software, Inc. | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.25%, 0.75% Floor), 9.01%, 12/01/27 (c) | 2,975,928 | 2,369,895 | ||||||
Open Text Corporation (Canada) | ||||||||
First Lien Term Loan, (SOFR + 3.50%, 0.50% Floor), 4.00%, 11/16/29 (b)(c)(e) | 3,239,802 | 3,172,171 |
Principal Amount ($) | Value ($) | |||||||
HIGH TECH INDUSTRIES (continued) | ||||||||
Riverbed Technology, Inc. | ||||||||
First Lien Exit Term Loan, (2.00% PIK), (3M SOFR + 8.00%, 1.00% Floor), 12.54%, 12/07/26 (c)(f) | 830,198 | 358,853 | ||||||
Sovos Compliance, LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 4.50%, 0.50% Floor), 8.88%, 08/11/28 (c) | 2,476,841 | 2,287,982 | ||||||
TIBCO Software Inc. | ||||||||
First Lien Term Loan A, (3M SOFR + 4.50%, 0.50% Floor), 9.18%, 09/29/28 (b)(c) | 3,000,000 | 2,673,750 | ||||||
UKG, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 0.00% Floor), 8.13%, 05/04/26 (c) | 7,631,443 | 7,372,508 | ||||||
Second Lien Term Loan, (3M LIBOR + 5.25%, 0.50% Floor), 10.03%, 05/03/27 (c) | 1,000,000 | 922,750 | ||||||
Virtusa Corporation | ||||||||
First Lien Term Loan, (1M SOFR + 3.75%, 0.75% Floor), 8.17%, 02/15/29 (c) | 3,749,189 | 3,628,897 | ||||||
Zendesk, Inc. | ||||||||
First Lien Term Loan, (3M SOFR + 6.50%, 0.75% Floor), 11.04%, 11/22/28 (c)(d) | 5,173,913 | 5,070,435 | ||||||
60,649,695 | ||||||||
HOTEL, GAMING & LEISURE - 3.1% | ||||||||
Caesars Resort Collection, LLC | ||||||||
First Lien Term Loan B1, (1M LIBOR + 3.50%, 0.00% Floor), 7.88%, 07/21/25 (c) | 1,613,286 | 1,611,358 | ||||||
Fertitta Entertainment, LLC | ||||||||
First Lien Term Loan B, (1M SOFR + 4.00%, 0.50% Floor), 8.32%, 01/27/29 (c) | 5,455,980 | 5,198,212 | ||||||
6,809,570 | ||||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 6.6% | ||||||||
Associations Inc. | ||||||||
First Lien Term Loan, (2.50% PIK), (3M SOFR + 6.50%, 1.00% Floor), 10.36%, 07/02/27 (c)(d)(f) | 3,038,246 | 3,007,864 | ||||||
Houghton Mifflin Harcourt Company | ||||||||
First Lien Term Loan B, (1M SOFR + 5.25%, 0.50% Floor), 9.67%, 04/09/29 (c) | 4,711,145 | 4,494,715 | ||||||
McGraw-Hill Education, Inc. | ||||||||
First Lien Term Loan, (6M LIBOR + 4.75%, 0.50% Floor), 8.32%, 07/28/28 (c) | 6,610,147 | 6,240,376 | ||||||
R. R. Donnelley & Sons Company | ||||||||
First Lien Term Loan B, (1M SOFR + 6.25%, 0.50% Floor), 10.67%, 11/01/26 (c)(d) | 843,000 | 830,355 | ||||||
14,573,310 | ||||||||
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 1.9% | ||||||||
Anuvu Holdings 2, LLC | ||||||||
First Lien Term Loan, (3M LIBOR + 8.00%, 1.00% Floor), 12.73%, 03/24/25 (c) | 2,479,047 | 2,429,466 | ||||||
First Lien Term Loan, (6.75% PIK), (3M LIBOR + 8.25%, 1.00% Floor), 12.98%, 03/23/26 (c)(d)(f) | 2,075,984 | 1,795,726 | ||||||
4,225,192 | ||||||||
RETAIL - 4.5% | ||||||||
Claire’s Stores, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 6.50%, 0.00% Floor), 10.88%, 12/18/26 (c) | 1,029,101 | 933,909 | ||||||
Petco Health and Wellness Company, Inc. | ||||||||
First Lien Term Loan, (SOFR 3M + 3.25%, 0.75% Floor), 8.09%, 03/03/28 (c) | 1,960,875 | 1,906,343 | ||||||
PetSmart, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 0.75% Floor), 8.13%, 02/11/28 (c) | 4,738,800 | 4,651,417 | ||||||
Tory Burch LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 3.50%, 0.50% Floor), 7.88%, 04/16/28 (c) | 2,735,156 | 2,534,587 | ||||||
10,026,256 | ||||||||
SERVICES: BUSINESS - 20.0% | ||||||||
Advantage Sales & Marketing Inc. | ||||||||
First Lien Term Loan B1, (3M LIBOR + 4.50%, 0.75% Floor), 8.28%, 10/28/27 (c) | 3,953,930 | 3,284,727 | ||||||
Allied Universal Holdco LLC | ||||||||
First Lien Term Loan, (1M SOFR + 3.75%, 0.50% Floor), 8.17%, 05/12/28 (b)(c) | 2,015,002 | 1,918,292 | ||||||
Carestream Health, Inc. | ||||||||
First Lien Term Loan, (3M SOFR + 7.50%, 1.00% Floor), 12.18%, 09/30/27 (c)(d) | 118,571 | 95,449 | ||||||
Coretrust Purchasing Group LLC | ||||||||
First Lien Term Loan, (3M SOFR + 6.75%, 0.75% Floor), 10.84%, 10/01/29 (c)(d) | 2,323,308 | 2,253,609 | ||||||
Deerfield Dakota Holding, LLC | ||||||||
First Lien Term Loan, (1M SOFR + 3.75%, 1.00% Floor), 8.07%, 04/09/27 (c) | 6,270,098 | 5,871,383 | ||||||
eResearchTechnology, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.50%, 1.00% Floor), 8.88%, 02/04/27 (c) | 6,376,277 | 5,644,981 |
Principal Amount ($) | Value ($) | |||||||
SERVICES: BUSINESS (continued) | ||||||||
Garda World Security Corporation (Canada) | ||||||||
First Lien Term Loan B, (3M SOFR + 4.25%, 0.00% Floor), 8.53%, 02/01/29 (c)(e) | 1,730,411 | 1,669,847 | ||||||
First Lien Term Loan B2, (3M LIBOR + 4.25%, 0.00% Floor), 8.93%, 10/30/26 (c)(e) | 8,539,602 | 8,330,382 | ||||||
Ingenovis Health, Inc. | ||||||||
First Lien Term Loan, (SOFR + 4.25%, 0.50% Floor), 8.67%, 03/06/28 (b)(c) | 1,000,000 | 953,750 | ||||||
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 8.14%, 03/06/28 (c) | 3,953,718 | 3,772,500 | ||||||
Solera, LLC | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.00%, 0.50% Floor), 8.73%, 06/02/28 (c) | 4,023,526 | 3,681,526 | ||||||
Second Lien Term Loan, (3M LIBOR + 8.00%, 1.00% Floor), 12.73%, 06/04/29 (c) | 4,898,633 | 4,825,154 | ||||||
Wellsky | ||||||||
First Lien Term Loan, (1M SOFR + 5.75%, 0.75% Floor), 10.07%, 03/10/28 (c)(d) | 1,995,000 | 1,920,188 | ||||||
44,221,788 | ||||||||
SERVICES: CONSUMER - 1.1% | ||||||||
2U, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 5.75%, 0.75% Floor), 10.16%, 12/30/24 (c)(d) | 2,413,250 | 2,401,184 | ||||||
TELECOMMUNICATIONS - 7.2% | ||||||||
Flight Bidco, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.50%, 0.00% Floor), 7.88%, 07/23/25 (c) | 2,604,610 | 2,416,192 | ||||||
MLN US Holdco LLC | ||||||||
First Lien Second Out Term Loan, (6M SOFR + 6.70%, 1.00% Floor), 11.15%, 10/18/27 (c)(d) | 3,807,495 | 3,360,114 | ||||||
First Lien Term Loan, (6M SOFR + 6.44%, 1.00% Floor), 10.89%, 10/18/27 (c)(d) | 638,138 | 614,471 | ||||||
Orbcomm, Inc. | ||||||||
First Lien Term Loan, (1M/3M LIBOR + 4.25%, 0.75% Floor), 8.81%, 09/01/28 (c) | 1,039,534 | 893,136 | ||||||
U.S. TelePacific Corp. | ||||||||
First Lien Term Loan, (7.25% PIK), (3M/6M SOFR + 8.50%, 1.00% Floor), 11.57%, 05/01/26 (c)(d)(f) | 6,134,304 | 2,400,353 | ||||||
Zacapa SARL (Luxembourg) | ||||||||
First Lien Term Loan, (3M SOFR + 4.25%, 0.50% Floor), 8.83%, 03/22/29 (b)(c)(e) | 3,772,177 | 3,635,039 |
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
TELECOMMUNICATIONS (continued) | ||||||||
Zayo Group Holdings, Inc. | ||||||||
First Lien Term Loan, (1M SOFR + 4.25%, 0.50% Floor), 8.57%, 03/09/27 (c) | 3,199,074 | 2,670,219 | ||||||
15,989,524 | ||||||||
TRANSPORTATION: CONSUMER - 1.6% | ||||||||
Travel Leaders Group, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.00%, 0.00% Floor), 8.38%, 01/25/24 (c) | 3,935,571 | 3,618,265 | ||||||
WHOLESALE - 2.9% | ||||||||
LBM Acquisition, LLC | ||||||||
First Lien Term Loan B, (6M LIBOR + 3.75%, 0.75% Floor), 7.12%, 12/17/27 (c) | 7,436,747 | 6,480,456 | ||||||
Total Senior Loans (Cost $335,181,983) | 312,662,424 | |||||||
Corporate Notes and Bonds - 9.4% | ||||||||
AUTOMOTIVE - 1.0% | ||||||||
Carvana Co. 10.25%, 05/01/30 (h)(i) | 4,735,000 | 2,240,488 | ||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE - 0.3% | ||||||||
KCF Puerto Rico, LLC (Puerto Rico) 0.00%, 06/28/28 (d)(e)(j) | 882,529 | 596,966 | ||||||
CHEMICALS, PLASTICS, & RUBBER - 0.3% | ||||||||
Cheever Escrow Issuer, LLC 7.13%, 10/01/27 (h)(i) | 750,000 | 717,713 | ||||||
CONTAINERS, PACKAGING & GLASS - 0.4% | ||||||||
LABL, Inc. 5.88%, 11/01/28 (h)(i) | 1,000,000 | 851,632 | ||||||
ENERGY: OIL & GAS - 1.1% | ||||||||
Moss Creek Resources Holdings, Inc. 10.50%, 05/15/27 (h)(i) | 2,538,000 | 2,412,623 | ||||||
FOREST PRODUCTS & PAPER - 0.5% | ||||||||
Spa US Holdco, Inc. (Finland) 4.88%, 02/04/28 (e)(h)(i) | 1,500,000 | 1,219,781 | ||||||
HEALTHCARE & PHARMACEUTICALS - 0.4% | ||||||||
Embecta Corp. 5.00%, 02/15/30 (h)(i) | 1,063,000 | 895,577 | ||||||
HIGH TECH INDUSTRIES - 0.7% | ||||||||
TIBCO Software Inc 6.50%, 03/31/29 (h)(i) | 1,770,000 | 1,497,810 | ||||||
Principal Amount ($) | Value ($) | |||||||
HOTEL, GAMING & LEISURE - 0.9% | ||||||||
Carnival Corporation 9.88%, 08/01/27 (h)(i) | 44,000 | 41,723 | ||||||
10.38%, 05/01/28 (h)(i) | 1,956,000 | 2,009,272 | ||||||
2,050,995 | ||||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.4% | ||||||||
McGraw-Hill Education, Inc. 5.75%, 08/01/28 (h)(i) | 1,000,000 | 842,050 | ||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 0.6% | ||||||||
CSC Holdings, LLC 4.13%, 12/01/30 (h)(i) | 2,000,000 | 1,414,790 | ||||||
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 - 1.5% | ||||||||
Advantage Sales & Marketing Inc. 6.50%, 11/15/28 (h)(i) | 3,250,000 | 2,486,201 | ||||||
Allied Universal Holdco LLC 4.63%, 06/01/28 (h)(i) | 1,000,000 | 825,600 | ||||||
3,311,801 | ||||||||
TELECOMMUNICATIONS - 1.3% | ||||||||
Frontier Communications Holdings, LLC 5.00%, 05/01/28 (h)(i) | 3,239,000 | 2,821,331 | ||||||
Total Corporate Notes and Bonds (Cost $25,085,870) | 20,873,557 | |||||||
Quantity | Value ($) | |||||||
Common Stocks - 1.2% | ||||||||
AUTOMOTIVE - 0.0% | ||||||||
APC Parent, Inc. (d) | 241,972 | — | ||||||
ENERGY: OIL & GAS - 0.0% | ||||||||
RDV Resources, Inc. (d) | 28,252 | 49,441 | ||||||
HIGH TECH INDUSTRIES - 0.0% | ||||||||
Riverbed Holdings, Inc. (j) | 32,644 | 8,324 | ||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.0% | ||||||||
Acosta, Inc. (d)(j) | 3,133 | 28,216 | ||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 0.5% | ||||||||
Anuvu Corp. (d)(j) | 108,418 | 1,114,537 | ||||||
Quantity | Value ($) | |||||||
Common Stocks (continued) | ||||||||
SERVICES: BUSINESS - 0.7% | ||||||||
Carestream Health, Inc. (d)(j) | 118,564 | 1,407,355 | ||||||
Total Common Stocks (Cost $6,691,651) | 2,607,873 | |||||||
Preferred Stocks - 0.1% | ||||||||
HIGH TECH INDUSTRIES - 0.0% | ||||||||
Riverbed Holdings, Inc. (d) | 22,342 | 16,868 | ||||||
Quantity | Value ($) | |||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.1% | ||||||||
Acosta, Inc., (14.50% PIK) (d)(f) | 3,858 | 173,387 | ||||||
Total Preferred Stocks (Cost $717,268) | 190,255 | |||||||
Total Investments - 152.2% | 336,334,109 | |||||||
(Cost of $367,676,772) | ||||||||
Other Assets & Liabilities, Net - 6.5% | 14,452,290 | |||||||
Loan Outstanding - (58.7%) (k)(l) | (129,760,404 | ) | ||||||
Net Assets (Applicable to Common Shares) - 100.0% | 221,025,995 | |||||||
(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 December 31, 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”) or the Secured Overnight Financing Rate (“SOFR”) and secondarily the prime rate offered by one or more major U.S. banks (“Prime”). The interest rate is subject to a minimum floor, which may be less than or greater than the prevailing period end LIBOR/SOFR/Prime rate. As of December 31, 2022, the 1, 3 and 6 month LIBOR rates were 4.39%, 4.77%, and 5.14%, respectively, the 1, 3 and 6 month SOFR rates were 4.35%, 4.59% and 4.78%, respectively, and the Prime lending rate was 7.50%. 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 December 31, 2022, these securities amounted to $20,276,591, or 9.17% 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 $239,596. |
Principal Amount ($) | Value ($) | |||||||
Senior Loans - 113.1% (a) | ||||||||
AEROSPACE & DEFENSE - 3.7% | ||||||||
Peraton Corporation | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.75%, 0.75% Floor), 8.13%, 02/01/28 (c) | 7,525,887 | 7,362,838 | ||||||
AUTOMOTIVE - 1.1% | ||||||||
Truck Hero, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 0.75% Floor), 8.13%, 01/31/28 (b)(c) | 2,661,702 | 2,294,055 | ||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE - 5.2% | ||||||||
Alliant Holdings Intermediate, LLC | ||||||||
First Lien Term Loan B4, (1M LIBOR + 3.50%, 0.50% Floor), 7.85%, 11/05/27 (c) | 2,974,900 | 2,911,683 | ||||||
Asurion, LLC | ||||||||
Second Lien Term Loan B3, (1M LIBOR + 5.25%, 0.00% Floor), 9.63%, 01/31/28 (c) | 918,120 | 721,487 | ||||||
