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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Apollo Tactical Income Fund Inc | NYSE:AIF | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 14.82 | 0 | 01:00:00 |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-22591
Apollo Tactical Income Fund Inc. |
(Exact name of registrant as specified in charter)
9 West 57th Street New York, New York 10019 |
(Address of principal executive offices) (Zip code)
Joseph Moroney, President 9 West 57th Street New York, New York 10019 |
(Name and address of agent for service)
Registrants telephone number, including area code: (212) 515-3200
Date of fiscal year end: December 31
Date of reporting period: September 30, 2019
Item 1. Schedule of Investments.
Apollo Tactical Income Fund Inc.
Schedule of Investments
September 30, 2019 (unaudited)
See accompanying Notes to Schedule of Investments. | 1
Apollo Tactical Income Fund Inc.
Schedule of Investments (continued)
September 30, 2019 (unaudited)
Principal
Amount ($) |
Value ($) |
|||||||
Senior Loans(a) (continued) |
||||||||
CHEMICALS, PLASTICS, & RUBBER - 3.8% | ||||||||
Perstorp Holding AB (Sweden) |
||||||||
First Lien Term Loan, (LIBOR +
|
2,330,630 | 2,214,099 | ||||||
Starfruit US Holdco, LLC |
||||||||
First Lien Term Loan B, (LIBOR +
|
3,991,659 | 3,918,812 | ||||||
Tronox Finance, LLC |
||||||||
First Lien Term Loan B, (LIBOR +
|
2,992,035 | 2,994,983 | ||||||
|
|
|||||||
9,127,894 | ||||||||
|
|
|||||||
CONSTRUCTION & BUILDING - 1.8% | ||||||||
Associated Asphalt Partners, LLC |
||||||||
First Lien Term Loan B, (LIBOR +
|
2,847,983 | 2,710,340 | ||||||
Terra Millennium Corp. |
||||||||
First Lien First Out Term Loan,
|
1,737,219 | 1,722,018 | ||||||
|
|
|||||||
4,432,358 | ||||||||
|
|
|||||||
CONSUMER GOODS: DURABLE - 2.4% | ||||||||
Edgewell Personal Care Company |
||||||||
First Lien Term Loan A, (LIBOR +
|
467,742 | 467,742 | ||||||
First Lien Term Loan B, (LIBOR +
|
1,466,458 | 1,471,048 | ||||||
PT Holdings, LLC |
||||||||
First Lien Term Loan, (LIBOR +
|
3,211,759 | 3,136,829 | ||||||
Second Lien Term Loan,
|
625,000 | 625,000 | ||||||
|
|
|||||||
5,700,619 | ||||||||
|
|
|||||||
CONSUMER GOODS: NON-DURABLE - 1.5% | ||||||||
Kronos Acquisition Holdings, Inc.
|
||||||||
First Lien Term Loan, (LIBOR +
|
3,689,719 | 3,509,845 | ||||||
|
|
|||||||
CONTAINERS, PACKAGING & GLASS - 2.3% | ||||||||
Anchor Glass Container Corp. |
||||||||
First Lien Term Loan, (LIBOR +
|
3,682,910 | 2,904,895 |
Principal
Amount ($) |
Value ($) |
|||||||
CONTAINERS, PACKAGING & GLASS (continued) | ||||||||
Strategic Materials Holding Corp. |
||||||||
First Lien Term Loan, (LIBOR +
|
2,856,539 | 2,528,037 | ||||||
|
|
|||||||
5,432,932 | ||||||||
|
|
|||||||
ENERGY: OIL & GAS - 0.2% |
|
|||||||
Ascent Resources - Marcellus, LLC |
||||||||
First Lien Term Loan A, (LIBOR +
|
230,586 | 223,668 | ||||||
Sheridan Investment Partners I, LLC |
||||||||
Deferred Principal Facility I,
|
4,749 | 3,562 | ||||||
First Lien Tranche B-2, (LIBOR +
|
388,418 | 302,966 | ||||||
Sheridan Production Partners I-A, L.P. |
||||||||
Deferred Principal Facility
I-A,
|
629 | 472 | ||||||
First Lien Tranche B-2, (LIBOR +
|
51,469 | 40,145 | ||||||
Sheridan Production Partners I-M, L.P. |
||||||||
Deferred Principal Facility
I-M,
|
384 | 288 | ||||||
First Lien Tranche B-2,
|
31,437 | 24,521 | ||||||
|
|
|||||||
595,622 | ||||||||
|
|
|||||||
HEALTHCARE & PHARMACEUTICALS - 11.6% | ||||||||
Amneal Pharmaceuticals, LLC |
||||||||
First Lien Initial Term Loan,
|
1,994,948 | 1,713,162 | ||||||
Bausch Health Companies, Inc. (Canada) |
||||||||
First Lien Term Loan, (LIBOR +
|
1,680,000 | 1,685,359 | ||||||
BioClinica Holding I, LP |
||||||||
First Lien Initial Term Loan,
|
4,154,443 | 4,015,955 | ||||||
BW NHHC HoldCo, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
3,494,905 | 2,935,720 | ||||||
CT Technologies Intermediate
|
||||||||
First Lien New Term Loan,
|
4,164,713 | 3,821,124 |
2 | See accompanying Notes to Schedule of Investments.
