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Barings Corporate Investors

 

TO OUR SHAREHOLDERS

 

October 31, 2017

 

 

We are pleased to present the September 30, 2017 Quarterly Report of Barings Corporate Investors (the "Trust").

 

The Board of Trustees declared a quarterly dividend of $0.30 per share, payable on November 10, 2017 to shareholders of record on October 30, 2017. The Trust paid a $0.30 per share dividend for the preceding quarter. The Trust earned $0.29 per share of net investment income for the third quarter of 2017, compared to $0.34 per share, including $0.04 per share of non-recurring income, in the previous quarter.

 

During the third quarter, the net assets of the Trust increased to $309,897,987 or $15.57 per share compared to $302,454,098 or $15.22 per share on June 30, 2017. This translates into a 4.3% total return for the quarter, based on the change in the Trust's net assets assuming the reinvestment of all dividends. Longer term, the Trust returned 14.4%, 10.8%, 12.5%, 10.6%, and 13.6% for the 1, 3, 5, 10, and 25-year periods, respectively, based on the change in the Trust's net assets assuming the reinvestment of all dividends.

 

The Trust's share price increased 4.6% during the quarter, from $15.09 per share as of June 30, 2017 to $15.79 per share as of September 30, 2017. The Trust's market price of $15.79 per share equates to a 1.4% premium over the September 30, 2017 net asset value per share of $15.57. The Trust's average quarter-end premium for the 3, 5 and 10-year periods was 3.2%, 10.6% and 10.2%, respectively. U.S. equity markets, as approximated by the Russell 2000 Index, increased 5.7% for the quarter. U.S. fixed income markets, as approximated by the Barclays Capital U.S. Corporate High Yield Index, increased 2.0% for the quarter.

 

The Trust closed three add-on investments to existing portfolio companies during the third quarter. The three add-on investments were in Eagle Family Foods, Inc., Master Cutlery LLC and Polytex Holdings LLC. A brief description of these investments can be found in the Consolidated Schedule of Investments. The total amount invested by the Trust in these transactions was $586,368.

 

The Trust announced that it has entered into an agreement with Massachusetts Mutual Life Insurance Company and its affiliates to refinance the Trust's $30,000,000 Senior Fixed Rate Convertible Note (the "Note"), which was originally issued by the Trust on November 15, 2007. The Note is scheduled to mature on November 15, 2017 and accrues interest at 5.28% per annum. The new Note will mature on November 15, 2027 and will accrue interest at 3.53% per annum.

 

Also, in response to current market conditions, the Trustees agreed to reduce the minimum expected internal rate of return threshold for investments offered to the Trust pursuant to the Trust's existing co-investment exemptive order.

 

It was a slow quarter for the Trust in terms of new investments. As noted above, the Trust closed on only three add-on investments this quarter. While middle-market merger and acquisition activity was slightly higher in the third quarter, all of the growth occurred at the larger end of the market with the "traditional" middle-market contracting. Market conditions remain extremely competitive with purchase price and leverage multiples remaining at or near historical highs, and there continues to be a large supply of debt capital seeking middle-market investment opportunities. As always, we continue to maintain our underwriting discipline.

 

The Trust's remaining portfolio remains solid. Four private companies in which the Trust had outstanding investments were sold during the quarter resulting in favorable outcomes. In addition, one company prepaid their subordinated debt held by the Trust. We have several companies in which the Trust has outstanding investments that are in the process of being sold and we are cautiously optimistic about realization activity for the next few quarters.

 

The Trust was able to maintain its $0.30 per share quarterly dividend in the third quarter. However, the Trust's recurring investment income was not sufficient to cover this quarter's dividend. As discussed in prior reports, generally since 2013 recurring investment income alone has not been sufficient to fully fund the current dividend rate principally due to the considerable reduction in the number of private debt securities in the portfolio resulting from the high level of exits and prepayment activity that occurred from 2013 through 2015, combined with generally lower investment returns available due to market and competitive dynamics over the past several years. The level of expected recurring investment income generated by the Trust in 2017, combined with the availability of earnings carry forwards and other non-recurring income, is expected to be sufficient to maintain the current dividend rate over the next several quarters. However, until recurring investment income consistently reaches a level equal to the current dividend rate, there is the risk that the dividend may need to be reduced in the future.

 

(Continued)

Assets:
Investments
(See Consolidated Schedule of Investments)
Corporate restricted securities at fair value (Cost - $204,735,638)		$	214,348,400
Corporate restricted securities at market value (Cost - $60,453,806)			61,931,225
Corporate public securities at market value (Cost - $48,781,778)			49,987,430
Short-term securities at amortized cost			3,997,518
Total investments (Cost - $317,968,740)			330,264,573
Cash			10,764,937
Interest receivable			3,390,526
Receivable for investments sold			341,891
Other assets			6,052
Total assets			344,767,979
Liabilities:
Note payable			30,000,000
Deferred tax liability			1,943,794
Payable for investments purchased			1,418,422
Investment advisory fee payable			968,431
Interest payable			202,400
Tax payable			84,488
Accrued expenses			252,457
Total liabilities			34,869,992
Commitments and Contingencies (See Note 8)
Total net assets		$	309,897,987
Net Assets:
Common shares, par value $1.00 per share		$	19,905,321
Additional paid-in capital			112,636,895
Retained net realized gain on investments, prior years			145,980,019
Undistributed net investment income			8,629,020
Accumulated net realized gain on investments			12,394,693
Net unrealized appreciation of investments			10,352,039
Total net assets		$	309,897,987
Common shares issued and outstanding (28,054,782 authorized)			19,905,321
Net asset value per share			15.57

Investment Income:
Interest		$	20,812,100
Dividends			2,417,721
Other			341,112
Total investment income			23,570,933
Expenses:
Investment advisory fees			2,827,294
Interest			1,188,000
Trustees' fees and expenses			252,000
Professional fees			159,638
Reports to shareholders			85,500
Custodian fees			25,195
Other			73,940
Total expenses			4,611,567
Investment income - net			18,959,366
Net realized and unrealized gain on investments:
Net realized gain on investments before taxes			5,909,830
Income tax expense			(338,684	)
Net realized gain on investments after taxes			5,571,146
Net increase (decrease) in unrealized appreciation (depreciation) of investments before taxes			14,927,246
Net (increase) decrease in deferred income tax expense			(930,593	)
Net increase (decrease) in unrealized appreciation (depreciation) of investments after taxes			13,996,653
Net gain on investments			19,567,799
Net increase in net assets resulting from operations		$	38,527,165

Net decrease in cash:
Cash flows from operating activities:
Purchases/Proceeds/Maturities from short-term portfolio securities, net		$	6,951,058
Purchases of portfolio securities			(53,133,460	)
Proceeds from disposition of portfolio securities			44,373,870
Interest, dividends and other income received			21,284,563
Interest expense paid			(1,188,000	)
Operating expenses paid			(3,276,778	)
Income taxes paid			(2,398,355	)
Net cash provided by operating activities			12,612,898
Cash flows from financing activities:
Cash dividends paid from net investment income			(17,846,607	)
Receipts for shares issued on reinvestment of dividends			1,709,416
Net cash used for financing activities			(16,137,191	)
Net decrease in cash			(3,524,293	)
Cash - beginning of year			14,289,230
Cash - end of period		$	10,764,937
Reconciliation of net increase in net assets to net cash provided by operating activities:
Net increase in net assets resulting from operations		$	38,527,165
Increase in investments			(26,352,390	)
Decrease in interest receivable			323,150
Decrease in other assets			20,731
Increase in deferred tax liability			930,593
Increase in payable for investments purchased			1,418,422
Increase in investment advisory fee payable			88,522
Decrease in tax payable			(2,059,671	)
Increase in accrued expenses			58,267
Total adjustments to net assets from operations			(25,914,267	)
Net cash provided by operating activities		$	12,612,898