Second Lien Term Loan B4, (1M LIBOR + 5.25%, 0.00% Floor), 9.63%, 01/20/29 (c) | 2,885,398 | 2,259,887 | ||||||
Howden Group Holdings Limited(United Kingdom) | ||||||||
First Lien Term Loan, (1M SOFR + 5.25%, 0.75% Floor), 9.57%, 11/12/27 (d)(c)(e) | 2,040,000 | 1,999,200 | ||||||
The Edelman Financial Center, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 3.50%, 0.75% Floor), 7.88%, 04/07/28 (c) | 428,733 | 401,187 | ||||||
Second Lien Term Loan, (1M LIBOR + 6.75%, 0.00% Floor), 11.13%, 07/20/26 (c) | 2,428,369 | 2,195,719 | ||||||
10,489,163 | ||||||||
BEVERAGE, FOOD & TOBACCO - 1.0% | ||||||||
Ultimate Baked Goods Midco LLC | ||||||||
First Lien Revolving Term Loan, (1M LIBOR + 6.50%, 1.00% Floor), 10.88%, 08/13/27 (c)(d) | 65,270 | 63,051 | ||||||
First Lien Term Loan L, (1M LIBOR + 6.50%, 1.00% Floor), 10.88%, 08/13/27 (c)(d) | 2,030,838 | 1,961,992 | ||||||
2,025,043 | ||||||||
CAPITAL EQUIPMENT - 1.6% | ||||||||
Safe Fleet Holdings, LLC | ||||||||
Second Lien Term Loan, (1M LIBOR + 6.75%, 1.00% Floor), 11.14%, 02/02/26 (c) | 1,403,846 | 1,284,084 | ||||||
SPX Flow, Inc. | ||||||||
First Lien Term Loan, (1M SOFR + 4.50%, 0.50% Floor), 8.92%, 04/05/29 (c) | 2,001,033 | 1,874,187 | ||||||
3,158,271 | ||||||||
Principal Amount ($) | Value ($) | |||||||
CHEMICALS, PLASTICS, & RUBBER - 7.1% | ||||||||
Geon Performance Solutions, LLC | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.50%, 0.75% Floor), 9.23%, 08/18/28 (c) | 3,300,604 | 3,218,088 | ||||||
LSF11 A5 Holdco LLC | ||||||||
First Lien Term Loan, (1M SOFR + 3.50%, 0.50% Floor), 7.94%, 10/15/28 (c) | 5,955,000 | 5,767,418 | ||||||
Luxembourg Investment Company 428 SARL (Luxembourg) | ||||||||
First Lien Term Loan B, (3M SOFR + 5.00%, 0.50% Floor), 9.73%, 01/03/29 (c)(e) | 4,695,549 | 3,756,440 | ||||||
W.R. Grace Holdings, LLC | ||||||||
First Lien Term Loan B, (3M LIBOR + 3.75%, 0.50% Floor), 8.50%, 09/22/28 (c) | 1,435,734 | 1,412,970 | ||||||
14,154,916 | ||||||||
CONSTRUCTION & BUILDING - 1.7% | ||||||||
Associated Asphalt Partners, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 5.25%, 1.00% Floor), 9.63%, 04/05/24 (c) | 2,236,837 | 1,729,198 | ||||||
Oscar Acquisitionco, LLC | ||||||||
First Lien Term Loan, (3M SOFR + 4.50%, 0.50% Floor), 9.18%, 04/29/29 (c) | 1,671,660 | 1,587,041 | ||||||
3,316,239 | ||||||||
CONSUMER GOODS: DURABLE - 0.3% | ||||||||
Mattress Firm, Inc. | ||||||||
First Lien Term Loan B, (6M LIBOR + 4.25%, 0.75% Floor), 8.44%, 09/25/28 (c) | 768,604 | 657,156 | ||||||
CONSUMER GOODS: NON-DURABLE - 1.7% | ||||||||
ABG Intermediate Holdings 2 LLC | ||||||||
Second Lien Term Loan, (1M SOFR + 6.00%, 0.50% Floor), 10.42%, 12/20/29 (c) | 1,710,576 | 1,571,592 | ||||||
Iconix Brand Group | ||||||||
First Lien Term Loan, (3M SOFR + 6.00%, 1.00% Floor), 10.73%, 08/22/29 (c)(d) | 1,834,615 | 1,797,923 | ||||||
3,369,515 | ||||||||
CONTAINERS, PACKAGING & GLASS - 3.4% | ||||||||
Anchor Glass Container Corp. | ||||||||
First Lien Term Loan, (3M LIBOR + 2.75%, 1.00% Floor), 6.55%, 12/07/23 (c) | 4,156,812 | 3,054,779 | ||||||
First Lien Term Loan, (3M LIBOR + 5.00%, 1.00% Floor), 9.73%, 12/07/23 (c)(d) | 1,486,592 | 1,116,430 | ||||||
LABL, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 5.00%, 0.50% Floor), 9.38%, 10/29/28 (c) | 2,830,700 | 2,694,473 | ||||||
6,865,682 | ||||||||
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
ENVIRONMENTAL INDUSTRIES - 1.5% | ||||||||
LTR Intermediate Holdings, Inc. | ||||||||
First Lien Term Loan, (1M/3M LIBOR + 4.50%, 1.00% Floor), 9.18%, 05/05/28 (c) | 3,210,649 | 2,929,717 | ||||||
FOREST PRODUCTS & PAPER - 2.2% | ||||||||
Spa US Holdco, Inc. (Finland) | ||||||||
First Lien Term Loan B, (3M LIBOR + 3.75%, 0.75% Floor), 8.48%, 02/04/28 (c)(e) | 4,643,801 | 4,458,049 | ||||||
HEALTHCARE & PHARMACEUTICALS - 19.8% | ||||||||
Advarra Holdings, Inc. | ||||||||
First Lien Term Loan, (3M SOFR + 5.75%, 0.75% Floor), 10.15%, 08/24/29 (c)(d) | 6,419,849 | 6,323,551 | ||||||
Athenahealth, Inc. | ||||||||
First Lien Delayed Draw Term Loan, (1M SOFR + 3.50%, 0.50% Floor), 7.82%, 02/15/29 (c) | 165,531 | 149,865 | ||||||
First Lien Term Loan B, (1M SOFR + 3.50%, 0.50% Floor), 7.82%, 02/15/29 (c) | 3,887,000 | 3,519,134 | ||||||
Azurity Pharmaceuticals, Inc. | ||||||||
First Lien Term Loan B, (3M LIBOR + 6.00%, 0.75% Floor), 10.75%, 09/20/27 (c)(d) | 2,578,570 | 2,482,389 | ||||||
Bausch Health Companies, Inc. | ||||||||
First Lien Term Loan B, (1M SOFR + 5.25%, 0.50% Floor), 9.67%, 02/01/27 (b)(c) | 3,706,705 | 2,832,553 | ||||||
Gainwell Acquisition Corporation | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.00%, 0.75% Floor), 8.73%, 10/01/27 (c) | 8,563,881 | 8,060,753 | ||||||
Gateway US Holdings, Inc. | ||||||||
First Lien 8th AMD Delayed Draw Term Loan, (3M SOFR + 6.50%, 0.75% Floor), 11.23%, 09/22/26 (c)(d) | 642,300 | 632,666 | ||||||
First Lien Delayed Draw Term Loan, (3M SOFR + 6.50%, 0.75% Floor), 11.23%, 09/22/26 (c)(d) | 122,076 | 120,245 | ||||||
First Lien Revolving Term Loan, (3M SOFR + 6.50%, 0.75% Floor), 11.23%, 09/22/26 (c)(d) | 61,977 | 61,048 | ||||||
First Lien Term Loan, (3M SOFR + 6.50%, 0.75% Floor), 11.23%, 09/22/26 (c)(d) | 2,796,018 | 2,754,078 | ||||||
Inovalon Holdings, Inc. | ||||||||
First Lien Term Loan, (2.75% PIK), (3M LIBOR + 6.25%, 0.75% Floor), 10.95%, 11/24/28 (c)(d)(f) | 6,354,272 | 6,163,644 | ||||||
Second Lien Term Loan, (15.20% PIK), (3M LIBOR + 10.50%, 0.75% Floor), 15.20%, 11/25/33 (c)(d)(f) | 112,844 | 107,766 |
Principal Amount ($) | Value ($) | |||||||
HEALTHCARE & PHARMACEUTICALS (continued) | ||||||||
Pacira Biosciences, Inc. | ||||||||
First Lien Term Loan, (3M SOFR + 7.00%, 0.75% Floor), 11.50%, 12/07/26 (c) | 1,548,513 | 1,525,285 | ||||||
Tivity Health, Inc. | ||||||||
First Lien Term Loan, (3M SOFR + 6.00%, 0.75% Floor), 10.58%, 06/28/29 (c)(d) | 4,987,500 | 4,912,688 | ||||||
39,645,665 | ||||||||
HIGH TECH INDUSTRIES - 25.5% | ||||||||
Anaplan, Inc. | ||||||||
First Lien Term Loan, (1M SOFR + 6.50%, 0.75% Floor), 10.82%, 06/21/29 (c)(d) | 5,650,529 | 5,537,518 | ||||||
Avalara, Inc., | �� | |||||||
First Lien Term Loan, (3M SOFR + 7.25%, 0.75% Floor), 11.83%, 10/19/28 (c)(d) | 4,545,455 | 4,431,818 | ||||||
DCert Buyer, Inc. | ||||||||
First Lien Term Loan, (6M SOFR + 4.00%, 0.00% Floor), 8.70%, 10/16/26 (c) | 4,155,517 | 4,023,434 | ||||||
Second Lien Term Loan, (6M LIBOR + 7.00%, 0.00% Floor), 11.70%, 02/19/29 (c) | 3,933,068 | 3,606,623 | ||||||
Electronics for Imaging, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 5.00%, 0.00% Floor), 9.38%, 07/23/26 (c) | 993,090 | 668,980 | ||||||
Imperva, Inc. | ||||||||
First Lien Term Loan, (3M LIBOR + 4.00%, 1.00% Floor), 8.59%, 01/12/26 (c) | 6,764,633 | 5,560,528 | ||||||
Imprivata, Inc. | ||||||||
First Lien Term Loan, (1M SOFR + 4.25%, 0.50% Floor), 8.57%, 12/01/27 (c) | 997,494 | 964,766 | ||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 0.50% Floor), 8.13%, 12/01/27 (c) | 494,962 | 477,515 | ||||||
Second Lien Term Loan, (1M SOFR + 6.25%, 0.50% Floor), 10.57%, 12/01/28 (c)(d) | 2,205,882 | 2,216,911 | ||||||
IQN Holding Corp. | ||||||||
First Lien Delayed Draw Term Loan, (3M SOFR + 5.50%, 0.75% Floor), 9.68%, 05/02/29 (c)(d) | 60,428 | 58,917 | ||||||
First Lien Term Loan, (3M SOFR + 5.25%, 0.75% Floor), 9.65%, 05/02/29 (c)(d) | 3,867,313 | 3,770,630 | ||||||
Ivanti Software, Inc. | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.25%, 0.75% Floor), 9.01%, 12/01/27 (c) | 2,975,317 | 2,369,409 | ||||||
Open Text Corporation (Canada) | ||||||||
First Lien Term Loan, (SOFR + 3.50%, 0.50% Floor), 4.00%, 11/16/29 (b)(c)(e) | 1,125,460 | 1,101,966 |
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
HIGH TECH INDUSTRIES (continued) | ||||||||
Riverbed Technology, Inc. | ||||||||
First Lien Exit Term Loan, (2.00% PIK), (3M SOFR + 8.00%, 1.00% Floor), 12.54%, 12/07/26 (c)(f) | 741,248 | 320,405 | ||||||
Sovos Compliance, LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 4.50%, 0.50% Floor), 8.88%, 08/11/28 (c) | 2,476,841 | 2,287,982 | ||||||
TIBCO Software Inc. | ||||||||
First Lien Term Loan A, (3M SOFR + 4.50%, 0.50% Floor), 9.18%, 09/29/28 (b)(c) | 3,000,000 | 2,673,750 | ||||||
UKG, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 0.00% Floor), 8.13%, 05/04/26 (c) | 3,830,391 | 3,700,426 | ||||||
Second Lien Term Loan, (3M LIBOR + 5.25%, 0.50% Floor), 10.03%, 05/03/27 (c) | 2,000,000 | 1,845,500 | ||||||
Virtusa Corporation | ||||||||
First Lien Term Loan, (1M SOFR + 3.75%, 0.75% Floor), 8.17%, 02/15/29 (c) | 2,756,689 | 2,668,241 | ||||||
Zendesk, Inc. | ||||||||
First Lien Term Loan, (3M SOFR + 6.50%, 0.75% Floor), 11.04%, 11/22/28 (c)(d) | 2,956,522 | 2,897,391 | ||||||
51,182,710 | ||||||||
HOTEL, GAMING & LEISURE - 1.4% | ||||||||
Fertitta Entertainment, LLC | ||||||||
First Lien Term Loan B, (1M SOFR + 4.00%, 0.50% Floor), 8.32%, 01/27/29 (c) | 2,974,730 | 2,834,188 | ||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 11.1% | ||||||||
Accelerate360 Holdings, LLC | ||||||||
First Lien Revolving Term Loan, (SOFR + 5.50%, 0.00% Floor), 10.21%, 02/04/27 (c)(d) | 890,529 | 886,076 | ||||||
First Lien Term Loan, (3M SOFR + 5.50%, 0.00% Floor), 10.21%, 02/04/27 (c)(d) | 4,299,247 | 4,277,751 | ||||||
Associations Inc. | ||||||||
First Lien Term Loan, (2.50% PIK), (3M SOFR + 6.50%, 1.00% Floor), 10.36%, 07/02/27 (c)(d)(f) | 3,038,246 | 3,007,864 | ||||||
Houghton Mifflin Harcourt Company | ||||||||
First Lien Term Loan B, (1M SOFR + 5.25%, 0.50% Floor), 9.67%, 04/09/29 (c) | 4,170,129 | 3,978,554 | ||||||
McGraw-Hill Education, Inc. | ||||||||
First Lien Term Loan, (6M LIBOR + 4.75%, 0.50% Floor), 8.32%, 07/28/28 (c) | 5,615,185 | 5,301,072 |
Principal Amount ($) | Value ($) | |||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING (continued) | ||||||||
R. R. Donnelley & Sons Company | ||||||||
First Lien Term Loan B, (1M SOFR + 6.25%, 0.50% Floor), 10.67%, 11/01/26 (c)(d) | 4,949,560 | 4,875,316 | ||||||
22,326,633 | ||||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 2.0% | ||||||||
Anuvu Holdings 2, LLC | ||||||||
First Lien Term Loan, (3M LIBOR + 8.00%, 1.00% Floor), 12.73%, 03/24/25 (c) | 2,346,207 | 2,299,283 | ||||||
First Lien Term Loan, (6.75% PIK), (3M LIBOR + 8.25%, 1.00% Floor), 12.98%, 03/23/26 (c)(d)(f) | 1,964,743 | 1,699,502 | ||||||
3,998,785 | ||||||||
RETAIL - 3.5% | ||||||||
Claire’s Stores, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 6.50%, 0.00% Floor), 10.88%, 12/18/26 (c) | 1,029,101 | 933,909 | ||||||
PetSmart, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.75%, 0.75% Floor), 8.13%, 02/11/28 (c) | 4,407,002 | 4,325,736 | ||||||
Tory Burch LLC | ||||||||
First Lien Term Loan, (1M LIBOR + 3.50%, 0.50% Floor), 7.88%, 04/16/28 (c) | 1,823,437 | 1,689,725 | ||||||
6,949,370 | ||||||||
SERVICES: BUSINESS - 7.8% | ||||||||
Advantage Sales & Marketing Inc. | ||||||||
First Lien Term Loan B1, (3M LIBOR + 4.50%, 0.75% Floor), 8.28%, 10/28/27 (c) | 1,976,966 | 1,642,364 | ||||||
Carestream Health, Inc. | ||||||||
First Lien Term Loan, (3M SOFR + 7.50%, 1.00% Floor), 12.18%, 09/30/27 (c)(d) | 55,328 | 44,539 | ||||||
Coretrust Purchasing Group LLC | ||||||||
First Lien Term Loan, (3M SOFR + 6.75%, 0.75% Floor), 10.84%, 10/01/29 (c)(d) | 2,323,308 | 2,253,609 | ||||||
eResearchTechnology, Inc. | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.50%, 1.00% Floor), 8.88%, 02/04/27 (c) | 3,026,672 | 2,679,543 | ||||||
Solera, LLC | ||||||||
First Lien Term Loan B, (3M LIBOR + 4.00%, 0.50% Floor), 8.73%, 06/02/28 (c) | 2,831,489 | 2,590,813 | ||||||
Second Lien Term Loan, (3M LIBOR + 8.00%, 1.00% Floor), 12.73%, 06/04/29 (c) | 4,561,123 | 4,492,706 | ||||||
Wellsky | ||||||||
First Lien Term Loan, (1M SOFR + 5.75%, 0.75% Floor), 10.07%, 03/10/28 (c)(d) | 1,995,000 | 1,920,188 | ||||||
15,623,762 | ||||||||
Principal Amount ($) | Value ($) | |||||||
Senior Loans (a) (continued) | ||||||||
SERVICES: CONSUMER - 2.2% | ||||||||
Mavis Tire Express Services Corporation | ||||||||
First Lien Term Loan B, (1M SOFR + 4.00%, 0.75% Floor), 8.50%, 05/04/28 (c) | 4,624,128 | 4,423,464 | ||||||
