Barings

Participation Investors

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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Barings Participation Investors

 

TO OUR SHAREHOLDERS

April 30, 2018

 

 

We are pleased to present the March 31, 2018 Quarterly Report of Barings Participation Investors (the "Trust").

 

The Board of Trustees declared a quarterly dividend of $0.27 per share, payable on May 18, 2018 to shareholders of record on May 7, 2018. The Trust paid a $0.27 per share dividend for the preceding quarter. The Trust earned $0.26 per share of net investment income for the first quarter of 2018, compared to $0.27 per share, including $0.02 per share of non-recurring income, in the previous quarter.

 

During the first quarter, the net assets of the Trust increased to $145,920,470 or $13.93 per share compared to $145,480,065 or $13.91 per share on December 31, 2017. This translates into a 0.1% 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 11.0%, 8.2%, 9.9%, 9.9% and 12.2% for the 1, 3, 5, 10, and 25-year periods ended March 31, 2018, respectively, based on the change in the Trust's net assets assuming the reinvestment of all dividends.

 

The Trust's market price increased 4.3% during the quarter, from $14.10 per share as of December 31, 2017 to $14.70 per share as of March 31, 2018. The Trust's market price of $14.70 per share equates to a 5.5% premium over the March 31, 2018 net asset value per share of $13.93. The Trust's average quarter-end premium for the 3, 5 and 10-year periods ended March 31, 2018 was 2.8%, 2.1% and 6.2%, respectively. U.S. small cap equity markets, as approximated by the Russell 2000 Index, decreased 0.1% for the quarter. U.S. high yield income markets, as approximated by the Bloomberg Barclays U.S. Corporate High Yield Index, decreased 0.8% for the quarter.

 

The Trust closed four new private placement investments and three add-on investments to existing portfolio companies during the first quarter. The four new investments were in Clubessential LLC, MeTEOR Education LLC, New Mountain Learning, LLC and U.S. Retirement and Benefit Partners, Inc. The three add-on investments were in MES Partners, Inc., Polytex Holdings LLC and York Wall Holding Company. 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 $5,975,826.

 

It was a good quarter for the Trust in terms of new investments. As noted above, the Trust closed four new investments and three add-on investments this quarter despite middle-market merger and acquisition activity getting off to a slower start in the first quarter of 2018. The expansion of the Trust's target investment criteria in late 2017 into a broader set of the middle market private debt market along with the expansion of the investment adviser's private debt platform have been key contributors to increasing the Trust's new investment volume. Overall, we believe 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've continued to be selective in our investment choices and maintained our underwriting discipline.

 

The Trust's remaining portfolio remains in good condition. There were seven private debt investment exits during the quarter, five of which resulted in realized gains, while two long-time troubled investments (NetShape / Hawk and Church Services) resulted in realized losses. In addition, one company prepaid its subordinated debt held by the Trust. Several companies in which the Trust has outstanding investments are in the process of being sold and we are cautiously optimistic about realization activity from these investments over the next few quarters.

 

The Trust was able to maintain its $0.27 per share quarterly dividend in the first quarter. However, the Trust's recurring investment income was not sufficient to cover this quarter's dividend. As discussed in prior reports, since 2013, recurring investment income alone has generally 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. As referenced above, the Trust's expansion of its target investment criteria in 2017 has allowed for increased private debt investment opportunities, and as a result, higher recurring investment income than the Trust has experienced over the past several years, although recurring investment income was still slightly lower than the quarterly dividend. The level of expected recurring investment income generated by the Trust in 2018, 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, if recurring investment income fails to consistently equal 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 - $106,553,175)		$	105,827,657
Corporate restricted securities at market value (Cost - $14,376,513)			14,286,244
Corporate public securities at market value (Cost - $26,469,155)			26,472,892
Short-term securities at amortized cost			3,997,131
Total investments (Cost - $151,395,974)			150,583,924
Cash			10,730,877
Interest receivable			1,536,430
Other assets			31,230
Total assets			162,882,461
Liabilities:
Note payable			15,000,000
Payable for investments purchased			503,667
Deferred tax liability			497,610
Tax payable			437,734
Investment advisory fee payable			328,321
Interest payable			27,267
Accrued expenses			167,392
Total liabilities			16,961,991
Total net assets		$	145,920,470
Net Assets:
Common shares, par value $.01 per share		$	104,764
Additional paid-in capital			94,742,470
Retained net realized gain on investments, prior years			44,296,000
Undistributed net investment income			3,468,827
Accumulated net realized gain on investments			4,618,069
Net unrealized depreciation of investments			(1,309,660	)
Total net assets		$	145,920,470
Common shares issued and outstanding (14,787,750 authorized)			10,476,416
Net asset value per share		$	13.93