		For the nine months ended 09/30/2017 (Unaudited)				For the year ended 12/31/2016
Increase in net assets:
Operations:
Investment income - net		$	18,959,366			$	22,171,839
Net realized gain on investments after taxes			5,571,146				3,711,135
Net change in unrealized appreciation of investments after taxes			13,996,653				1,357,082
Net increase in net assets resulting from operations			38,527,165				27,240,056
Increase from common shares issued on reinvestment of dividends
Common shares issued (2017 - 114,914; 2016 - 125,703)			1,709,416				2,103,555
Dividends to shareholders from:
Net investment income (2017 - $0.60 per share; 2016 - $1.20 per share)			(11,909,485	)			(23,688,009	)
Total increase in net assets			28,327,096				5,655,602
Net assets, beginning of period/year			281,570,891				275,915,289
Net assets, end of period/year (including undistributed net investment income of $8,629,020 and $1,579,139, respectively)		$	309,897,987			$	281,570,891

		For the nine months ended 09/30/2017 (Unaudited)				For the years ended December 31,
						2016				2015				2014				2013
Net asset value:
Beginning of period/year		$	14.23			$	14.03			$	14.34			$	13.85			$	13.38
Net investment income (a)			0.96				1.12				1.04				1.23				1.18
Net realized and unrealized gain (loss) on investments			0.99				0.26				(0.16	)			0.45				0.48
Total from investment operations			1.95				1.38				0.88				1.68				1.66
Dividends from net investment income to common shareholders			(0.60	)			(1.20	)			(1.20	)			(1.20	)			(1.20	)
Dividends from net realized gain on investments to common shareholders			—				—				—				—				—
(Decrease)/Increase from dividends reinvested			(0.01	)			0.02				0.01				0.01				0.01
Total dividends			(0.61	)			(1.18	)			(1.19	)			(1.19	)			(1.19	)
Net asset value: End of period/year		$	15.57			$	14.23			$	14.03			$	14.34			$	13.85
Per share market value: End of period/year		$	15.79			$	15.48			$	17.25			$	15.89			$	14.93
Total investment return
Net asset value (b)			13.88%				10.13%				6.20%				13.78%				12.76%
Market value (b)			6.20%				(3.49%	)			17.01%				16.53%				5.93%
Net assets (in millions):
End of period/year		$	309.90			$	281.57			$	275.92			$	280.13			$	268.69
Ratio of total expenses to average net assets			2.24%	(d)			2.92%				2.56%				3.66%				2.42%
Ratio of operating expenses to average net assets			1.55%	(d)			1.56%				1.67%				1.65%				1.64%
Ratio of interest expense to average net assets			0.54%	(d)			0.56%				0.55%				0.57%				0.59%
Ratio of income tax expense to average net assets (c)			0.15%	(d)			0.80%				0.34%				1.44%				0.19%
Ratio of net investment income to average net assets			8.59%	(d)			7.80%				7.12%				8.57%				8.50%
Portfolio turnover			14%				29%				29%				38%				34%

Senior borrowings:
Total principal amount (in millions)		$	30			$	30			$	30			$	30			$	30
Asset coverage per $1,000 of indebtedness		$	11,330			$	10,386			$	10,197			$	10,338			$	9,956

Corporate Restricted Securities - 89.15%: (A)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
Private Placement Investments - 69.17%: (C)
1492 Acquisition LLC
A leading producer of premium Italian cured meats and deli meats in the U.S.
Limited Liability Company Unit Class A Preferred (B)		245 uts.				10/17/12				$	245,450			$	355,946
Limited Liability Company Unit Class A Common (B)		27,273 uts.				10/17/12					27,273				576,539
											272,723				932,485
ABC Industries, Inc.
A manufacturer of mine and tunneling ventilation products in the U.S.
13% Senior Subordinated Note due 07/31/2019		$	262,403			08/01/12					252,209				260,976
Preferred Stock Series A (B)		300,000 shs.				08/01/12					300,000				603,505
Warrant, exercisable until 2022, to purchase common stock at $.02 per share (B)		53,794 shs.				08/01/12					101,870				102,215
											654,079				966,696
Advanced Manufacturing Enterprises LLC
A designer and manufacturer of large, custom gearing products for a number of critical customer applications.
Limited Liability Company Unit (B)		4,669 uts.					*				498,983				—
* 12/07/12, 07/11/13 and 06/30/15.
AFC - Dell Holding Corporation
A distributor and provider of inventory management services for "C-Parts" used by OEMs in their manufacturing and production facilities.
12.5% (1% PIK) Senior Subordinated Note due 09/27/2020		$	2,459,896			03/27/15					2,429,759				2,484,495
Preferred Stock (B)		2,276 shs.				03/27/15					227,558				265,202
Common Stock (B)		703 shs.				03/27/15					703				—
											2,658,020				2,749,697
Airxcel Holdings
A leading manufacturer of a broad range of climate control solutions, including air-conditioners, heat pumps, cooking appliances, furnaces, powered vents, and water heaters.
Limited Liability Company Unit		583 uts.				11/18/14					583,000				1,249,652
AM Conservation Holding Corp
A supplier of energy efficiency ("EE") products, including lighting, shower heads and aerators, and weatherization products such as door seals and weather stripping.
11.75% (1.5% PIK) Senior Subordinated Note due 04/30/2023		$	3,181,818			10/31/16					3,124,475				3,198,629
Common Stock (B)		318,182 shs.				10/31/16					318,182				482,178
											3,442,657				3,680,807

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
AMS Holding LLC
A leading multi-channel direct marketer of high-value collectible coins and proprietary-branded jewelry and watches.
Limited Liability Company Unit Class A Preferred (B) (F)		273 uts.				10/04/12				$	272,727			$	683,995
API Technologies Corp.
A designer, developer and manufacturer of electronic systems, subsystems, modules and secure communications for technically demanding defense, aerospace and commercial applications in the U.S. and internationally.
12% (1% PIK) Senior Subordinated Note due 04/22/2023		$	2,840,517			04/22/16					2,817,579				2,888,929
Limited Liability Company Unit (B)		0.90% int.				04/20/16					700,000				847,000
											3,517,579				3,735,929
ARI Holding Corporation
A leading national supplier of products used primarily by specialty contractors.
11.5% (0.5% PIK) Senior Subordinated Note due 02/01/2020		$	3,439,089				*				3,412,064				3,439,089
Limited Partnership Interest		1,048 uts.				08/01/14					1,047,900				1,162,919
* 05/21/13 and 08/01/14.											4,459,964				4,602,008
ASC Holdings, Inc.
A manufacturer of capital equipment used by corrugated box manufacturers.
13% (1% PIK) Senior Subordinated Note due 05/18/2021		$	1,530,631			11/19/15					1,508,463				1,475,039
Limited Liability Company Unit (B)		225,300 uts.				11/18/15					225,300				86,966
											1,733,763				1,562,005
Aurora Parts & Accessories LLC
A distributor of aftermarket over-the-road semi-trailer parts and accessories sold to customers across North America.
11% Senior Subordinated Note due 02/17/2022		$	3,074,700			08/17/15					3,029,893				3,018,238
Preferred Stock (B)		425 shs.				08/17/15					424,875				309,340
Common Stock (B)		425 shs.				08/17/15					425				—
											3,455,193				3,327,578
Avantech Testing Services LLC
A manufacturer of custom Non-Destructive Testing ("NDT") systems and provider of NDT and inspections services primarily to the oil country tubular goods market.
15% (3.75% PIK) Senior Subordinated Note due 01/31/2021 (D)		$	1,015,684			07/31/14					996,694				—
Limited Liability Company Unit (B) (F)		92,327 uts.					*				—				—
* 07/31/14 and 10/14/15.											996,694				—

