Apollo Senior Floating Rate Fund

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                     811-22481                     

 

Apollo Senior Floating Rate 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)

Registrant’s telephone number, including area code: (212) 515-3200                  

Date of fiscal year end: December 31             

Date of reporting period: September 30, 2012


Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments

September 30, 2012 (unaudited)

 

   

Principal

Amount ($)

    

Value ($)

 
Senior Loans (a) - 128.7%   

AEROSPACE & DEFENSE - 5.1%

  

CAMP Systems, Inc.
First Lien Initial Term Loan, 6.50%, 05/31/19

    1,320,000         1,334,190   

Second Lien Initial Term Loan, 10.00%, 11/30/19

    1,000,000         1,020,250   

ILC Industries, LLC
First Lien Term Loan, 7.50%, 07/11/18

    3,990,000         3,976,693   

Scitor Corp.
Term Loan, 5.00%, 02/15/17

    3,638,098         3,607,410   

SI Organization, Inc. (The)
New Tranche B Term Loan, 4.50%, 11/22/16

    247,481         246,862   

SRA International
Term Loan, 6.50%, 07/20/18

    4,885,901         4,845,177   
    

 

 

 
             15,030,582   
    

 

 

 

AUTOMOTIVE - 3.3%

  

Avis Budget Car Rental, LLC
Tranche B Term Loan, 6.25%, 09/22/18

    1,127,857         1,138,008   

Chrysler, LLC
Tranche B Term Loan, 6.00%, 05/24/17

    4,387,162         4,485,609   

Fram Group Holdings, Inc.
First Lien Term Loan B, 6.50%, 07/29/17

    950,400         946,835   

Second Lien Term Loan, 10.50%, 01/29/18 (b)

    2,000,000         1,820,000   

Schaeffler AG (Germany)
Facility C2 (USD), 6.00%, 01/27/17 (c)

    1,260,000         1,276,544   
    

 

 

 
       9,666,996   
    

 

 

 

BANKING, FINANCE, INSURANCE AND REAL ESTATE - 6.9%

  

American Capital, Ltd.
Senior Secured Term Loan, 5.50%, 08/22/16 (b)

    1,409,000         1,416,045   

Asurion, LLC
First Lien Term Loan, 5.50%, 05/24/18

    3,748,337         3,777,630   

Aveta, Inc.
MMM Term Facility, 8.50%, 04/04/17

    807,889         814,958   

NAMM Term Facility, 8.50%, 04/04/17

    807,889         814,958   

BNY ConvergEX Group, LLC
First Lien Term Loan, 5.25%, 12/19/16

    3,317,470         3,206,899   

CNO Financial Group, Inc.
Term Loan B-2, 09/28/18 (d)

    638,000         641,056   

EZE Castle Software, Inc.
First Lien Term Loan, 5.25%, 12/19/16

    1,453,484         1,405,040   

Hamilton Lane
Term Loan B, 6.50%,
02/28/18 (b)

    975,000         975,000   
   

Principal

Amount ($)

    

Value ($)

 

BANKING, FINANCE, INSURANCE AND REAL ESTATE (continued)

  

Sedgwick Claims Management
Services, Inc. Term B-1 Loan, 5.00%, 12/31/16.

    3,861,271         3,873,298   

VFH Parent LLC
Term Loan, 7.50%, 07/08/16

    3,163,749         3,171,659   
    

 

 

 
       20,096,543   
    

 

 

 

BEVERAGE, FOOD & TOBACCO - 3.0%

  

BJ’s Wholesale Club, Inc.
Term Loan B, 09/26/19 (d)

    1,517,000         1,526,641   

NPC International, Inc.
Term Loan, 5.25%, 12/28/18

    2,298,450         2,327,181   

Pierre Foods, Inc.
First Lien Term Loan, 7.00%, 09/30/16

    4,924,812         4,948,205   
    

 

 

 
       8,802,027   
    

 

 

 

CAPITAL EQUIPMENT - 0.3%

  

Terex Corp.
U.S. Term Loan, 5.50%, 04/28/17

    990,000         996,806   
    

 

 

 

CHEMICALS, PLASTICS, & RUBBER - 5.8%

  

Arizona Chemicals
Term Loan, 7.25%, 12/22/17

    787,273         804,790   

Houghton International, Inc.
Term Loan B-1, 6.75%, 01/29/16.