Investment Income:
Interest		$	3,343,691
Dividends			46,721
Other			2,065
Total investment income			3,392,477
Expenses:
Investment advisory fees			328,321
Interest			153,375
Trustees' fees and expenses			60,000
Professional fees			55,565
Reports to shareholders			24,000
Custodian fees			6,000
Other			26,702
Total expenses			653,963
Investment income - net			2,738,514
Net realized and unrealized loss on investments:
Net realized gain on investments before taxes			2,314,375
Income tax expense			(14,240	)
Net realized gain on investments after taxes			2,300,135
Net increase (decrease) in unrealized appreciation (depreciation) of investments before taxes			(5,125,195	)
Net (increase) decrease in deferred income tax expense			272,103
Net increase (decrease) in unrealized appreciation (depreciation) of investments after taxes			(4,853,092	)
Net gain on investments			(2,552,957	)
Net increase in net assets resulting from operations		$	185,557

Net increase in cash:
Cash flows from operating activities:
Purchases/Proceeds/Maturities from short-term portfolio securities, net		$	2,062,904
Purchases of portfolio securities			(7,756,587	)
Proceeds from disposition of portfolio securities			12,608,148
Interest, dividends and other income received			2,640,861
Interest expense paid			(153,375	)
Operating expenses paid			(485,540	)
Income taxes paid			(1,389,855	)
Net cash provided by operating activities			7,526,556
Cash flows from financing activities:
Cash dividends paid from net investment income			(2,823,704	)
Receipts for shares issued on reinvestment of dividends			254,848
Net cash used for financing activities			(2,568,856	)
Net increase in cash			4,957,700
Cash - beginning of period			5,773,177
Cash - end of period		$	10,730,877
Reconciliation of net increase in net assets to net cash provided by operating activities:
Net increase in net assets resulting from operations		$	185,557
Decrease in investments			8,716,697
Increase in interest receivable			(241,479	)
Increase in other assets			(5,216	)
Increase in payable for investments purchased			503,667
Decrease in deferred tax liability			(272,103	)
Decrease in tax payable			(1,375,615	)
Increase in investment advisory fee payable			991
Increase in accrued expenses			14,057
Total adjustments to net assets from operations			7,340,999
Net cash provided by operating activities		$	7,526,556

		For the three months ended 3/31/2018 (Unaudited)				For the year ended 12/31/2017
Increase in net assets:
Operations:
Investment income - net		$	2,738,514			$	11,340,081
Net realized gain on investments after taxes			2,300,135				2,280,108
Net change in unrealized (depreciation) appreciation of investments after taxes			(4,853,092	)			5,517,329
Net increase in net assets resulting from operations			185,557				19,137,518
Increase from common shares issued on reinvestment of dividends
Common shares issued (2018 - 18,254; 2017 - 71,989)			254,848				1,001,726
Dividends to shareholders from:
Net investment income (2018 - $0.00 per share; 2017 - $1.08 per share)			—				(11,265,910	)
Total increase in net assets			440,405				8,873,334
Net assets, beginning of period/year			145,480,065				136,606,731
Net assets, end of period/year (including undistributed net investment income of $3,468,827 and $730,313, respectively)		$	145,920,470			$	145,480,065

		For the three months ended 3/31/2018 (Unaudited)				For the years ended December 31,
						2017				2016				2015				2014
Net asset value:
Beginning of period/year		$	13.91			$	13.15			$	13.10			$	13.35			$	12.83
Net investment income (a)			0.26				1.09				1.00				0.95				1.04
Net realized and unrealized gain (loss) on investments			(0.24	)			0.75				0.13				(0.12	)			0.57
Total from investment operations			0.02				1.84				1.13				0.83				1.61
Dividends from net investment income to common shareholders			—				(1.08	)			(1.08	)			(1.08	)			(0.96	)
Dividends from realized gain on investments to common shareholders			—				—				—				—				(0.12	)
Increase from dividends reinvested			(0.00	) (b)			(0.00	) (b)			(0.00	) (b)			(0.00	) (b)			(0.01	)
Total dividends			—				(1.08	)			(1.08	)			(1.08	)			(1.09	)
Net asset value:
End of period/year		$	13.93			$	13.91			$	13.15			$	13.10			$	13.35
Per share market value:
End of period/year		$	14.70			$	14.10			$	14.20			$	13.75			$	13.23
Total investment return
Net asset value (c)			0.14%				14.29%				8.75%				6.23%				13.61%
Market value (c)			4.26%				7.21%				11.45%				12.66%				12.54%
Net assets (in millions):
End of period/year		$	145.92			$	145.48			$	136.61			$	135.35			$	137.57
Ratio of total expenses to average net assets			1.86%	(d)			3.23%				2.26%				2.17%				2.84%
Ratio of operating expenses to average net assets			1.39%	(d)			1.49%				1.35%				1.49%				1.49%
Ratio of interest expense to average net assets			0.43%	(d)			0.43%				0.44%				0.44%				0.45%
Ratio of income tax expense to average net assets			0.04%	(d)			1.31%				0.47%				0.24%				0.90%
Ratio of net investment income to average net assets			7.60%	(d)			7.92%				7.45%				6.95%				7.82%
Portfolio turnover			5%				24%				31%				30%				32%

