Apollo Tactical Income Fund Inc.

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)

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

Date of fiscal year end: December 31

Date of reporting period: March 31, 2018


Item 1. Schedule of Investments.

The Schedule of Investments is attached herewith.


Apollo Tactical Income Fund Inc.

Schedule of Investments

March 31, 2018 (unaudited)

 

    

Principal

Amount  ($)

 

Value ($)

 
            

Senior Loans - 123.6%(a)

    

AEROSPACE & DEFENSE - 2.6%

    

MRO Holdings, Inc.

    

Initial Term Loan, (LIBOR + 5.25%, 1.00% Floor), 7.55%, 10/25/23(b)

     598,500       605,981  

PAE Holding Corp.

    

First Lien Initial Term Loan, (LIBOR + 5.50%, 1.00% Floor), 7.49%, 10/20/22(b)

     1,916,940       1,931,318  

Second Lien Initial Term Loan, (LIBOR + 9.50%, 1.00% Floor), 11.49%, 10/20/23(b)

     1,404,834       1,416,543  

Photonis Technologies SAS (France)

    

First Lien Initial Dollar Term Loan, (LIBOR + 7.50%, 1.00% Floor), 9.80%, 09/18/19(b)(c)(d)

     2,856,480                2,540,839  
               6,494,681  

AUTOMOTIVE - 3.2%

    

AP Exhaust Acquisition, LLC

    

First Lien Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.81%, 05/10/24(b)

     5,317,799       5,327,770  

CH Hold Corp.

    

Second Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 9.13%, 02/03/25(b)

     500,000       508,750  

Innovative XCessories & Services, LLC

    

Term Loan, (LIBOR + 4.75%, 1.00% Floor), 6.58%, 11/29/22(b)

     2,237,326               2,259,699  
               8,096,219  

BANKING, FINANCE, INSURANCE & REAL ESTATE - 5.0%

 

Asurion, LLC

    

Second Lien Replacement Term Loan B-2, (LIBOR + 6.00%, 0.00% Floor), 7.88%, 08/04/25(b)

     1,017,647       1,047,159  

CRCI Holdings, Inc.

    

Initial Term Loan, (LIBOR + 5.50%, 1.00% Floor), 8.17%, 08/31/23(b)

     2,086,480       2,097,789  

Mayfield Agency Borrower, Inc.

    

First Lien Term Loan B, (LIBOR + 4.50%, 0.00% Floor), 6.38%, 02/28/25(b)(d)

     2,398,239       2,419,224  

Medical Card System, Inc.

    

Term Loan, (LIBOR + 0.50%, 1.00% Floor), 1.50%, 05/31/19(b)(e)

     4,913,829       4,181,882  

Mitchell International, Inc.

    

Second Lien Initial Term Loan, (LIBOR + 7.25%, 0.00% Floor), 9.14%, 12/01/25(b)

     1,636,979       1,650,484  

SG Acquisition, Inc.

    

Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 7.30%, 03/29/24(b)

     1,297,637       1,304,125  

    

    

    

 

    

Principal

Amount  ($)

 

Value ($)

   
              

BANKING, FINANCE, INSURANCE & REAL ESTATE (continued)

 

SquareTwo Financial Corp.

      

Closing Date Term Loan, (LIBOR +10.00%, 1.00% Floor), 11.00%, 05/24/19(b)(e)(f)(g)

     1,003,755    

35,729

 
    

        12,736,392

 

BEVERAGE, FOOD & TOBACCO - 2.4%

 

   

The Chef’s Warehouse, Inc.

      

Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.88%, 06/22/22(b)

     1,073,550     1,083,615  

PFS Holding Corp.

      

First Lien Term Loan, (LIBOR + 3.50%, 1.00% Floor), 5.38%, 01/31/21(b)

     1,193,058      814,262  

Winebow Holdings, Inc. (The Vintner Group, Inc.)

      

First Lien Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.63%, 07/01/21(b)

     1,878,864     1,847,159  

Second Lien Term Loan, (LIBOR + 7.50%, 1.00% Floor), 9.38%, 01/02/22(b)(e)

     2,505,795    

2,342,918

 
    

6,087,954

 

CAPITAL EQUIPMENT - 0.3%

 

   

Swordfish Merger Sub, LLC

      

Second Lien Initial Term Loan, (LIBOR + 6.75%, 1.00% Floor), 8.53%, 02/02/26(b)

     807,692    

822,331

 

CHEMICALS, PLASTICS & RUBBER - 2.3%

 

   

Archroma Finance S.A.R.L (Luxembourg)

      

Facility B-2, (LIBOR + 4.25%, 0.00% Floor), 5.97%, 08/12/24(b)(c)

     2,116,588     2,104,026  

PetroChoice Holdings, Inc.

      

First Lien Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.79%, 08/19/22(b)

     989,662     999,559  

Vantage Specialty Chemicals, Inc.

      

First Lien Closing Date Term Loan, (LIBOR + 4.00%, 1.00% Floor), 6.30%, 10/28/24(b)

     1,603,125     1,619,822  

Second Lien Initial Loan, (LIBOR + 8.25%, 1.00% Floor), 10.02%, 10/27/25(b)

     1,000,000    

1,005,000

 
    

5,728,407

 

CONSTRUCTION & BUILDING - 4.2%

 

Associated Asphalt Partners, LLC

      

Tranche B Term Loan, (LIBOR + 5.25%, 1.00% Floor), 7.13%, 04/05/24(b)

     2,177,897     2,099,852  

Henry Company, LLC

      

Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.88%, 10/05/23(b)

     1,257,779     1,277,041  
 

 

See accompanying Notes to Schedule of Investments.  |  1


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

March 31, 2018 (unaudited)

 

    

Principal

Amount  ($)

 

Value ($)

 
            

Senior Loans(a) (continued)

 

 

CONSTRUCTION & BUILDING (continued)

 

 

KBR, Inc.

    

Term Loan B, (LIBOR + 3.75%, 0.00% Floor), 3.75%,
03/28/25(b)(d)

     4,439,678       4,436,903  

Morsco, Inc.

    

Initial Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.88%, 10/31/23(b)

     949,367       966,574  

Terra Millenium Corp.