TELECOMMUNICATIONS - 5.2% | ||||||||
Flight Bidco, Inc. | ||||||||
First Lien Term Loan, (1M LIBOR + 3.50%, 0.00% Floor), 7.88%, 07/23/25 (c) | 2,384,152 | 2,211,683 | ||||||
MLN US Holdco LLC | ||||||||
First Lien Second Out Term Loan, (6M SOFR + 6.70%, 1.00% Floor), 11.15%, 10/18/27 (c)(d) | 2,284,497 | 2,016,068 | ||||||
First Lien Term Loan, (6M SOFR + 6.44%, 1.00% Floor), 10.89%, 10/18/27 (c)(d) | 382,882 | 368,682 | ||||||
U.S. TelePacific Corp. | ||||||||
First Lien Term Loan, (7.25% PIK), (3M/6M SOFR + 8.50%, 1.00% Floor), 11.57%, 05/01/26 (c)(d)(f) | 6,134,304 | 2,400,353 | ||||||
Zacapa SARL (Luxembourg) | ||||||||
First Lien Term Loan, (3M SOFR + 4.25%, 0.50% Floor), 8.83%, 03/22/29 (c)(e) | 2,774,689 | 2,673,815 | ||||||
Zayo Group Holdings, Inc. | ||||||||
First Lien Term Loan, (1M SOFR + 4.25%, 0.50% Floor), 8.57%, 03/09/27 (c) | 816,508 | 681,527 | ||||||
10,352,128 | ||||||||
TRANSPORTATION: CONSUMER - 1.8% | ||||||||
Travel Leaders Group, LLC | ||||||||
First Lien Term Loan B, (1M LIBOR + 4.00%, 0.00% Floor), 8.38%, 01/25/24 (c) | 3,935,571 | 3,618,265 | ||||||
WHOLESALE - 2.3% | ||||||||
LBM Acquisition, LLC | ||||||||
First Lien Term Loan B, (6M LIBOR + 3.75%, 0.75% Floor), 7.12%, 12/17/27 (c) | 5,258,661 | 4,582,450 | ||||||
Total Senior Loans (Cost $243,019,979) | 226,618,064 | |||||||
Corporate Notes and Bonds - 23.1% | ||||||||
AUTOMOTIVE - 1.6% | ||||||||
Carvana Co. | ||||||||
10.25%, 05/01/30 (h)(i) | 6,601,000 | 3,123,435 | ||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE - 1.7% | ||||||||
Alliant Holdings Intermediate, LLC | ||||||||
5.88%, 11/01/29 (h)(i) | 3,400,000 | 2,796,500 |
Principal Amount ($) | Value ($) | |||||||
BANKING, FINANCE, INSURANCE & REAL ESTATE (continued) | ||||||||
KCF Puerto Rico, LLC | ||||||||
(Puerto Rico) 0.00%, 06/28/28 (d)(e)(j) | 814,642 | 551,046 | ||||||
3,347,546 | ||||||||
CHEMICALS, PLASTICS, & RUBBER - 0.9% | ||||||||
W.R. Grace Holdings, LLC | ||||||||
4.88%, 06/15/27 (h)(i) | 2,000,000 | 1,768,710 | ||||||
CONTAINERS, PACKAGING & GLASS - 0.9% | ||||||||
LABL, Inc. | ||||||||
5.88%, 11/01/28 (h)(i) | 2,000,000 | 1,703,263 | ||||||
ENERGY: OIL & GAS - 3.3% | ||||||||
Energy Transfer LP | ||||||||
5.75%, 02/15/33 (h) | 1,000,000 | 982,175 | ||||||
Moss Creek Resources Holdings, Inc. | ||||||||
7.50%, 01/15/26 (h)(i) | 484,000 | 436,079 | ||||||
10.50%, 05/15/27 (h)(i) | 5,541,000 | 5,267,275 | ||||||
6,685,529 | ||||||||
FOREST PRODUCTS & PAPER - 0.6% | ||||||||
Spa US Holdco, Inc. (Finland) | ||||||||
4.88%, 02/04/28 (e)(h)(i) | 1,500,000 | 1,219,781 | ||||||
HEALTHCARE & PHARMACEUTICALS - 0.4% | ||||||||
Embecta Corp. | ||||||||
5.00%, 02/15/30 (h)(i) | 1,063,000 | 895,575 | ||||||
HIGH TECH INDUSTRIES - 1.5% | ||||||||
Austin BidCo Inc. | ||||||||
7.13%, 12/15/28 (h)(i) | 2,000,000 | 1,536,000 | ||||||
TIBCO Software Inc. | ||||||||
6.50%, 03/31/29 (h)(i) | 1,767,000 | 1,495,272 | ||||||
3,031,272 | ||||||||
HOTEL, GAMING & LEISURE - 4.2% | ||||||||
Carnival Corporation | ||||||||
9.88%, 08/01/27 (h)(i) | 42,000 | 39,827 | ||||||
10.38%, 05/01/28 (h)(i) | 1,958,000 | 2,011,326 | ||||||
CDI Escrow Issuer Inc | ||||||||
5.75%, 04/01/30 (h)(i) | 2,000,000 | 1,801,067 | ||||||
Life Time, Inc. | ||||||||
5.75%, 01/15/26 (h)(i) | 5,000,000 | 4,646,250 | ||||||
8,498,470 | ||||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.9% | ||||||||
Outfront Media Capital, LLC | ||||||||
5.00%, 08/15/27 (h)(i) | 2,000,000 | 1,805,911 | ||||||
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 | — | ||||||
— | ||||||||
Principal Amount ($) | Value ($) | |||||||
Corporate Notes and Bonds (continued) | ||||||||
RETAIL - 0.9% | ||||||||
PetSmart, Inc. | ||||||||
7.75%, 02/15/29 (h)(i) | 2,000,000 | 1,873,288 | ||||||
SERVICES: BUSINESS - 1.8% | ||||||||
Advantage Sales & Marketing Inc. | ||||||||
6.50%, 11/15/28 (h)(i) | 2,621,000 | 2,005,026 | ||||||
Allied Universal Holdco LLC | ||||||||
4.63%, 06/01/28 (h)(i) | 2,000,000 | 1,651,200 | ||||||
3,656,226 | ||||||||
SERVICES: CONSUMER - 1.5% | ||||||||
Mavis Tire Express Services Corporation | ||||||||
6.50%, 05/15/29 (h)(i) | 3,500,000 | 2,977,844 | ||||||
TELECOMMUNICATIONS - 2.5% | ||||||||
Lumen Technologies, Inc. | ||||||||
4.00%, 02/15/27 (h)(i) | 3,000,000 | 2,546,925 | ||||||
4.25%, 07/01/28 (h)(i) | 3,000,000 | 2,364,975 | ||||||
4,911,900 | ||||||||
WHOLESALE - 0.4% | ||||||||
LBM Acquisition, LLC | ||||||||
6.25%, 01/15/29 (h)(i) | 1,344,000 | 866,880 | ||||||
Total Corporate Notes and Bonds (Cost $54,598,169) | 46,365,630 | |||||||
Convertible Bonds - 0.5% | ||||||||
HOTEL, GAMING & LEISURE - 0.5% | ||||||||
Peloton Interactive, Inc. | ||||||||
0.00%, 02/15/26 (h)(j) | 1,300,000 | 932,750 | ||||||
Total Convertible Bonds Cost ($1,112,697) | 932,750 | |||||||
Structured Products - 10.7% (m) | ||||||||
Basswood Park CLO Ltd (Cayman Islands) | ||||||||
2021-1, Class E10.39%, 04/20/34 (e)(i)(n) | 2,000,000 | 1,770,212 | ||||||
Churchill Middle Market CLO, Ltd. (Cayman Islands) | ||||||||
2021-1A E, Class E12.48%, 10/24/33 (e)(i)(n) | 4,000,000 | 3,383,588 | ||||||
Fortress Credit BSL CLO, Ltd. (Cayman Islands) | ||||||||
2021-3 Class E11.30%, 07/20/34 (e)(i)(n) | 3,000,000 | 2,636,970 | ||||||
Fortress Credit Opportunities CLO, Ltd. (Cayman Islands) | ||||||||
2018-11A, Class E11.23%, 04/15/31 (e)(i)(n) | 4,000,000 | 3,428,648 | ||||||
Franklin Park Place CLO, Ltd. (Cayman Islands) | ||||||||
2022-1A, Class E11.33%, 04/14/35 (e)(i)(n) | 2,000,000 | 1,742,178 |
Principal Amount ($) | Value ($) | |||||||
Golub Capital Partners CLO, Ltd. (Cayman Islands) | ||||||||
20121-55A, Class E 10.80%, 07/20/34(e)(i)(n) | 2,000,000 | 1,763,208 | ||||||
KKR Financial CLO, Ltd. (Cayman Islands) | ||||||||
2017, Class ER 11.47%, 04/15/34 (e)(i)(n) | 2,750,000 | 2,354,710 | ||||||
TIAA Churchill Middle Market CLO, Ltd. (Cayman Islands) | ||||||||
2016-1A, Class ER 12.21%, 10/20/30(e)(i)(n) | 5,000,000 | 4,406,165 | ||||||
Total Structured Products (Cost $24,308,602) | 21,485,679 | |||||||
Quantity | Value ($) | |||||||
Common Stocks - 0.9% | ||||||||
AUTOMOTIVE - 0.0% | ||||||||
APC Parent, Inc. (d) | 241,972 | — | ||||||
ENERGY: OIL & GAS - 0.0% | ||||||||
RDV Resources, Inc. (d) | 7,743 | 13,550 | ||||||
HIGH TECH INDUSTRIES - 0.0% | ||||||||
Riverbed Holdings, Inc. (j) | 29,146 | 7,432 | ||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.0% | ||||||||
Acosta, Inc. (d)(j) | 3,133 | 28,216 | ||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 0.5% | ||||||||
Anuvu Corp. (d)(j) | 102,608 | 1,054,810 | ||||||
SERVICES: BUSINESS - 0.4% | ||||||||
Carestream Health, Inc. (d)(j) | 55,323 | 656,684 | ||||||
Total Common Stocks (Cost $5,150,061) | 1,760,692 | |||||||
Preferred Stocks - 0.1% | ||||||||
HIGH TECH INDUSTRIES - 0.0% | ||||||||
Riverbed Holdings, Inc. (d) | 19,948 | 15,061 | ||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.1% | ||||||||
Acosta, Inc., (14.5% PIK) (d)(f) | 3,858 | 173,387 | ||||||
Total Preferred Stocks (Cost $658,665) | 188,448 | |||||||
Total Investments - 148.4% | 297,351,263 | |||||||
(Cost of $328,848,173) | ||||||||
Other Assets & Liabilities, Net - 11.9% | 23,754,668 | |||||||
Loan Outstanding - (60.3)% (k)(l) | (120,772,388 | ) | ||||||
Net Assets (Applicable to Common Shares) - 100.0% | 200,333,543 | |||||||
(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 December 31, 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”) or the Secured Overnight Financing Rate (“SOFR”) and secondarily the prime rate offered by one or more major U.S. banks (“Prime”). The interest rate is subject to a minimum floor, which may be less than or greater than the prevailing period end LIBOR/SOFR/Prime rate. As of December 31, 2022, the 1, 3 and 6 month LIBOR rates were 4.39%, 4.77%, and 5.14%, respectively, the 1, 3 and 6 month SOFR rates were 4.35%, 4.59%, and 4.78%, respectively, and the Prime lending rate was 7.50%. 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 December 31, 2022, these securities amounted to $66,318,088, or 33.10% of net assets. |
(j) | Non-income producing asset. |
(k) | The Fund has granted a security interest in substantially all of its assets in the event of default under the credit facility. |
(l) | Principal of $121,000,000 less unamortized deferred financing costs of $227,612. |
(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 December 31, 2022. |
Apollo Senior Floating Rate Fund Inc. | Apollo Tactical Income Fund Inc. | |||||||
Assets: | ||||||||
Investment securities at fair value (cost $367,676,772 and $328,848,173, respectively) | $ | 336,334,109 | $ | 297,351,263 | ||||
Cash and cash equivalents | 27,632,007 | 20,760,370 | ||||||
Interest receivable | 1,883,669 | 2,585,839 | ||||||
Receivable for investment securities sold | 2,500,567 | 6,819,034 | ||||||
Receivable from affiliate | — | 80,112 | ||||||
Prepaid expenses | 393,893 | 394,361 | ||||||
Total assets | $ | 368,744,245 | $ | 327,990,979 | ||||
Liabilities: | ||||||||
Borrowings under credit facility (principal $130,000,000 and $121,000,000, respectively, less unamortized deferred financing costs of $239,596 and $227,612, respectively) (Note 8) | $ | 129,760,404 | $ | 120,772,388 | ||||
Payable for investment securities purchased | 16,748,269 | 5,796,252 | ||||||
Net unrealized depreciation on unfunded loan commitments (Note 9) | 56,500 | 60,783 | ||||||
Interest payable | 487,142 | 450,848 | ||||||
Investment advisory fee payable | 300,385 | 275,016 | ||||||
Other payables and accrued expenses due to affiliates | 7,982 | 13,187 | ||||||
Other payables and accrued expenses | 357,568 | 288,962 | ||||||
Total liabilities | $ | 147,718,250 | $ | 127,657,436 | ||||
Commitments and Contingencies (Note 9) | ||||||||
Net Assets (Applicable to Common Shareholders) | $ | 221,025,995 | $ | 200,333,543 | ||||
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 | (74,489,996 | ) | (75,100,818 | ) | ||||
Net Assets (Applicable to Common Shareholders) | $ | 221,025,995 | $ | 200,333,543 | ||||
Number of Common Shares Outstanding | 15,573,575 | 14,464,026 | ||||||
Net Asset Value, per Common Share | $ | 14.19 | $ | 13.85 |
Apollo Senior Floating Rate Fund Inc. | Apollo Tactical Income Fund Inc. | |||||||
Investment Income: | ||||||||
Interest | $ | 25,864,994 | $ | 25,748,607 | ||||
Dividends (net of withholding taxes of $45,457 and $12,458, respectively) | 346,919 | 141,389 | ||||||
Total investment income | 26,211,913 | 25,889,996 | ||||||
Expenses: | ||||||||
Investment advisory fee (Note 3) | 3,672,166 | 3,377,127 | ||||||
Interest and commitment fee expense (Note 8) | 3,386,176 | 3,225,245 | ||||||
Professional fees | 133,156 | 133,156 | ||||||
Legal fees | 292,253 | 295,085 | ||||||
Administrative services of the Adviser (Note 3) | 626,856 | 646,172 | ||||||
Fund administration and accounting services (Note 3) | 224,300 | 213,050 | ||||||
Insurance expense | 344,113 | 344,113 | ||||||
Board of Directors fees (Note 3) | 143,334 | 147,334 | ||||||
Amortization of deferred financing costs (Note 8) | 146,581 | 196,683 | ||||||
Other operating expenses | 191,627 | 156,130 | ||||||
Total expenses | 9,160,562 | 8,734,095 | ||||||
Less: Expense waiver (Note 3) | — | (80,112 | ) | |||||
Net expenses | 9,160,562 | 8,653,983 | ||||||
Net Investment Income | 17,051,351 | 17,236,013 | ||||||
Net Realized and Unrealized Gain/(Loss) on Investments | ||||||||
Net realized loss on investments | (9,097,630 | ) | (11,050,299 | ) | ||||
Net change in unrealized depreciation on investments and unfunded loan commitments (Note 9) | (26,091,075 | ) | (28,069,497 | ) | ||||
Net realized and unrealized loss on investments | (35,188,705 | ) | (39,119,796 | ) | ||||
Net Decrease in Net Assets, Applicable to Common Shareholders, Resulting From Operations | $ | (18,137,354 | ) | $ | (21,883,783 | ) | ||
For the Year Ended December 31, 2022 | For the Year Ended December 31, 2021 (a) | |||||||
Increase/(Decrease) in Net Assets from: | ||||||||
Operations | ||||||||
Net investment income | $ | 17,051,351 | $ | 13,422,681 | ||||