Apollo Tactical Income Fund Inc.
Schedule of Investments (continued)
September 30, 2019 (unaudited)
Principal
Amount ($) |
Value ($) |
|||||||
Senior Loans(a) (continued) |
||||||||
HEALTHCARE & PHARMACEUTICALS (continued) | ||||||||
Endo International PLC (Ireland) |
||||||||
First Lien Term Loan B, (LIBOR +
|
3,623,779 | 3,309,543 | ||||||
Hanger, Inc. |
||||||||
First Lien Term Loan B, (LIBOR +
|
2,338,217 | 2,347,722 | ||||||
Lanai Holdings III, Inc. |
||||||||
Second Lien Term Loan,
|
869,565 | 782,609 | ||||||
Medical Solutions Holdings, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
2,220,816 | 2,220,816 | ||||||
Pluto Acquisition I, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
2,144,451 | 2,117,646 | ||||||
Team Health Holdings, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
3,640,161 | 3,018,294 | ||||||
|
|
|||||||
27,967,950 | ||||||||
|
|
|||||||
HIGH TECH INDUSTRIES - 19.5% | ||||||||
Almonde, Inc. |
||||||||
First Lien Term Loan B, (LIBOR +
|
2,986,639 | 2,912,122 | ||||||
Aspect Software, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
1,994,987 | 1,895,238 | ||||||
DigiCert, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
5,727,567 | 5,726,364 | ||||||
Electronics for Imaging, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
3,209,677 | 3,001,048 | ||||||
Imperva, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
1,917,416 | 1,869,481 | ||||||
ION Trading Technologies S.A.R.L
|
||||||||
First Lien Term Loan, (LIBOR +
|
5,810,131 | 5,545,770 | ||||||
Ivanti Software, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
5,918,941 | 5,908,790 |
Principal
Amount ($) |
Value ($) |
|||||||
HIGH TECH INDUSTRIES (continued) | ||||||||
Riverbed Technology, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
3,691,992 | 3,066,439 | ||||||
Syncsort, Inc. |
||||||||
First Lien Term Loan B, (LIBOR +
|
1,488,722 | 1,485,000 | ||||||
Second Lien Term Loan,
|
2,500,000 | 2,488,750 | ||||||
Triple Point Group Holdings, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
3,984,981 | 3,956,747 | ||||||
Vertafore, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
5,612,335 | 5,465,039 | ||||||
Second Lien Term Loan,
|
907,574 | 895,095 | ||||||
Wall Street Systems Delaware, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
2,561,328 | 2,550,122 | ||||||
First Lien Term Loan B, (LIBOR +
|
313,212 | 312,038 | ||||||
|
|
|||||||
47,078,043 | ||||||||
|
|
|||||||
MEDIA: ADVERTISING, PRINTING & PUBLISHING - 2.4% | ||||||||
Acosta, Inc. |
||||||||
First Lien Term Loan B, (Prime +
|
629,221 | 197,418 | ||||||
Advantage Sales & Marketing, Inc. |
||||||||
First Lien Incremental Term
|
2,850,518 | 2,652,763 | ||||||
First Lien Term Loan, (LIBOR +
|
3,133,945 | 2,934,594 | ||||||
F & W Media, Inc. |
||||||||
First Lien Term Loan B-1,
|
364,237 | 509 | ||||||
First Lien Term Loan B-2,
|
1,033,892 | | ||||||
|
|
|||||||
5,785,284 | ||||||||
|
|
See accompanying Notes to Schedule of Investments. | 3
Apollo Tactical Income Fund Inc.