Senior borrowings:
Total principal amount (in millions)		$	15			$	15			$	15			$	15			$	15
Asset coverage per $1,000 of indebtedness		$	10,728			$	10,699			$	10,107			$	10,023			$	10,171

Corporate Restricted Securities - 82.31%: (A)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
Private Placement Investments - 72.52%: (C)
1A Smart Start, Inc.
A designer, distributor and lessor of ignition interlock devices ("IIDs"). IIDs are sophisticated breathalyzers wired to a vehicles ignition system.
10.13% Second Lien Term Loan due 12/22/2022 (LIBOR + 8.250%)		$	1,725,000			12/21/17				$	1,692,526			$	1,696,653
ABC Industries, Inc.
A manufacturer of mine and tunneling ventilation products in the U.S.
13% Senior Subordinated Note due 07/31/2019		$	109,335			08/01/12					106,135				109,335
Preferred Stock Series A (B)		125,000 shs.				08/01/12					125,000				225,763
Warrant, exercisable until 2022, to purchase common stock at $.02 per share (B)		22,414 shs.				08/01/12					42,446				37,807
											273,581				372,905
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)		1,945 uts.					*				207,911				24,489
* 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		$	1,218,447			03/27/15					1,205,713				1,218,447
Preferred Stock (B)		1,122 shs.				03/27/15					112,154				144,498
Common Stock (B)		346 shs.				03/27/15					346				—
											1,318,213				1,362,945
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		288 uts.				11/18/14					288,000				903,249
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.
11.5% (1.5% PIK) Senior Subordinated Note due 04/30/2023		$	1,568,182			10/31/16					1,542,172				1,557,481
11.5% (1.25% PIK) Senior Subordinated Note due 04/30/2023		$	206,039			10/06/17					202,183				204,166
Common Stock (B)		156,818 shs.				10/31/16					156,818				184,475
											1,901,173				1,946,122

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)		114 uts.				10/04/12				$	113,636			$	232,510
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		$	1,406,978			04/22/16					1,401,943				1,421,048
Limited Liability Company Unit (B)		0.40% int.				04/20/16					345,000				565,800
											1,746,943				1,986,848
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		$	1,723,846				*				1,712,926				1,723,846
Limited Partnership Interest		524 uts.				08/01/14					523,950				984,031
* 05/21/13 and 08/01/14.											2,236,876				2,707,877
ASC Holdings, Inc.
A manufacturer of capital equipment used by corrugated box manufacturers.
13% (1% PIK) Senior Subordinated Note due 05/18/2021		$	758,089			11/19/15					748,373				727,862
Limited Liability Company Unit (B)		111,100 uts.				11/18/15					111,100				48,551
											859,473				776,413
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		$	1,515,400			08/17/15					1,495,326				1,475,715
Preferred Stock (B)		210 shs.				08/17/15					209,390				128,380
Common Stock (B)		210 shs.				08/17/15					210				—
											1,704,926				1,604,095
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 03/21/2021 (D)		$	6,777			07/31/14					6,650				—
Limited Liability Company Unit (B)(F)		45,504 uts.					*				—				—
Limited Liability Company Unit Class C Preferred (B)(F)		78,358 uts.				09/29/17					484,578				—
* 07/31/14 and 10/14/15.											491,228				—

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage					Acquisition Date			Cost				Fair Value
BCC Software, Inc.
A provider of software and data solutions which enhance mail processing to help direct mail marketers realize discounts from the U.S. Postal Service, avoid penalties associated with mailing errors, and improve the accuracy and efficiency of marketing campaigns.
12% (1% PIK) Senior Subordinated Note due 04/11/2023		$	1,498,904				10/11/17			$	1,470,919			$	1,481,118
Preferred Stock Series A (B)		23 shs.					10/11/17				232,373				232,400
Common Stock Class A (B)		735 shs.					10/11/17				735				3,458
											1,704,027				1,716,976
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		$	1,462,403				04/28/17				1,435,986				1,459,283
Limited Liability Company Unit (B)(F)		2,760 uts.					04/28/17				276,000				161,179
											1,711,986				1,620,462
Blue Wave Products, Inc.
A distributor of pool supplies.
10% Senior Secured Term Note due 09/30/2018		$	39,716				10/12/12				39,633				39,716
13% (1% PIK) Senior Subordinated Note due 09/30/2019		$	335,579				10/12/12				328,421				335,579
Common Stock (B)		51,064 shs.					10/12/12				51,064				369,886
Warrant, exercisable until 2022, to purchase common stock at $.01 per share (B)		20,216 shs.					10/12/12				20,216				146,436
											439,334				891,617
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)		$	1,585,908				06/30/15				1,561,276				—
Common Stock (B)		1,417 shs.					06/30/15				156,800				—
											1,718,076				—
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		$	794,786				01/19/11				789,043				794,786
14% (2% PIK) Senior Subordinated Note due 06/19/2020		$	210,244				08/03/12				208,991				210,244
Common Stock (B)		375 shs.					01/19/11				37,500				37,655
Warrant, exercisable until 2021, to purchase common
stock at $.01 per share (B)		295 shs.					01/19/11				29,250				29,599
											1,064,784				1,072,284