Net realized gain/(loss) on investments | (9,097,630 | ) | 8,519,152 | |||||
Net change in unrealized depreciation on investments and unfunded loan commitments | (26,091,075 | ) | (2,193,025 | ) | ||||
Net increase/(decrease) in net assets from operations | (18,137,354 | ) | 19,748,808 | |||||
Distributions to Common Shareholders | ||||||||
From net investment income | (17,037,490 | ) | (13,989,900 | ) | ||||
Return of capital | — | (1,100,440 | ) | |||||
Total distributions to common shareholders | (17,037,490 | ) | (15,090,340 | ) | ||||
Capital Transactions from Common Shares | ||||||||
Reinvestment of dividends | — | 8,416 | ||||||
Total increase/(decrease) in net assets | $ | (35,174,844 | ) | $ | 4,666,884 | |||
Net Assets Applicable to Common Shares | ||||||||
Beginning of year | 256,200,839 | 251,533,955 | ||||||
End of year | $ | 221,025,995 | $ | 256,200,839 | ||||
(a) | Presented on a non consolidated basis (Note 1) |
For the Year Ended December 31, 2022 | For the Year Ended December 31, 2021 (a) | |||||||
Increase/(Decrease) in Net Assets from: | ||||||||
Operations | ||||||||
Net investment income | $ | 17,236,013 | $ | 13,596,723 | ||||
Net realized gain/(loss) on investments | (11,050,299 | ) | 9,474,722 | |||||
Net change in unrealized depreciation on investments and unfunded loan commitments | (28,069,497 | ) | (4,687,659 | ) | ||||
Net increase/(decrease) in net assets from operations | (21,883,783 | ) | 18,383,786 | |||||
Distributions to Common Shareholders | ||||||||
From net investment income | (17,009,694 | ) | (14,244,987 | ) | ||||
Return of capital | — | (190,110 | ) | |||||
Total distributions to common shareholders | (17,009,694 | ) | (14,435,097 | ) | ||||
Total increase/(decrease) in net assets | $ | (38,893,477 | ) | $ | 3,948,689 | |||
Net Assets Applicable to Common Shares | ||||||||
Beginning of year | 239,227,020 | 235,278,331 | ||||||
End of year | $ | 200,333,543 | $ | 239,227,020 | ||||
(a) | Presented on a non consolidated basis (Note 1) |
Cash Flows from Operating Activities: | ||||
Net decrease in net assets from operations | $ | (18,137,354 | ) | |
Adjustments to Reconcile Net Decrease in Net Assets from Operations to Net Cash Flows Provided By Operating Activities: | ||||
Net realized loss on investments | 9,097,630 | |||
Net change in unrealized depreciation on investments and unfunded loan commitments | 26,091,075 | |||
Net amortization/(accretion) of premium/(discount) | (989,285 | ) | ||
Purchase of investment securities | (310,990,817 | ) | ||
Proceeds from disposition of investment securities and principal paydowns | 314,810,640 | |||
Payment-in-kind | (605,284 | ) | ||
Amortization of deferred financing costs | 146,581 | |||
Changes in Operating Assets and Liabilities: | ||||
Increase in interest receivable | (1,012,304 | ) | ||
Decrease in receivable from affiliate | 62,759 | |||
Increase in prepaid expenses | (256,856 | ) | ||
Increase in interest payable | 403,262 | |||
Decrease in investment advisory fee payable | (27,383 | ) | ||
Increase in other payables and accrued expenses due to affiliates | 7,982 | |||
Increase in other payables and accrued expenses | 153,357 | |||
Net cash flows provided by operating activities | 18,754,003 | |||
Cash Flows from Financing Activities: | ||||
Deferred financing costs paid | (285,586 | ) | ||
Distributions paid to common shareholders (net of change in distributions payable to common shareholders) | (17,037,490 | ) | ||
Net cash flows used in financing activities | (17,323,076 | ) | ||
Net Increase in Cash and Cash Equivalents | 1,430,927 | |||
Cash and cash equivalents, beginning of year | 26,201,080 | |||
Cash and cash equivalents, end of year | $ | 27,632,007 | ||
Supplemental Disclosure of Cash Flow Information | ||||
Cash paid during the year for interest and commitment fee | $ | 2,982,914 | ||
Cash Flows from Operating Activities: | ||||
Net decrease in net assets from operations | $ | (21,883,783 | ) | |
Adjustments to Reconcile Net Decrease in Net Assets from Operations to Net Cash Flows Provided By Operating Activities: | ||||
Net realized loss on investments | 11,050,299 | |||
Net change in unrealized depreciation on investments and unfunded loan commitments | 28,069,497 | |||
Net amortization/(accretion) of premium/(discount) | (1,070,739 | ) | ||
Purchase of investment securities | (347,756,418 | ) | ||
Proceeds from disposition of investment securities and principal paydowns | 351,789,984 | |||
Payment-in-kind | (730,409 | ) | ||
Amortization of deferred financing costs | 196,683 | |||
Changes in Operating Assets and Liabilities: | ||||
Increase in interest receivable | (391,339 | ) | ||
Decrease in receivable from affiliate | 133,287 | |||
Increase in prepaid expenses | (257,196 | ) | ||
Increase in interest payable | 368,574 | |||
Decrease in investment advisory fee payable | (30,374 | ) | ||
Increase in other payables and accrued expenses due to affiliates | 13,187 | |||
Increase in other payables and accrued expenses | 89,640 | |||
Net cash flows provided by operating activities | 19,590,893 | |||
Cash Flows from Financing Activities: | ||||
Deferred financing costs paid | (352,264 | ) | ||
Distributions paid to common shareholders (net of change in distributions payable to common shareholders) | (17,009,694 | ) | ||
Net cash flows used in financing activities | (17,361,958 | ) | ||
Net Increase in Cash and Cash Equivalents | 2,228,935 | |||
Cash and cash equivalents, beginning of year | 18,531,435 | |||
Cash and cash equivalents, end of year | $ | 20,760,370 | ||
Supplemental Disclosure of Cash Flow Information | ||||
Cash paid during the year for interest and commitment fee | $ | 2,856,671 | ||
Per Common Share Operating Performance: | For the Year Ended December 31, 2022 | For the Year Ended December 31, 2021 (d) | For the Year Ended December 31, 2020 (d) | For the Year Ended December 31, 2019 (d) | For the Year Ended December 31, 2018 (d) | |||||||||||||||
Net Asset Value, Beginning of Year | $ | 16.45 | $ | 16.15 | $ | 16.94 | $ | 16.34 | $ | 17.86 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income (a) | 1.09 | 0.86 | 0.98 | 1.21 | 1.25 | |||||||||||||||
Net realized and unrealized gain/(loss) on investments and unfunded loan commitments | (2.26 | ) | 0.41 | (0.75 | ) | 0.59 | (1.51 | ) | ||||||||||||
Total from investment operations | (1.17 | ) | 1.27 | 0.23 | 1.80 | (0.26 | ) | |||||||||||||
Less Distributions Paid to Common Shareholders from: | ||||||||||||||||||||
Net investment income | (1.09 | ) | (0.90 | ) | (1.02 | ) | (1.20 | ) | (1.26 | ) | ||||||||||
Return of capital | — | (0.07 | ) | — | — | — | ||||||||||||||
Total distributions paid to Common Shareholders | (1.09 | ) | (0.97 | ) | (1.02 | ) | (1.20 | ) | (1.26 | ) | ||||||||||
Net Asset Value, End of Year | $ | 14.19 | $ | 16.45 | $ | 16.15 | $ | 16.94 | $ | 16.34 | ||||||||||
Market Value, End of Year | $ | 12.34 | $ | 16.11 | $ | 14.40 | $ | 15.14 | $ | 14.39 | ||||||||||
Total return based on net asset value (b) | (6.46 | )% | 8.38 | % | 2.99 | % | 12.35 | % | (0.98 | )% | ||||||||||
Total return based on market value (b) | (16.94 | )% | 19.04 | % | 2.75 | % | 14.02 | % | (3.98 | )% | ||||||||||
Ratios to Average Net Assets Applicable to Common Shareholders: | ||||||||||||||||||||
Ratio of total expenses to average net assets | 3.87 | % | 2.91 | % | 3.12 | % | 4.01 | % | 3.84 | % | ||||||||||
Ratio of net expenses to average net assets | 3.87 | % | 2.89 | % | 3.12 | % | 4.01 | % | 3.84 | % | ||||||||||
Ratio of net investment income to average net assets | 7.20 | % | 5.22 | % | 6.37 | % | 7.23 | % | 7.10 | % | ||||||||||
Supplemental Data: | ||||||||||||||||||||
Portfolio turnover rate | 75.2 | % | 123.3 | % | 93.6 | % | 101.2 | % | 122.4 | % | ||||||||||
Net assets at end of year (000’s) | $ | 221,026 | $ | 256,201 | $ | 251,534 | $ | 263,807 | $ | 254,427 | ||||||||||
Senior Securities: | ||||||||||||||||||||
Principal loan outstanding (in 000’s) | $ | 130,000 | $ | 130,000 | $ | 121,000 | $ | 141,000 | $ | 141,000 | ||||||||||
Asset coverage per $1,000 of loan outstanding (c) | $ | 2,700 | $ | 2,971 | $ | 3,079 | $ | 2,871 | $ | 2,804 |
(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) | 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. |
(d) | Presented on a non-consolidated basis (Note 1) |
Per Common Share Operating Performance: | For the Year Ended December 31, 2022 | For the Year Ended December 31, 2021 (d) | For the Year Ended December 31, 2020 (d) | For the Year Ended December 31, 2019 (d) | For the Year Ended December 31, 2018 (d) | |||||||||||||||
Net Asset Value, Beginning of Year | $ | 16.54 | $ | 16.27 | $ | 16.85 | $ | 16.07 | $ | 17.44 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income (a) | 1.19 | 0.94 | 1.02 | 1.25 | 1.33 | |||||||||||||||
Net realized and unrealized gain/(loss) on investments and unfunded loan commitments | (2.70 | ) | 0.33 | (0.54 | ) | 0.77 | (1.38 | ) | ||||||||||||
Total from investment operations | (1.51 | ) | 1.27 | 0.48 | 2.02 | (0.05 | ) | |||||||||||||
Less Distributions Paid to Common Shareholders from: | ||||||||||||||||||||
Net investment income | (1.18 | ) | (0.99 | ) | (1.06 | ) | (1.24 | ) | (1.32 | ) | ||||||||||
Return of capital | — | (0.01 | ) | — | — | — | ||||||||||||||
Total distributions paid to Common Shareholders | (1.18 | ) | (1.00 | ) | (1.06 | ) | (1.24 | ) | (1.32 | ) | ||||||||||
Net Asset Value, End of Year | $ | 13.85 | $ | 16.54 | $ | 16.27 | $ | 16.85 | $ | 16.07 | ||||||||||
Market Value, End of Year | $ | 12.12 | $ | 15.32 | $ | 14.48 | $ | 15.10 | $ | 13.77 | ||||||||||
Total return based on net asset value (b) | (8.38 | )% | 8.44 | % | 4.71 | % | 13.97 | % | 0.47 | % | ||||||||||
Total return based on market value (b) | (13.44 | )% | 12.86 | % | 3.99 | % | 19.20 | % | (4.67 | )% | ||||||||||
Ratios to Average Net Assets Applicable to Common Shareholders: | ||||||||||||||||||||
Ratio of total expenses to average net assets | 4.03 | % | 3.01 | % | 3.16 | % | 4.03 | % | 3.85 | % | ||||||||||
Ratio of net expenses to average net assets | 4.00 | % | 2.92 | % | 3.16 | % | 4.03 | % | 3.85 | % | ||||||||||
Ratio of net investment income to average net assets | 7.96 | % | 5.66 | % | 6.72 | % | 7.53 | % | 7.65 | % | ||||||||||
Supplemental Data: | ||||||||||||||||||||
Portfolio turnover rate | 90.9 | % | 137.5 | % | 96.4 | % | 112.3 | % | 130.9 | % | ||||||||||
Net assets at end of year (000’s) | $ | 200,334 | $ | 239,227 | $ | 235,278 | $ | 243,751 | $ | 232,432 | ||||||||||
Senior Securities: | ||||||||||||||||||||
Principal loan outstanding (in 000’s) | $ | 121,000 | $ | 121,000 | $ | 110,000 | $ | 126,500 | $ | 126,500 | ||||||||||
Asset coverage per $1,000 of loan outstanding (c) | $ | 2,656 | $ | 2,977 | $ | 3,139 | $ | 2,927 | $ | 2,837 |
(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) | 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. |
(d) | Presented on a non-consolidated basis (Note 1) |
Apollo Senior Floating Rate Fund Inc. | ||||||||||||||||||||||
Total Fair Value at December 31, 2022 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||||
Assets: | ||||||||||||||||||||||
Cash and Cash Equivalents | $ | 27,632,007 | $ | 27,632,007 | $ | — | $ | — | ||||||||||||||
Senior Loans | 312,662,424 | — | 260,470,206 | 52,192,218 | ||||||||||||||||||
Corporate Notes and Bonds | 20,873,557 | — | 20,276,591 | 596,966 | ||||||||||||||||||
Common Stocks | 2,607,873 | — | 8,324 | 2,599,549 | ||||||||||||||||||
Preferred Stocks | 190,255 | — | — | 190,255 | ||||||||||||||||||
Unrealized appreciation on Unfunded Loan Commitments | 954 | — | — | 954 | ||||||||||||||||||
Total Assets | $ | 363,967,070 | $ | 27,632,007 | $ | 280,755,121 | $ | 55,579,942 | ||||||||||||||
Liabilities: | ||||||||||||||||||||||
Unrealized depreciation on Unfunded Loan Commitments | (57,454 | ) | — | (51,005 | ) | (6,449 | ) | |||||||||||||||
Total Liabilities | (57,454 | ) | — | (51,005 | ) | (6,449 | ) | |||||||||||||||
$ | 363,909,616 | $ | 27,632,007 | $ | 280,704,116 | $ | 55,573,493 | |||||||||||||||