Schedule of Investments (continued)
September 30, 2019 (unaudited)
Principal
Amount ($) |
Value ($) |
|||||||
Senior Loans(a) (continued) |
||||||||
MEDIA: BROADCASTING & SUBSCRIPTION - 8.4% | ||||||||
Global Eagle Entertainment, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
5,562,276 | 5,175,225 | ||||||
Radiate Holdco, LLC |
||||||||
First Lien Incremental Term
|
1,995,000 | 1,998,491 | ||||||
First Lien Term Loan, (LIBOR +
|
4,107,917 | 4,098,345 | ||||||
Univision Communications, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
3,447,020 | 3,357,794 | ||||||
Urban One, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
1,335,055 | 1,296,005 | ||||||
William Morris Endeavor
|
||||||||
First Lien Term Loan B, (LIBOR +
|
2,537,372 | 2,470,766 | ||||||
Ziggo Secured Finance Partnership
|
||||||||
First Lien Term Loan E, (LIBOR +
|
2,000,000 | 1,998,390 | ||||||
|
|
|||||||
20,395,016 | ||||||||
|
|
|||||||
RETAIL - 6.8% | ||||||||
Charming Charlie, LLC |
||||||||
First Lien Delayed Draw Term
|
79,389 | 42,760 | ||||||
First Lien Term Loan A, (LIBOR +
|
261,799 | | ||||||
First Lien Term Loan B, (LIBOR +
|
320,539 | | ||||||
Vendor Payment Term Loan,
|
14,306 | 7,705 | ||||||
EG America, LLC |
||||||||
First Lien Term Loan, (LIBOR +
|
1,949,160 | 1,930,399 | ||||||
General Nutrition Centers, Inc. |
||||||||
First Lien FILO Term Loan,
|
3,072,350 | 3,089,909 | ||||||
Neiman Marcus Group, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
3,051,468 | 2,333,900 | ||||||
Petco Animal Supplies, Inc. |
||||||||
First Lien Second Amendment
|
4,837,738 | 3,685,316 |
Principal
Amount ($) |
Value ($) |
|||||||
RETAIL (continued) | ||||||||
PetSmart, Inc. |
||||||||
First Lien Term Loan B-2,
|
5,370,104 | 5,249,009 | ||||||
|
|
|||||||
16,338,998 | ||||||||
|
|
|||||||
SERVICES: BUSINESS - 13.6% | ||||||||
Air Medical Group Holdings, Inc. |
||||||||
First Lien Term Loan B, (LIBOR +
|
2,583,007 | 2,424,269 | ||||||
Allied Universal Holdco, LLC |
||||||||
First Lien Term Loan, (LIBOR +
|
1,819,820 | 1,824,651 | ||||||
AQ Carver Buyer, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
1,093,525 | 1,088,057 | ||||||
CareStream Health, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
306,877 | 293,835 | ||||||
Second Lien Extended Term
|
1,010,000 | 969,600 | ||||||
DG Investment Intermediate
|
||||||||
First Lien Incremental Term Loan,
|
1,251,908 | 1,245,649 | ||||||
First Lien Term Loan, (LIBOR +
|
987,415 | 971,986 | ||||||
Electro Rent Corp. |
||||||||
First Lien Term Loan, (LIBOR +
|
2,227,344 | 2,238,481 | ||||||
Ensemble RCM, LLC |
||||||||
First Lien Term Loan, (LIBOR +
|
1,838,242 | 1,840,733 | ||||||
Envision Healthcare Corp. |
||||||||
First Lien Term Loan B, (LIBOR +
|
4,967,334 | 4,068,545 | ||||||
Evergreen Skills Lux S.A.R.L.
|
||||||||
First Lien Term Loan, (LIBOR +
|
2,994,818 | 2,434,038 | ||||||
Second Lien Term Loan,
|
1,000,000 | 305,555 |
4 | See accompanying Notes to Schedule of Investments.