    

First Out Term Loan, (LIBOR + 6.25%, 1.00% Floor), 8.19%, 10/31/22(b)(e)

     1,937,500        1,952,031  
               10,732,401  

CONSUMER GOODS: DURABLE - 0.7%

 

 

PT Holdings, LLC

    

First Lien Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 6.30%, 12/09/24(b)

     997,500       1,009,969  

Second Lien Initial Loan, (LIBOR + 8.00%, 1.00% Floor), 10.30%, 12/08/25(b)(e)

     625,000       634,375  
       1,644,344  

CONSUMER GOODS: NON-DURABLE - 4.0%

 

ABG Intermediate Holdings 2, LLC

    

First Lien Initial Term Loan, (LIBOR + 3.50%, 1.00% Floor), 5.80%, 09/27/24(b)

     2,454,163       2,467,452  

Second Lien Initial Term Loan, (LIBOR + 7.75%, 1.00% Floor), 10.05%, 09/29/25(b)

     507,286       515,529  

LTI Holdings, Inc.

    

First Lien Initial Term Loan, (LIBOR + 4.75%, 1.00% Floor), 6.63%, 05/16/24(b)

     4,027,519       4,050,174  

First Lien Second Amendment Incremental Term Loan, (LIBOR + 3.50%, 1.00% Floor), 5.38%, 05/16/24(b)

     1,231,167       1,235,784  

Parfums Holding Co., Inc.

    

First Lien Initial Term Loan, (LIBOR + 4.75%, 1.00% Floor), 7.05%, 06/30/24(b)

     1,759,075       1,783,262  
       10,052,201  

CONTAINERS, PACKAGING & GLASS - 3.8%

 

Anchor Glass Container Corp.

    

July 2017 Additional Term Loan, (LIBOR + 2.75%, 1.00% Floor), 4.63%, 12/07/23(b)(d)

     2,242,691       2,182,778  

Second Lien Term Loan, (LIBOR + 7.75%, 1.00% Floor), 9.49%, 12/07/24(b)

     1,083,333       1,049,024  

Hoover Group, Inc.

    

First Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 9.15%, 01/28/21(b)(e)

     753,966       678,569  
    

Principal

Amount  ($)

 

Value ($)

   
              

CONTAINERS, PACKAGING & GLASS (continued)

 

SMI Acquisition, Inc.

      

First Lien Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.52%,
11/01/24(b)

     1,047,375     1,055,230  

Sprint Industrial Holdings, LLC

      

First Lien Term Loan, (LIBOR + 5.75%, 1.25% Floor), 8.05%,
05/14/19(b)

     4,847,303    

4,574,642

 
    

9,540,243

 

ENERGY: OIL & GAS - 0.5%

 

Ascent Resources - Marcellus, LLC

      

Exit Term Loan, (Prime + 5.50%, 1.00% Floor), 10.25%, 03/30/23(b)

     230,586      230,586  

Azure Midstream Energy, LLC

      

Term Loan, (LIBOR + 6.50%, 1.00% Floor), 8.38%, 11/15/18(b)

     402,376     395,000  

HGIM Corp.

      

Senior Secured Term Loan A, (Prime + 3.25%, 1.00% Floor), 8.00%,
06/18/18(b)(g)(h)

     398,725     174,442  

Sheridan Investment

      

Partners I, LLC

      

Deferred Principal Facility I,
10/01/19(e)(g)

     4,749     2,850  

Tranche B-2 Term Loan, (LIBOR + 3.50%, 0.75% Floor), 5.53%,
10/01/19(b)

     441,873     375,225  

Sheridan Production

      

Partners I-A, L.P.

      

Deferred Principal Facility I-A,
10/01/19(e)(g)

     629     378  

Tranche B-2 Term Loan, (LIBOR + 3.50%, 0.75% Floor), 5.53%,
10/01/19(b)

     58,552     49,720  

Sheridan Production

      

Partners I-M, L.P.

      

Deferred Principal Facility I-M,
10/01/19(e)(g)

     384     231  

Tranche B-2 Term Loan, (LIBOR + 3.50%, 0.75% Floor), 5.53%, 10/01/19(b)

     35,763     30,369  

Southcross Holdings Borrower, LP

      

Tranche B Term Loan (5.50% PIK), 9.00%, 04/13/23(i)(j)

     126,789    

125,521

 
    

        1,384,322

 

ENVIRONMENTAL INDUSTRIES - 1.2%

 

Emerald 2, Ltd. (United Kingdom)

      

Facility B-1, (LIBOR + 4.00%, 1.00% Floor), 6.45%, 05/14/21(b)(c)

     3,091,110    

3,093,057

 

HEALTHCARE & PHARMACEUTICALS - 23.2%

 

Amneal Pharmaceuticals, LLC

      

First Lien Term Loan B, (LIBOR + 3.50%, 0.00% Floor), 3.50%,
03/21/25(b)(d)

     2,017,845     2,021,628  
 

 

2      See accompanying Notes to Schedule of Investments.


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

March 31, 2018 (unaudited)

 

    

Principal

Amount  ($)

 

Value ($)

 
            

Senior Loans(a) (continued)

 

HEALTHCARE & PHARMACEUTICALS (continued)

 

Argon Medical Devices Holdings, Inc.

    

First Lien Initial Term Loan, (LIBOR + 3.75%, 0.00% Floor), 6.05%,
01/23/25(b)

     1,563,830       1,574,581  

BioClinica Holding I, LP

    

First Lien Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 6.00%,
10/20/23(b)

     2,212,223        2,167,979  

Community Health Systems, Inc.

    

Incremental 2021 Term Loan H, (LIBOR + 3.00%, 1.00% Floor), 5.23%,
01/27/21(b)(d)

     6,067,726       5,844,828  

CT Technologies Intermediate Hldgs, Inc.

    

Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 6.13%, 12/01/21(b)

     3,978,014       3,971,390  

Diplomat Pharmacy, Inc.

    

Initial Term Loan B, (LIBOR + 4.50%, 1.00% Floor), 6.38%, 12/20/24(b)

     741,847       749,730  

Endo Luxembourg Finance I Co. S.A.R.L

    

Initial Term Loan, (LIBOR + 4.25%, 0.75% Floor), 6.19%, 04/29/24(b)(d)

     4,071,805       4,070,950  

Hanger, Inc.

    

Term Loan B, (LIBOR + 3.50%, 0.00% Floor), 5.38%, 03/06/25(b)(d)(e)

     1,932,648       1,939,895  

Lanai Holdings II, Inc.

    

First Lien Initial Term Loan, (LIBOR + 4.75%, 1.00% Floor), 6.54%,
08/29/22(b)

     3,687,726       3,586,313  

Lanai Holdings III, Inc.