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
BEI Precision Systems & Space Company, Inc.
A provider of advanced design, manufacturing, and testing for custom optical encoder-based positioning systems, precision accelerometers, and micro scanners.
12% (1% PIK) Senior Subordinated Note due 04/28/2024		$	2,952,413				04/28/17			$	2,895,939			$	2,987,262
Limited Liability Company Unit (B) (F)		5,600 uts.					04/28/17				560,000				383,410
											3,455,939				3,370,672
Blue Wave Products, Inc.
A distributor of pool supplies.
10% Senior Secured Term Note due 09/30/2018		$	178,723				10/12/12				177,974				178,723
13% (1% PIK) Senior Subordinated Note due 09/30/2019		$	751,292				10/12/12				730,481				751,292
Common Stock (B)		114,894 shs.					10/12/12				114,894				846,856
Warrant, exercisable until 2022, to purchase common stock at $.01 per share (B)		45,486 shs.					10/12/12				45,486				335,266
											1,068,835				2,112,137
BlueSpire Holding, Inc.
A marketing services firm that integrates strategy, technology, and content to deliver customized marketing solutions for clients in the senior living, financial services and healthcare end markets.
12.5% (1.5% PIK) Senior Subordinated Note due 06/30/2021 (D)		$	3,217,730				06/30/15				3,167,754				—
Common Stock (B)		2,876 shs.					06/30/15				318,200				—
											3,485,954				—
BP SCI LLC
A leading value-added distributor of branded pipes, valves, and fittings (PVF) to diversified end markets.
Limited Liability Company Unit Class A (B) (F)		1,000 uts.					10/17/12				100,000				632,947
Limited Liability Company Unit Class B (B) (F)		400 uts.					10/17/12				400,000				702,983
											500,000				1,335,930
CG Holdings Manufacturing Company
A coating provider serving the automotive, agricultural, heavy truck and other end markets.
13% Senior Subordinated Note 11/01/2019		$	3,390,252				*				3,303,633				3,390,252
Preferred Stock (B)		3,241 shs.					*				324,054				438,817
Preferred Stock (B)		1,174 shs.					*				116,929				158,988
Common Stock (B)		337 shs.					*				35,673				990,129
Warrant, exercisable until 2023, to purchase common stock at $.01 per share (B)		137 shs.					*				13,033				402,841
* 05/09/13 and 11/01/13.											3,793,322				5,381,027

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
CHG Alternative Education Holding Company
A leading provider of publicly-funded, for profit pre-K-12 education services targeting special needs children at therapeutic day schools and "at risk" youth through alternative education programs.
13.5% (1.5% PIK) Senior Subordinated Note due 06/19/2020		$	2,366,380			01/19/11				$	2,347,059			$	2,366,380
14% (2% PIK) Senior Subordinated Note due 06/19/2020		$	624,403			08/03/12					619,955				624,403
Common Stock (B)		1,125 shs.				01/19/11					112,500				114,355
Warrant, exercisable until 2021, to purchase common stock at $.01 per share (B)		884 shs.				01/19/11					87,750				89,890
											3,167,264				3,195,028
Church Services Holding Company
A provider of diversified residential services to homeowners in the Houston, Dallas, and Austin markets.
Limited Liability Company Unit (B) (F)		3 uts.				03/26/12					569,935				—
Clarion Brands Holding Corp.
A portfolio of six over-the-counter (OTC) pharmaceutical brands whose products are used to treat tinnitus or ringing of the ear, excessive sweating, urinary tract infections, muscle pain, and skin conditions.
12.5% (1.5% PIK) Senior Subordinated Note due 04/01/2021		$	4,151,890.57				*				4,095,983				4,143,762
Limited Liability Company Unit (B)		3,759 uts.				07/18/16					384,020				280,820
* 10/01/14 and 07/18/16.											4,480,003				4,424,582
Clough, Harbour and Associates
An engineering service firm that is located in Albany, NY.
Preferred Stock (B)		277 shs.				12/02/08					276,900				1,620,961
Compass Chemical International LLC
A manufacturer and supplier of standard and specialty formulated chemicals, primarily phosphoric acid derivatives called phosphonates.
Limited Liability Company Unit (B) (F)		467 uts.				03/04/15					298,900				390,456
Connecticut Electric, Inc.
A supplier and distributor of electrical products sold into the retail and wholesale markets.
Limited Liability Company Unit Class A (B)		156,046 uts.				01/12/07					156,046				243,554
Limited Liability Company Unit Class C (B)		112,873 uts.				01/12/07					112,873				195,930
Limited Liability Company Unit Class D (B)		1,268,437 uts.				05/03/10					—				2,115,664
Limited Liability Company Unit Class E (B)		2,081 uts.				05/03/10					—				492,160
											268,919				3,047,308

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
CORA Health Services, Inc.
A provider of outpatient rehabilitation therapy services.
12.75% (1.75% PIK) Senior Subordinated Note due 06/30/2023		$	1,572,487			06/30/16				$	1,545,847			$	1,609,162
Preferred Stock Series A (B)		1,538 shs.				06/30/16					146,154				170,878
Common Stock Class A (B)		7,692 shs.				06/30/16					7,692				47,249
											1,699,693				1,827,289
CTM Holding, Inc.
A leading owner and operator of coin-operated children's rides, penny presses and candy kiosks in the U.S.
15% (3% PIK) Senior Subordinated Note due 11/22/2019		$	2,652,562			11/22/13					2,630,630				2,652,562
Common Stock (B)		180 shs.					*				1,028,568				1,116,484
* 11/22/13 and 09/16/16.											3,659,198				3,769,046
Del Real LLC
A manufacturer and distributor of fully-prepared fresh refrigerated Hispanic entrees as well as side dishes that are typically sold on a heat-and-serve basis at retail grocers.
11% Senior Subordinated Note due 04/06/2023		$	2,882,353			10/07/16					2,830,981				2,882,353
Limited Liability Company Unit (B) (F)		617,647 uts.				10/07/16					617,647				685,588
											3,448,628				3,567,941
DPL Holding Corporation
A distributor and manufacturer of aftermarket undercarriage parts for medium and heavy duty trucks and trailers.
14% (2% PIK) Senior Subordinated Note due 11/04/2020		$	3,420,300			05/04/12					3,396,528				3,359,107
Preferred Stock (B)		61 shs.				05/04/12					605,841				480,285
Common Stock (B)		61 shs.				05/04/12					67,316				—
											4,069,685				3,839,392
Dunn Paper
A provider of specialty paper for niche product applications.
9.75% Second Lien Term Loan due 08/31/2023		$	3,500,000			09/28/16					3,439,828				3,430,000
Eagle Family Foods, Inc.
A producer of low-cost branded and private label canned milk.
10.05% Last Out Term Loan due 12/31/2021		$	3,500,000			12/22/15					3,462,828				3,468,298
0.29% Second Last Out Term Loan due 8/29/2023		$	359,951			09/07/17					356,385				356,691
											3,819,213				3,824,989

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage					Acquisition Date			Cost				Fair Value
ECG Consulting Group
A healthcare management consulting company who provides strategic, financial, operational, and technology related consulting services to healthcare providers.
11.75% (0.75% PIK) Senior Subordinated Note due 11/21/2020		$	2,681,828				11/21/14			$	2,645,251			$	2,708,647
Limited Liability Company Unit (B) (F)		467 uts.					11/19/14				145,833				283,157
											2,791,084				2,991,804
Elite Sportswear Holding, LLC
A designer and manufacturer of gymnastics, competitive cheerleading and swimwear apparel in the U.S. and internationally.
11.5% (1% PIK) Senior Subordinated Note due 10/13/2021		$	3,207,093				10/14/16				3,159,882				3,213,249
Limited Liability Company Unit (B) (F)		204 uts.					10/14/16				324,074				300,112
											3,483,956				3,513,361
English Color & Supply LLC
A distributor of aftermarket automotive paint and related products to collision repair shops, auto dealerships and fleet customers through a network of stores in the Southern U.S.
11.5% (0.5% PIK) Senior Subordinated Note due 12/31/2023		$	2,696,450				06/30/17				2,644,659				2,702,411
Limited Liability Company Unit (B) (F)		806,916 uts.					06/30/17				806,916				887,608
											3,451,575				3,590,019
ERG Holding Company LLC
A provider of inpatient and outpatient clinical trial services to pharmaceutical companies and contract research organizations.
13.5% (1.5% PIK) Senior Subordinated Note due 10/04/2019		$	1,988,997				04/04/14				1,971,814				1,988,997
14% (2% PIK) Senior Subordinated Note due 10/04/2019		$	524,180				07/01/16				517,325				526,539
Common Stock (B)		0.64% int.					04/04/14				157,314				157,325
											2,646,453				2,672,861
F F C Holding Corporation
A leading U.S. manufacturer of private label frozen novelty and ice cream products.
Limited Liability Company Unit Preferred (B)		512 uts.					09/27/10				175,035				257,105
Limited Liability Company Unit Common (B)		512 uts.					09/27/10				51,220				1,318,667
											226,255				1,575,772