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
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		$	2,061,665				*			$	2,036,963			$	2,062,880
Limited Liability Company Unit (B)		1,853 uts.				07/18/16					189,267				181,462
* 10/01/14 and 07/18/16.											2,226,230				2,244,342
Clough, Harbour and Associates
An engineering service firm that is located in Albany, NY.
Preferred Stock (B)		147 shs.				12/02/08					146,594				1,311,014
Clubessential LLC
A leading SaaS platform for private clubs and resorts.
7% (5% PIK) Senior Subordinated Note due 01/12/24		$	1,742,729			01/16/18					1,708,984				1,713,111
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)		230 uts.				03/04/15					147,305				221,612
CORA Health Services, Inc.
A provider of outpatient rehabilitation therapy services.
12.75% (1.75% PIK) Senior Subordinated Note due 06/30/2023		$	781,809			06/30/16					769,372				797,445
Preferred Stock Series A (B)		758 shs.				06/30/16					72,033				89,564
Common Stock Class A (B)		3,791 shs.				06/30/16					3,791				23,926
											845,196				910,935
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		$	1,346,250			11/22/13					1,337,529				1,346,250
Common Stock (B)		90 shs.					*				514,284				582,502
* 11/22/13 and 09/16/16.											1,851,813				1,928,752
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		$	1,420,588			10/07/16					1,396,973				1,403,895
Limited Liability Company Unit (B)(F)		304,412 uts.				10/07/16					304,412				337,897
											1,701,385				1,741,792

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage					Acquisition Date			Cost				Fair Value
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		$	1,439,412				05/04/12			$	1,430,797			$	1,438,470
Preferred Stock (B)		25 shs.					05/04/12				252,434				250,284
Common Stock (B)		25 shs.					05/04/12				28,048				—
											1,711,279				1,688,754
Dunn Paper
A provider of specialty paper for niche product applications.
10.63% Second Lien Term Loan due 08/26/2023 (LIBOR + 8.750%)		$	1,725,000				09/28/16				1,697,849				1,716,375
Eagle Family Foods, Inc.
A producer of low-cost branded and private label canned milk.
11.35% Last Out Term Loan due 12/31/2021 (LIBOR + 9.050%)		$	1,725,000				12/22/15				1,708,828				1,719,624
11.35% Second Last Out Term Loan due 12/31/2021 (LIBOR + 9.050%)		$	177,404				09/07/17				175,858				176,851
											1,884,686				1,896,475
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		$	1,326,719				11/21/14				1,311,119				1,326,719
Limited Liability Company Unit (B)(F)		230 uts.					11/19/14				71,875				175,617
											1,382,994				1,502,336
Elite Sportwear 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		$	1,588,640				10/14/16				1,567,693				1,438,053
Limited Liability Company Unit (B)(F)		101 uts.					10/14/16				159,722				68,320
											1,727,415				1,506,373
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		$	1,332,289				06/30/17				1,308,016				1,317,959
Limited Liability Company Unit (B)(F)		397,695 uts.					06/30/17				397,695				429,511
											1,705,711				1,747,470

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage					Acquisition Date			Cost				Fair Value
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		$	987,658				04/04/14			$	981,083			$	987,658
14% (2% PIK) Senior Subordinated Note due 10/04/2019		$	260,936				07/01/16				258,310				263,545
Common Stock (B)		0.31% int.					04/04/14				77,533				191,889
											1,316,926				1,443,092
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)		171 uts.					09/27/10				58,345				89,191
Limited Liability Company Unit Common (B)		171 uts.					09/27/10				17,073				164,196
											75,418				253,387
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)		80,559 uts.					04/15/14				—				80,559
Limited Liability Company Unit Class B-1 (B)		65,789 uts.					12/15/10				65,789				390,027
Limited Liability Company Unit Class B-2 (B)		8,248 uts.					12/15/10				8,248				48,898
Limited Liability Company Unit Class B-3 (B)		6,522 uts.					08/30/12				15,000				40,360
Limited Liability Company Unit Class C (B)		1,575 uts.					12/20/10				16,009				63,697
											105,046				623,541
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)		76 uts.					10/05/12				75,920				4,390
Limited Liability Company Unit Common (B)		767 uts.					10/05/12				767				—
											76,687				4,390
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		$	1,250,828				03/27/13				1,245,674				1,125,745
Common Stock (B)		1,181 shs.					03/27/13				118,110				21,769
											1,363,784				1,147,514
Glynlyon Holding Companies, Inc.
A technology-enabled curriculum provider of K-12 and support services predominantly to small and medium public school districts.
Common Stock (B)		$ 147 shs.					01/15/16				103,205				230,223

