Barings Participation Investors c/o Barings LLC 1500 Main Street, Suite 2200 Springfield, Massachusetts 01115 (413) 226-1516

The Board of Trustees declared a quarterly dividend of $0.27 per share, payable on November 9, 2018 to shareholders of record on October 29, 2018. The Trust paid a $0.27 per share dividend for the preceding quarter. The Trust earned $0.27 per share of net investment income for the third quarter of 2018, compared to $0.26 per share, including $0.01 per share of non-recurring income, in the previous quarter.

During the third quarter, the net assets of the Trust increased to $145,888,297 or $13.88 per share compared to $143,947,536 or $13.72 per share on June 30, 2018. This translates into a 3.2% 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 5.3%, 8.8%, 9.8%, 10.3% and 12.2% 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 during the quarter, from $14.70 per share as of June 30, 2018 to $14.90 per share as of September 30, 2018, which resulted in a total return for the quarter of 3.3%. The Trust's market price of $14.90 per share equates to a 7.4% premium over the September 30, 2018 net asset value per share of $13.88. The Trust's average quarter-end premium for the 3, 5 and 10-year periods was 5.2%, 1.8% and 6.6%, respectively. U.S. equity markets, as approximated by the Russell 2000 Index, increased 3.6% for the quarter. U.S. fixed income markets, as approximated by the Bloomberg Barclays U.S. Corporate High Yield Index, increased 2.4% for the quarter.

The Trust closed seven new private placement investments and six add-on investments to existing portfolio companies during the third quarter. The seven new platform investments were in BBB Industries LLC, Cadent LLC, DuBois Chemicals Inc., Rock-It Cargo, ROI Solutions, Sara Lee Frozen Foods and Trystar, Inc. The six add-on investments were in Aurora Parts & Accessories LLC, Del Real LLC, New Mountain Learning, LLC, SR Smith LLC, U.S. Retirement and Benefit Partners, Inc. and VP 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 $12.4 million. Of note, all of the new platform investments were floating rate term loans. Over the past couple of years, the Trust has increasingly invested in term loans with floating interest rates. If interest rates continue to rise, we would expect interest income to increase due to the base interest rates on the floating rate loans resetting quarterly. Please note that the Trust's $15 million senior note has a fixed rate of 4.09% and therefore, increases in base interest rates will not impact the Trust's cost of borrowing.

It was another strong quarter for the Trust in terms of new investment activity. 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 Barings' (the Trust's investment adviser) private debt platform have been key contributors to new investment volume. Overall, 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. It continues to be difficult to source traditional mezzanine opportunities as both the all-senior and second lien structures remain more attractive to borrowers than traditional mezzanine opportunities in the middle market. As always, we seek to be selective in our investment choices and maintain our underwriting discipline.

The Trust's current portfolio continues to exhibit sound credit quality. Realization activity continued through the third quarter with four private debt investment exits during the quarter, three of which resulted in realized gains and one which returned 100% of principal. In addition, three companies fully prepaid their debt held by the Trust. The Trust also benefited from small dividends paid by several of its equity investments during the quarter. We remain cautiously optimistic about realization activity over the next few quarters as there are several companies in which the Trust has outstanding investments that are in the process of being sold.

 

The Trust was able to maintain its $0.27 per share quarterly dividend in the third quarter with recurring investment income being sufficient to fully cover this quarter's dividend. As discussed in prior reports, since 2013, recurring investment income alone had 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 fewer investment opportunities and lower returns associated with those opportunities 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, combined with the amendments

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to the Trust's fundamental investment guidelines that were approved by shareholder vote in May 2018, has allowed for increased private debt investment opportunities which, in turn, have resulted in higher recurring investment income than the Trust has experienced in recent years. While there can be no guarantee that recurring investment income will continue to be sufficient to cover the current dividend rate, the level of recurring investment income expected to be 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.