Apollo Tactical Income Fund Inc.
Schedule of Investments (continued)
September 30, 2019 (unaudited)
Principal
Amount ($) |
Value ($) |
|||||||
Senior Loans(a) (continued) | ||||||||
SERVICES: BUSINESS (continued) | ||||||||
Navicure, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
1,994,924 | 1,996,799 | ||||||
First Lien Term Loan B, (LIBOR +
|
1,968,750 | 1,971,211 | ||||||
Refinitiv US Holdings, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
4,188,852 | 4,215,912 | ||||||
SGS Cayman, L.P. |
||||||||
First Lien Term Loan B, (LIBOR +
|
455,942 | 452,667 | ||||||
STG-Fairway Acquisitions, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
2,577,911 | 2,582,216 | ||||||
Sutherland Global Services, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
1,958,706 | 1,944,633 | ||||||
|
|
|||||||
32,868,837 | ||||||||
|
|
|||||||
SERVICES: CONSUMER - 1.5% | ||||||||
USS Ultimate Holdings, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
1,246,819 | 1,249,781 | ||||||
Second Lien Term Loan,
|
2,500,000 | 2,462,500 | ||||||
|
|
|||||||
3,712,281 | ||||||||
|
|
|||||||
TELECOMMUNICATIONS - 11.4% | ||||||||
CenturyLink, Inc. |
||||||||
First Lien Term Loan A, (LIBOR +
|
742,750 | 745,907 | ||||||
First Lien Term Loan B, (LIBOR +
|
5,007,675 | 4,981,259 | ||||||
Flight Bidco, Inc. |
||||||||
First Lien Term Loan, (LIBOR +
|
3,639,591 | 3,610,019 | ||||||
Frontier Communications Corp. |
||||||||
First Lien Term Loan B, (LIBOR +
|
2,983,845 | 2,982,785 | ||||||
Intelsat Jackson Holdings S.A.
|
||||||||
First Lien Fixed Term Loan B5,
|
4,820,586 | 4,939,582 | ||||||
First Lien Term Loan B4,
|
3,406,019 | 3,458,165 |
See accompanying Notes to Schedule of Investments. | 5
Apollo Tactical Income Fund Inc.
Schedule of Investments (continued)
September 30, 2019 (unaudited)
Principal
Amount ($) |
Value ($) |
|||||||
METALS & MINING - 0.0% | ||||||||
ERP Iron Ore, LLC
|
121,662 | 51,098 | ||||||
Magnetation, LLC / Mag Finance
|
2,937,000 | | ||||||
|
|
|||||||
51,098 | ||||||||
|
|
|||||||
RETAIL - 2.5% | ||||||||
EG Global Finance PLC (United
|
3,000,000 | 2,940,000 | ||||||
PetSmart, Inc.
|
2,000,000 | 2,000,000 | ||||||
Yum! Brands, Inc.
|
1,000,000 | 1,033,750 | ||||||
|
|
|||||||
5,973,750 | ||||||||
|
|
|||||||
SERVICES: BUSINESS - 1.3% | ||||||||
Darling Ingredients, Inc.
|
3,000,000 | 3,161,250 | ||||||
|
|
|||||||
SERVICES: CONSUMER - 0.5% | ||||||||
NVA Holdings, Inc.
|
1,000,000 | 1,066,250 | ||||||
|
|
|||||||
TELECOMMUNICATIONS - 1.4% | ||||||||
Orbcomm, Inc.
|
3,194,000 | 3,305,790 | ||||||
|
|
|||||||
Total Corporate Notes and Bonds
|
76,951,165 | |||||||
|
|
6 | See accompanying Notes to Schedule of Investments.
Apollo Tactical Income Fund Inc.