    2,598,929         2,624,919   

Ineos US Finance LLC
Cash Dollar Term Loan, 6.50%, 05/04/18

    5,214,568         5,276,491   

NuSil Technology, LLC
Term Loan, 5.25%, 04/07/17

    2,936,441         2,941,947   

Trinseo Materials Operating
S.C.A. (Luxembourg)
Term Loan, 8.00%, 08/02/17 (c)

    353,214         339,527   

Univar, Inc.
Term B Loan, 5.00%, 06/30/17

    4,912,500         4,897,836   
    

 

 

 
             16,885,510   
    

 

 

 

CONSUMER GOODS: DURABLE - 4.3%

  

AOT Bedding Super Holdings
Term Loan B, 09/19/19 (d)

    2,916,000         2,909,235   

Goodman Global, Inc.
First Lien Initial Term Loan, 5.75%, 10/28/16

    5,601,342         5,623,523   

SRAM, LLC
First Lien Term Loan, 4.77%, 06/07/18

    2,297,366         2,326,083   

Second Lien Term Loan, 8.50%, 12/07/18 (b)

    1,650,000         1,678,875   
    

 

 

 
       12,537,716   
    

 

 

 

CONSUMER GOODS: NON-DURABLE - 3.7%

  

Armored AutoGroup, Inc.
New Term Loan, 6.00%, 11/05/16

    4,925,000         4,930,122   

Insight Global, Inc.
First Lien Term Loan, 7.50%, 08/25/16

    3,296,700         3,263,733   

 

 

 

See accompanying Notes to Schedule of Investments.     1


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments (continued)

September 30, 2012 (unaudited)

 

   

Principal

Amount ($)

    

Value ($)

 
Senior Loans (a) (continued)   

CONSUMER GOODS: NON-DURABLE (continued)

  

Prestige Brands International, Inc.
Term Loan B, 5.25%, 01/31/19

    856,061         867,164   

Spectrum Brands, Inc.
New Term Loan, 5.02%, 06/17/16

    1,633,127         1,643,440   
    

 

 

 
       10,704,459   
    

 

 

 

CONTAINERS, PACKAGING AND GLASS - 4.2%

  

Pelican Products, Inc.
First Lien Term Loan, 7.00%, 07/11/18

    5,985,000         5,966,297   

Reynolds Group Holdings Inc.
Tranche B Term Loan, 4.75%, 09/20/18

    2,639,478         2,653,138   

Tank Holding Corp. (Roto Acquisition Corp.)
Term Loan 1, 5.50%, 07/09/19

    3,593,790         3,602,774   
    

 

 

 
             12,222,209   
    

 

 

 

ENERGY: OIL & GAS - 2.3%

  

Chesapeake Energy Corp.
Term Loan, 8.50%, 12/02/17

    5,462,000         5,485,596   

Samson Investment Co.
Second Lien Initial Term Loan, 6.00%, 09/25/18

    1,273,000         1,282,815   
    

 

 

 
       6,768,411   
    

 

 

 

ENVIRONMENTAL INDUSTRIES - 2.7%

  

Advanced Disposal Services
Term Loan B, 09/25/19 (d)

    2,460,000         2,477,687   

EnergySolutions, LLC (aka Envirocare of Utah, LLC)
Term Loan, 6.25%, 08/15/16

    3,759,521         3,644,404   

Tervita Corp. (Canada)
Series A Term Loan, 6.50%, 11/14/14 (c)

    1,736,875         1,749,910   
    

 

 

 
       7,872,001   
    

 

 

 

HEALTHCARE & PHARMACEUTICALS - 15.6%

  

Aptalis Pharma, Inc.
Term Loan B-1, 5.50%, 02/10/17.