 

Sincerely,

 

 

Robert M. Shettle

 

President

 

 

Portfolio Composition as of 9/30/18*

 

 

 

 

 

 

 

 

 

Assets:
Investments (See Consolidated Schedule of Investments)
Corporate restricted securities at fair value (Cost - $109,983,886)		$	105,987,170
Corporate restricted securities at market value (Cost - $18,338,379)			18,107,713
Corporate public securities at market value (Cost - $23,205,623)			23,136,206
Short-term securities at amortized cost			1,998,443
Total investments (Cost - $153,526,331)			149,229,532
Cash			12,441,528
Interest receivable			1,694,624
Other assets			30,773
Total assets			163,396,457
Liabilities:
Note payable			15,000,000
Payable for investments purchased			1,567,513
Deferred tax liability			448,095
Investment advisory fee payable			328,249
Interest payable			27,267
Accrued expenses			137,036
Total liabilities			17,508,160
Commitments and Contingencies (See Note 8)
Total net assets		$	145,888,297
Net Assets:
Common shares, par value $.01 per share		$	105,107
Additional paid-in capital			95,225,528
Retained net realized gain on investments, prior years			44,296,000
Undistributed net investment income			3,407,594
Accumulated net realized gain on investments			7,598,962
Net unrealized depreciation of investments			(4,744,894	)
Total net assets		$	145,888,297
Common shares issued and outstanding (14,787,750 authorized)			10,510,689
Net asset value per share		$	13.88

Investment Income:
Interest		$	9,947,721
Dividends			270,122
Other			89,966
Total investment income			10,307,809
Expenses:
Investment advisory fees			980,452
Interest			460,125
Trustees' fees and expenses			180,000
Professional fees			179,194
Reports to shareholders			76,000
Custodian fees			18,000
Other			74,871
Total expenses			1,968,642
Investment income - net			8,339,167
Net realized and unrealized loss on investments:
Net realized gain on investments before taxes			5,569,705
Income tax expense			(288,677	)
Net realized gain on investments after taxes			5,281,028
Net increase (decrease) in unrealized appreciation (depreciation) of investments before taxes			(8,609,944	)
Net (increase) decrease in deferred income tax expense			321,618
Net increase (decrease) in unrealized appreciation (depreciation) of investments after taxes			(8,288,326	)
Net loss on investments			(3,007,298	)
Net increase in net assets resulting from operations		$	5,331,869

Net increase in cash:
Cash flows from operating activities:
Purchases/Proceeds/Maturities from short-term portfolio securities, net		$	4,100,942
Purchases of portfolio securities			(42,565,890	)
Proceeds from disposition of portfolio securities			48,788,144
Interest, dividends and other income received			8,178,544
Interest expense paid			(460,125	)
Operating expenses paid			(1,523,897	)
Income taxes paid			(2,102,026	)
Net cash provided by operating activities			14,415,692
Cash flows from financing activities:
Cash dividends paid from net investment income			(8,485,590	)
Receipts for shares issued on reinvestment of dividends			738,249
Net cash used for financing activities			(7,747,341	)
Net increase in cash			6,668,351
Cash - beginning of period			5,773,177
Cash - end of period		$	12,441,528
Reconciliation of net increase in net assets to net cash provided by operating activities:
Net increase in net assets resulting from operations		$	5,331,869
Decrease in investments			10,071,089
Increase in interest receivable			(399,673	)
Increase in other assets			(4,759	)
Increase in payable for investments purchased			1,567,513
Decrease in deferred tax liability			(321,618	)
Increase in investment advisory fee payable			919
Decrease in accrued expenses			(16,299	)
Decrease in tax payable			(1,813,349	)
Total adjustments to net assets from operations			9,083,823
Net cash provided by operating activities		$	14,415,692