Schedule of Investments (continued)
September 30, 2019 (unaudited)
Principal
Amount ($) |
Value ($) |
|||||||
Structured Products - 11.9% |
|
|||||||
STRUCTURED FINANCE -11.9%(p) | ||||||||
Anchorage Capital CLO, Ltd. |
||||||||
(Cayman Islands)
|
4,400,000 | 4,242,502 | ||||||
Babson CLO, Ltd. |
||||||||
(Cayman Islands)
|
1,110,000 | 956,709 | ||||||
Fortress Credit Opportunities CLO,
|
||||||||
Series 2018-11A, Class E,
|
4,000,000 | 3,661,396 | ||||||
JFIN CLO, Ltd. (Cayman Islands) |
||||||||
Series 2015-1A, Class E,
|
4,500,000 | 3,783,506 | ||||||
OZLM, Ltd. (Cayman Islands) |
||||||||
Series 2014-8A, Class DRR,
|
2,500,000 | 2,337,688 | ||||||
Shackleton CLO, Ltd. |
||||||||
(Cayman Islands)
|
3,300,000 | 2,975,171 | ||||||
TIAA Churchill Middle Market CLO,
|
||||||||
Series 2016-1A, Class ER,
|
5,000,000 | 4,838,530 | ||||||
Series 2017-1A, Class E, 9.58%,
|
4,000,000 | 3,752,868 | ||||||
Zais CLO, Ltd. (Cayman Islands) |
||||||||
Series 2016-2A, Class D,
|
1,000,000 | 855,102 | ||||||
Series 2017-2A, Class E,
|
1,750,000 | 1,496,885 | ||||||
|
|
|||||||
28,900,357 | ||||||||
|
|
|||||||
Total Structured Products
|
28,900,357 | |||||||
|
|
See accompanying Notes to Schedule of Investments. | 7
Apollo Tactical Income Fund Inc.
Schedule of Investments (continued)
September 30, 2019 (unaudited)
(a) |
Senior Loans are senior, secured loans made to companies whose debt is below investment grade as well as investments with similar economic characteristics. Senior Loans typically hold a first lien priority and, unless otherwise indicated, are required to pay interest at floating rates that are periodically reset by reference to a base lending rate plus a spread. In some instances, the rates shown represent the weighted average rate as of September 30, 2019. Senior Loans are generally not registered under the Securities Act of 1933 (the 1933 Act) and often incorporate certain restrictions on resale and cannot be sold publicly. Senior Loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual maturity may be substantially less than the stated maturity. |
(b) |
All or a portion of this Senior Loan position has not settled. Full contract rates do not take effect until settlement date and therefore are subject to change. |
(c) |
The interest rate on this Senior Loan is subject to a base lending rate plus a spread. These base lending rates are primarily the London Interbank Offered Rate (LIBOR) and secondarily the prime rate offered by one or more major U.S. banks (Prime). The interest rate is subject to a minimum floor, which may be less than or greater than the prevailing period end LIBOR/Prime rate. As of September 30, 2019, the 1, 2, 3 and 6 month LIBOR rates were 2.02%, 2.07%, 2.09% and 2.06%, respectively, and the Prime lending rate was 5.00%. Senior Loans may contain multiple contracts of the same issuer which may be subject to base lending rates of both LIBOR and Prime (Variable) in addition to the stated spread. |
(d) |
Fair Value Level 3 security. |
(e) |
Foreign issuer traded in U.S. dollars. |
(f) |
The issuer has filed for Chapter 11 bankruptcy protection as of March 10, 2019. |
(g) |
The issuer has filed for Chapter 11 bankruptcy protection as of July 11, 2019. |
(h) |
Fixed rate asset. |
(i) |
Securities exempt from registration pursuant to Rule 144A under the 1933 Act. These securities may only be resold in transactions exempt from registration to qualified institutional buyers. At September 30, 2019, these securities amounted to $104,727,000, or 43.35% of net assets. |
(j) |
The issuer is in default of its payment obligations as of July 5, 2018. |
(k) |
The issuer is in default of its payment obligations as of May 5, 2015. |
(l) |
Non-income producing asset. |
(m) |
The Fund has granted a security interest in substantially all of its assets in the event of default under the credit facility. |
(n) |
Principal of $126,500,000 less unamortized deferred financing costs of $98,684. |
(o) |
The issuer is in default of its payment obligations as of March 19, 2017. |
(p) |
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 (j) 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. |
(q) |
Floating rate asset. The interest rate shown reflects the rate in effect at September 30, 2019. |
8 | See accompanying Notes to Schedule of Investments.