    2,910,190         2,917,465   

Bausch & Lomb, Inc.
Parent Term Loan, 5.25%, 05/17/19

    2,076,795         2,103,191   

Catalent Pharma Solutions, Inc.
Dollar Term-2 Loan, 5.25%, 09/15/17

    2,133,280         2,149,280   

ConvaTec, Inc.
Dollar Term Loan, 12/22/16 (d)

    550,000         553,094   

InVentiv Health, Inc.
Consolidated Term Loan, 6.50%, 08/04/16

    4,421,419         4,288,776   

Term Loan B-3, 6.75%, 05/15/18 (b)

    1,268,938         1,234,042   

Medpace Intermediateco, Inc.
Term B Loan, 6.50%, 06/19/17 (b)

    5,533,947         5,326,424   

MultiPlan, Inc.
Term B Loan, 4.75%, 08/26/17

    2,512,348         2,526,090   

 

   

Principal

Amount ($)

    

Value ($)

 

HEALTHCARE & PHARMACEUTICALS (continued)

  

Onex Carestream Finance LP
Term Loan B, 5.00%, 02/25/17

    4,922,804         4,892,037   

Pharmaceutical Product
Development, Inc.
Term Loan, 6.25%, 12/05/18

    3,488,638         3,527,013   

Physician Oncology Services, LP
Delayed Draw Term Loan,
7.75%, 01/31/17 (b)

    296,044         288,642   

Effective Date Term Loan,
7.75%, 01/31/17 (b)

    2,431,174         2,370,395   

Radnet Management, Inc.
Tranche B Term Loan, 5.75%,
04/06/16

    2,294,721         2,290,419   

Rural/Metro Operating Co. LLC
First Lien Term Loan B, 5.75%,
06/30/18

    2,964,975         2,964,975   

Select Medical Corp.
Tranche B Term Loan, 5.50%,
06/01/18

    3,456,250         3,469,211   

Sheridan Holdings, Inc.
First Lien Initial Term Loan,
6.00%, 06/29/18

    1,624,828         1,641,758   

U.S. Renal Care, Inc.
First Lien Initial Term Loan,
6.25%, 07/03/19 (b)

    997,500         1,012,462   

Second Lien Term Loan,
10.25%, 01/03/20

    818,000         840,495   

Valeant Pharmaceuticals International, Inc.
(Canada)
Tranche B Series C, 09/27/19 (c) (d)

    1,358,800         1,362,537   
    

 

 

 
             45,758,306   
    

 

 

 

HIGH TECH INDUSTRIES - 8.7%

  

Freescale Semiconductor, Inc.
Tranche B-1 Term Loan, 4.48%,
12/01/16

    4,038,421         3,954,301   

Tranche B-2 Term Loan, 6.00%,
02/28/19

    995,000         999,353   

Infor (US), Inc.
Tranche B-2 Term Loan, 5.25%,
04/05/18 (d)

    2,743,125         2,758,432   

NXP B.V. (Netherlands)
Tranche B Loan, 5.25%, 03/19/19 (c)

    2,646,700         2,688,068   

Oberthur Technologies (France)
Term Loan B, 6.25%, 11/30/18 (c)

    3,000,000         2,979,375   

OpenLink International, Inc.
Initial Term Loan, 7.75%, 10/30/17

    2,149,755         2,168,565   

Sophia, L.P.
Initial Term Loan, 6.25%, 07/19/18

    2,731,233         2,768,105   

Sophos (Luxembourg)
Term B Loan, 6.50%, 05/10/19 (c)

    1,909,215         1,921,148   

 

 

 

2  

   See accompanying Notes to Schedule of Investments.


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments (continued)

September 30, 2012 (unaudited)

 

     Principal
Amount ($)
     Value ($)  
Senior Loans (a) (continued)   

HIGH TECH INDUSTRIES (continued)

  

Vision Solutions, Inc.
First Lien Term Loan, 6.00%, 07/23/16 (b)

     5,318,750         5,302,129   
     

 

 

 
        25,539,476   
     

 

 

 

HOTEL, GAMING & LEISURE - 2.6%

  

Boyd Gaming Corp.
Increased Term Loan, 6.00%, 12/17/15

     2,128,088         2,158,242   

Cannery Casino Resorts, LLC
First Lien Term Loan, 09/25/18 (d)