		For the nine months ended 9/30/2018 (Unaudited)				For the year ended 12/31/2017
Increase in net assets:
Operations:
Investment income - net		$	8,339,167			$	11,340,081
Net realized gain on investments after taxes			5,281,028				2,280,108
Net change in unrealized (depreciation) appreciation of investments after taxes			(8,288,326	)			5,517,329
Net increase in net assets resulting from operations			5,331,869				19,137,518
Increase from common shares issued on reinvestment of dividends
Common shares issued (2018 - 52,527; 2017 - 71,989)			738,249				1,001,726
Dividends to shareholders from:
Net investment income (2018 - $0.54 per share; 2017 - $1.08 per share)			(5,661,886	)			(11,265,910	)
Total increase in net assets			408,232				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 $3,407,594 and $730,313, respectively)		$	145,888,297			$	145,480,065

		For the nine months ended 9/30/2018 (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)			0.80				1.09				1.00				0.95				1.04
Net realized and unrealized gain (loss) on investments			(0.29	)			0.75				0.13				(0.12	)			0.57
Total from investment operations			0.51				1.84				1.13				0.83				1.61
Dividends from net investment income to common shareholders			(0.54	)			(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			(0.54	)			(1.08	)			(1.08	)			(1.08	)			(1.09	)
Net asset value:
End of period/year		$	13.88			$	13.91			$	13.15			$	13.10			$	13.35
Per share market value:
End of period/year		$	14.90			$	14.10			$	14.20			$	13.75			$	13.23
Total investment return
Net asset value (c)			3.76%				14.29%				8.75%				6.23%				13.61%
Market value (c)			9.75%				7.21%				11.45%				12.66%				12.54%
Net assets (in millions):
End of period/year		$	145.89			$	145.48			$	136.61			$	135.35			$	137.57
Ratio of total expenses to average net assets			2.08%	(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			0.42%	(d)			0.43%				0.44%				0.44%				0.45%
Ratio of income tax expense to average net assets			0.27%	(d)			1.31%				0.47%				0.24%				0.90%
Ratio of net investment income to average net assets			7.66%	(d)			7.92%				7.45%				6.95%				7.82%
Portfolio turnover			30%				24%				31%				30%				32%

Senior borrowings:
Total principal amount (in millions)		$	15			$	15			$	15			$	15			$	15
Asset coverage per $1,000 of indebtedness		$	10,726			$	10,699			$	10,107			$	10,023			$	10,171

Corporate Restricted Securities - 85.06%: (A)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
Private Placement Investments - 72.65%: (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.
10.49% Second Lien Term Loan due 12/22/2022 (LIBOR + 8.250%)		$	1,725,000			12/21/17				$	1,696,233			$	1,691,315
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					107,265				109,140
Preferred Stock Series A (B)		125,000 shs.				08/01/12					125,000				243,046
Warrant, exercisable until 2022, to purchase common stock at $.02 per share (B)		22,414 shs.				08/01/12					42,446				42,137
											274,711				394,323
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				26,868
* 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		$	1,224,547			02/28/22					1,214,049				1,198,036
Preferred Stock (B)		1,122 shs.				02/28/22					112,154				112,789
Common Stock (B)		346 shs.				02/28/22					346				—
											1,326,549				1,310,825
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					1,546,468				1,581,507
11.5% (1.25% PIK) Senior Subordinated Note due  04/30/2023		$	206,039			10/06/17					202,471				207,350
Common Stock (B)		156,818 shs.				10/31/16					156,818				180,036
											1,905,757				1,968,893
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				218,719