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 year | $ | 15,647,794 | $ | 11,462,078 | $ | 768,411 | $ | 2,301,925 | $ | 1,116,801 | $ | — | $ | (1,421 | ) | |||||||||||||||||||||||||
Purchases, including capitalized PIK | 40,535,864 | 40,535,864 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Sales/Paydowns | (9,702,119 | ) | (7,967,499 | ) | (672,062 | ) | (115,983 | ) | (946,575 | ) | — | — | ||||||||||||||||||||||||||||
Accretion/(amortization) of discounts/ (premiums) | 40,024 | 40,024 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Net realized gain/(loss) | (3,915,888 | ) | (4,722,864 | ) | 672,062 | 115,983 | 18,931 | — | — | |||||||||||||||||||||||||||||||
Change in net unrealized appreciation/ (depreciation) | 677,724 | 1,978,744 | (171,445 | ) | (1,109,731 | ) | (15,770 | ) | — | (4,074 | ) | |||||||||||||||||||||||||||||
Transfers into Level 3 | 13,815,379 | 12,391,156 | — | 1,407,355 | 16,868 | — | — | |||||||||||||||||||||||||||||||||
Transfers out of Level 3 | (1,525,285 | ) | (1,525,285 | ) | — | — | — | — | — | |||||||||||||||||||||||||||||||
Total Fair Value, end of year | $ | 55,573,493 | $ | 52,192,218 | $ | 596,966 | $ | 2,599,549 | $ | 190,255 | $ | — | $ | (5,495 | ) | |||||||||||||||||||||||||
Apollo Senior Floating Rate Fund Inc. | |||||||||||||||||||
Assets/Liabilities | Fair Value at December 31, 2022 | Valuation Technique(s) (a) | Unobservable Input(s) | Range of Unobservable Input(s) Utilized | Weighted Average Unobservable Input(s) | ||||||||||||||
Senior Loans | $ | 2,216,912 | Independent pricing service and/or broker quotes | Vendor and/or broker quotes | N/A | N/A | |||||||||||||
35,459,029 | Discounted Cash Flow (b) | Discount Rate (b) | 8.47% - 55.19% | 12.88% | |||||||||||||||
2,400,353 | Guideline Public Company (c) | TEV | Revenue (c) | 0.50x - 0.60x | 0.55x | |||||||||||||||
Independent pricing service and/or broker quotes | Vendor and/or broker quotes | 36.03% - 40.13% | 38.08% | ||||||||||||||||
12,115,924 | Transaction Approach (d) | Cost (d) | N/A | N/A | |||||||||||||||
Corporate Notes and Bonds | 596,966 | Discounted Cash Flow (b) | Discount Rate (b) | 4.6% | 4.6% | ||||||||||||||
Recoverability (e) | Estimated Proceeds (e) | $55.5m | $55.5m | ||||||||||||||||
— | Recoverability (e) | Estimated Proceeds (e) | $— | $— | |||||||||||||||
Common Stocks | 49,441 | Discounted Cash Flow (b) | Discount Rate (b) | 6.0% - 9.0% | 7.5% | ||||||||||||||
Recoverability (e) | Estimated Proceeds (e) | $19.6m | $19.6m | ||||||||||||||||
1,114,537 | Guideline Public Company (c) | TEV | Revenue (c) | 1.45x - 1.65x | 1.55x | |||||||||||||||
Guideline Public Company (f) | TEV | EBITDA Multiple (f) | 4.5x - 5.5x | 5.0x | ||||||||||||||||
— | Recoverability (e) | Estimated Proceeds (e) | $— | $— | |||||||||||||||
1,435,571 | Guideline Public Company (f) | TEV | EBITDA Multiple (f) | 2.75x - 7.0x | 3.32x | |||||||||||||||
Preferred Stocks | 16,868 | Independent pricing service and/or broker quotes | Vendor and/or broker quotes | N/A | N/A | ||||||||||||||
173,387 | Guideline Public Company (f) | TEV | EBITDA Multiple (f) | 7.0x | 7.0x | |||||||||||||||
Unfunded Loan Commitments | (1,273 | ) | Discounted Cash Flow (b) | Discount Rate (b) | 9.74% - 15.87% | 12.08% | |||||||||||||
(4,222 | ) | Transaction Approach (d) | Cost (d) | N/A | N/A | ||||||||||||||
Total Fair Value | $ | 55,573,493 | |||||||||||||||||
(a) | For the assets which have multiple valuation techniques, the Fund may rely on the techniques individually or in aggregate based on a weight ranging from 0-100%. |
(b) | The Fund utilized a discounted cash flow model to fair value this security. The significant unobservable input used in the valuation model was the discount rate, which was determined based on the market rates an investor would expect for a similar investment with similar risks. The discount rate was applied to present value the projected cash flows in the valuation model. Significant increases in the discount rate may significantly lower the fair value of an investment; conversely, significant decreases in the discount rate may significantly increase the fair value of an investment. |
(c) | The Fund utilized a guideline public company method to fair value this security. The significant unobservable inputs used in the valuation model were total enterprise value (“TEV”) and revenue based on comparable multiples for a similar investment with similar risks. Significant increases or decreases in either of these inputs in isolation may result in a significantly higher or lower fair value measurement. |
(d) | The Fund utilized a recent transaction, specifically purchase price, to fair value this security. |
(e) | The Fund utilized a recoverability approach to fair value this security, specifically a liquidation analysis. There are various, company specific inputs used in the valuation analysis that relate to the liquidation value of a company’s assets. The significant unobservable input used in the valuation model was estimated proceeds. Significant increases or decreases in the input in isolation may result in a significantly higher or lower fair value measurement. |
(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 earnings before interest, taxes, depreciation and amortization (“EBITDA”) based on comparable multiples for a similar investment with similar risks. Significant increases or decreases in either of these inputs in isolation may result in a significantly higher or lower fair value measurement. |
Apollo Tactical Income Fund Inc. | ||||||||||||||||||||||
Total Fair Value at December 31, 2022 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||||
Assets: | ||||||||||||||||||||||
Cash and Cash Equivalents | $ | 20,760,370 | $ | 20,760,370 | $ | — | $ | — | ||||||||||||||
Senior Loans | 226,618,064 | — | 153,458,260 | 73,159,804 | ||||||||||||||||||
Corporate Notes and Bonds | 46,365,630 | — | 45,814,584 | 551,046 | ||||||||||||||||||
Convertible Bonds | 932,750 | — | 932,750 | — | ||||||||||||||||||
Structured Products | 21,485,679 | — | 21,485,679 | — | ||||||||||||||||||
Common Stocks | 1,760,692 | — | 7,432 | 1,753,260 | ||||||||||||||||||
Preferred Stocks | 188,448 | — | — | 188,448 | ||||||||||||||||||
Unrealized appreciation on Unfunded Loan Commitments | 4,737 | — | — | 4,737 | ||||||||||||||||||
Total Assets | $ | 318,116,370 | $ | 20,760,370 | $ | 221,698,705 | $ | 75,657,295 | ||||||||||||||
Liabilities: | ||||||||||||||||||||||
Unrealized depreciation on Unfunded Loan Commitments | (65,520 | ) | — | (39,234 | ) | (26,286 | ) | |||||||||||||||
Total Liabilities | (65,520 | ) | — | (39,234 | ) | (26,286 | ) | |||||||||||||||
$ | 318,050,850 | $ | 20,760,370 | $ | 221,659,471 | $ | 75,631,009 | |||||||||||||||
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 year | $ | 22,189,981 | $ | 18,179,101 | $ | 709,303 | $ | 2,186,073 | $ | 1,116,802 | $ | — | $ | (1,298 | ) | |||||||||||||||||||||||||
Purchases, including capitalized PIK | 63,355,821 | 63,355,821 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Sales/Paydowns | (14,967,877 | ) | (13,284,954 | ) | (620,365 | ) | (115,983 | ) | (946,575 | ) | — | — | ||||||||||||||||||||||||||||
Accretion/(amortization) of discounts/ (premiums) | 50,401 | 50,401 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Net realized gain/(loss) | (390,555 | ) | (1,145,833 | ) | 620,365 | 115,983 | 18,930 | — | — | |||||||||||||||||||||||||||||||
Change in net unrealized appreciation/ (depreciation) | (1,496,436 | ) | (212,661 | ) | (158,257 | ) | (1,089,497 | ) | (15,770 | ) | — | (20,251 | ) | |||||||||||||||||||||||||||
Transfers into Level 3 | 8,414,959 | 7,743,214 | — | 656,684 | 15,061 | — | — | |||||||||||||||||||||||||||||||||
Transfers out of Level 3 | (1,525,285 | ) | (1,525,285 | ) | — | — | — | — | — | |||||||||||||||||||||||||||||||
Total Fair Value, end of year | $ | 75,631,009 | $ | 73,159,804 | $ | 551,046 | $ | 1,753,260 | $ | 188,448 | $ | — | $ | (21,549 | ) | |||||||||||||||||||||||||
Apollo Tactical Income Fund Inc. | |||||||||||||||||||
Assets/Liabilities | Fair Value at December 31, 2022 | Valuation Technique(s) (a) | Unobservable Input(s) | Range of Unobservable Input(s) Utilized | Weighted Average Unobservable Input(s) | ||||||||||||||
Senior Loans | $ | 2,216,911 | Independent pricing service and/or broker quotes | Vendor and/or broker quotes | N/A | N/A | |||||||||||||
58,845,449 | Discounted Cash Flow (b) | Discount Rate (b) | 8.47% - 55.19% | 11.80% | |||||||||||||||
2,400,353 | Guideline Public Company (c) | TEV | Revenue (c) | 0.50x - 0.60x | 0.55x | |||||||||||||||
Independent pricing service and/or broker quotes | Vendor and/or broker quotes | 36.03% - 40.13% | 38.08% | ||||||||||||||||
9,697,091 | Transaction Approach (d) | Cost (d) | N/A | N/A | |||||||||||||||
Corporate Notes and Bonds | 551,046 | Discounted Cash Flow (b) | Discount Rate (b) | 4.6% | 4.6% | ||||||||||||||
Recoverability (e) | Estimated Proceeds (e) | $55.5m | $55.5m | ||||||||||||||||
— | Recoverability (e) | Estimated Proceeds (e) | $— | $— | |||||||||||||||
Common Stocks | 13,550 | Discounted Cash Flow (b) | Discount Rate (b) | 6.0% - 9.0% | 7.50% | ||||||||||||||
Recoverability (e) | Estimated Proceeds (e) | $19.6m | $19.6m | ||||||||||||||||
1,054,810 | Guideline Public Company (c) | TEV | Revenue (c) | 1.45x - 1.65x | 1.55x | |||||||||||||||
Guideline Public Company (f) | TEV | EBITDA Multiple (f) | 4.5x - 5.5x | 5.0x | ||||||||||||||||
— | Recoverability (e) | Estimated Proceeds (e) | $— | $— | |||||||||||||||
684,900 | Guideline Public Company (f) | TEV | EBITDA Multiple (f) | 2.75x - 7.0x | 3.4x | |||||||||||||||
Preferred Stocks | 15,061 | Independent pricing service and/or broker quotes | Vendor and/or broker quotes | N/A | N/A | ||||||||||||||
173,387 | Guideline Public Company (f) | TEV | EBITDA Multiple (f) | 7.0x | 7.0x | |||||||||||||||
Unfunded Loan Commitments | (17,410 | ) | Discounted Cash Flow (b) | Discount Rate (b) | 9.74% - 15.87% | 10.50% | |||||||||||||
(4,139 | ) | Transaction Approach (d) | Cost (d) | N/A | N/A | ||||||||||||||
Total Fair Value | $ | 75,631,009 | |||||||||||||||||
(a) | For the assets which have multiple valuation techniques, the Fund may rely on the techniques individually or in aggregate based on a weight ranging from 0-100%. |
(b) | The Fund utilized a discounted cash flow model to fair value this security. The significant unobservable input used in the valuation model was the discount rate, which was determined based on the market rates an investor would expect for a similar investment with similar risks. The discount rate was applied to present value the projected cash flows in the valuation model. Significant increases in the discount rate may significantly lower the fair value of an investment; conversely, significant decreases in the discount rate may significantly increase the fair value of an investment. |
(c) | The Fund utilized a guideline public company method to fair value this security. The significant unobservable inputs used in the valuation model were total enterprise value (“TEV”) and revenue based on comparable multiples for a similar investment with similar risks. Significant increases or decreases in either of these inputs in isolation may result in a significantly higher or lower fair value measurement. |
(d) | The Fund utilized a recent transaction, specifically purchase price, to fair value this security. |
(e) | The Fund utilized a recoverability approach to fair value this security, specifically a liquidation analysis. There are various, company specific inputs used in the valuation analysis that relate to the liquidation value of a company’s assets. The significant unobservable input used in the valuation model was estimated proceeds. Significant increases or decreases in the input in isolation may result in a significantly higher or lower fair value measurement. |
(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 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. |