     1,000,000         1,001,250   

Freedom Group
Term B Loan, 5.50%, 04/19/19

     2,852,178         2,879,816   

Peninsula Gaming
Term B Loan, 08/03/17 (d)

     1,586,000         1,612,772   
     

 

 

 
        7,652,080   
     

 

 

 

MEDIA: ADVERTISING, PRINTING & PUBLISHING - 4.4%

  

Acosta, Inc.
Term Loan B, 5.00%, 03/02/18

     896,753         902,923   

Advantage Sales & Marketing, Inc.
First Lien Term Loan, 5.25%, 12/18/17

     2,922,627         2,941,624   

Cengage Learning Acquisitions, Inc. (Thomson Learning)
Tranche B Term Loan (Extended), 5.72%, 07/05/17

     3,437,042         3,145,959   

Getty Images, Inc.
Initial Term Loan, 5.25%, 11/07/16

     2,652,807         2,658,444   

MTL Publishing LLC (EMI Music Publishing Group North America Holdings, Inc.)
Term B Loan, 5.50%, 06/29/18

     1,625,925         1,647,875   

SymphonyIRI Group, Inc.
Term Loan, 5.00%, 12/01/17

     1,481,250         1,484,027   
     

 

 

 
              12,780,852   
     

 

 

 

MEDIA: BROADCASTING & SUBSCRIPTION - 11.0%

  

Clear Channel Communications, Inc.
Tranche B Term Loan, 3.87%, 01/29/16

     5,076,458         4,166,198   

Crown Media Holdings, Inc.
Term Loan, 5.75%, 07/14/18 (b)

     1,717,917         1,726,506   

Encompass Digital Media, Inc.
Tranche B Term Loan, 8.00%, 08/10/17 (b)

     321,113         322,719   

Entercom Communications Corp.
Term B Loan, 6.25%, 11/23/18

     1,979,600         2,005,582   

Granite Broadcasting Corp.
First Lien Tranche B Term Loan, 8.50%, 05/23/18 (b)

     3,443,530         3,460,748   

Intelsat Jackson Holdings S.A. (Luxembourg)
Term Loan B, 04/02/18 (c) (d)

     419,440         421,405   

Tranche B Term Loan, 5.25%, 04/02/18 (c)

     4,937,500         4,955,522   

 

     Principal
Amount ($)
     Value ($)  

MEDIA: BROADCASTING & SUBSCRIPTION (continued)

  

SNL Financial LC
Term Loan, 8.50%, 08/17/18 (b)

     1,900,000         1,900,000   

Univision Communications, Inc.
Extended First Lien Term Loan, 4.47%, 03/31/17

     4,735,630         4,688,273   

WideOpenWest Finance, LLC
Term Loan, 6.25%, 07/17/18

     5,262,589         5,317,530   

Yankee Cable Acquisition, LLC
Term Loan B, 5.25%, 08/26/16

     3,074,834         3,086,842   
     

 

 

 
              32,051,325   
     

 

 

 

MEDIA: DIVERSIFIED & PRODUCTION - 1.1%

  

Technicolor S.A. (France)
Term A2 Facility, 7.00%, 05/26/16 (c)

     921,741         904,951   

Term B2 Facility, 8.00%, 05/26/17 (c)

     2,462,101         2,417,254   
     

 

 

 
        3,322,205   
     

 

 

 

METALS & MINING - 0.4%

  

Summit Materials, LLC
Term Loan, 6.00%, 01/30/19

     1,068,630         1,077,756   
     

 

 

 

RETAIL - 13.2%

  

99 Cents Only Stores
Tranche B-1 Term Loan, 5.25%, 01/11/19

     3,880,500         3,927,396   

Bass Pro Group, LLC
Term Loan, 5.25%, 06/13/17

     4,173,531         4,230,395   

Burlington Coat Factory Warehouse Corp.
Term B-1 Loan, 5.50%, 02/23/17.