    

Second Lien Initial Term Loan, (LIBOR + 8.50%, 1.00% Floor), 10.29%, 08/28/23(b)

     869,565       834,782  

Lantheus Medical Imaging, Inc.

    

New Term Loan B 2017, (LIBOR + 3.75%, 1.00% Floor), 5.63%,
06/30/22(b)

     1,040,846       1,048,866  

Medical Solutions Holdings, Inc.

    

First Lien Closing Date Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.63%, 06/14/24(b)(d)

     6,116,375       6,143,165  

Second Lien Closing Date Loan, (LIBOR + 8.25%, 1.00% Floor), 10.13%, 06/16/25(b)

     2,000,000       2,005,000  

MModal, Inc.

    

Term Loan B, (LIBOR + 4.75%, 1.00% Floor), 6.52%, 02/13/23(b)

     2,035,714       2,023,836  

NMSC Holdings, Inc.

    

Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 7.45%, 04/19/23(b)

     561,524       558,015  
    

Principal

Amount  ($)

 

Value ($)

   
              

HEALTHCARE & PHARMACEUTICALS (continued)

 

Onex TSG Intermediate Corp.

      

First Lien Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.88%, 07/29/22(b)(d)

     2,725,619     2,659,182  

Opal Acquisition, Inc.

      

Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 6.03%, 11/27/20(b)(d)

     5,639,730      5,400,042  

PharMerica Corp.

      

First Lien Initial Term Loan, (LIBOR + 3.50%, 0.00% Floor), 5.21%, 12/06/24(b)

     1,732,523     1,741,549  

Quorum Health Corp.

      

Term Loan, (LIBOR + 6.75%, 1.00% Floor), 8.63%, 04/29/22(b)

     2,658,042     2,720,134  

Team Health Holdings, Inc.

      

Initial Term Loan, (LIBOR + 2.75%, 1.00% Floor), 4.63%, 02/06/24(b)(d)

     3,989,924     3,825,340  

U.S. Renal Care, Inc.

      

First Lien Initial Term Loan, (LIBOR + 4.25%, 1.00% Floor), 6.55%, 12/30/22(b)

     3,966,652    

3,989,778

 
    

        58,876,983

 

HIGH TECH INDUSTRIES - 14.8%

 

Aptean, Inc.

      

Term Loan B, (LIBOR + 4.25%, 1.00% Floor), 6.56%, 12/20/22(b)

     2,139,700     2,146,836  

Aspect Software, Inc.

      

First Lien Exit Term Loan, (LIBOR + 10.50%, 1.00% Floor), 12.38%, 05/25/20(b)

     1,558,338     1,557,855  

DigiCert Holding, Inc.

      

First Lien Term Loan, (LIBOR + 4.75%, 1.00% Floor), 6.52%, 10/31/24(b)

     1,895,411     1,919,303  

Second Lien Term Loan, (LIBOR + 8.00%, 1.00% Floor), 9.77%, 10/31/25(b)

     1,514,727     1,532,002  

Flexera Software, LLC

      

First Lien Initial Term Loan, (LIBOR + 3.25%, 1.00% Floor), 5.13%, 02/26/25(b)

     1,562,701     1,574,101  

Second Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 9.13%, 02/26/26(b)

     692,308     699,231  

Gigamon, Inc.

      

First Lien Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 6.80%, 12/27/24(b)

     1,709,999     1,727,099  

HS Purchaser, LLC

      

First Lien Term Loan, (LIBOR + 3.75%, 0.00% Floor), 6.05%, 03/29/25(b)(d)

     1,506,928     1,510,695  

Ivanti Software, Inc.

      

First Lien Term Loan, (LIBOR + 4.25%, 1.00% Floor), 6.13%, 01/20/24(b)(d)

     4,988,095     4,916,391  
 

 

See accompanying Notes to Schedule of Investments.  |  3


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

March 31, 2018 (unaudited)

 

    

Principal

Amount  ($)

 

Value ($)

 
            

Senior Loans(a) (continued)

 

HIGH TECH INDUSTRIES (continued)

 

MA FinanceCo., LLC

    

Tranche B-3 Term Loan, (LIBOR + 2.75%, 0.00% Floor), 4.63%, 06/21/24(b)(d)

     257,956       255,659  

Ocean Bidco, Inc.

    

First Lien Term Loan B, (LIBOR + 5.00%, 1.00% Floor), 7.22%, 03/21/25(b)(d)

     1,101,311        1,106,361  

Riverbed Technology, Inc.

    

First Amendment Term Loan, (LIBOR + 3.25%, 1.00% Floor), 5.13%, 04/24/22(b)

     3,979,953       3,971,018  

Seattle SpinCo, Inc.

    

Initial Term Loan, (LIBOR + 2.75%, 0.00% Floor), 4.63%, 06/21/24(b)(d)

     1,742,044       1,726,531  

SolarWinds Holdings, Inc.

    

2018 Refinancing Term Loan, (LIBOR + 3.00%, 0.00% Floor), 4.88%, 02/05/24(b)(d)

     4,273,901       4,297,942  

Syncsort, Inc.

    

First Lien Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 7.30%, 08/16/24(b)

     2,992,481       3,005,573  

Second Lien Initial Term Loan,

    

(LIBOR + 9.00%, 1.00% Floor), 11.30%, 08/18/25(b)

     2,000,000       1,969,380  

Triple Point Group Holdings, Inc.

    

First Lien Term Loan, (LIBOR + 4.25%, 1.00% Floor), 6.55%, 07/10/20(b)

     3,958,163       3,593,279  
               37,509,256  

HOTEL, GAMING & LEISURE - 1.5%

 

Mohegan Tribal Gaming Authority

    

Term Loan A, (LIBOR + 3.75%, 0.00% Floor), 5.63%, 10/13/21(b)

     1,893,366       1,895,733  

Seaworld Parks & Entertainment, Inc.

    

Term Loan B-2, (LIBOR + 2.25%, 0.75% Floor), 4.55%,
05/14/20(b)(d)

     1,987,619       1,983,684  
       3,879,417  

MEDIA: ADVERTISING, PRINTING & PUBLISHING - 3.0%

 

Acosta, Inc.

    

Tranche B-1 Loan, (LIBOR + 3.25%, 1.00% Floor), 5.13%, 09/26/21(b)

     3,000,000       2,524,035  
    

Principal

Amount  ($)

 

Value ($)

   
              

MEDIA: ADVERTISING, PRINTING & PUBLISHING (continued)

 

Advantage Sales & Marketing, Inc.