Fund | Purchases | Sales | ||||||||
Apollo Senior Floating Rate Fund Inc. | $ | 268,605,977 | $ | 285,906,778 | ||||||
Apollo Tactical Income Fund Inc. | $ | 300,039,097 | $ | 331,270,683 | ||||||
Apollo Senior Floating Rate Fund Inc. | ||||||||||||||||||||||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||
Common shares outstanding, beginning of the year | 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 year | 15,573,575 | $ | 295,515,991 | 15,573,575 | $ | 295,515,991 | ||||||||||||||||
Apollo Tactical Income Fund Inc. | ||||||||||||||||||||||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||
Common shares outstanding, beginning of the year | 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 year | 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 | $ | 1,432,769 | $ | 1,432,769 | — | |||||||||||||||||
September 9, 2022 | September 21, 2022 | September 22, 2022 | September 30, 2022 | $ | 0.1020 | $ | 1,588,505 | $ | 1,588,505 | — | |||||||||||||||||
October 7, 2022 | October 20, 2022 | October 21, 2022 | October 31, 2022 | $ | 0.1050 | $ | 1,635,225 | $ | 1,635,225 | — | |||||||||||||||||
November 10, 2022 | November 18, 2022 | November 21, 2022 | November 30, 2022 | $ | 0.1050 | $ | 1,635,225 | $ | 1,635,225 | — | |||||||||||||||||
December 7, 2022 | December 20, 2022 | December 21, 2022 | December 30, 2022 | $ | 0.1080 | $ | 1,681,946 | $ | 1,681,946 | — | |||||||||||||||||
January 11, 2023* | January 20, 2023 | January 23, 2023 | January 31, 2023 | $ | 0.1080 | $ | 1,681,946 | $ | 1,681,946 | — | |||||||||||||||||
February 9, 2023* | February 17, 2023 | February 21, 2023 | February 28, 2023 | $ | 0.1130 | ||||||||||||||||||||||
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 | $ | 1,403,011 | $ | 1,403,011 | — | ||||||||||||||||
September 9, 2022 | September 21, 2022 | September 22, 2022 | September 30, 2022 | $ | 0.1100 | $ | 1,591,043 | $ | 1,591,043 | — | ||||||||||||||||
October 7, 2022 | October 20, 2022 | October 21, 2022 | October 31, 2022 | $ | 0.1150 | $ | 1,663,363 | $ | 1,663,363 | — | ||||||||||||||||
November 10, 2022 | November 18, 2022 | November 21, 2022 | November 30, 2022 | $ | 0.1150 | $ | 1,663,363 | $ | 1,663,363 | — | ||||||||||||||||
December 7, 2022 | December 20, 2022 | December 21, 2022 | December 30, 2022 | $ | 0.1220 | $ | 1,764,611 | $ | 1,764,611 | — | ||||||||||||||||
January 11, 2023* | January 20, 2023 | January 23, 2023 | January 31, 2023 | $ | 0.1220 | $ | 1,764,611 | $ | 1,764,611 | — | ||||||||||||||||
February 9, 2023* | February 17, 2023 | February 21, 2023 | February 28, 2023 | $ | 0.1220 | |||||||||||||||||||||
Accumulated Loss | Paid-In Capital | |||||||||
Apollo Senior Floating Rate Fund Inc. | $ | — | $ | — | ||||||
Apollo Tactical Income Fund Inc. | $ | — | $ | — | ||||||
Apollo Senior Floating Rate Fund Inc. | ||||||||||
Distributions Paid to Common Shareholders from: | 2022 | 2021 | ||||||||
Ordinary Income* | $ | 17,037,490 | $ | 13,989,900 | ||||||
Return of Capital | — | 1,100,440 | ||||||||
Total Distributions | $ | 17,037,490 | $ | 15,090,340 | ||||||
Apollo Tactical Income Fund Inc. | ||||||||||
Distributions to Common Shareholders from: | 2022 | 2021 | ||||||||
Ordinary Income* | $ | 17,009,694 | $ | 14,244,987 | ||||||
Return of Capital | — | 190,110 | ||||||||
Total Distributions | $ | 17,009,694 | $ | 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. | $ | 67,189 | $ | — | $ | (32,336,918 | ) | $ | (42,220,267 | ) | ||||||||||||
Apollo Tactical Income Fund Inc. | 251,203 | — | (32,575,500 | ) | (42,776,521 | ) | ||||||||||||||||
Apollo Senior Floating Rate Fund Inc. | Apollo Tactical Income Fund Inc. | |||||||||
Federal tax basis, cost | $ | 368,614,525 | $ | 329,865,979 | ||||||
Unrealized appreciation | $ | 1,510,725 | $ | 1,218,158 | ||||||
Unrealized depreciation | (33,791,141 | ) | (33,732,874 | ) | ||||||
Net unrealized appreciation/(depreciation)* | $ | (32,280,416 | ) | $ | (32,514,716 | ) | ||||
Borrower | AFT | AIF | ||||||||
Accelerate360 Holdings, LLC Revolving Term Loan* | $ | — | $ | 636,092 | ||||||
Advarra Holdings, Inc. Delayed Draw Term Loan | 580,151 | 580,151 | ||||||||
Anaplan, Inc. Revolving Term Loan | 349,471 | 349,471 | ||||||||
Anuvu Holdings 2, LLC Delayed Draw Term Loan | 108,821 | 102,990 | ||||||||
Anuvu Holdings 2, LLC Delayed Draw Term Loan B | 582,016 | 550,829 | ||||||||
Athenahealth Group, Inc. Delayed Draw Term Loan | 648,563 | 496,593 | ||||||||
Avalara, Inc. Revolving Term Loan | 454,545 | 454,545 | ||||||||
Coretrust Purchasing Group, LLC Delayed Draw Term Loan | 338,346 | 338,346 | ||||||||
Coretrust Purchasing Group, LLC Revolving Term Loan | 338,346 | 338,346 | ||||||||
Gateway US Holdings, Inc. Delayed Draw Term Loan* | — | 23,728 | ||||||||
Gateway US Holdings, Inc. Revolving Term Loan* | — | 50,709 | ||||||||
Howden Group Holdings Limited Delayed Draw Term Loan** | 4,960,000 | 4,960,000 | ||||||||
Inovalon Holdings, Inc. Delayed Draw Term Loan* | — | 660,211 | ||||||||
IQN Holding Corporation Delayed Draw Term Loan* | — | 741,711 | ||||||||
IQN Holding Corporation Revolving Term Loan* | — | 320,856 | ||||||||
NCL Corporation Ltd. Secured Notes Bridge Term Loan | 10,000,000 | 10,000,000 | ||||||||
Ultimate Baked Goods Midco, LLC Revolving Term Loan* | — | 183,378 | ||||||||
Zendesk, Inc. Delayed Draw Term Loan | 1,293,478 | 739,130 | ||||||||
Zendesk, Inc. Revolving Term Loan | 532,609 | 304,348 | ||||||||
$ | 20,186,346 | $ | 21,831,434 | |||||||
Apollo Senior Floating Rate Fund Inc. | |||||
Shareholder Transaction Expenses | Percentage of Offering Price | ||||
Sales load paid by you (as a percentage of offering price) (1) | 1.00 | % | |||
Offering Expenses borne by Common Shareholders (as a percentage of offering price) (1) | 0.67 | % | |||
Dividend Reinvestment Plan Fees (2) | None | ||||
Annual Expenses | Percentage of Net Assets Attributable to Common Shares (6) | ||||
Investment management fee (3) | 1.42 | % | |||
Interest payments on borrowed funds (4) | 2.40 | % | |||
Other expenses (5) | 0.74 | % | |||
Total annual Fund expenses | 4.56 | % | |||
Apollo Tactical Income Fund Inc. | |||||
Shareholder Transaction Expenses | Percentage of Offering Price | ||||
Sales load paid by you (as a percentage of offering price) (1) | 1.00 | % | |||
Offering Expenses borne by Common Shareholders (as a percentage of offering price) (1) | 0.67 | % | |||
Dividend Reinvestment Plan Fees (2) | None | ||||
Annual Expenses | Percentage of Net Assets Attributable to Common Shares (6) | ||||
Investment management fee (3) | 1.41 | % | |||
Interest payments on borrowed funds (4) | 2.39 | % | |||
Other expenses (5) | 0.80 | % | |||
Total annual Fund expenses | 4.60 | % | |||
(1) | If the Common Shares are sold to or through agents, a corresponding prospectus supplement will set forth any applicable sales load and the estimated offering expenses. Holders of Common Shares will pay all offering expenses involved with an offering. |
(2) | There is no charge to participants for reinvesting dividends or capital gains distributions. Each Fund’s plan agent service fee for handling the reinvestment of such dividends and capital gains distributions will be paid by the Fund. Shareholders will bear a proportionate share of brokerage commissions on all open market purchases. |
(3) | The Adviser receives a monthly management fee for its advisory services equal to an effective annual rate of 1.0% of the average daily value of each Fund’s Managed Assets assuming that the amount of leverage of 33% of each Fund’s Managed Assets is used. The amount of leverage used by a Fund may change over time. Each Fund’s historical use of leverage for the past 10 fiscal periods in shown in the table titled “Senior Securities” below. |
(4) | Interest expense assumes that leverage represents 33% of each Fund’s Managed Assets and is charged at an interest rate pursuant to the terms of each Funds credit agreement. The types of leverage and terms of the respective credit agreements are included in Note 8- Credit Agreements and Preferred Shares of this annual report. |
(5) | “Other expenses” are based upon estimated amounts for the current fiscal year. Other expenses include amortized offering costs. |
(6) | For purposes of the Fee Table, each Fund’s net assets have been calculated as Managed Assets less the principal amount of borrowings under the Amended Credit Facility. As of the date of this prospectus, each Fund does not have any preferred shares outstanding. |
1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||||||||
Apollo Senior Floating Rate Fund Inc. | $ | 55 | $ | 147 | $ | 238 | $ | 472 | ||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||||||||
Apollo Tactical Income Fund Inc. | $ | 56 | $ | 148 | $ | 240 | $ | 475 | ||||||||||||||
Apollo Senior Floating Rate Fund Inc. | ||||||||||||||||||||||||||||||||||
Market Price | NAV | Premium/(Discount) to NAV | ||||||||||||||||||||||||||||||||
Period Ended | High | Low | High | Low | High | Low | ||||||||||||||||||||||||||||
December 31, 2022 | $ | 12.83 | $ | 12.18 | $ | 14.33 | $ | 14.31 | (10.47 | )% | (14.88 | )% | ||||||||||||||||||||||
September 30, 2022 | $ | 13.82 | $ | 12.44 | $ | 15.25 | $ | 14.36 | (9.38 | )% | (13.37 | )% | ||||||||||||||||||||||
June 30, 2022 | $ | 14.88 | $ | 12.68 | $ | 16.16 | $ | 14.87 | (7.92 | )% | (14.73 | )% | ||||||||||||||||||||||
March 31, 2022 | $ | 16.99 | $ | 14.29 | $ | 16.61 | $ | 15.98 | 2.29 | % | (10.58 | )% | ||||||||||||||||||||||
December 31, 2021 | $ | 16.55 | $ | 15.80 | $ | 16.46 | $ | 16.68 | 0.55 | % | (5.28 | )% | ||||||||||||||||||||||
September 30, 2021 | $ | 15.93 | $ | 15.11 | $ | 16.66 | $ | 16.66 | (4.38 | )% | (9.30 | )% | ||||||||||||||||||||||
June 30, 2021 | $ | 15.78 | $ | 14.91 | $ | 16.74 | $ | 16.37 | (5.73 | )% | (8.92 | )% | ||||||||||||||||||||||
March 31, 2021 | $ | 15.03 | $ | 14.30 | $ | 16.49 | $ | 16.15 | (8.85 | )% | (11.46 | )% | ||||||||||||||||||||||
December 31, 2020 | $ | 14.46 | $ | 12.57 | $ | 16.20 | $ | 15.44 | (10.74 | )% | (18.59 | )% | ||||||||||||||||||||||
Apollo Tactical Income Fund Inc. | ||||||||||||||||||||||||||||||||||
Market Price | NAV | Premium/(Discount) to NAV | ||||||||||||||||||||||||||||||||
Period Ended | High | Low | High | Low | High | Low | ||||||||||||||||||||||||||||
December 31, 2022 | $ | 12.49 | $ | 11.78 | $ | 14.11 | $ | 13.86 | (11.48 | )% | (15.01 | )% | ||||||||||||||||||||||
September 30, 2022 | $ | 13.41 | $ | 11.78 | $ | 14.98 | $ | 13.85 | (10.48 | )% | (14.95 | )% | ||||||||||||||||||||||
June 30, 2022 | $ | 14.53 | $ | 12.04 | $ | 16.06 | $ | 14.09 | (9.53 | )% | (14.55 | )% | ||||||||||||||||||||||
March 31, 2022 | $ | 15.91 | $ | 13.91 | $ | 16.61 | $ | 15.75 | (4.21 | )% | (11.68 | )% | ||||||||||||||||||||||
December 31, 2021 | $ | 16.00 | $ | 15.29 | $ | 16.66 | $ | 16.44 | (3.96 | )% | (7.00 | )% | ||||||||||||||||||||||
September 30, 2021 | $ | 15.97 | $ | 15.22 | $ | 16.75 | $ | 16.73 | (4.66 | )% | (9.03 | )% | ||||||||||||||||||||||
June 30, 2021 | $ | 15.65 | $ | 14.87 | $ | 16.82 | $ | 16.43 | (6.96 | )% | (9.49 | )% | ||||||||||||||||||||||
March 31, 2021 | $ | 14.95 | $ | 14.24 | $ | 16.49 | $ | 16.33 | (9.34 | )% | (12.80 | )% | ||||||||||||||||||||||
December 31, 2020 | $ | 14.48 | $ | 12.51 | $ | 16.27 | $ | 15.34 | (11.00 | )% | (18.45 | )% | ||||||||||||||||||||||
Apollo Senior Floating Rate Fund Inc. | ||||||||||||||||||||||
Year Ended | Total Debt Outstanding | Asset Coverage per $1,000 of Debt Outstanding (1) | Asset Coverage Per Share (2) | Average Market Value per Share (Excluding Debt Outstanding) | Type of Senior Security | |||||||||||||||||