Apollo Tactical Income Fund Inc.
Notes to Schedule of Investments
September 30, 2019 (unaudited)
Security Valuation
Apollo Tactical Income Fund Inc. (the Fund) values its investments primarily using the mean of the bid and ask prices provided by a nationally recognized security pricing service or broker. Senior Loans, corporate notes and bonds, common stock, structured products, preferred stock, and warrants are priced based on valuations provided by an approved independent pricing service or broker, if available. If market or broker quotations are not available, or a price is not available from an independent pricing service or broker, or if the price provided by the independent pricing service or broker is believed to be unreliable, the security will be fair valued pursuant to procedures adopted by the Funds board of directors (the Board). In general, the fair value of a security is the amount that the Fund might reasonably expect to receive upon the sale of an asset or pay to transfer a liability in an orderly transaction between willing market participants at the reporting date. Fair value procedures generally take into account any factors deemed relevant, which may include, among others, (i) the nature and pricing history of the security, (ii) the liquidity or illiquidity of the market for the particular security, (iii) recent purchases or sales transactions for the particular security or similar securities and (iv) press releases and other information published about the issuer. In these cases, the Funds net asset value (NAV) will reflect the affected portfolio securities fair value as determined in the judgment of the Board or its designee instead of being determined by the market. Using a fair value pricing methodology to value securities may result in a value that is different from a securitys most recent sale price and from the prices used by other investment companies to calculate their NAV. Determination of fair value is uncertain because it involves subjective judgments and estimates. There can be no assurance that the Funds valuation of a security will not differ from the amount that it realizes upon the sale of such security.
Fair Value Measurements
The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. The levels of fair value inputs used to measure the Funds investments are characterized into a fair value hierarchy. The three levels of the fair value hierarchy are described below:
Level 1 Quoted unadjusted prices for identical assets and liabilities in active markets to which the Fund has access at the date of measurement;
Level 2 Quoted prices for similar assets and liabilities in active markets, quoted prices for identical or similar assets and liabilities in markets that are not active, but are valued based on executed trades, broker quotations that constitute an executable price, and alternative pricing sources supported by observable inputs which, in each case, are either directly or indirectly observable for the asset in connection with market data at the measurement date; and
Level 3 Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. In certain cases, investments classified within Level 3 may include securities for which the Fund has obtained indicative quotes from broker-dealers that do not necessarily represent prices the broker may be willing to trade on, as such quotes can be subject to material management judgment. Unobservable inputs are those inputs that reflect the Funds own assumptions that market participants would use to price the asset or liability based on the best available information.
At the end of each reporting period, management evaluates the Level 2 and Level 3 assets, if any, for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from independent pricing services, and the existence of contemporaneous, observable trades in the market.
| 9
Apollo Tactical Income Fund Inc.
Notes to Schedule of Investments (continued)
September 30, 2019 (unaudited)
The valuation techniques used by the Fund to measure fair value at September 30, 2019 maximized the use of observable inputs and minimized the use of unobservable inputs. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers into and out of the levels are recognized at the value at the end of the period. A summary of the Funds investments categorized in the fair value hierarchy as of September 30, 2019 is as follows:
Apollo Tactical Income Fund Inc. | ||||||||||||||||||||||
Total Fair Value at
September 30, 2019 |
Level 1
Quoted Price |
Level 2
Significant Observable Inputs |
Level 3
Significant Unobservable Inputs |
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Assets: |
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Cash and Cash Equivalents |
$ | 3,780,654 | $ | 3,780,654 | $ | | $ | | ||||||||||||||
Senior Loans |