      

First Lien Initial Term Loan, (LIBOR + 3.25%, 1.00% Floor), 5.02%, 07/23/21(b)

     2,989,677     2,935,220  

Incremental Term Loan B-2, (LIBOR + 3.25%, 1.00% Floor), 5.02%, 07/23/21(b)(d)

     515,708      506,314  

Second Lien Term Loan, (LIBOR + 6.50%, 1.00% Floor), 8.27%, 07/25/22(b)

     1,000,000     963,215  

F & W Media, Inc.

      

Term Loan B-1 (8.38% PIK), (LIBOR + 6.50%, 1.50% Floor), 8.38%, 05/24/22(b)(e)(j)

     348,572     348,572  

Term Loan B-2 (11.88% PIK), (LIBOR + 10.00%, 1.50% Floor), 11.88%, 05/24/22(b)(e)(j)

     858,143    

321,191

 
    

        7,598,547

 

MEDIA: BROADCASTING & SUBSCRIPTION - 2.8%

 

Emmis Operating Co.

      

Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.88%, 04/18/19(b)

     565,410     551,275  

Global Eagle Entertainment, Inc.

      

Initial Term Loan, (LIBOR + 7.50%, 1.00% Floor), 9.36%, 01/06/23(b)

     4,950,678     5,183,781  

Urban One, Inc.

      

Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.88%, 04/18/23(b)

     1,439,080    

1,430,993

 
    

7,166,049

 

MEDIA: DIVERSIFIED & PRODUCTION - 0.2%

 

A-L Parent, LLC

      

Second Lien Initial Term Loan, (LIBOR + 7.25%, 1.00% Floor), 9.13%, 12/02/24(b)(e)

     375,000    

378,750

 

METALS & MINING - 0.0%

 

   

Magnetation, LLC / Mag Finance Corp.

      

DIP Term Loan, 12.00%,
10/14/16(e)(g)(i)

     1,127,504    

 

RETAIL - 9.5%

 

   

Academy, Ltd.

      

Initial Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.78%, 07/01/22(b)

     1,950,781     1,561,600  

Albertson’s, LLC

      

Replacement 2017-1 Term Loan B-4, (LIBOR + 2.75%, 0.75% Floor), 4.63%, 08/25/21(b)(d)

     2,992,462     2,959,994  
 

 

4       See accompanying Notes to Schedule of Investments.


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

March 31, 2018 (unaudited)

 

    

Principal

Amount  ($)

 

Value ($)

 
            

Senior Loans(a) (continued)

 

RETAIL (continued)

    

Charming Charlie, LLC

    

Senior Secured Super-Priority DIP Delayed Draw Term Loan, (LIBOR + 4.50%, 1.00% Floor), 6.37%, 06/08/18(b)(e)

     74,702       74,702  

Senior Secured Super-Priority DIP Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 6.37%,
06/08/18(b)(e)

     93,419        93,419  

Senior Secured Super-Priority DIP Roll-up Loan, (LIBOR + 1.00%, 1.00% Floor), 2.87%,
06/08/18(b)(e)

     373,593       17,642  

Term Loan, (LIBOR + 8.00%, 1.00% Floor), 12.33%,
12/24/19(b)(e)(g)(k)

     706,488        

David’s Bridal, Inc.

    

Initial Term Loan, (LIBOR + 4.00%, 1.25% Floor), 6.31%, 10/11/19(b)

     2,121,809       1,822,984  

EG America, LLC

    

Term Loan B, (LIBOR + 4.00%, 0.00% Floor), 4.00%,
02/07/25(b)(d)

     2,514,970       2,512,455  

EG Finco, Ltd. (United Kingdom)
Term Loan B, (LIBOR + 4.00%, 0.00% Floor), 4.00%,
02/07/25(b)(c)(d)

     500,000       499,500  

General Nutrition Centers, Inc.

    

Extended Term Loan B, (LIBOR + 8.75%, 0.00% Floor), 10.59%, 03/04/21(b)

     1,405,962       1,328,634  

First In Last Out Term Loan, (LIBOR + 7.00%, 0.00% Floor), 8.88%, 12/31/22(b)

     572,350       588,233  

JC Penney Corp., Inc.

    

Term Loan B, (LIBOR + 4.25%, 1.00% Floor), 6.23%,
06/23/23(b)(d)

     4,155,357       4,078,753  

Petco Animal Supplies, Inc.

    

Second Amendment Term Loan, (LIBOR + 3.00%, 1.00% Floor), 4.77%, 01/26/23(b)(d)

     5,829,922       4,296,332  

PetSmart, Inc.

    

Tranche B-2 Loan, (LIBOR + 3.00%, 1.00% Floor), 4.68%, 03/11/22(b)(d)

     1,900,389       1,530,032  

Sears Roebuck Acceptance Corp.

    

2017 Extended Term Loan, (LIBOR + 4.50%, 1.00% Floor), 6.20%, 01/20/19(b)

     1,249,911       1,247,824  

Vince, LLC

    

Initial Term Loan, (LIBOR + 7.00%, 1.00% Floor), 8.66%, 11/27/19(b)

     1,542,799       1,415,518  
               24,027,622  
    

Principal

Amount  ($)

 

Value ($)

   
              

SERVICES: BUSINESS - 19.0%

 

Access CIG, LLC

      

First Lien Term Loan B, (LIBOR + 3.75%, 0.00% Floor), 5.63%, 02/27/25(b)(d)

     1,006,775     1,019,359  

Air Medical Group Holdings, Inc.

      

2017-2 New Term Loan, (LIBOR + 4.25%, 1.00% Floor), 6.01%, 03/14/25(b)

     2,262,778     2,285,055  

2018 Term Loan, (LIBOR + 3.25%, 1.00% Floor), 4.94%, 04/28/22(b)

     3,279,734      3,297,723  

Boing US Holdco, Inc.

      

First Lien Term Loan B, (LIBOR + 3.50%, 1.00% Floor), 5.29%, 10/03/24(b)

     708,084     710,963  

Second Lien Term Loan B, (LIBOR + 7.50%, 1.00% Floor), 9.29%, 10/03/25(b)(e)

     545,455     548,182  

EIG Investors Corp.

      

Refinancing Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.96%, 02/09/23(b)

     3,945,555     3,979,014  

Electro Rent Corp.