December 31, 2022 | $130,000,000 | $2,700 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2021 | $130,000,000 | $2,971 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2020 | $121,000,000 | $3,079 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2019 | $141,000,000 | $2,871 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2018 | $141,000,000 | $2,804 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2017 | $141,000,000 | $2,972 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2016 | $141,000,000 | $2,995 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2015 | $149,269,000 | $2,765 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2014 | $149,269,000 | $2,909 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2013 | $122,704,615 | $3,676 | $294,078 | $ | 20,000 | Loan & Preferred Shares | ||||||||||||||||
Apollo Tactical Income Fund Inc. | ||||||||||||||||||||||
Year Ended | Total Debt Outstanding | Asset Coverage per $1,000 of Debt Outstanding (1) | Asset Coverage Per Share (2) | Average Market Value per Share (Excluding Debt Outstanding) | Type of Senior Security | |||||||||||||||||
December 31, 2022 | $121,000,000 | $2,656 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2021 | $121,000,000 | $2,977 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2020 | $110,000,000 | $3,139 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2019 | $126,500,000 | $2,927 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2018 | $126,500,000 | $2,837 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2017 | $138,000,000 | $2,828 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2016 | $138,000,000 | $2,800 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2015 | $138,000,000 | $2,674 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2014 | $138,000,000 | $2,909 | N/A | N/A | Loan | |||||||||||||||||
December 31, 2013 | $138,000,000 | $3,045 | N/A | N/A | Loan | |||||||||||||||||
(1) | Calculated by subtracting the Fund’s total liabilities (not including the Preferred Shares (if applicable) and borrowings outstanding) from the Fund’s total assets, and dividing this by the amount of borrowings outstanding. |
(2) | Calculated by subtracting the Fund’s total liabilities (not including the Preferred Shares (if applicable) and borrowings outstanding) from the Fund’s total assets, and dividing this by the number of Preferred Shares outstanding. |
Directors and Officers Name, Address (1) and Year of Birth | Position(s) Held with the Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Portfolios in the Complex of Funds Overseen by the Director | Other Public Directorships/ Trusteeships Held by the Director During Past Five Years | |||||||
INTERESTED DIRECTORS (2) | ||||||||||||
Barry Cohen (born 1952) | Director and Chairman of the Board | AFT Director since 2011 and AIF Director since 2013; current terms end at the 2024 annual meeting. | President, Elysium Management LLC since 2017. Managing Director, Apollo Global Management, Inc. and affiliates (investment advisor) from 2008 to 2022. Senior Advisor, Apollo Global Management, Inc. and affiliates (investment advisor) from 2022 - present. | 2 | None. | |||||||
Robert L. Borden (born 1963) | Director | AFT and AIF Director since November 2013, current terms end at the 2023 annual meeting. | Founding Partner, Delegate Advisors, LLC since 2012. | 2 | Athene Holding Ltd. | |||||||
INDEPENDENT DIRECTORS (3) | ||||||||||||
Glenn N. Marchak (born 1956) | Director; Audit Committee Chair | AFT Director since 2011 and AIF Director since 2013; current terms end at the 2025 annual meeting. | Private Investor; Corporate Director/Trustee. | 2 | Stone Harbor Emerging Markets Income Fund; Stone Harbor Emerging Markets Total Income Fund. | |||||||
Carl J. Rickertsen (born 1960) | Director; Nominating and Corporate Governance Committee Chair | AFT Director since 2011 and AIF Director since 2013; current terms end at the 2023 annual meeting. | Managing Partner, Pine Creek Partners (private equity investment firm) since 2004. | 2 | Berry Global Group, Inc.; MicroStrategy Incorporated; Apollo Diversified Credit Fund; Hut8. | |||||||
Todd J. Slotkin (born 1953) | Lead Independent Director | AFT Director since 2011 and AIF Director since 2013; current terms end at the 2025 annual meeting. | Co-Founder, President and COO, KMP Music LLC since 2020; Managing Director and Global Head, Alvarez & Marsal Asset Management Services, LLC 2014 to 2022 | 2 | CBIZ, Inc. |
Directors and Officers Name, Address (1) and Year of Birth | Position(s) Held with the Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Portfolios in the Complex of Funds Overseen by the Director | Other Public Directorships/ Trusteeships Held by the Director During Past Five Years | |||||||
Elliot Stein, Jr. (born 1949) | Director | AFT Director since 2011 and AIF Director since 2013; current terms end at the 2024 annual meeting. | Private Investor; Corporate Director/Trustee. | 2 | MidCap Financial Investment Corporation; BellRing Brands, Inc. | |||||||
EXECUTIVE OFFICERS (4) | ||||||||||||
Joseph Moroney (born 1971) | President and Chief Investment Officer | AFT since 2011 and AIF since 2013. | Co-Head of Yield Multi-Credit and Head of Sustainable Finance since 2022 Co-Head of Global Corporate Credit 2018 to 2021. Apollo Global Management, Inc. and affiliates since 2008. | N/A | N/A | |||||||
Kenneth Seifert (born 1978) | Treasurer and Chief Financial Officer | AFT and AIF since 2021. | Treasurer and Chief Financial Officer of Apollo Diversified Credit Fund and Apollo Diversified Real Estate Fund since 2022, Controller, Principal and Director, Apollo Global Management, Inc. and affiliates since 2021 and 2017, respectively. | N/A | N/A | |||||||
Kristin Hester (5) (born 1980) | Secretary and Chief Legal Officer | AFT and AIF since 2022. | Chief Legal Officer and Secretary for Apollo Debt Solutions BDC, MidCap Investment Corporation and Apollo Diversified Credit Fund since 2022. Apollo Global Management, Inc. and affiliates since 2015. | N/A | N/A | |||||||
Isabelle Gold (born 1982) | Chief Compliance Officer | AFT and AIF since 2020. | Chief Compliance Officer for Apollo Debt Solutions BDC and MidCap Financial Investment Corporation since 2022 and 2020, respectively. Senior Compliance Officer, Apollo Global Management, Inc. and affiliates 2016 to 2020. | N/A | N/A |
(1) | The address of each Director and Officer is care of the Apollo Senior Floating Rate Fund Inc. or the Apollo Tactical Income Fund Inc. at 9 West 57th Street, New York, NY 10019. |
(2) | “Interested person,” as defined in the Investment Company Act, of the Funds. Mr. Cohen is an interested person of the Funds due to his affiliation with the Adviser. Mr. Borden is an interested person of the Funds due to his ownership interest in AGM common stock. |
(3) | “Independent Directors” are the directors who are not “interested persons,” as defined in the Investment Company Act, of the Funds. |
(4) | Executive officers of the Funds serve at the pleasure of the Board of Directors. |
(5) | Prior to August 1, 2022, Joseph Glatt served as the Chief Legal Officer of the Funds. Kristin Hester was appointed by the Board of each Fund to serve as his replacement as of such date. |
• | Calling 1-877-864-4834; |
• | Writing us at the following address: |
(b) | Not applicable. |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(b) | No response required. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description enumerated in paragraph (b) of this Item 2. |
(d) | The registrant has not, during the period covered by this report, granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this Item 2. |
(e) | Not Applicable. |
(f) | The code of ethics is included on the registrant’s website at: www.apollofunds.com |
Item 3. Audit Committee Financial Expert.
The registrant’s board of directors has determined that Glenn A. Marchak and Todd J. Slotkin are qualified to serve as audit committee financial experts serving on its audit committee and that they are “independent,” as defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees and expenses billed for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the fiscal years ended December 31, 2021 and December 31, 2022 were $110,000 and $116,000, respectively. |
Audit-Related Fees
(b) | The aggregate fees billed in the fiscal years ended December 31, 2021 and December 31, 2022 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 and $0, respectively. The aggregate audit-related fees billed in the fiscal years ended December 31, 2021 and December 31, 2022 to Service Affiliates (as defined below) were $0 and $0, respectively. |
Tax Fees
(c) | The aggregate fees billed in the fiscal years ended December 31, 2021 and December 31, 2022 for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $6,675 and $7,000, respectively. “Tax fees” are for tax services related to reviews of returns and various tax matters. The aggregate tax fees billed in the fiscal years ended December 31, 2021 and December 31, 2022 to Service Affiliates (as defined below) were $0 and $0, respectively. |
All Other Fees
(d) | The aggregate fees billed in the fiscal years ended December 31, 2021 and December 31, 2022 for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item, were $7,000 and $27,000, respectively, related to a proposed reorganization and a shelf offering registration statement, respectively. The aggregate fees in this category billed in the fiscal years ended December 31, 2021 and December 31, 2022 to Service Affiliates (as defined below) were $0 and $0, respectively. |
(e)(1) | All services to be performed for the registrant and all services to be performed for the registrant’s investment adviser or any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant (“Service Affiliates”), if the engagement relates directly to the operations and financial reporting of the registrant, by the registrant’s principal accountant must be pre-approved by the registrant’s audit committee. |
(e)(2) | No services described in paragraphs (b) through (d) of this Item were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | Not applicable. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant and to Service Affiliates for the fiscal years ended December 31, 2021 and December 31, 2022 were $13,675 and $34,000, respectively. |
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
(a) | The registrant has a separately designated audit committee consisting solely of independent directors of the registrant. The members of the audit committee are: Glenn N. Marchak (Chairman), Carl J. Rickertsen, Todd J. Slotkin and Elliot Stein, Jr. |
(b) | Not applicable. |
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.
The Proxy Voting Policies are included in this Item.
Proxy Voting Policies and Procedures
of
Apollo Credit Management, LLC
SEC registered advisers that have the authority to vote client proxies (which authority may be implied from a general grant of investment discretion) are required to adopt policies and procedures (i) reasonably designed to ensure that the adviser votes proxies in the best interests of its clients and (ii) that include how the adviser addresses material conflicts that may arise between the adviser’s interests and those of its clients. It is expected that, in most cases, Apollo Credit Management, LLC (the “adviser”) will invest the assets of its clients in securities that do not generally carry voting rights. When a client account does have voting rights in a security, it follows the proxy voting policies and procedures summarized below:
In determining how to vote, officers of the adviser will consult with each other and other investment professionals affiliated with the adviser, taking into account the interests of the adviser’s clients and investors as well as any potential conflicts of interest. The adviser will consult with legal counsel to identify potential conflicts of interest. Where a potential conflict of interest exists, the adviser may, if it so elects, resolve it by following the recommendation of a disinterested third party, including by seeking the direction of the independent directors of the client or, in extreme cases, by abstaining from voting. While the adviser may retain an outside service to provide voting recommendations and to assist in analyzing votes, the adviser does not expect to delegate its voting authority to any third party.