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage					Acquisition Date			Cost				Fair Value
F G I Equity LLC
A manufacturer of a broad range of filters and related products that are used in commercial, light industrial, healthcare, gas turbine, nuclear, laboratory, clean room, hotel, educational system, and food processing settings.
Limited Liability Company Unit Preferred (B)		483,355 uts.					04/15/14			$	—			$	483,355
Limited Liability Company Unit Class B-1 (B)		394,737 uts.					12/15/10				394,737				2,008,953
Limited Liability Company Unit Class B-2 (B)		49,488 uts.					12/15/10				49,488				251,862
Limited Liability Company Unit Class B-3 (B)		39,130 uts.					08/30/12				90,000				209,322
Limited Liability Company Unit Class C (B)		9,449 uts.					12/20/10				96,056				335,878
											630,281				3,289,370
FMH Holdings Corporation
A designer and manufacturer of highly engineered components for the aerospace, defense and space industries.
Common Stock (B)		300 shs.					05/01/15				300,485				677,167
GD Dental Services LLC
A provider of convenient "onestop" general, specialty, and cosmetic dental services with 21 offices located throughout South and Central Florida.
Limited Liability Company Unit Preferred (B)		182 uts.					10/05/12				182,209				227,759
Limited Liability Company Unit Common (B)		1,840 uts.					10/05/12				1,840				—
											184,049				227,759
gloProfessional Holdings, Inc.
A marketer and distributor of premium mineral-based cosmetics, cosmeceuticals and professional hair care products to the professional spa and physician's office channels.
14% (2% PIK) Senior Subordinated Note due 03/27/2019		$	2,972,189				03/27/13				2,954,140				2,696,369
Common Stock (B)		2,835 shs.					03/27/13				283,465				147,997
											3,237,605				2,844,366
Glynlyon Holding Companies, Inc.
A technology-enabled curriculum provider of K-12 and support services predominantly to small and medium public school districts.
12% (1% PIK) Senior Subordinated Note due 01/15/2022		$	3,256,028				01/15/16				3,205,757				3,321,149
Common Stock (B)		299 shs.					01/15/16				299,145				528,069
											3,504,902				3,849,218
GlynnDevins Acquisition Corporation
A marketing communications agency that service senior living facilities.
Preferred Stock Series A (B)		695 shs.					06/19/15				143,414				167,683
Common Stock (B)		695 shs.					06/19/15				5,976				91,200
											149,390				258,883

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
Grakon Parent
The leading designer and manufacturer of highly-engineered and customized LED and incandescent lighting systems for transportation-based markets.
Common Stock (B)		355 shs.				10/31/14				$	354,730			$	413,001
GTI Holding Company
A designer, developer, and marketer of precision specialty hand tools and handheld test instruments.
12% Senior Subordinated Note due 02/05/2020		$	1,455,729			02/05/14					1,405,399				1,441,976
Common Stock (B)		1,693 shs.				02/05/14					169,271				106,574
Warrant, exercisable until 2024, to purchase common stock at $.01 per share (B)		795 shs.				02/05/14					73,633				50,045
											1,648,303				1,598,595
Handi Quilter Holding Company (Premier Needle Arts)
A designer and manufacturer of long-arm quilting machines and related components for the consumer quilting market.
12% (1% PIK) Senior Subordinated Note due 06/19/2021		$	3,500,000				*				3,450,731				3,532,355
Limited Liability Company Unit Preferred (B)		754 uts.					**				754,061				884,059
Limited Liability Company Unit Common Class A (B)		7,292 uts.				12/19/14					—				85,725
* 12/19/14 and 02/21/17.											4,204,792				4,502,139
** 12/19/14 and 04/29/16.
Happy Floors Acquisition, Inc.
A wholesale importer and value-added distributor of premium European flooring tile to residential and commercial end markets.
12.5% (1% PIK) Senior Subordinated Note due 07/01/2022		$	3,236,826			07/01/16					3,183,431				3,300,458
Common Stock (B)		303 shs.				07/01/16					303,333				337,893
											3,486,764				3,638,351
Hartland Controls Holding Corporation
A manufacturer and distributor of electronic and electromechanical components.
14% (2% PIK) Senior Subordinated Note due 08/14/2020		$	2,278,668			02/14/14					2,257,788				2,278,668
12% Senior Subordinated Note due 08/14/2020		$	875,000			06/22/15					870,130				883,750
Common Stock (B)		1,666 shs.				02/14/14					1,667				721,022
											3,129,585				3,883,440

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
HHI Group, LLC
A developer, marketer, and distributor of hobby-grade radio control products.
14% (2% PIK) Senior Subordinated Note due 11/26/2020		$	3,349,472			01/17/14				$	3,319,768			$	3,348,654
Limited Liability Company Unit (B) (F)		203 uts.				01/17/14					203,125				45,103
											3,522,893				3,393,757
Hollandia Produce LLC
A hydroponic greenhouse producer of branded root vegetables.
14.25% (2.75% PIK) Senior Subordinated Note due 12/11/2020		$	2,818,127				*				2,779,279				2,536,314
* 12/30/15 and 12/23/16
HOP Entertainment LLC
A provider of post production equipment and services to producers of television shows and motion pictures.
Limited Liability Company Unit Class F (B) (F)		89 uts.				10/14/11					—				—
Limited Liability Company Unit Class G (B) (F)		215 uts.				10/14/11					—				—
Limited Liability Company Unit Class H (B) (F)		89 uts.				10/14/11					—				—
Limited Liability Company Unit Class I (B) (F)		89 uts.				10/14/11					—				—
											—				—
Hospitality Mints Holding Company
A manufacturer of individually-wrapped imprinted promotional mints.
12% Senior Subordinated Note due 10/01/2018		$	2,075,581			08/19/08					2,071,039				1,868,023
Common Stock (B)		474 shs.				08/19/08					474,419				—
Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B)		123 shs.				08/19/08					113,773				—
											2,659,231				1,868,023
Impact Confections
An independent manufacturer and marketer of confectionery products including Warheads® brand sour candies, Melster® brand classic candies, and co-manufactured/private label classic candies.
13% (1% PIK) Senior Subordinated Note due 11/10/2020		$	2,221,577			11/10/14					2,195,019				1,798,593
Common Stock (B)		4,667 shs.				11/10/14					466,667				—
											2,661,686				1,798,593
Insurance Claims Management, Inc.
A third party administrator providing auto and property claim administration services for insurance companies.
Common Stock (B)		89 shs.				02/27/07					2,689				250,149