     7,995,159         8,096,338   

Gymboree Corp. (The)
Term Loan 2011, 5.00%, 02/23/18

     3,758,875         3,674,300   

HMK Intermediate Holdings LLC
Term Loan, 7.25%, 03/30/19 (b)

     1,144,250         1,148,541   

J. Crew Group, Inc.
Term Loan, 4.75%, 03/07/18

     4,937,500         4,933,970   

Jo-Ann Stores, Inc.
Term Loan, 4.75%, 03/16/18

     2,278,863         2,288,548   

Oriental Trading Co., Inc.
Term Loan, 7.00%, 02/11/17

     4,172,537         4,189,499   

Savers, Inc.
Term Loan B, 6.25%, 07/09/19

     3,550,103         3,587,272   

Yankee Candle Co., Inc. (The)
Initial Term Loan, 5.25%, 04/02/19

     2,606,900         2,635,902   
     

 

 

 
        38,712,161   
     

 

 

 

SERVICES: BUSINESS - 13.0%

  

BakerCorp International, Inc.
Term Loan, 5.00%, 06/01/18

     2,376,000         2,386,609   

Brock Holdings III, Inc.
First Lien Term Loan, 6.01%, 03/16/17

     2,150,074         2,161,501   

Second Lien Initial Term Loan, 10.00%, 03/16/18 (b)

     6,250,000         6,312,500   

Endurance Business Media, Inc.
Term Loan, 7.75%, 04/20/18

     3,513,527         3,534,749   

 

 

 

See accompanying Notes to Schedule of Investments.     3


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments (continued)

September 30, 2012 (unaudited)

 

     Principal
Amount ($)
     Value ($)  
Senior Loans (a) (continued)      

SERVICES: BUSINESS (continued)

  

Global Cash Access, Inc.
Term Loan, 7.00%, 03/01/16

     1,807,143         1,819,946   

HD Supply, Inc.
Term Loan B, 7.25%, 10/12/17

     2,819,000         2,916,960   

Infogroup, Inc.
Term B Loan, 5.75%, 05/26/18 (b)

     1,835,095         1,651,585   

MedAssets, Inc.
Term Loan, 5.25%, 11/16/16

     1,721,828         1,735,603   

Sabre, Inc.
Incremental Term Loan, 7.25%, 12/29/17

     2,824,000         2,850,475   

SMG
First Lien Term Loan, 5.50%,
06/07/18

     1,556,000         1,562,481   

Second Lien Term Loan,
10.75%, 12/07/18 (b)

     1,000,000         1,010,000   

SS&C Technologies Holdings
Europe S.A.R.L.
Funded Term B-1 Loan, 5.00%, 06/07/19

     3,430,776         3,470,093   

Funded Term B-2 Loan, 5.00%,
06/07/19

     354,908         358,975   

Travelport LLC
Term Loan, 11.00%, 11/22/15

     1,486,000         1,518,320   

U.S. Foods, Inc.
(aka U.S. Foodservice, Inc.)
Term Loan (2011), 5.75%, 03/31/17

     4,925,000         4,876,612   
     

 

 

 
              38,166,409   
     

 

 

 

SERVICES: CONSUMER - 2.0%

  

Barbri, Inc. (Gemini Holdings, Inc.)
Term Loan, 6.00%, 06/19/17

     3,485,000         3,493,712   

Landry’s, Inc.
Term Loan B, 6.50%, 04/24/18

     2,269,595         2,308,371   
     

 

 

 
        5,802,083   
     

 

 

 

TELECOMMUNICATIONS - 11.5%

  

Avaya, Inc.
Term B-3 Loan, 4.93%, 10/26/17.

     8,252,069         7,555,264   

Global Tel*Link Corp.
Replacement Term Loan, 6.00%,
12/14/17

     3,703,937         3,719,679   

Integra Telecom Holdings, Inc.
Term Loan, 9.25%, 04/15/15

     1,974,747         1,972,279   

Level 3 Financing, Inc.
Tranche B 2016 Term Loan, 4.75%,
02/01/16

     2,151,000         2,174,532   

Tranche B III Term Loan, 5.75%,
09/01/18

     1,353,174         1,356,834   

Securus Technologies Holdings, Inc.
First Lien Tranche 1 Term Loan, 6.50%,
05/31/17