      

First Lien Initial Term Loan, (LIBOR + 5.00%, 1.00% Floor), 6.98%, 01/31/24(b)

     2,092,560     2,105,638  

Evergreen Skills Lux S.A.R.L.
(Luxembourg)

      

First Lien Initial Term Loan, (LIBOR + 4.75%, 1.00% Floor), 6.63%, 04/28/21(b)(c)

     6,500,000     6,294,177  

Explorer Holdings, Inc.

      

Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.52%, 05/02/23(b)

     4,059,110     4,097,185  

IBC Capital, Ltd.

      

First Lien Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.82%, 09/09/21(b)

     2,969,388     2,979,038  

Michael Baker International, LLC

      

Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 6.34%, 11/21/22(b)

     2,870,813     2,877,990  

Navicure, Inc.

      

First Lien Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.63%, 11/01/24(b)

     789,898     794,835  

Second Lien Initial Term Loan, (LIBOR + 7.50%, 1.00% Floor), 9.38%, 10/31/25(b)

     500,000     502,500  

Onex Carestream Finance, L.P.

      

First Lien Term Loan, (LIBOR + 4.00%, 1.00% Floor), 5.88%, 06/07/19(b)

     1,928,927     1,942,641  

Second Lien Term Loan, (LIBOR + 8.50%, 1.00% Floor), 10.38%, 12/07/19(b)

     2,143,089     2,143,089  
 

 

See accompanying Notes to Schedule of Investments.        5


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

March 31, 2018 (unaudited)

 

    

Principal

Amount  ($)

 

Value ($)

 
            

Senior Loans(a) (continued)

 

SERVICES: BUSINESS (continued)

 

Paysafe Group PLC

    

Facility B-1, (LIBOR + 3.50%, 1.00% Floor), 5.36%, 01/03/25(b)

     2,909,090       2,926,065  

SGS Cayman, L.P.

    

Initial Cayman Term Loan, (LIBOR + 5.38%, 1.00% Floor), 7.68%, 04/23/21(b)

     782,322        748,095  

STG-Fairway Acquisitions, Inc.

    

First Lien Term Loan, (LIBOR + 5.25%, 1.00% Floor), 7.13%, 06/30/22(b)

     2,514,689       2,513,118  

Sutherland Global Services, Inc.

    

Initial U.S. Term Loan, (LIBOR + 5.38%, 1.00% Floor), 7.68%, 04/23/21(b)

     3,360,816       3,213,780  

U.S. Security Associates Holdings, Inc.

    

Initial Term Loan, (LIBOR + 3.50%, 1.00% Floor), 5.80%, 07/14/23(b)(d)

     3,048,495       3,060,872  
               48,039,319  

SERVICES: CONSUMER - 1.9%

 

Laureate Education, Inc.

    

Series 2024 Term Loan, (LIBOR + 3.50%, 1.00% Floor), 5.38%, 04/26/24(b)

     2,219,334       2,233,981  

USS Ultimate Holdings, Inc.

    

First Lien Initial Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.63%, 08/25/24(b)

     682,781       687,475  

Second Lien Initial Term Loan, (LIBOR + 7.75%, 1.00% Floor), 9.63%, 08/25/25(b)

     1,884,615       1,910,915  
       4,832,371  

TELECOMMUNICATIONS - 11.1%

 

CenturyLink, Inc.

    

Initial Term Loan A, (LIBOR + 2.75%, 0.00% Floor), 4.63%, 11/01/22(b)(d)

     1,975,000       1,971,297  

Initial Term Loan B, (LIBOR + 2.75%, 0.00% Floor), 4.63%, 01/31/25(b)(d)

     997,500       982,852  

Frontier Communications Corp.

    

Initial Term Loan, (LIBOR + 2.75%, 0.00% Floor), 4.63%, 03/31/21(b)(d)

     1,972,603       1,960,284  

Term Loan B-1, (LIBOR + 3.75%, 0.75% Floor), 5.63%,
06/15/24(b)(d)

     3,352,784       3,316,473  

Global Tel*Link Corp.

    

First Lien Term Loan, (LIBOR + 4.00%, 1.25% Floor), 6.30%, 05/23/20(b)

     3,977,645       4,007,478  
    

Principal

Amount  ($)

 

Value ($)

     
                

TELECOMMUNICATIONS (continued)

 

 

Intelsat Jackson Holdings S.A. (Luxembourg)

      

Tranche B-4 Term Loan, (LIBOR + 4.50%, 1.00% Floor), 6.46%, 01/02/24(b)(c)(d)

     3,406,019       3,510,617    

Tranche B-5 Term Loan, 6.63%, 01/02/24(c)(d)(i)

     3,820,586        3,876,309    

Securus Technologies
Holdings, Inc.

      

First Lien Initial Term Loan, (LIBOR + 4.50%, 1.00% Floor), 6.38%, 11/01/24(b)

     2,118,327       2,146,797    

TierPoint, LLC

      

First Lien Term Loan, (LIBOR + 3.75%, 1.00% Floor), 5.63%, 05/06/24(b)(d)

     2,789,715       2,761,818    

TVC Albany, Inc.

      

Term Loan B, (LIBOR + 4.00%, 1.00% Floor), 6.30%,
09/18/24(b)(d)

     583,212       587,586    

U.S. TelePacific Corp.

      

Advance Term Loan, (LIBOR + 5.00%, 1.00% Floor), 7.30%, 05/02/23(b)(d)

     3,141,820       3,058,562    
               28,180,073    

TRANSPORTATION: CARGO - 2.5%

 

 

Avolon Holdings, Ltd.

      

Initial Term Loan B-2, (LIBOR + 2.25%, 0.75% Floor), 4.07%, 03/21/22(b)

     3,484,956       3,490,584    

Transplace Holdings, Inc.