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage					Acquisition Date			Cost				Fair Value
Janus Group Holdings LLC
A manufacturer of roll-up doors and hallway systems that are primarily used in self-storage facilities.
Limited Liability Company Unit Class A (B) (F)	565 uts.						12/11/13			$	—			$	3,304,141
JMH Investors LLC
A developer and manufacturer of custom formulations for a wide variety of foods.
Limited Liability Company Unit (B) (F)	2,493,253 uts.						12/05/12				557,301				—
Limited Liability Company Unit Class A-1 (B) (F)	391,304 uts.						10/31/16				391,304				542,733
Limited Liability Company Unit Class A-2 (B) (F)	2,478,261 uts.						10/31/16				—				187,215
											948,605				729,948
K P I Holdings, Inc.
The largest player in the U.S. non-automotive, non-ferrous die casting segment.
Limited Liability Company Unit Class C Preferred (B)	75 uts.						06/30/15				—				154,882
Common Stock (B)	667 shs.						07/15/08				539,502				721,188
											539,502				876,070
Kyjen Company
A designer and distributor of branded and private label dog toys and accessories primarily in the U.S.
13% (1% PIK) Senior Subordinated Note due 10/14/2021		$	2,676,923				10/14/15				2,637,290				2,730,461
Manhattan Beachwear Holding Company
A designer and distributor of women's swimwear.
12.5% Senior Subordinated Note due 04/30/2018 (D)		$	1,259,914				01/15/10				1,212,363				1,133,923
15% (2.5% PIK) Senior Subordinated Note due 04/30/2020 (D)		$	345,759				10/05/10				343,820				311,183
Common Stock (B)	106 shs.						10/05/10				106,200				81,952
Common Stock Class B (B)	353 shs.						01/15/10				352,941				272,357
Warrant, exercisable until 2019, to purchase common stock at $.01 per share (B)	312 shs.						10/05/10				283,738				241,034
											2,299,062				2,040,449
Master Cutlery LLC
A designer and marketer of a wide assortment of knives and swords.
13% Senior Subordinated Note due 04/17/2020		$	1,731,765				04/17/15				1,720,055				1,298,824
13% Senior Subordinated Note due 10/29/2018		$	201,022				09/29/17				201,022				201,022
Limited Liability Company Unit	9 uts.						04/17/15				1,356,658				—
											3,277,735				1,499,846

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
MC Sign Holdings LLC
A provider of sign and lighting services nationwide.
11.75% (0.75% PIK) Senior Subordinated Note due 08/09/2022		$	2,007,318				*			$	1,975,944			$	2,012,672
Limited Liability Company Unit Class B (B)		205,900 uts.				09/22/15					205,900				320,833
* 09/22/15 and 02/09/17											2,181,844				2,333,505
Merex Holding Corporation
A provider of after-market spare parts and components, as well as maintenance, repair and overhaul services for "out of production" or "legacy" aerospace and defense systems that are no longer effectively supported by the original equipment manufacturers.
16% Senior Subordinated Note due 10/30/2019 (D)		$	1,362,886			09/22/11					1,347,188				1,349,257
15% PIK Senior Subordinated Note due 04/30/2022 (D)		$	71,517			08/18/15					71,517				67,941
14% PIK Senior Subordinated Note due 06/30/2019		$	113,575			10/21/16					113,575				113,558
Common Stock Class A (B)		249,235 shs.					*				512,114				762,023
* 08/18/15, 10/20/16 and 01/27/17.											2,044,394				2,292,779
MES Partners, Inc.
An industrial service business offering an array of cleaning and environmental services to the Gulf Coast region of the U.S.
12% (1% PIK) Senior Subordinated Note due 09/30/2021		$	2,262,232			09/30/14					2,232,721				2,238,234
Common Stock Class B (B)		445,455 shs.				09/30/14					445,455				175,989
											2,678,176				2,414,223
Midwest Industrial Rubber, Inc.
A supplier of industrial maintenance, repair, and operations ("MRO") products, specializing in the fabrication and distribution of lightweight conveyor belting and related conveyor components and accessories.
12% (1% PIK) Senior Subordinated Note due 12/02/2022		$	3,178,578			12/02/16					3,121,713				3,236,156
Preferred Stock		3,472 shs.				12/02/16					347,191				304,660
Common Stock		491 shs.				12/02/16					491				—
											3,469,395				3,540,816
MNX Holding Company
An international third party logistics company providing customized logistics services to customers across the globe.
14% (2% PIK) Senior Subordinated Note due 11/02/2019		$	3,190,828			11/02/12					3,167,330				3,190,827
Common Stock (B)		107 shs.				11/02/12					107,143				115,450
											3,274,473				3,306,277

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
Money Mailer Equity LLC
A leading provider of hyperlocal shared direct mail advertising as well as interactive and online advertising solutions through its nationwide production and distribution network.
12% (1% PIK) Senior Subordinated Note due 10/29/2021		$	3,547,149			04/29/16				$	3,491,379			$	3,418,835
Motion Controls Holdings
A manufacturer of high performance mechanical motion control and linkage products.
14.25% (1.75% PIK) Senior Subordinated Note due 08/15/2020		$	848,759			11/30/10					843,251				848,759
Limited Liability Company Unit Class B-1 (B) (F)		225,000 uts.				11/30/10					—				122,914
Limited Liability Company Unit Class B-2 (B) (F)		20,403 uts.				11/30/10					—				11,146
											843,251				982,819
NetShape Technologies, Inc.
A manufacturer of powder metal and metal injection molded precision components used in industrial, consumer, and other applications.
12% Senior Subordinated Note due 06/10/2020 (D)		$	1,530,000			02/02/07					1,528,882				—
Limited Partnership Interest of Saw Mill PCG Partners LLC (B)		2.76% int.				02/01/07					1,110,810				—
Limited Liability Company Unit Class D of Saw Mill PCG Partners LLC (B)		17 uts.					*				16,759				—
Limited Liability Company Unit Class D-1 of Saw Mill PCG Partners LLC (B)		229 uts.				09/30/09					228,858				—
Limited Liability Company Unit Class D-2 of Saw Mill PCG Partners LLC (B)		128 uts.				04/29/11					65,256				—
Limited Liability Company Unit Class D-3 of Saw Mill PCG Partners LLC (B)		196 uts.				12/10/14					196,263				—
* 12/18/08 and 09/30/09.											3,146,828				—
NSi Industries Holdings, Inc.
A manufacturer and distributer of electrical components and accessories to small to mid-sized electrical wholesalers.
12.75% (1.75% PIK) Senior Subordinated Note due 05/17/2023		$	3,099,913			06/30/16					3,047,654				3,155,986
Common Stock (B)		420 shs.				05/17/16					420,000				508,771
											3,467,654				3,664,757

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
PANOS Brands LLC
A marketer and distributor of branded consumer foods in the specialty, natural, better-for-you, "free from" healthy and gluten-free categories.
12% (1% PIK) Senior Subordinated Note due 07/29/2021		$	2,940,000			01/29/16				$	2,895,098			$	2,998,800
12% (1% PIK) Senior Subordinated Note due 08/17/2022		$	662,879			02/17/17					650,702				670,931
Common Stock Class B (B)		772,121 shs.					*				772,121				991,514
* 01/29/16 and 02/17/17.											4,317,921				4,661,245
Petroplex Inv Holdings LLC
A leading provider of acidizing services to E&P customers in the Permian Basin.
Limited Liability Company Unit		0.90% int.					*				420,814				22,094
* 11/29/12 and 12/20/16.
Polytex Holdings LLC
A manufacturer of water based inks and related products serving primarily the wall covering market.
13% (1% PIK) Senior Subordinated Note due 01/31/2020		$	2,170,983			07/31/14					2,149,388				2,061,667
Limited Liability Company Unit		300,485 uts.				07/31/14					300,485				—
Limited Liability Company Unit Class F		41,840 uts.				09/28/17					28,962				28,963
											2,478,835				2,090,630
Power Stop Holdings LLC
A supplier of performance upgrade aftermarket brake products.
11% Senior Subordinated Note due 05/29/2022		$	3,266,800			05/29/15					3,219,977				3,299,468
Limited Liability Company Unit Preferred (B) (F)		2,332 uts.				05/29/15					233,200				286,750
Limited Liability Company Unit Common (B) (F)		2,332 uts.				05/29/15					—				220,649
											3,453,177				3,806,867
PPC Event Services
A special event equipment rental business.
14% (2% PIK) Senior Subordinated Note due 05/20/2020		$	2,403,301			11/20/14					2,377,359				2,403,300
Limited Liability Company Unit (B)		7,000 uts.				11/20/14					350,000				931,115
Limited Liability Company Unit Series A-1 (B)		689 uts.				03/16/16					86,067				105,831
											2,813,426				3,440,246
Randy's Worldwide Automotive
A designer and distributor of automotive aftermarket parts.
11.5% Senior Subordinated Note due 05/12/2021		$	2,304,719			05/12/15					2,275,151				2,327,766
Common Stock (B)		240 shs.				05/12/15					240,388				615,527
											2,515,539				2,943,293