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
GlynnDevins Acquisition Corporation
A marketing communications agency that services senior living facilities.
Preferred Stock Series A (B)		342 shs.				06/19/15				$	70,683			$	85,969
Common Stock (B)		342 shs.				06/19/15					2,945				79,571
											73,628				165,540
Grakon Parent
The leading designer and manufacturer of highly-engineered and customized LED and incandescent lighting systems for transportation-based markets.
Common Stock (B)		175 shs.				10/31/14					174,831				234,860
GraphPad Software, Inc.
A provider of data analysis, statistics and graphing software solution for scientific research applications, with a focus on the life sciences and academic end-markets.
7.66% Term Loan due 12/21/2022 (LIBOR + 6.000%)		$	2,465,000			12/19/17					2,417,979				2,425,044
GTI Holding Company
A designer, developer, and marketer of precision specialty hand tools and handheld test instruments.
12% Senior Subordinated Note due 05/22/2023		$	727,865			02/05/14					705,100				727,865
Common Stock (B)		1,046 shs.					*				104,636				136,533
Warrant, exercisable until 2027, to purchase common stock at $.01 per share (B)		397 shs.				02/05/14					36,816				51,820
* 02/05/14 and 11/22/17.											846,552				916,218
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		$	1,725,000				*				1,703,391				1,725,000
Limited Liability Company Unit Preferred (B)		372 uts.					**				371,644				453,479
Limited Liability Company Unit Common Class A (B)		3,594 uts.				12/19/14					—				30,541
* 12/19/14 and 02/21/17.											2,075,035				2,209,020
* *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		$	1,603,279			07/01/16					1,578,847				1,614,703
Common Stock (B)		150 shs.				07/01/16					149,500				195,455
											1,728,347				1,810,158

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
Hartland Controls Holding Corporation
A manufacturer and distributor of electronic and electromechanical components.
14% (2% PIK) Senior Subordinated Note due 08/14/2020		$	1,134,316			02/14/14				$	1,125,509			$	1,134,316
12% Senior Subordinated Note due 08/14/2020		$	431,250			06/22/15					429,205				435,563
Common Stock (B)		821 shs.				02/14/14					822				279,417
											1,555,536				1,849,296
HHI Group, LLC
A developer, marketer, and distributor of hobby-grade radio control products.
14% (2% PIK) Senior Subordinated Note due 11/26/2020		$	1,659,144			01/17/14					1,646,551				1,659,144
Limited Liability Company Unit (B)(F)		102 uts.				01/17/14					101,563				38,959
											1,748,114				1,698,103
Hollandia Produce LLC
A hydroponic greenhouse producer of branded root vegetables.
14.25% (2.75% PIK) Senior Subordinated Note due 12/11/2020		$	1,411,671				*				1,394,952				1,129,336
* 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)		47 uts.				10/14/11					—				—
Limited Liability Company Unit Class G (B)(F)		114 uts.				10/14/11					—				—
Limited Liability Company Unit Class H (B)(F)		47 uts.				10/14/11					—				—
Limited Liability Company Unit Class I (B)(F)		47 uts.				10/14/11					—				—
											—				—
Hospitality Mints Holding Company
A manufacturer of individually-wrapped imprinted promotional mints.
12% Senior Subordinated Note due 10/01/2019		$	1,098,837			08/19/08					1,097,523				988,953
Common Stock (B)		251 shs.				08/19/08					251,163				—
Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B)		65 shs.				08/19/08					60,233				—
											1,408,919				988,953
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.
15% (15% PIK) Senior Subordinated Note due 11/10/2020		$	1,213,848			11/10/14					1,202,516				—
Common Stock (B)		2,300 shs.				11/10/14					230,000				—
											1,432,516				—

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage					Acquisition Date			Cost				Fair Value
JMH Investors LLC
A developer and manufacturer of custom formulations for a wide variety of foods.
Limited Liability Company Unit (B)(F)		1,038,805 uts.					12/05/12			$	232,207			$	—
Limited Liability Company Unit Class A-1 (B)(F)		159,048 uts.					10/31/16				159,048				243,694
Limited Liability Company Unit Class A-2 (B)(F)		1,032,609 uts.					10/31/16				—				107,278
											391,255				350,972
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)		40 uts.					06/30/15				—				92,266
Common Stock (B)		353 shs.					07/15/08				285,619				446,690
											285,619				538,956
Manhattan Beachwear Holding Company
A designer and distributor of women's swimwear.
12.5% Senior Subordinated Note due 04/30/2019 (D)		$	419,971				01/15/10				404,121				377,974
15% (2.5% PIK) Senior Subordinated Note due 04/30/2019 (D)		$	115,253				10/05/10				114,604				103,727
Common Stock (B)		35 shs.					10/05/10				35,400				13,742
Common Stock Class B (B)		118 shs.					01/15/10				117,647				45,670
Warrant, exercisable until 2019, to purchase common stock at $.01 per share (B)		104 shs.					10/05/10				94,579				40,418
											766,351				581,531
Master Cutlery LLC
A designer and marketer of a wide assortment of knives and swords.
13% Senior Subordinated Note due 04/17/2020		$	868,102				04/17/15				863,322				651,077
Limited Liability Company Unit		5 uts.					04/17/15				678,329				—
											1,541,651				651,077
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)		$	454,295				09/22/11				449,013				340,721
15% PIK Senior Subordinated Note due 04/30/2022 (D)		$	23,839				08/18/15				23,839				—
14% PIK Senior Subordinated Note due 06/30/2019		$	64,149				*				64,149				63,917
Common Stock Class A (B)		83,080 shs.					**				170,705				—
* 10/21/16, 01/27/17 and 10/13/17.											707,706				404,638
** 08/18/15, 10/20/16 and 01/27/17.