      

First Lien Closing Date Term Loan, (LIBOR + 4.25%, 1.00% Floor), 5.96%, 10/07/24(b)

     2,739,439       2,758,615    
       6,249,199    

TRANSPORTATION: CONSUMER - 0.6%

 

 

Travel Leaders Group, LLC

      

New Incremental Term Loan, (LIBOR + 4.50%, 0.00% Floor), 6.35%, 01/25/24(b)

     1,475,877       1,497,396    

UTILITIES: ELECTRIC - 3.3%

 

 

Green Energy Partners

      

Advance Conversion Term Loan B-1, (LIBOR + 5.50%, 1.00% Floor), 7.80%, 11/13/21(b)

     849,470       836,728    

Construction B-2 Facility, (LIBOR + 5.50%, 1.00% Floor), 7.80%, 11/13/21(b)

     339,205       334,116    

Moxie Patriot, LLC

      

Construction B-1 Facility, (LIBOR + 5.75%, 1.00% Floor), 8.05%, 12/19/20(b)

     1,660,681       1,642,521    

Construction B-2 Facility, (LIBOR + 5.75%, 1.00% Floor), 8.05%, 12/19/20(b)(d)

     1,942,016       1,920,780    
 

 

6       See accompanying Notes to Schedule of Investments.


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

March 31, 2018 (unaudited)

 

    

Principal

Amount  ($)

 

Value ($)

 
            

Senior Loans(a) (continued)

 

UTILITIES: ELECTRIC (continued)

 

Panda Liberty, LLC

    

Construction B-1 Facility, (LIBOR + 6.50%, 1.00% Floor), 8.80%, 08/21/20(b)

     3,883,058        3,646,191  
       8,380,336  

Total Senior Loans
(Cost $314,647,499)

               313,027,870  

Corporate Notes and Bonds - 17.3%(i)

 

AUTOMOTIVE - 1.4%

    

Tesla, Inc.
5.30%, 08/15/25(l)

     4,000,000       3,505,000  

BANKING, FINANCE, INSURANCE & REAL ESTATE - 0.6%

 

Greystar Real Estate Partners, LLC
5.75%, 12/01/25(l)

     1,500,000       1,500,000  

CHEMICALS, PLASTICS & RUBBER - 0.8%

 

 

TPC Group, Inc. (Texas
Petrochemical)

    

8.75%, 12/15/20(l)

     2,007,000       2,026,468  

CONTAINERS, PACKAGING & GLASS - 1.2%

 

Reynolds Group Holdings, Inc. 6.88%, 02/15/21

     1,069,414       1,085,455  

W/S Packaging Holdings, Inc.
9.00%, 04/15/23(l)

     2,000,000       2,035,000  
       3,120,455  

ENERGY: OIL & GAS - 2.1%

    

Moss Creek Resources Holdings, Inc.

    

7.50%, 01/15/26(l)

     4,762,000       4,820,096  

Northern Oil and Gas, Inc.
8.00%, 06/01/20

     599,000       563,060  
       5,383,156  

HEALTHCARE & PHARMACEUTICALS - 2.3%

 

Valeant Pharmaceuticals

    

International, Inc. (Canada) 5.50%, 11/01/25(c)(l)

     1,500,000       1,465,875  

5.63%, 12/01/21(c)(l)

     1,500,000       1,438,125  

7.50%, 07/15/21(c)(l)

     2,864,000       2,885,480  
       5,789,480  

HIGH TECH INDUSTRIES - 0.7%

 

Riverbed Technology, Inc.
8.88%, 03/01/23(l)

     2,000,000       1,907,500  

HOTEL, GAMING & LEISURE - 1.2%

 

Churchill Downs, Inc. 4.75%, 01/15/28(l)

     2,000,000       1,895,000  

Hilton Grand Vacations Borrower, LLC

    

6.13%, 12/01/24

     1,100,000       1,172,875  
       3,067,875  
    

Principal

Amount  ($)

 

Value ($)

   
              

MEDIA: BROADCASTING & SUBSCRIPTION - 3.1%

 

CSC Holdings, LLC
5.38%, 02/01/28(l)

     1,500,000     1,420,635  

10.13%, 01/15/23(l)

     317,000     352,664  

10.88%, 10/15/25(l)

     477,000     561,663  

Univision Communications, Inc.
5.13%, 05/15/23(l)

     1,000,000     955,100  

5.13%, 02/15/25(l)

     4,000,000      3,740,000  

Urban One, Inc.
7.38%, 04/15/22(l)

     787,000    

783,065

 
    

        7,813,127

 

METALS & MINING - 0.0%

      

ERP Iron Ore, LLC

      

LIBOR +, 8.00%, 12/31/19(e)

     121,662     38,629  

Magnetation, LLC / Mag
Finance Corp.

      

11.00%, 05/15/18(e)(g)(l)(m)

     2,937,000    

 
    

38,629

 

RETAIL - 0.3%

      

PetSmart, Inc.
5.88%, 06/01/25(l)

     112,000     81,480  

8.88%, 06/01/25(l)

     1,000,000    

575,000

 
    

656,480

 

SERVICES: BUSINESS - 0.9%

      

Camelot Finance S.A.
(Luxembourg)

      

7.88%, 10/15/24(c)(l)

     1,080,000     1,129,950  

EIG Investors Corp.
10.88%, 02/01/24

     1,000,000    

1,095,830

 
    

2,225,780

 

SERVICES: CONSUMER - 1.2%

      

NVA Holdings, Inc.
6.88%, 04/01/26(l)

     3,000,000    

3,030,000

 

TELECOMMUNICATIONS - 1.5%

      

Orbcomm, Inc.
8.00%, 04/01/24(l)

     3,694,000    

3,850,995

 

Total Corporate Notes and Bonds
(Cost $44,395,630)

    

43,914,945

 

Structured Products - 14.6%(n)

      

Anchorage Capital CLO, Ltd.
(Cayman Islands)

      

Series 2015-6A, Class ER, 8.07%, 07/15/30(c)(l)(o)

     4,400,000     4,450,798  

Babson CLO Ltd. (Cayman Islands)

      

Series 2014-IA, Class E, 7.39%, 07/20/25(c)(l)(o)

     1,110,000     1,075,909  

Fortress Credit Opportunities CLO,
Ltd. (Cayman Islands)

      

Series 2018-11A, Class E, 7.15%, 04/15/31(c)(l)

     4,000,000     4,000,000  

Guggenheim 1828 CLO, LLC
(Cayman Island)

      

Series 2016-1A, Class D, 8.72%, 04/15/28(c)(l)(o)

     4,000,000     4,024,216  
 

 

See accompanying Notes to Schedule of Investments.        7


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

March 31, 2018 (unaudited)

 

    

Principal

Amount  ($)

 

Value ($)

 
            

Structured Products(n) (continued)

 

Ivy Hill Middle Market Credit Fund,
Ltd. (Cayman Islands)

    

Series 10A, Class D2, 9.03%, 07/24/27(c)(l)(o)