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
Signature Systems Holdings Company
A seller and installer of a variety of modular surfaces, industrial matting and related products used for ground protection.
Common Stock (B)		181 shs.				03/15/13				$	181,221			$	162,331
Warrant, exercisable until 2023, to purchase common stock at $.01 per share (B)		74 shs.				03/15/13					67,958				66,314
											249,179				228,645
Smart Source Holdings LLC
A short-term computer rental company.
Limited Liability Company Unit (B)		619 uts.					*				493,496				852,057
Warrant, exercisable until 2020, to purchase common stock at $.01 per share (B)		157 shs.					*				127,437				215,855
* 08/31/07 and 03/06/08.											620,933				1,067,912
SMB Machinery Holdings, Inc.
A reseller of used, rebuilt and refurbished packaging and processing equipment, primarily serving the bottling and food manufacturing industries.
14% (2% PIK) Senior Subordinated Note due 10/18/2019 (D)		$	1,477,388			10/18/13					1,452,295				—
Common Stock (B)		1,681 shs.				10/18/13					168,100				—
											1,620,395				—
Software Paradigms International Group, LLC
An outsourced IT services provider focused on the retail industry.
12.5% (1.5% PIK) Senior Subordinated Note due 11/23/2021		$	3,500,000			05/23/16					3,443,013				3,535,000
SR Smith LLC
A manufacturer of mine and tunneling ventilation products in the United States.
11% Senior Subordinated Note due 03/27/2022		$	1,760,454			03/27/17					1,740,184				1,760,454
Limited Liability Company Unit Class A (B) (F)		29 uts.				03/27/17					1,717,802				1,912,899
											3,457,986				3,673,353
Strahman Holdings Inc
A manufacturer of industrial valves and wash down equipment for a variety of industries, including chemical, petrochemical, polymer, pharmaceutical, food processing, beverage and mining.
Preferred Stock Series A (B)		317,935 shs.				12/13/13					317,935				507,261
Preferred Stock Series A-2 (B)		53,086 shs.				09/10/15					59,987				84,698
											377,922				591,959

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
Sunrise Windows Holding Company
A manufacturer and marketer of premium vinyl windows exclusively selling to the residential remodeling and replacement market.
16% Senior Subordinated Note due 01/31/2019 (D)		$	4,285,410				*			$	4,075,756			$	2,999,787
Common Stock (B)		115 shs.				12/14/10					114,504				—
Warrant, exercisable until 2020, to purchase common stock at $.01 per share (B)		112 shs.				12/14/10					111,747				—
* 12/14/10, 08/17/12 and 03/31/16.											4,302,007				2,999,787
Sunvair Aerospace Group Inc.
An aerospace maintenance, repair, and overhaul provider servicing landing gears on narrow body aircraft.
12% (1% PIK) Senior Subordinated Note due 07/31/2021		$	2,484,985			07/31/15					2,435,656				2,373,497
Common Stock (B)		139 shs.				07/31/15					158,560				113,251
											2,594,216				2,486,748
Team Drive-Away Holdings LLC
An asset-light provider of over the road driveaway services for class 8 trucks and specialized equipment.
Limited Liability Company Unit (B)		194,400 uts.				10/15/15					194,400				280,130
Torrent Group Holdings, Inc.
A contractor specializing in the sales and installation of engineered drywells for the retention and filtration of stormwater and nuisance water flow.
15% (7.5% PIK) Senior Subordinated Note due 12/05/2020		$	136,573			12/05/13					421,430				136,573
Warrant, exercisable until 2023, to purchase common stock at $.01 per share (B)		53,038 shs.				12/05/13					—				33,944
											421,430				170,517
Tranzonic Holdings LLC
A producer of commercial and industrial supplies, such as safety products, janitorial supplies, work apparel, washroom and restroom supplies and sanitary care products.
Limited Liability Company Unit Preferred Class A (B)		305,393 uts.					*				332,498				1,629,905
* 07/05/13 and 02/13/17.
Tristar Global Energy Solutions, Inc.
A hydrocarbon and decontamination services provider serving refineries worldwide.
12.5% (1.5% PIK) Senior Subordinated Note due 07/31/2020		$	2,346,120			01/23/15					2,319,030				2,129,897

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
Veritext Corporation
A provider of stenographic staffing and other services used during the legal deposition process.
10.75% Second Lien Term Loan due 01/29/2023		$	4,083,333				*			$	4,019,578			$	4,022,211
* 01/21/16 and 02/23/17.
VP Holding Company
A provider of school transportation services for special-needs and homeless children in Massachusetts.
Common Stock (B)		7,368 shs.				03/31/14					736,842				1,344,543
Wellborn Forest Holding Company
A manufacturer of semi-custom kitchen and bath cabinetry.
8% Senior Subordinated Note due 09/30/2019 (D)		$	3,359,243			11/30/06					1,691,068				3,359,243
Common Stock (B)		191 shs.				11/30/06					191,250				—
Warrant, exercisable until 2019, to purchase common stock at $.01 per share (B)		95 shs.				11/30/06					86,493				—
											1,968,811				3,359,243
Westminster Acquisition LLC
A manufacturer of premium, all-natural oyster cracker products sold under the Westminster and Olde Cape Cod brands.
12% (1% PIK) Senior Subordinated Note due 02/03/2021		$	767,582			08/03/15					757,736				775,258
Limited Liability Company Unit (B) (F)		751,212 uts.				08/03/15					751,212				1,285,940
											1,508,948				2,061,198
Whitebridge Pet Brands Holdings, LLC
A portfolio of natural treats and foods for dogs and cats.
11.5% (0.5% PIK) Senior Subordinated Note due 08/18/2021		$	3,011,741			04/18/17					2,970,979				3,024,825
Limited Liability Company Unit Class A (B) (F)		250 uts.				04/18/17					300,485				266,193
Limited Liability Company Unit Class B (B) (F)		250 uts.				04/18/17					—				75,218
											3,271,464				3,366,236
Wolf-Gordon, Inc.
A designer and specialty distributor of wallcoverings and related building products, including textiles, paint, and writeable surfaces.
12.5% (1.5% PIK) Senior Subordinated Note due 07/22/2021		$	3,263,439			01/22/16					3,214,869				3,328,708
Common Stock (B)		318 shs.				01/22/16					318,182				342,325
											3,533,051				3,671,033

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage					Acquisition Date			Cost				Fair Value
Worldwide Express Operations, LLC
A third party logistics company providing parcel, less than truck load and truck load services focused on the small and medium business market through both company owned and franchise locations.
9.78% Second Lien Term Loan due 01/19/2025		$	3,500,000				02/13/17			$	3,451,647			$	3,469,964
WP Supply Holding Corporation
A distributor of fresh fruits and vegetables to grocery wholesalers and foodservice distributors in the upper Midwest.
14.5% (2.5% PIK) Senior Subordinated Note due 06/12/2020		$	2,954,755				11/03/11				2,943,004				2,954,755
Common Stock (B)		4,500 shs.					11/03/11				450,000				318,569
											3,393,004				3,273,324
York Wall Holding Company
A designer, manufacturer and marketer of wall covering products for both residential and commercial wall coverings.
12.5% (1.5% PIK) Senior Subordinated Note due 03/04/2021 (D)		$	3,190,238				03/04/15				3,144,099				2,841,845
Common Stock (B)		3,723 shs.					03/04/15				372,300				45,097
											3,516,399				2,886,942
Total Private Placement Investments (E)										$	204,735,638			$	214,348,400