     1,994,949         1,994,959   

First Lien Tranche 2 Term Loan,
6.50%, 05/31/17

     1,769,110         1,766,899   

Sidera Networks, Inc.
Term Loan, 6.00%, 08/26/16

     4,925,000         4,900,375   
     Principal
Amount ($)
     Value ($)  

TELECOMMUNICATIONS (continued)

  

U.S. TelePacific Corp.
Term Loan, 5.75%, 02/23/17

     4,932,732         4,846,409   

Zayo Group, LLC (Zayo Capital, Inc.)
Term Loan, 7.13%, 07/02/19

     3,228,908         3,266,589   
     

 

 

 
        33,553,819   
     

 

 

 

TRANSPORTATION: CARGO - 1.3%

  

YRCW Receivables LLC
Term B Loan, 11.25%,
09/30/14

     3,712,500         3,677,714   
     

 

 

 

TRANSPORTATION: CONSUMER - 0.4%

  

AWAS Finance (Luxembourg)
Term Loan B, 5.75%,
07/16/18 (c)

     1,179,000         1,187,842   
     

 

 

 

UTILITIES: ELECTRIC - 1.9%

  

GenOn Energy, Inc.
Term Loan, 6.00%, 12/04/17

     4,410,744         4,453,021   

Panda Sherman Power, LLC
Construction Term Loan
Advances, 9.00%, 02/01/15

     1,200,000         1,206,000   
     

 

 

 
        5,659,021   
     

 

 

 

Total Senior Loans
(Cost $374,578,258)

              376,524,309   
     

 

 

 
Corporate Notes and Bonds - 17.5%   

HEALTHCARE & PHARMACEUTICALS - 2.1%

  

Catalent Pharma Solutions, Inc.
7.88%, 10/15/18 (e)

     3,000,000         3,052,500   

Rural/Metro Operating Co. LLC
10.13%, 07/15/19 (e)

     3,000,000         3,007,500   
     

 

 

 
        6,060,000   
     

 

 

 

HOTEL, GAMING & LEISURE - 2.3%

  

Diamond Resorts Corp.
12.00%, 08/15/18

     2,600,000         2,814,500   

Palace Entertainment Holdings,
LLC / Palace Entertainment
Holdings Corp.
8.88%, 04/15/17 (e)

     3,750,000         3,984,375   
     

 

 

 
        6,798,875   
     

 

 

 

MEDIA: ADVERTISING, PRINTING & PUBLISHING - 2.5%

  

Cengage Learning Acquisitions, Inc.
(Thomson Learning)
12.00%, 06/30/19 (e)

     4,805,000         4,468,650   

Reader’s Digest Association, Inc.
(The)
9.50%, 02/15/17 (f)

     5,021,000         2,861,970   
     

 

 

 
        7,330,620   
     

 

 

 

MEDIA: BROADCASTING & SUBSCRIPTION - 1.4%

  

Clear Channel Communications, Inc.
9.00%, 03/01/21

     2,500,000         2,237,500   

Nara Cable Funding, Ltd. (Ireland)
8.88%, 12/01/18 (c) (e)

     1,973,000         1,780,632   
     

 

 

 
        4,018,132   
     

 

 

 
 

 

4  

   See accompanying Notes to Schedule of Investments.


Apollo Senior Floating Rate Fund Inc.

Schedule of Investments (continued)

September 30, 2012 (unaudited)

 

     Principal
Amount ($)
     Value ($)  
Corporate Notes and Bonds (continued)   

METALS & MINING - 0.6%

  

Global Brass and Copper, Inc.
9.50%, 06/01/19 (e)

     1,714,000         1,868,260   
     

 

 

 

SERVICES: BUSINESS - 6.3%

  

First Data Corp.
12.63%, 01/15/21

     10,000,000         10,412,500   

Travelport, LLC
9.88%, 09/01/14

     10,000,000         8,050,000   
     

 

 

 
        18,462,500   
     

 

 

 

UTILITIES: ELECTRIC - 2.3%

  

Texas Competitive Electric Holdings Co., LLC (TCEH Finance, Inc.) 11.50%, 10/01/20 (e)

     8,500,000         6,693,750   
     

 

 

 