     2,350,000       2,349,932  

JFIN CLO, Ltd. (Cayman Islands)

    

Series 2015-1A, Class E, 7.12%, 03/15/26(c)(l)(o)

     4,500,000        4,422,942  

NXT Capital CLO, LLC

    

Series 2014-1A, Class E, 7.24%, 04/23/26(l)(o)

     5,000,000       4,594,115  

Teachers Insurance and Annuity

    

Association of America CLO, Ltd. (Cayman Islands)

    

Series 2016-1A, Class E2, 11.74%, 07/20/28(c)(l)(o)

     2,500,000       2,543,015  

TIAA Churchill Middle Market CLO
(Cayman Islands)

    

Series 2016-1A, Class E2, 9.74%, 10/20/28(c)(l)(o)

     2,000,000       2,013,446  

Series 2017-1A, Class E, 8.73%, 01/24/30(c)(l)(o)

     4,000,000       3,757,388  

Voya CLO, Ltd. (Cayman Islands)

    

Series 2015-3A, Series E, 8.24%, 10/20/27(c)(l)(o)

     1,000,000       981,008  

Zais CLO, Ltd. (Cayman Islands)

    

Series 2016-2A, Series D, 8.72%, 10/15/28(c)(l)(o)

     1,000,000       1,013,217  

Series 2017-2A, Series E, 8.87%, 04/15/30(c)(l)(o)

     1,750,000       1,798,274  

Total Structured Products
(Cost $35,984,749)

               37,024,260  
    

Share

Quantity

 

Value ($)

     
                

Common Stocks - 0.2%

 

 

BANKING, FINANCE, INSURANCE & REAL ESTATE - 0.0%

 

 

Medical Card System,
Inc.(e)(g)

     914,981       26,743    

ENERGY: OIL & GAS - 0.2%

      

Ascent Resources Marcellus Holdings, Inc.(g)

     165,654        532,163    

Southcross Holdings Borrower, GP LLC(e)(g)

     129          

Southcross Holdings Borrower, LP, Class A-II(e)(g)

     129       43,538    

 

       575,701    

MEDIA: ADVERTISING, PRINTING & PUBLISHING - 0.0%

 

 

F & W Media,Inc.(e)(g)

     9,510          

Total Common Stock
(Cost $590,214)

       602,444    

Preferred Stock - 1.6%

      

BANKING, FINANCE, INSURANCE & REAL ESTATE - 1.6%

 

 

Watford Holdings, Ltd. (Bermuda)
8.50%,(c)(e)(l)

     160,000       3,966,435    

Total Preferred Stock
(Cost $3,920,000)

       3,966,435    

Warrants - 0.0%

      

ENERGY: OIL & GAS - 0.0%

      

Ascent Resources Marcellus

      

Holdings, Inc.(e)(g)

     42,889       4,289    

Total Warrants
(Cost $4,289)

       4,289    

Total Investments-157.3%

       398,540,243    

(Cost of $399,542,381)

      

Other Assets & Liabilities,
Net-(2.8)%

       (7,184,635  

Loan Outstanding-(54.5)%(p)(q)

       (137,998,140 )   

Net Assets -100.0%

               253,357,468    
    

 

 

   
 

 

8       See accompanying Notes to Schedule of Investments.


Apollo Tactical Income Fund Inc.

Schedule of Investments (continued)

March 31, 2018 (unaudited)

 

(a)  “Senior Loans” are senior, secured loans made to companies whose debt is below investment grade as well as investments with similar economic characteristics. Senior Loans typically hold a first lien priority and, unless otherwise indicated, are required to pay interest at floating rates that are periodically reset by reference to a base lending rate plus a spread. In some instances, the rates shown represent the weighted average rate as of March 31, 2018. 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)  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 March 31, 2018, the 1, 3 and 6 month LIBOR rates were 1.88%, 2.31% and 2.45%, respectively, and the Prime lending rate was 4.75%. Senior Loans may contain multiple contracts of the same issuer which may be subject to base lending rates of both LIBOR and Prime (“Variable”) in addition to the stated spread.
(c)  Foreign issuer traded in U.S. dollars.
(d) 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.
(e)  Fair Value Level 3 security.
(f)  The issuer is in default of its payment obligations as of March 19, 2017, as such, income is no longer being accrued.
(g)  Non-income producing asset.
(h)  The issuer is in default of its payment obligations as of March 7, 2018, as such, income is no longer being accrued.
(i)  Fixed rate asset.
(j)  Represents a payment-in-kind (“PIK”) security, which may pay interest in additional principal amount.
(k)  The issuer is in default of its payment obligations as of December 11, 2017, as such, income is no longer being accrued.
(l)  Securities exempt from registration pursuant to Rule 144A under the 1933 Act. These securities may only be resold in transactions exempt from registration to qualified institutional buyers. At March 31, 2018, these securities amounted to $80,949,791, or 31.95% of net assets.
(m)  The issuer is in default of its payment obligations as of May 5, 2015, as such, income is no longer being accrued.
(n)  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.
(o)  Floating rate asset. The interest rate shown reflects the rate in effect at March 31, 2018.
(p)  The Fund has granted a security interest in substantially all of its assets in the event of default under the credit facility.
(q)  Principal $138,000,000 less unamortized deferred financing costs of $1,860.

 

See accompanying Notes to Schedule of Investments.        9


Apollo Tactical Income Fund Inc.

Notes to Schedule of Investments

March 31, 2018 (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, structured products, common stock and preferred stock 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 Fund’s board of directors (the “Board”). In general, the fair value of a security is the amount that the Fund might reasonably expect to receive upon the sale of an asset or pay to transfer a liability in an orderly transaction between willing market participants at the reporting date. Fair value procedures generally take into account any factors deemed relevant, which may include, among others, (i) the nature and pricing history of the security, (ii) the liquidity or illiquidity of the market for the particular security, (iii) recent purchases or sales transactions for the particular security or similar securities and (iv) press releases and other information published about the issuer. In these cases, the Fund’s net asset value (“NAV”) will reflect the affected portfolio securities’ fair value as determined 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 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 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 independent pricing services, and the existence of contemporaneous, observable trades in the market.

 

10  |


Apollo Tactical Income Fund Inc.