267,161,623 | | 261,864,024 | 5,297,599 | ||||||||||||||||||
Corporate Notes and Bonds |
76,951,165 | | 76,900,067 | 51,098 | ||||||||||||||||||
Structured Products |
28,900,357 | | 28,900,357 | | ||||||||||||||||||
Common Stocks |
1,842,690 | | 372,722 | 1,469,968 | ||||||||||||||||||
Preferred Stock |
946,575 | | | 946,575 | ||||||||||||||||||
Warrants |
1,287 | | | 1,287 | ||||||||||||||||||
Unrealized appreciation on Unfunded Loan Commitments |
2,280 | | 2,280 | | ||||||||||||||||||
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Total Assets |
$ | 379,586,631 | $ | 3,780,654 | $ | 368,039,450 | $ | 7,766,527 | ||||||||||||||
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The following is a reconciliation of Level 3 holdings for which significant unobservable inputs were used in determining fair value for the period January 1, 2019 through September 30, 2019:
Apollo Tactical Income Fund Inc. | ||||||||||||||||||||||||||||||||||
Total | Senior Loans |
Corporate
Notes and Bonds |
Common
Stocks |
Preferred
Stock |
Warrants | |||||||||||||||||||||||||||||
Total Fair Value, beginning of period |
$ | 12,247,797 | $ | 8,406,696 | $ | 14,095 | $ | 180,726 | $ | 3,644,993 | $ | 1,287 | ||||||||||||||||||||||
Purchases, including capitalized PIK |
3,981,460 | 3,981,460 | | | | | ||||||||||||||||||||||||||||
Sales/Paydowns |
(9,550,865 | ) | (6,497,440 | ) | | | (3,053,425 | ) | | |||||||||||||||||||||||||
Accretion/(amortization) of discounts/(premiums) |
251,762 | 251,762 | | | | | ||||||||||||||||||||||||||||
Net realized gain/(loss) |
165,728 | 104,660 | | | 61,069 | | ||||||||||||||||||||||||||||
Change in net unrealized appreciation/(depreciation) |
1,600,333 | (19,851 | ) | 37,003 | 1,289,242 | 293,938 | | |||||||||||||||||||||||||||
Transfers into Level 3 |
782,609 | 782,609 | | | | | ||||||||||||||||||||||||||||
Transfers out of Level 3 |
(1,712,297 | ) | (1,712,297 | ) | | | | | ||||||||||||||||||||||||||
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Total Fair Value, end of period |
$ | 7,766,527 | $ | 5,297,599 | $ | 51,098 | $ | 1,469,968 | $ | 946,575 | $ | 1,287 | ||||||||||||||||||||||
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Assets were transferred from Level 2 to Level 3 or from Level 3 to Level 2 as a result of changes in levels of liquid market observability when subject to various criteria as discussed above. There were no transfers between Level 1 and Level 2 fair value measurement during the period shown. The net change in unrealized appreciation/(depreciation) attributable to Level 3 investments still held at September 30, 2019 was $1,164,938.
10 |
Apollo Tactical Income Fund Inc.
Notes to Schedule of Investments (continued)
September 30, 2019 (unaudited)
The following table provides quantitative measures used to determine the fair values of the Level 3 investments as of September 30, 2019:
Assets |
Fair Value at
September 30, 2019 |
Valuation Technique(s)(a) | Unobservable Input(s) |
Range of
Input(s) Utilized |
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Senior Loans |
$ | 5,242,968 |
Independent pricing service and/or broker quotes |
Vendor and/or broker quotes | N/A | ||||||||||||||
50,465 |
Recoverability(b) |
Liquidation Proceeds(b) | $5.3m - $5.5m | ||||||||||||||||
509 |
Recoverability(b) |
Liquidation Proceeds(b) | $11.1m | ||||||||||||||||
3,657 |
Discounted Cash Flow(c) |
Discount Rate(c) | 2.00% | ||||||||||||||||
Recoverability(d) |
Estimated Transaction Value(d) | N/A | |||||||||||||||||
Corporate Notes and Bonds |
51,098 |
Recoverability(b)(d)(e) |
Liquidation Proceeds(b) | $6.1m | |||||||||||||||
Estimated Transaction Value(d) | N/A | ||||||||||||||||||
Discount Rate(e) | 2.06% | ||||||||||||||||||
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Recoverability(b) |
Liquidation Proceeds(b) | $0 | ||||||||||||||||
Common Stocks |
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Recoverability(b) |
Liquidation Proceeds(b) | $5.3m - $5.5m | |||||||||||||||
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Recoverability(b) |
Liquidation Proceeds(b) | $11.1m | ||||||||||||||||
1,390,771 |
Market Comparable Approach(f) |
EBITDA Multiple(f) | 1.9x | ||||||||||||||||
79,197 |
Independent pricing service and/or broker quotes |
Vendor and/or broker quotes | N/A | ||||||||||||||||
Preferred Stock |
946,575 |
Discounted Cash Flow(c) |
Discount Rate(c) | 8.25% | |||||||||||||||
Warrants |
1,287 |
Independent pricing service and/or broker quotes |
Vendor and/or broker quotes | N/A | |||||||||||||||
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Total Fair Value |
$ | 7,766,527 | |||||||||||||||||
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(a) |
For the assets which have multiple valuation techniques, the Fund may rely on the techniques individually or in aggregate based on a weight ranging from 0-100%. |