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
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		$	1,120,538			09/30/14				$	1,107,449			$	1,119,273
12% Senior Subordinated Note due 09/30/2021		$	301,038			02/28/18					295,142				300,699
Common Stock Class B (B)		259,252 shs.					*				244,163				160,736
* 09/30/14 and 02/28/18.											1,646,754				1,580,708
MeTEOR Education LLC
A leading provider of classroom and common area design services, furnishings, equipment and instructional support to K-12 schools.
12% Senior Subordinated Note due 6/20/23		$	915,819			03/09/18					897,644				919,342
Limited Liability Company Unit (B)(F)		182 uts.				03/09/18					183,164				164,794
											1,080,808				1,084,136
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		$	1,574,427			12/02/16					1,548,401				1,583,365
Preferred Stock (B)		1,711 shs.				12/02/16					171,116				159,908
Common Stock (B)		242 shs.				12/02/16					242				—
											1,719,759				1,743,273
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 05/02/2020		$	1,342,840			11/02/12					1,334,765				1,342,840
Common Stock (B)		45 shs.				11/02/12					44,643				71,871
											1,379,408				1,414,711
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		$	1,756,918			04/29/16					1,732,210				1,625,761
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		$	285,428			11/30/10					283,873				285,428
Limited Liability Company Unit Class B-1 (B)(F)		75,000 uts.				11/30/10					—				41,932
Limited Liability Company Unit Class B-2 (B)(F)		6,801 uts.				11/30/10					—				3,802
											283,873				331,162

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
New Mountain Learning, LLC
A leading provider of blended learning solutions to the K-12 and post-secondary school market.
8.65% Term Loan due 3/16/2024 (LIBOR + 5.500%)		$	1,792,448			03/15/18				$	1,383,358			$	1,384,410
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		$	1,527,814			06/30/16					1,503,669				1,535,805
Common Stock (B)		207 shs.				05/17/16					207,000				258,516
											1,710,669				1,794,321
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 08/17/2022		$	1,775,705			02/17/17					1,750,033				1,776,902
Common Stock Class B (B)		380,545 shs.					*				380,545				489,967
* 01/29/16 and 02/17/17.											2,130,578				2,266,869
Pegasus Transtech Corporation
A provider of end-to-end document, driver and logistics management solutions, which enable its customers (carriers, brokers, and drivers) to operate more efficiently, reduce manual overhead, enhance compliance, and shorten cash conversion cycles.
11.25% Term Loan due 11/16/2022		$	346,855			11/14/17					337,169				338,086
7.84% Term Loan due 11/17/2024 (LIBOR + 6.250%)		$	2,122,639			11/14/17					1,936,298				1,943,515
											2,273,467				2,281,601
Petroplex Inv Holdings LLC
A leading provider of acidizing services to E&P customers in the Permian Basin.
Limited Liability Company		0.40% int.					*				175,339				18,929
* 11/29/12 and 12/20/16.											175,339				18,929
Polytex Holdings LLC
A manufacturer of water based inks and related products serving primarily the wall covering market.
13.9% (1% PIK) Senior Subordinated Note due 01/31/2020		$	1,112,667			07/31/14					1,103,503				834,499
Limited Liability Company Unit		148,096 uts.				07/31/14					148,096				—
Limited Liability Company Unit Class F		36,976 uts.					*				24,802				—
* 09/28/17 and 02/15/18.											1,276,401				834,499