Notes to Schedule of Investments (continued)

March 31, 2018 (unaudited)

 

The valuation techniques used by the Fund to measure fair value at March 31, 2018 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 Fund’s investments categorized in the fair value hierarchy as of March 31, 2018 is as follows:

 

 Apollo Tactical Income Fund Inc.                        
      Total Fair Value at
March 31, 2018
   Level 1
Quoted Price
   Level 2
Significant
Observable
Inputs
 

Level 3

Significant

Unobservable

Inputs

     

Assets:

                     

Cash and Cash Equivalents

       $  23,950,042        $23,950,042        $                —   $                —     

Senior Loans

       313,027,870               299,476,554   13,551,316     

Corporate Notes and Bonds

       43,914,945               43,876,316   38,629     

Structured Products

       37,024,260               37,024,260       

Common Stock

       602,444               532,163   70,281     

Preferred Stock

       3,966,435                 3,966,435     

Warrants

       4,289                 4,289     
    

 

 

      

 

 

      

 

 

   

 

    

Total Assets

       $422,490,285        $23,950,042        $380,909,293   $17,630,950     
    

 

 

      

 

 

      

 

 

   

 

    

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, 2018 through March 31, 2018:

 

 Apollo Tactical Income Fund Inc.                               
      Total   Senior
Loans
 

Corporate
Notes

and Bonds

  Common
Stock
   Preferred
Stock
   Warrant     

Total Fair Value, beginning of the period

     $ 23,768,803     $ 19,745,730     $ 40,335     $ 67,513      $ 3,915,225      $    

Purchases, including capitalized PIK

       2,136,703       2,132,414                           4,289  

Sales/Paydowns

       (6,731,767 )       (6,698,972 )       (32,795 )                      

Accretion/(amortization) of discounts/(premiums)

       97,115       97,115                            

Net realized gain/(loss)

       243,647       221,809       21,838                      

Change in net unrealized appreciation/(depreciation)

       (48,533 )       (111,762 )       9,251       2,768        51,210         

Transfer into Level 3

       634,375       634,375                            

Transfers out of Level 3

       (2,469,393 )       (2,469,393 )                            
    

 

 

     

 

 

     

 

 

     

 

 

      

 

 

      

 

 

   

Total Fair Value, end of period

     $ 17,630,950     $ 13,551,316       $ 38,629     $       70,281      $ 3,966,435        $4,289  
    

 

 

     

 

 

     

 

 

     

 

 

      

 

 

      

 

 

   

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 previously. 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 March 31, 2018 was $62,894.

 

|  11


Apollo Tactical Income Fund Inc.

Notes to Schedule of Investments (continued)

March 31, 2018 (unaudited)

 

The following table provides quantitative measures used to determine the fair values of the Level 3 investments as of March 31, 2018:

 

 Apollo Tactical Income Fund Inc.
 Assets    Fair Value at
March 31, 2018
   Valuation Technique(s)(a)     Unobservable Input(s)    Range of    
Unobservable    
Input(s) Utilized    

 Senior Loans

       $    8,478,179    Independent pricing service     and/or broker quotes   

Vendor and/or

broker quotes

   N/A
       4,181,882    Discounted Cash Flow(b)     Discount Rate(b)    17.4%
       185,763    Recoverability(c)    EBITDA / EV Multiple(c)    $7m / 2.9x
       669,763    Recoverability(d)    Liquidation Proceeds(d)    $28.1m
          Recoverability(d)    Liquidation Proceeds(d)    $0
       35,729    Recoverability(e)    Estimated Transaction Value(e)    N/A
        Discounted Cash Flow(b)     Discount Rate(b)    2.02%

 Corporate Notes and Bonds

       38,629    Discounted Cash Flow(b)     Discount Rate(b)    25.0%
        Recoverability(d)    Liquidation Proceeds(d)    $7m
          Recoverability(d)    Liquidation Proceeds(d)    $0

 Common Stock

       26,743    Option Model(f)    Volatility(f)    31.1%
          Recoverability(d)    Liquidation Proceeds(d)    $28.1m
       43,538    Independent pricing service     and/or broker quotes   

Vendor and/or

broker quotes

   N/A

 Preferred Stock

       3,966,435    Discounted Cash Flow(b)    Discount Rate(b)    8.57%

 Warrants

       4,289    Independent pricing service     and/or broker quotes   

Vendor and/or

broker quotes

   N/A
    

 

 

          

 Total Fair Value

       $17,630,950           
    

 

 

          
             

 

(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 recoverability approach to fair value these securities. The significant unobservable inputs used in the valuation model were EBITDA and enterprise value multiple. Significant increases or decreases in the input in isolation may result in a significantly higher or lower fair value measurement.
(d)  The Fund utilized a 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 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.
(e)  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.
(f)  The Fund utilized a Black-Scholes options pricing model to fair value this security. The significant unobservable input used in the valuation model was volatility. Significant increases or decreases in the input in isolation may result in a significantly higher or lower fair value measurement.

 

12  |


Apollo Tactical Income Fund Inc.

Notes to Schedule of Investments (continued)

March 31, 2018 (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 March 31, 2018 were as follows:

 

    

Apollo

Tactical

Income

Fund Inc.

 

 

Federal tax basis, cost

   $ 399,850,636  
  

 

 

 

Unrealized appreciation

   $ 5,326,260  

Unrealized depreciation

     (6,636,653
  

 

 

 

Net unrealized appreciation/(depreciation)

   $ (1,310,393
  

 

 

 

General Commitments and Contingencies

As of March 31, 2018, the Fund had unfunded loan commitments outstanding, which could be extended at the option of the borrower, as detailed below:

 

    Borrower   Unfunded Loan
Commitments
 
 

Access CIG, LLC

      $   210,110  

            

 

Centene Corp.*

      4,378,671  
 

Charming Charlie, LLC**

             18,676  
 

Total unfunded loan commitments

      $4,607,457  

 

* On May 9, 2018, the loan commitment was cancelled in its entirety.
** On April 19, 2018, the loan commitment was fully funded.

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

 

|  13


Item 2. Controls and Procedures.

 

  (a)

The Fund’s principal executive and principal financial officers, or persons performing similar functions, 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 the 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.

 

  (a)

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 Tactical Income Fund Inc.

 

By (Signature and Title)  

        /s/ Joseph Moroney

 

        Joseph Moroney, President

        (principal executive officer)

 

Date  

    5/16/18

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  

    5/16/18

 

By (Signature and Title)  

        /s/ Frank Marra

 

        Frank Marra, Treasurer and Chief Financial Officer

        (principal financial officer)

 

        Date  

    5/16/18