An officer of the adviser will keep a written record of how all such proxies are voted. The adviser will retain records of (1) proxy voting policies and procedures, (2) all proxy statements received (or it may rely on proxy statements filed on the SEC’s EDGAR system in lieu thereof), (3) all votes cast, (4) investor requests for voting information, and (5) any specific documents prepared or received in
connection with a decision on a proxy vote. If it uses an outside service, the adviser may rely on such service to maintain copies of proxy statements and records, so long as such service will provide a copy of such documents promptly upon request.
The adviser’s proxy voting policies are not exhaustive and are designed to be responsive to the wide range of issues that may be subject to a proxy vote. In general, the adviser will vote proxies in accordance with these guidelines unless: (1) it has determined otherwise due to the specific and unusual facts and circumstances with respect to a particular vote, (2) the subject matter of the vote is not covered by these guidelines, (3) a material conflict of interest is present, or (4) it is necessary to vote contrary to the general guidelines to maximize shareholder value or the best interests of the adviser’s clients. In reviewing proxy issues, the adviser generally uses the following guidelines:
Elections of Directors: In general, the adviser will vote in favor of the management-proposed slate of directors. If there is a proxy fight for seats on a portfolio company’s board of directors, or the adviser determines that there are other compelling reasons for withholding a vote, it will determine the appropriate vote on the matter. The adviser may withhold votes for directors that fail to act on key issues, such as failure to: (1) implement proposals to declassify a board, (2) implement a majority vote requirement, (3) submit a rights plan to a shareholder vote or (4) act on tender offers where a majority of shareholders have tendered their shares. Finally, the adviser may withhold votes for directors of non-U.S. issuers where there is insufficient information about the nominees disclosed in the proxy statement or where, in the adviser’s discretion, the cost of voting will outweigh the perceived benefit.
Appointment of Auditors: The adviser believes that the board of an issuer remains in the best position to choose its independent auditors and the adviser will generally support management’s recommendation in this regard.
Changes in Capital Structure: Changes in an issuer’s charter or by-laws may be required by state or federal regulation. In general, the adviser will cast client votes in accordance with management on such proposals. However, the adviser will consider carefully any proposal regarding a change in corporate structure that is not required by state or federal regulation.
Corporate Restructurings, Mergers and Acquisitions: The adviser believes proxy votes dealing with corporate reorganizations are an extension of the investment decision. Accordingly, the adviser will analyze such proposals on a case-by-case basis and vote in accordance with its perception of client interests.
Proposals Affecting Shareholder Rights: The adviser generally will vote in favor of proposals that give shareholders a greater voice in the affairs of an issuer and oppose any measure that seeks to limit such rights. However, when analyzing such proposals, the adviser will balance the financial impact of the proposal against any impairment of shareholder rights as well as of a client’s investment in the issuer.
Corporate Governance: The adviser recognizes the importance of good corporate governance. Accordingly, the adviser generally will favor proposals that promote transparency and accountability within an issuer.
Anti-Takeover Measures: The adviser will evaluate, on a case-by-case basis, any proposals regarding anti-takeover measures to determine the measure’s likely effect on shareholder value dilution.
Stock Splits: The adviser generally will vote with management on stock split matters.
Limited Liability of Directors: The adviser generally will vote with management on matters that could adversely affect the limited liability of directors.
Social and Corporate Responsibility: The adviser will review proposals related to social, political and environmental issues to determine whether they may adversely affect shareholder value. The adviser may abstain from voting on such proposals where they do not have a readily determinable financial impact on shareholder value.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
(a)(1) As of December 31, 2022, the following individuals have primary responsibility for the day-to-day implementation of the registrant’s investment strategy (the “Portfolio Managers”):
Portfolio Managers |
Title |
Length of Service |
Business Experience for Last 5 Years | |||
Joseph Moroney |
President and Chief Investment Officer |
Joined Apollo in 2008
Portfolio Manager since registrant’s inception |
Mr. Moroney is a Partner in Apollo Global Management, Inc.’s (along with its subsidiaries, “Apollo”) Credit business and Co-Head of the Yield Multi-Credit platform as well as Head of Sustainable Finance of Apollo and serves as the President and Chief Investment Officer of the registrant. Mr. Moroney joined Apollo in 2008 as the Head of Apollo’s Global Performing Credit Group. Prior to joining Apollo, Mr. Moroney was employed by Aladdin Capital Management where he served as the Senior Managing Director of its Leveraged Loan Group. Mr. Moroney’s investment management career spans 28 years, with experience at various leading financial services firms including Merrill Lynch Investment Managers and MetLife Insurance. Mr. Moroney graduated from Rutgers University with a BS in Ceramic Engineering and serves on the Board of Overseers of the Rutgers Foundation. He is a Chartered Financial Analyst and a member of the NYSSA. | |||
James Vanek |
Portfolio Manager |
Joined Apollo in 2008
Portfolio Manager since 2014 |
Mr. Vanek is a Partner and the Co-Head of Apollo’s Global Performing Credit business and serves as a Portfolio Manager of the registrant. Prior to joining Apollo in 2008, Mr. Vanek was an Associate Director, Loan Sales & Trading in the Leveraged Finance group at Bear Stearns. He is a board member of the Loan Syndications and Trading Association, a leading advocate for the U.S. syndicated loan market. Mr. Vanek graduated from Duke University with a BS in Economics and a BA in Computer Science, and received his MBA from Columbia Business School. |
(a)(2) As of December 31, 2022, the Portfolio Managers listed above are also responsible for the day-to-day management of the following (not including the registrant):
Name of Portfolio Manager
| Total No. of Accounts Managed
| Total Assets(1)
|
No. of Accounts where Advisory Fee is Based on Performance
|
Total Assets in Accounts where Advisory Fee is Based on Performance(2)(3)
| ||||
Joseph Moroney | ||||||||
Registered Investment Companies: | 1 | $0.354 Billion | None | None | ||||
Other Pooled Investment Vehicles: | 2 | $5.627 Billion | 2 | $0.861 Billion | ||||
Other Accounts: | None | None | None | None | ||||
James Vanek | ||||||||
Registered Investment Companies: | 3 | $7.200 Billion | 1 | $6.016 Billion | ||||
Other Pooled Investment Vehicles: | 4 | $7.185 Billion | 3 | $3.671 Billion | ||||
Other Accounts: | 2 | $0.786 Billion | 1 | $0.372 Billion |
(1) | Total assets represent assets under management as defined by Apollo Global Management, Inc., which includes unfunded commitments. |
(2) | Represent the assets under management of the accounts managed that generate incremental fees in addition to advisory fees. |
(3) | Joseph Moroney is the Co-Head of the Yield Multi-Credit platform which had AUM of approximately $393.8 billion as of December 31, 2022. The disclosures above only reflect those accounts where the Portfolio Managers have direct day to day responsibilities for oversight of the funds. |
Potential Conflicts of Interests
Actual or apparent conflicts of interest may arise when a Portfolio Manager has day-to-day management responsibilities with respect to more than one fund or other account.
Certain inherent conflicts of interest arise from the fact that the Portfolio Managers, the Adviser and its affiliates provide investment management services both to the registrant and the other Apollo-advised funds, including other funds, client accounts, proprietary accounts and any other investment vehicles that the Adviser and its affiliates may establish from time to time, in which the registrant will not have an interest. The Portfolio Managers, the Adviser and its affiliates may give advice and recommend securities to the other Apollo-advised funds that may differ from advice given to, or securities recommended or bought for, the registrant, even though their investment objectives may be the same or similar to those of the registrant.
The Adviser will seek to manage potential conflicts of interest in good faith; nonetheless, the portfolio strategies employed by the Portfolio Managers, the Adviser and its affiliates in managing the other Apollo-advised funds could conflict with the transactions and strategies employed by the Portfolio
Managers in managing the registrant and may affect the prices and availability of the securities and instruments in which the registrant invests. Conversely, participation in specific investment opportunities may be appropriate, at times, for both the registrant and the other Apollo-advised funds. It is the policy of the Adviser to generally share appropriate investment opportunities (and sale opportunities) with the other Apollo-advised funds to the extent consistent with applicable legal requirements. In general, this policy will result in such opportunities being allocated pro rata among the registrant and the other Apollo-advised funds. Nevertheless, investments and/or opportunities may be allocated other than on a pro rata basis, to the extent it is done in good faith and does not, or is not reasonably expected to, result in an improper disadvantage or advantage to one participating Apollo-advised fund as compared to another participating Apollo-advised fund.
In the event investment opportunities are allocated among the registrant and the other Apollo-advised funds, the registrant may not be able to structure its investment portfolio in the manner desired. Although the Adviser endeavors to allocate investment opportunities in a fair and equitable manner, it is possible that the registrant may not be given the opportunity to participate in certain investments made by the other Apollo-advised funds or portfolio managers affiliated with the Adviser. Furthermore, the registrant and the other Apollo-advised funds may make investments in securities where the prevailing trading activity may make impossible the receipt of the same price or execution on the entire volume of securities purchased or sold by the registrant and the other Apollo-advised funds. When this occurs, the various prices may be averaged, and the registrant will be charged or credited with the average price. Thus, the effect of the aggregation may operate on some occasions to the disadvantage of the registrant. In addition, under certain circumstances, the registrant may not be charged the same commission or commission- equivalent rates in connection with a bunched or aggregated order.
It is possible that other Apollo-advised funds may make investments in the same or similar securities at different times and on different terms than the registrant. From time to time, the registrant and the other Apollo-advised funds may make investments at different levels of an issuer’s capital structure or otherwise in different classes of an issuer’s securities. Such investments may inherently give rise to conflicts of interest or perceived conflicts of interest between or among the various classes of securities that may be held by such entities. Conflicts may also arise because portfolio decisions regarding the registrant may benefit the other Apollo-advised funds. For example, the sale of a long position or establishment of a short position by the registrant may impair the price of the same security sold short by (and therefore benefit) one or more Apollo-advised funds, and the purchase of a security or covering of a short position in a security by the registrant may increase the price of the same security held by (and therefore benefit) one or more Apollo-advised funds.
While these conflicts cannot be eliminated, when consistent with fund objectives, guidelines and other fiduciary considerations and when practicable, the Adviser, the registrant and the other Apollo-advised funds may hold investments in the same levels of an issuer’s capital structure in the same proportion at each level.
Although the professional staff of the Adviser will devote as much time to the management of the registrant as the Adviser deems appropriate to perform its obligations, the professional staff of the Adviser may have conflicts in allocating its time and services among the registrant and the Adviser’s other investment vehicles and accounts. The Adviser and its affiliates are not restricted from forming additional investment funds, from entering into other investment advisory relationships or from engaging in other business activities, even though such activities may be in competition with the registrant and/or may involve substantial time and resources of the Adviser and its professional staff. These activities could be viewed as creating a conflict of interest in that the time and effort of the members of the Adviser and their officers and employees will not be devoted exclusively to the business of the registrant but will be
allocated between the business of the registrant and the management of the monies of other clients of the Adviser.
A conflict of interest may arise where the financial or other benefits available to a Portfolio Manager differ among the accounts that he manages. If the structure of the Adviser’s (or its affiliates’) management fee or the Portfolio Manager’s compensation differs among accounts (such as where certain accounts pay higher management fees or performance based management fees), the Portfolio Managers may be motivated to favor accounts in which they have investment interests, or in which the Adviser or its affiliates have investment interests. Similarly, the desire to maintain assets under management or to enhance a Portfolio Manager’s performance record or to derive other rewards, financial or otherwise, could influence the Portfolio Manager in affording preferential treatment to those accounts that could most significantly benefit the Portfolio Manager. For example, as reflected above, if a Portfolio Manager manages accounts that have performance fee arrangements, certain portions of his compensation will depend on the achievement of performance milestones on those accounts. The Portfolio Manager could be incented to afford preferential treatment to those accounts and thereby be subject to a potential conflict of interest.
The registrant and the Adviser have adopted compliance policies and procedures that are reasonably designed to address the various conflicts of interest that may arise for the Adviser and its staff members. However, there is no guarantee that such policies and procedures will be able to detect and prevent every situation in which an actual or potential conflict may arise.
(a)(3) Compensation Structure of Portfolio Manager(s) or Management Team Members
The Adviser’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include base compensation and discretionary compensation.
Base Compensation. Generally, portfolio managers receive an annual salary that is consistent with the market rate of annual salaries paid to similarly situated investment professionals.
Discretionary Compensation. Portfolio managers also receive discretionary compensation generally consisting of two components: an annual bonus and carried interest.
Annual Bonus. Generally, a portfolio manager receives an annual bonus based on such person’s individual performance, operational performance for the Apollo-advised funds for which such person serves, and such portfolio manager’s impact on the overall operating performance and potential to contribute to long-term value and growth. A portion of each annual bonus may be deferred and, at the discretion of Apollo, may be in the form of cash or equity of an Apollo entity, such as restricted stock units of Apollo Global Management, Inc.
Carried Interest. Generally, a portfolio manager receives carried interests with respect to the Apollo-advised funds for which such person serves as a portfolio manager, subject to standard terms and conditions, including vesting.
(a)(4) Disclosure of Securities Ownership
The dollar range of common stock of the registrant beneficially owned by each Portfolio Manager as of December 31, 2022 was as follows:
Name of Portfolio Manager |
Dollar ($) Range of Common Stock Beneficially Owned | |
Joseph Moroney | $100,001 - $500,000 | |
James Vanek | $100,001 - $500,000 |
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) |
(c) | Consent of Independent Registered Public Accounting Firm is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Apollo Tactical Income Fund Inc. | ||
By (Signature and Title) /s/ Joseph Moroney | ||
Joseph Moroney, President | ||
(principal executive officer) | ||
Date February 21, 2023 |
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 February 21, 2023 | ||
By (Signature and Title) /s/ Kenneth Seifert | ||
Kenneth Seifert, Treasurer and Chief Financial Officer | ||
(principal financial officer) | ||
Date February 21, 2023 |