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage					Acquisition Date			Cost				Fair Value
Power Stop Holdings LLC
A supplier of performance upgrade aftermarket brake products.
Limited Liability Company Unit Preferred (B)(F)		1,149 uts.					05/29/15			$	114,900			$	116,220
Limited Liability Company Unit Common (B)(F)		1,149 uts.					05/29/15				—				173,920
											114,900				290,140
PPC Event Services
A special event equipment rental business.
14% (2% PIK) Senior Subordinated Note due 05/20/2020		$	1,196,358				11/20/14				1,185,660				1,196,358
Limited Liability Company Unit (B)		3,450 uts.					11/20/14				172,500				406,473
Limited Liability Company Unit Series A-1 (B)		339 uts.					03/16/16				42,419				45,716
											1,400,579				1,648,547
Randy's Worldwide Automotive
A designer and distributor of automotive aftermarket parts.
Common Stock (B)		118 shs.					05/12/15				118,476				317,186
ReelCraft Industries, Inc.
A designer and manufacturer of heavy-duty reels for diversified industrial, mobile equipment OEM, auto aftermarket, government/military and other end markets.
10.5% (0.5% PIK) Senior Subordinated Note due 02/28/2023		$	1,434,146				11/13/17				1,434,146				1,420,606
Limited Liability Company Unit Class B		293,617 uts.					11/13/17				293,617				352,647
											1,727,763				1,773,253
Signature Systems Holding Company
A seller and installer of a variety of modular surfaces, industrial matting and related products used for ground protection.
Common Stock (B)		76 shs.					03/15/13				75,509				135,211
Warrant, exercisable until 2023, to purchase common stock A at $.01 per share (B)		31 shs.					03/15/13				28,316				55,241
											103,825				190,452
Smart Source Holdings LLC
A short-term computer rental company.
Limited Liability Company Unit (B)		328 uts.					*				261,262				491,723
Warrant, exercisable until 2020, to purchase common stock at $.01 per share (B)		83 shs.					*				67,467				124,554
* 08/31/07 and 03/06/08.											328,729				616,277

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage					Acquisition Date			Cost				Fair Value
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)		$	738,694				10/18/13			$	726,147			$	—
Common Stock (B)	841 shs.						10/18/13				84,100				—
											810,247				—
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		$	1,725,000				05/23/16				1,699,558				1,730,504
SR Smith LLC
A manufacturer of mine and tunneling ventilation products in the United States.
11% Senior Subordinated Note due 03/27/2022		$	867,652				03/27/17				858,548				867,098
Limited Liability Company Unit Series A (B)(F)	14 uts.						03/27/17				846,631				1,082,971
											1,705,179				1,950,069
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)	158,967 shs.						12/13/13				158,967				255,188
Preferred Stock Series A-2 (B)	26,543 shs.						09/10/15				29,994				42,609
											188,961				297,797
Strategic Insight, Inc.
A provider of largely proprietary data, market research, and business intelligence to the global asset management industry.
10.94% Second Lien Term Loan due 12/21/2024 (LIBOR + 9.250%)		$	1,725,000				12/28/17				1,687,604				1,692,260
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)		$	1,428,470				*				1,358,229				999,929
Common Stock (B)	38 shs.						12/14/10				38,168				—
Warrant, exercisable until 2020, to purchase common stock at $.01 per share (B)	37 shs.						12/14/10				37,249				—
* 12/14/10, 08/17/12 and 03/31/16.											1,433,646				999,929

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
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		$	1,311,972			07/31/15				$	1,296,893			$	1,147,975
Common Stock (B)		68 shs.					*				104,986				4,885
* 07/31/15 and 11/08/17.											1,401,879				1,152,860
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)		95,800 uts.				10/15/15					95,800				184,032
Therma-Stor Holdings LLC
A designer and manufacturer of dehumidifiers and water damage restoration equipment for residential and commercial applications.
10.5% (0.5% PIK) Senior Subordinated Note due 11/30/2023		$	1,367,920			11/30/17					1,367,920				1,354,684
Limited Liability Company Unit		359,375 uts.				11/30/17					342,851				273,628
											1,710,771				1,628,312
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		$	75,063			12/05/13					229,252				75,063
Warrant, exercisable until 2023, to purchase common stock at $.01 per share (B)		28,079 shs.				12/05/13					—				21,340
											229,252				96,403
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		$	1,164,991			01/23/15					1,153,464				1,055,906
U.S. Retirement and Benefit Partners, Inc.
A leading independent provider of outsourced benefit design and administration and retirement services, primarily to K-12 school districts, employee unions, and governmental agencies.
10.38% Second Lien Term Loan due 2/14/2023 (LIBOR + 8.500%)		$	1,725,000			03/05/18					1,345,546				1,347,328
Velocity Technology Solutions, Inc.
A provider of outsourced hosting services for enterprise resource planning software applications and information technology infrastructure to mid and large-sized enterprises.
8.03% Lien Term Loan due 12/07/2023 (LIBOR + 6.000%)		$	2,100,000			12/07/17					2,080,066				2,088,014