Corporate Restricted Securities: (A) (Continued)		Interest Rate		Maturity Date		Principal Amount				Cost				Market Value
Rule 144A Securities - 19.98%:
Bonds - 19.98%
Alliance Resource Partners, L.P.		7.500	%	05/01/25		$	1,000,000			$	1,042,428			$	1,037,500
Altice Financing S.A.		7.500		05/15/26			1,000,000				1,058,760				1,100,000
Altice S.A.		7.750		05/15/22			1,000,000				1,000,000				1,061,250
American Airlines Group Inc.		5.500		10/01/19			870,000				887,698				911,325
Amsted Industries		5.375		09/15/24			520,000				520,000				546,650
Avantor Inc		9.000		10/01/25			1,000,000				1,000,000				1,023,130
Balboa Merger Sub, Inc.		11.375		12/01/21			1,000,000				1,094,955				1,095,000
Boise Cascade Company		5.625		09/01/24			259,000				259,000				272,274
CITGO Holding, Inc.		10.750		02/15/20			1,000,000				1,014,521				1,077,500
CITGO Petroleum Corporation		6.250		08/15/22			925,000				925,000				952,750
Consolidated Energy Finance S.A.		6.750		10/15/19			394,000				390,741				400,895
Constellium N.V.		7.875		04/01/21			743,000				743,000				787,580
Coveris Holdings S.A.		7.875		11/01/19			1,000,000				1,000,000				985,000
CVR Partners, LP.		9.250		06/15/23			1,000,000				978,501				1,065,000
Diamond 1 Finance Corp / Diamond 2 Finance Corp (Dell)		5.875		06/15/21			228,000				228,000				238,356
Digicel Group Limited		8.250		09/30/20			400,000				383,398				390,752
Digicel Group Limited		6.000		04/15/21			1,000,000				930,681				976,140
Eagle Holding Co II LLC		7.625		05/15/22			208,000				208,000				215,800
Endo Finance LLC		5.375		01/31/23			1,000,000				982,961				815,000
EnPro Industries Inc.		5.875		09/15/22			250,000				252,292				260,938
EP Energy Corporation		8.000		11/29/24			500,000				500,000				505,000
First Quantum Minerals Ltd.		7.500		04/01/25			1,000,000				970,776				1,022,500
Gates Global LLC		6.000		07/15/22			1,000,000				810,749				1,027,500
Hertz Corporation		7.625		06/01/22			1,000,000				1,000,000				1,031,250
Hilcorp Energy Company		5.000		12/01/24			500,000				500,000				490,000
Hill-Rom Holdings, Inc.		5.750		09/01/23			385,000				385,000				406,175
Hub International Ltd.		7.875		10/01/21			1,000,000				1,000,000				1,041,250
IAMGOLD Corporation		7.000		04/15/25			1,000,000				1,000,000				1,056,250
Infor (US), Inc.		5.750		08/15/20			226,000				224,609				232,498
International Automotive Component		9.125		06/01/18			1,000,000				992,032				1,000,000
J.B. Poindexter Co., Inc.		9.000		04/01/22			1,000,000				1,032,023				1,045,000
JBS USA Holdings, Inc.		7.750		10/28/20			750,000				770,916				766,875
JDA Escrow LLC		7.375		10/15/24			179,000				179,000				183,251
Jupiter Resources Inc.		8.500		10/01/22			1,000,000				943,392				717,500
KeHE Distributors, LLC		7.625		08/15/21			1,000,000				1,039,270				1,005,000
LBC Tank Terminals Holding Netherlands B.V.		6.875		05/15/23			1,315,000				1,342,762				1,380,750
Mallinckrodt PLC		5.750		08/01/22			1,000,000				1,000,000				977,500
Micron Technology, Inc.		5.250		08/01/23			669,000				669,000				697,767
Moog Inc.		5.250		12/01/22			1,000,000				1,005,609				1,042,500
New Gold Inc.		6.250		11/15/22			1,000,000				1,004,592				1,038,750

Corporate Restricted Securities: (A)  (Continued)		Interest Rate		Maturity Date		Principal Amount				Cost				Market Value
New Gold Inc.		6.375	%	05/15/25		$	231,000			$	231,000			$	244,282
Numericable Group SA		6.000		05/15/22			1,000,000				980,888				1,045,000
Onex Corporation		8.500		10/01/22			1,352,000				1,291,613				1,331,720
OPE KAG Finance Sub		7.875		07/31/23			1,750,000				1,808,891				1,798,125
Ortho-Clinical Diagnostics, Inc.		6.625		05/15/22			1,261,000				1,242,252				1,235,780
Peabody Energy Corporation		6.615		03/31/25			1,000,000				985,721				1,027,500
Pinnacle Operating Corporation		9.000		05/15/23			756,588				934,013				714,976
Prime Security Services Borrower		9.250		05/15/23			1,000,000				1,000,000				1,103,560
PSPC Escrow Corp		6.500		02/01/22			299,000				261,186				309,839
Sabre GLBL Inc.		5.250		11/15/23			251,000				251,000				257,903
Signode Industrial Group		6.375		05/01/22			1,265,000				1,240,297				1,312,438
Sinclair Television Group, Inc.		5.125		02/15/27			1,000,000				1,000,000				971,250
Sirius XM Radio Inc.		5.375		04/15/25			250,000				250,000				263,750
Sirius XM Radio Inc.		5.375		07/15/26			1,000,000				993,401				1,052,500
Sonic Automotive, Inc.		6.125		03/15/27			352,000				352,000				360,800
Suncoke Energy		7.500		06/15/25			1,000,000				985,018				1,032,500
Tallgrass Operations LLC		5.500		09/15/24			605,000				605,000				621,637
Teine Energy Ltd.		6.875		09/30/22			1,300,000				1,308,381				1,322,750
Tempo Acquisition LLC		6.750		06/01/25			216,000				216,000				218,160
Topaz Marine S.A.		9.125		07/26/22			1,000,000				1,000,000				1,000,750
Tullow Oil Plc		6.250		04/15/22			725,000				559,840				705,062
Unitymedia KabelBW GmbH		6.125		01/15/25			1,000,000				1,000,000				1,066,250
Univision Communications, Inc.		5.125		05/15/23			325,000				325,000				331,500
Univision Communications, Inc.		5.125		02/15/25			127,000				128,359				128,111
UPCB Finance IV Limited		5.375		01/15/25			425,000				425,000				442,000
USIS Merger Sub Inc.		6.875		05/01/25			1,000,000				1,000,000				1,018,750
VFH Parent LLC / Orchestra Co-Issuer Inc		6.750		06/15/22			174,000				174,000				181,178
Virgin Media Secured Finance PLC		5.250		01/15/26			1,000,000				1,004,857				1,041,250
VistaJet Malta Finance P.L.C.		7.750		06/01/20			786,000				707,179				707,400
VRX Escrow Corp.		5.875		05/15/23			1,500,000				1,149,947				1,325,625
Watco Companies, L.L.C.		6.375		04/01/23			1,000,000				1,000,000				1,037,500
Welltec A/S		8.000		02/01/19			750,000				746,142				750,000
West Corporation		5.375		07/15/22			1,000,000				986,913				1,010,000
West Street Merger Sub Inc.		6.375		09/01/25			1,110,000				1,109,551				1,104,450
WMG Acquisition Corp.		6.750		04/15/22			1,000,000				1,034,691				1,051,250
Wolverine World Wide, Inc.		5.000		09/01/26			666,000				666,000				666,199
Zekelman Industries, Inc		9.875		06/15/23			230,000				230,000				259,324
Total Bonds											60,453,806				61,931,225
Common Stock - 0.00%
TherOX, Inc. (B)							6				—				—
Touchstone Health Partnership (B)							1,168				—				—
Total Common Stock											—				—
Total Rule 144A Securities											60,453,806				61,931,225
Total Corporate Restricted Securities										$	265,189,444			$	276,279,625