Total Corporate Notes and Bonds
(Cost $57,552,374)

        51,232,137   
     

 

 

 

Total Investments - 146.2%
(Cost of $432,130,632) (g)

        427,756,446   

Other Assets & Liabilities,
Net - 6.2%

              18,191,552   

Loan Outstanding - (41.9)%

        (122,704,615

Series A Preferred
Shares - (10.5)%

        (30,680,000
     

 

 

 

Net Assets (Applicable to Common Shares) - 100.0%

        292,563,383   
     

 

 

 
 

 

(a) “Senior Loans” are senior, secured loans made to companies whose debt is rated below investment grade and investments with similar characteristics. Senior Loans generally hold a first lien interest and typically pay interest at rates which are periodically determined by reference to a floating base lending rate plus a spread. Unless otherwise identified, all Senior Loans carry a variable rate of interest. These base lending rates are generally (i) the lending rate offered by one or more European banks such as the London Interbank Offered Rate, (ii) the prime rate offered by one or more major United States banks and/or (iii) the certificate of deposit rate used by commercial lenders. The rate shown represents the weighted average rate at September 30, 2012. Senior Loans are generally not registered under the Securities Act of 1933 (the “1933 Act”) and often contain 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 shown.
(b) Fair Value Level 3 security. All remaining securities are denoted as Level 2.
(c) Foreign issuer traded in U.S. dollars.
(d) All or a portion of this position has not settled. Full contract rates do not take effect until settlement date.
(e) Securities exempt from registration under Rule 144A under the 1933 Act. These securities may only be resold in transactions exempt from registration to qualified institutional buyers. At September 30, 2012, these securities amounted to $24,855,667 or 8.5% of net assets.
(f) Floating rate asset. The interest rate shown reflects the rate in effect at September 30, 2012.
(g) Cost for U.S. federal income tax purposes is $432,088,079. Unrealized appreciation and depreciation on investments are as follows:

 

Gross unrealized appreciation

   $ 5,465,211         

Gross unrealized depreciation

     (9,796,844      
  

 

 

       

Net unrealized depreciation

   $ (4,331,633      
  

 

 

       

 

See accompanying Notes to Schedule of Investments.     5


Apollo Senior Floating Rate Fund Inc.

Notes to Schedule of Investments

As of September 30, 2012 (unaudited)

 

Security Valuation

Apollo Senior Floating Rate Fund Inc. (the “Fund”) values its investments primarily using the mean between the bid and ask prices determined by a nationally recognized security pricing service. Securities and assets for which market quotations are not readily available or for which the valuations provided by the primary pricing sources are believed to be unreliable are valued at fair value pursuant to procedures adopted by the Fund’s board of directors (the “Board”). In general, the fair value of a security is the amount that the Fund might reasonably expect to receive upon the sale of an asset or pay to transfer a liability in an orderly transaction between willing market participants at the reporting date. Market quotations may be deemed not to represent fair value in certain circumstances where Apollo Credit Management, LLC, the investment adviser, reasonably believes that facts and circumstances applicable to an issuer, a seller or purchaser or the market for a particular security causes current market quotes not to reflect the fair value of the security. Examples of these events could include situations in which material events are announced after the close of the market on which a security is primarily traded, when a security trades infrequently causing a quoted purchase or sale price to become stale, or in the event of a “fire sale” by a distressed seller.

Bank loans are priced based on valuations provided by an approved independent, third-party pricing agent or broker, if available. If a price is not available from an independent, third-party pricing agent or broker, or if the price provided by the independent third-party pricing agent or broker is believed to be unreliable, the security will be fair valued pursuant to procedures adopted by the Board. These procedures can, but are not obligated to, 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, (iv) whether any dealer quotations for the security are available and considered reliable and (v) press releases and other information published about the issuer. In these cases, the Fund’s net asset value (“NAV”) will reflect the affected portfolio securities’ fair value as determined in the judgment of the Board or its designee instead of being determined by the market. Using a fair value pricing methodology to value securities may result in a value that is different from a security’s most recent sale price and from the prices used by other investment companies to calculate their NAV. Determination of fair value is uncertain because it involves subjective judgments and estimates.