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.
11.30% Second Lien Term Loan due 01/29/2023 (LIBOR + 9.000%)		$	2,012,500				*			$	1,984,017			$	1,994,258
* 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)		3,632 shs.				03/31/14					363,158				720,667
Wellborn Forest Holding Company
A manufacturer of semi-custom kitchen and bath cabinetry.
8% Senior Subordinated Note due 09/30/2019 (D)		$	1,778,423			11/30/06					1,114,956				1,778,423
Common Stock (B)		101 shs.				11/30/06					101,250				14,033
Warrant, exercisable until 2019, to purchase common stock at $.01 per share (B)		51 shs.				11/30/06					45,790				7,006
											1,261,996				1,799,462
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		$	380,203			08/03/15					375,948				384,005
Limited Liability Company Unit (B)(F)		370,241 uts.				08/03/15					370,241				445,221
											746,189				829,226
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		$	1,488,115			04/18/17					1,469,701				1,481,132
Limited Liability Company Unit Class A (B)(F)		123 uts.				04/18/17					148,096				136,401
Limited Liability Company Unit Class B (B)(F)		123 uts.				04/18/17					—				34,895
											1,617,797				1,652,428
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		$	1,620,495			01/22/16					1,599,070				1,636,700
Common Stock (B)		157 shs.				01/22/16					156,818				186,034
											1,755,888				1,822,734

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
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		$	997,268			11/03/11				$	995,070			$	997,268
Common Stock (B)		1,500 shs.				11/03/11					150,000				135,414
											1,145,070				1,132,682
York Wall Holding Company
A designer, manufacturer and marketer of wall covering products for both residential and commercial wall coverings.
14.5% (1.5% PIK) Senior Subordinated Note due 03/04/2021 (D)		$	1,946,834			03/04/15					1,549,582				1,750,985
Common Stock (B)		2,046 shs.					*				200,418				4,931
* 03/04/15 and 02/07/18.											1,750,000				1,755,916
Total Private Placement Investments (E)										$	106,553,175			$	105,827,657

Corporate Restricted Securities: (A) (Continued)		Interest Rate		Maturity Date		Principal Amount				Cost				Market Value
Rule 144A Securities - 9.79%:
Bonds - 9.79%
Alliance Residential Company		7.500	%	05/01/25		$	500,000			$	520,107			$	525,000
Altice Financing S.A.		7.500		05/15/26			400,000				400,000				392,000
Amsted Industries		5.375		09/15/24			240,000				240,000				240,000
Avantor Inc.		6.000		10/01/24			406,000				406,000				403,970
Beacon Roofing Supply, Inc.		4.875		11/01/25			406,000				406,000				386,715
Boyne USA, Inc.		7.250		05/01/25			167,000				167,000				171,384
CITGO Petroleum Corporation		6.250		08/15/22			425,000				425,000				421,281
CVR Partners, LP.		9.250		06/15/23			500,000				489,978				532,350
Dell Inc.		4.420		06/15/21			600,000				619,691				615,460
EP Energy LLC / Everest Acquisition Finance Inc.		9.375		05/01/24			406,000				242,270				288,768
First Quantum Minerals Ltd.		7.500		04/01/25			500,000				484,518				492,500
Hertz Corporation		7.625		06/01/22			500,000				500,000				507,500
Hilcorp Energy Company		5.000		12/01/24			335,000				335,000				329,975
IAMGOLD Corporation		7.000		04/15/25			500,000				500,000				511,250
J.B. Poindexter Co., Inc.		9.000		04/01/22			401,000				401,000				413,531
JBS USA Lux S.A.		6.750		02/15/28			476,000				476,000				456,960
Jupiter Resources Inc.		8.500		10/01/22			500,000				470,827				230,000
LBC Tank Terminals Holding Netherlands B.V.		6.875		05/15/23			663,000				676,036				681,233
Moog Inc.		5.250		12/01/22			500,000				502,661				512,500
New Gold Inc.		6.250		11/15/22			500,000				502,096				510,625
OPE KAG Finance Sub		7.875		07/31/23			500,000				517,654				512,500
Penske Corporation		4.875		07/11/22			500,000				498,852				526,234
Prime Security Services Borrower		9.250		05/15/23			608,000				618,852				658,877
Sinclair Broadcast Group, Inc.		5.875		03/15/26			204,000				204,000				201,960
Sinclair Television Group, Inc.		5.125		02/15/27			500,000				500,000				463,750
Suncoke Energy		7.500		06/15/25			500,000				492,861				515,000
Teine Energy Ltd.		6.875		09/30/22			500,000				506,250				510,000
Topaz Marine S.A.		9.125		07/26/22			500,000				500,000				518,500
Unitymedia KabelBW GmbH		6.125		01/15/25			500,000				500,000				524,375
UPCB Finance IV Limited		5.375		01/15/25			208,000				208,000				200,719
Valeant Pharmaceuticals International		7.000		03/15/24			173,000				173,000				180,353
Virgin Media Secured Finance PLC		5.250		01/15/26			500,000				501,860				481,250
VRX Escrow Corp.		6.125		04/15/25			182,000				182,000				157,066
Warrior Met Coal, Inc.		8.000		11/01/24			209,000				209,000				212,658
Total Bonds											14,376,513				14,286,244
Common Stock - 0.00%
TherOX, Inc. (B)							2				—				—
Touchstone Health Partnership (B)							292				—				—
Total Common Stock											—				—
Total Rule 144A Securities											14,376,513				14,286,244