Corporate Public Securities - 16.13%: (A)		Interest Rate		Maturity Date		Principal Amount				Cost				Market Value
Bank Loans - 3.49%
Almonde, Inc.		8.459	%	06/13/25		$	940,734			$	958,941			$	955,851
Aquilex Holdings LLC		6.500		12/31/20			273,105				272,785				270,374
Beacon Roofing Supply, Inc.		0.000		08/24/18			1,000,000				—				—
Big River Steel LLC		6.333		08/11/23			239,600				237,238				241,995
Caelus Energy Alaska, LLC		8.750		04/15/20			1,000,000				995,575				876,250
Cunningham Lindsey U.S., Inc.		5.083		12/10/19			62,483				59,279				60,921
DigiCert, Inc.		8.000		09/07/25			992,526				991,313				1,000,387
Fieldwood Energy LLC		8.000		08/31/20			344,430				316,539				301,377
Fieldwood Energy LLC		8.375		09/30/20			1,044,008				599,383				411,339
Fieldwood Energy LLC		8.375		09/30/20			1,455,992				919,102				997,354
Focus Financial Partners, LLC		8.799		05/09/25			800,000				818,000				810,000
Gulf Finance LLC		6.300		08/25/23			522,050				517,706				490,404
K&N Engineering, Inc.		9.750		12/31/99			1,000,000				982,279				980,000
Kronos Incorporated		9.284		12/31/99			409,457				405,805				422,105
Murray Energy Corporation		7.250		04/16/20			912,668				831,169				834,717
Seadrill Partners Finco, LLC		4.000		02/21/21			982,143				565,082				715,737
Serta Simmons Bedding, LLC		9.310		11/08/24			1,000,000				967,612				959,380
Summit Midstream Holdings, LLC		7.022		03/06/22			305,914				303,166				309,738
WS Packaging Group, Inc.		6.235		08/09/19			181,818				166,643				163,182
Total Bank Loans											10,907,617				10,801,111
Bonds - 12.53%
A. Schulman Inc.		6.875		06/01/23			1,000,000				1,010,978				1,037,500
Alere Inc.		7.250		07/01/18			940,000				950,751				942,350
AMC Entertainment Holdings, Inc.		6.125		05/15/27			1,000,000				972,706				987,500
Anixter, Inc.		5.500		03/01/23			1,000,000				1,000,000				1,087,500
Antero Resources Corporation		5.375		11/01/21			800,000				800,000				821,000
Beazer Homes USA Inc.		6.750		03/15/25			598,000				598,000				629,754
Beazer Homes USA Inc.		8.750		03/15/22			320,000				320,000				353,720
Boyd Gaming Corporation		6.375		04/01/26			197,000				197,000				214,976
Calpine Corporation		5.750		01/15/25			700,000				700,000				660,625
CHS/Community Health Systems, Inc.		5.125		08/01/21			480,000				472,916				474,000
CHS/Community Health Systems, Inc.		6.250		03/31/23			298,000				298,000				292,785
Clear Channel Worldwide Holdings, Inc.		7.625		03/15/20			1,000,000				997,573				987,500
Clearwater Paper Corporation		4.500		02/01/23			750,000				745,506				748,125
Commercial Metals Company		4.875		05/15/23			1,500,000				1,501,960				1,567,500
CVR Refining LLC		6.500		11/01/22			650,000				635,592				663,000
EP Energy Corporation		9.375		05/01/20			819,000				458,291				681,818
Ferrellgas Partners, L.P		6.750		01/15/22			1,000,000				1,005,259				970,000
Ferrellgas Partners, L.P		8.625		06/15/20			1,048,000				1,048,693				995,600
Genesis Energy, L.P.		5.625		06/15/24			1,000,000				938,107				970,000
GEO Group, Inc. (The)		5.875		01/15/22			1,000,000				956,503				1,036,250

Corporate Public Securities - 16.13%: (A) (Continued)		Interest Rate		Maturity Date		Principal Amount				Cost				Market Value
HCA Holdings, Inc.		5.375	%	02/01/25		$	150,000			$	152,178			$	158,062
HealthSouth Corporation		5.750		11/01/24			579,000				582,236				594,199
Hughes Satellite Systems Corporation		6.625		08/01/26			1,250,000				1,234,278				1,337,500
Icahn Enterprises L.P.		6.000		08/01/20			1,150,000				1,160,922				1,186,743
Kindred Healthcare, Inc.		8.750		01/15/23			701,000				701,000				653,612
Lamar Media Corp.		5.375		01/15/24			320,000				320,000				336,800
Laredo Petroleum, Inc.		5.625		01/15/22			1,000,000				953,604				1,007,500
Level 3 Communications Inc.		5.250		03/15/26			858,000				877,626				879,184
Meritor, Inc.		6.750		06/15/21			636,000				636,000				658,260
Micron Technology, Inc.		7.500		09/15/23			403,000				403,000				447,834
NRG Energy, Inc.		7.250		05/15/26			500,000				502,992				536,250
NRG Energy, Inc.		6.625		01/15/27			1,000,000				955,566				1,047,500
Oasis Petroleum Inc.		6.875		03/15/22			1,000,000				1,000,000				1,017,500
Park-Ohio Industries Inc.		6.625		04/15/27			343,000				343,000				369,583
PBF Holding Company LLC		7.000		11/15/23			65,000				65,000				66,869
Perry Ellis International, Inc.		7.875		04/01/19			250,000				249,270				250,000
P.H. Glatfelter Company		5.375		10/15/20			1,000,000				1,006,381				1,015,500
Ply Gem Industries, Inc.		6.500		02/01/22			1,000,000				951,238				1,045,300
Precision Drilling Corporation		6.625		11/15/20			448,432				454,493				450,114
Select Medical Corporation		6.375		06/01/21			650,000				655,435				669,500
SM Energy Company		6.750		09/15/26			1,500,000				1,487,992				1,500,000
Sprint Corporation		7.125		06/15/24			315,000				315,000				354,375
Suburban Propane Partners, L.P.		5.750		03/01/25			1,000,000				1,000,000				990,000
Sunoco LP		6.250		04/15/21			840,000				836,162				880,194
Tenet Healthcare Corporation		6.750		06/15/23			725,000				722,143				696,000
TransDigm Group, Inc.		6.375		06/15/26			1,000,000				978,425				1,024,380
Triumph Group, Inc.		4.875		04/01/21			1,000,000				963,531				985,500
Western Digital Corporation		10.500		04/01/24			494,000				494,000				580,450
William Lyon Homes		7.000		08/15/22			1,000,000				1,000,000				1,035,000
WPX Energy, Inc.		5.250		09/15/24			925,000				925,000				927,312
Total Bonds											37,534,307				38,822,524
Common Stock - 0.00%
Chase Packaging Corporation		—		—			9,541				—				286
Total Common Stock											—				286
Preferred Stock - 0.11%
Pinnacle Operating Corporation							519,298				339,854				363,509
Total Preferred Stock											339,854				363,509
Total Corporate Public Securities										$	48,781,778			$	49,987,430

Short-Term Securities:		Interest Rate/Yield^		Maturity Date		Principal Amount				Cost				Market Value
Commercial Paper - 1.29%
PACCAR Financial Corp.		1.146	%	10/10/17		$	2,000,000			$	1,999,435			$	1,999,435
Ryder System Inc		1.400		10/26/17			2,000,000				1,998,083				1,998,083
Total Short-Term Securities										$	3,997,518			$	3,997,518
Total Investments		106.57	%							$	317,968,740			$	330,264,573
Other Assets		4.68													14,503,406
Liabilities		(11.25	)												(34,869,992	)
Total Net Assets		100.00	%											$	309,897,987