There can be no assurance that the Fund’s valuation of a security will not differ from the amount that it realizes upon the sale of such security.

Fair Value Measurements:

The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. The levels of fair value inputs used to measure the Fund’s investments are characterized into a fair value hierarchy. The three levels of the fair value hierarchy are described below:

Level 1 — Quoted unadjusted prices for identical instruments in active markets to which the Fund has access at the date of measurement;

Level 2 — Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active, but are valued based on executed trades, broker quotations that constitute an executable price, and alternative pricing sources supported by observable inputs which, in each case, are either directly or indirectly observable for the asset in connection with market data at the measurement date; and

Level 3 — Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. In certain cases, investments classified within Level 3 may include securities for which the Fund has obtained indicative quotes from broker-dealers that do not necessarily represent prices the broker may be willing to trade on, as such quotes can be subject to material management judgment. Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.

At the end of each reporting period, management evaluates the Level 2 and Level 3 assets, if any, for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market.

 

6  

  


Apollo Senior Floating Rate Fund Inc.

Notes to Schedule of Investments (continued)

As of September 30, 2012 (unaudited)

 

The valuation techniques used by the Fund to measure fair value at September 30, 2012 maximized the use of observable inputs and minimized the use of unobservable inputs. All investments at September 30, 2012 were valued using prices provided by an approved third party pricing service and/or broker quotes. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out of the levels are recognized at the value at the end of the period. A summary of the levels of the Fund’s investment securities as of September 30, 2012 are as follows:

 

Investments in Securities:

   Total Value
at
September 30,
2012
     Level  1
Quoted
Price
     Level 2
Significant
Observable
Inputs
     Level 3
Significant
Unobservable
Inputs
 

Senior Loans

   $ 376,524,309       $       $ 337,567,696       $ 38,956,613   

Corporate Notes and Bonds

     51,232,137                 51,232,137         —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

   $ 427,756,446       $       $ 388,799,833       $ 38,956,613   
  

 

 

    

 

 

    

 

 

    

 

 

 

The Fund did not have any liabilities that were measured at fair value at September 30, 2012. The following is a reconciliation of Level 3 holdings for which significant unobservable inputs were used in determining fair value as of September 30, 2012.

 

     

Total

Fair Value

    US Senior Loans     Corporate Notes
&  Bonds
 

Fair Value, beginning of period

   $ 43,639,117      $ 40,796,617      $ 2,842,500   

Purchases

                     

Sales

     (18,463,401     (18,463,401       

Accrued discounts/premiums

     35,036        35,036          

Total net realized loss

     (25,027     (25,027       

Total net unrealized gains

     541,733        376,733        165,000   

Transfers into Level 3

     22,170,148        22,170,148          

Transfers out of Level 3

     (8,940,993     (5,933,493     (3,007,500
  

 

 

   

 

 

   

 

 

 

Fair Value, end of period

   $ 38,956,613      $ 38,956,613      $   
  

 

 

   

 

 

   

 

 

 

Investments were transferred out of and into Level 3 and into/from Level 2 due to changes in the quantity and quality of information obtained to support the fair value of each investment as assessed by Apollo Credit Management, LLC and its affiliates. Net change in unrealized gains (losses) attributable to Level 3 investments still held at September 30, 2012 was $119,251.

For more information with regard to significant accounting policies, see the Fund’s most recent semi-annual report filed with the Securities and Exchange Commission.

 

    7


Item 2. Controls and Procedures.

 

  (a)  

The Fund’s principal executive and principal financial officers have concluded that the Fund’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)), are effective, as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

  (b)  

There were no changes in the Fund’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Fund’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

Item 3. Exhibits.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act are 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 Senior Floating Rate Fund Inc.

 

By (Signature and Title)

 

/s/ Joseph Moroney

 

Joseph Moroney, President

 

(principal executive officer)

 

Date

 

November 20, 2012

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

 

November 20, 2012

 

By (Signature and Title)

 

/s/ Jodi Sarsfield

 

Jodi Sarsfield, Treasurer and Chief Financial Officer

 

(principal financial officer)

 

Date

 

November 20, 2012