(b) |
The Fund utilized a recoverability approach to fair value these securities, specifically a liquidation analysis. There are various, company specific inputs used in the valuation analysis that relate to the liquidation value of a companys assets. The significant unobservable inputs used in the valuation model were liquidation proceeds. Significant increases or decreases in the input in isolation may result in a significantly higher or lower fair value measurement. |
(c) |
The Fund utilized a discounted cash flow model to fair value this security. The significant unobservable input used in the valuation model was the discount rate, which was determined based on the market rates an investor would expect for a similar investment with similar risks. The discount rate was applied to present value the projected cash flows in the valuation model. Significant increases in the discount rate may significantly lower the fair value of an investment; conversely, significant decreases in the discount rate may significantly increase the fair value of an investment. |
(d) |
The Fund utilized a recoverability approach to fair value this security. The significant unobservable input used in the valuation model was an estimated transaction value. Significant increases or decreases in the input in isolation may result in a significantly higher or lower fair value measurement. |
(e) |
The Fund utilized a recoverability approach to fair value this security. The significant unobservable input used in the valuation model was a discount rate. 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 market comparable approach to fair value this security. The significant unobservable inputs used in the valuation model were total enterprise value 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. |
| 11
Apollo Tactical Income Fund Inc.
Notes to Schedule of Investments (continued)
September 30, 2019 (unaudited)
Federal Tax Information
Cost for U.S federal income tax purposes differs from book basis primarily due to the deferral of losses from wash sales. Unrealized appreciation and depreciation on investments as of September 30, 2019 were as follows:
Apollo Tactical
Income Fund, Inc. |
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Federal tax basis, cost |
$ | 386,746,011 | |||
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Unrealized appreciation |
6,177,529 | ||||
Unrealized depreciation |
(17,119,843 | ) | |||
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Net unrealized appreciation/(depreciation)* |
(10,942,314 | ) | |||
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General Commitments and Contingencies
As of September 30, 2019, the Fund had unfunded loan commitments outstanding, which could be extended at the option of the borrower, as detailed below:
Borrower |
Unfunded Loan
Commitments |
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Allied Universal Holdco, LLC Delayed Draw Term Loan |
$ | 180,180 | ||||||||
Aveanna Healthcare, LLC Bridge Term Loan |
2,284,134 | |||||||||
Centene Corporation Bridge Term Loan TR 1 |
471,855 | |||||||||
Centene Corporation Bridge Term Loan TR 2 |
435,559 | |||||||||
Zayo Group Holdings, Inc. Backstop Term Loan |
2,553,523 | |||||||||
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Total unfunded loan commitments |
$ | 5,925,251 | ||||||||
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For more information with regard to significant accounting policies, see the Funds most recent semi-annual report filed with the Securities and Exchange Commission.
12 |
Item 2. Controls and Procedures.
(a) |
The Registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrants 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 Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)). |
(b) |
There were no changes in the Registrants 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 Registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting. |
Item 3. Exhibits.
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), are attached as Exhibit 99.CERT.
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 11/14/2019 |
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 |
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Joseph Moroney, President |
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(principal executive officer) |
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Date 11/14/2019 | ||
By (Signature and Title) /s/ Frank Marra | ||
Frank Marra, Treasurer and Chief Financial Officer |
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(principal financial officer) |
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Date 11/14/2019 |
1 Year Apollo Tactical Income Chart |
1 Month Apollo Tactical Income Chart |
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