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
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.
Limited Liability Company Unit (B)		0.40% int.				04/20/16				$	240,741			$	451,950
ASC Holdings, Inc.
A manufacturer of capital equipment used by corrugated box manufacturers.
13% (1% PIK) Senior Subordinated Note due 05/18/2021		$	761,884			11/19/15					753,468				699,224
Limited Liability Company Unit (B)		111,100 uts.				11/18/15					111,100				—
											864,568				699,224
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					1,497,401				1,466,455
14% Senior Subordinated Note due 08/17/2022		$	10,486			08/30/18					10,486				10,394
Preferred Stock (B)		210 shs.				08/17/15					209,390				109,573
Common Stock (B)		210 shs.				08/17/15					210				—
											1,717,487				1,586,422
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 03/31/2021 (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				—
BBB Industries LLC
A supplier of re-manufactured parts to the North American automotive aftermarket.
10.60% Second Lien Term Loan due 06/26/2026 (LIBOR + 8.500%)		$	1,725,000			08/02/18					1,674,221				1,707,750
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		$	1,506,408			10/11/17					1,480,542				1,473,033
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				30,793
											1,713,650				1,736,226

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		$	1,469,724				04/28/17			$	1,444,823			$	1,447,458
Limited Liability Company Unit (B)(F)	2,760 uts.						04/28/17				276,000				147,864
											1,720,823				1,595,322
Blue Wave Products, Inc.
A distributor of pool supplies.
13% (1% PIK) Senior Subordinated Note due 09/30/2019		$	337,259				10/12/12				332,343				337,259
Common Stock (B)	51,064 shs.						10/12/12				51,064				227,575
Warrant, exercisable until 2022, to purchase common stock at $.01 per share (B)	20,216 shs.						10/12/12				20,216				90,096
											403,623				654,930
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.
Common Stock (B)	29,560 shs.						06/30/15				937,438				—
Cadence, Inc.
A full-service contract manufacturer ("CMO") and supplier of advanced products, technologies, and services to medical device, life science, and industrial companies.
6.74% Lien Term Loan due 04/30/2025 (LIBOR + 4.500%)		$	811,823				05/14/18				796,431				792,814
Cadent, LLC
A provider of advertising solutions driven by data and technology.
9.75% Term Loan due 09/07/2023 (LIBOR + 5.500%)		$	1,026,038				09/04/18				1,015,857				1,020,908
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		$	800,858				01/19/11				796,616				794,470
14% (2% PIK) Senior Subordinated Note due 06/19/2020		$	212,387				08/03/12				211,377				208,749
Common Stock (B)	375 shs.						01/19/11				37,500				31,716
Warrant, exercisable until 2021, to purchase common stock at $.01 per share (B)	295 shs.						01/19/11				29,250				24,931
											1,074,743				1,059,866

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.
Limited Liability Company Unit (B)		1,853 uts.				07/18/16				$	189,267			$	192,807
Clubessential LLC
A leading SaaS platform for private clubs and resorts.
7% (5% PIK) Senior Subordinated Note due 01/12/24		$	1,787,305			01/16/18					1,755,517				1,773,801
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				244,984
CORA Health Services, Inc.
A provider of outpatient rehabilitation therapy services.
11% (1% PIK) Term Loan due 05/05/2025		$	2,086,422			05/01/18					1,463,052				1,415,430
Preferred Stock Series A (B)		758 shs.				06/30/16					38,258				91,182
Common Stock Class A (B)		3,791 shs.				06/30/16					3,791				20,030
											1,505,101				1,526,642
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 12/31/2020		$	1,366,519			11/22/13					1,359,133				1,366,519
14% (2% PIK) Senior Subordinated Note due 06/04/2020		$	337,797			05/08/18					329,577				332,452
Common Stock (B)		90 shs.					*				514,284				997,754
Warrant, exercisable until 2028, to purchase common stock at $.01 per share (B)		2 shs.				05/08/18					—				22,172
* 11/22/13 and 09/16/16.											2,202,994				2,718,897
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					1,398,778				1,388,981
Limited Liability Company Unit (B)(F)		336,487 uts.					*				343,121				245,636
* 10/07/16 and 07/25/18.											1,741,899				1,634,617

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
Discovery Education, Inc.
A provider of standards-based, digital education content for K-12 schools.
7.04% Term Loan due 04/30/2024 (LIBOR + 4.750%)		$	1,921,590				04/20/18			$	1,885,858			$	1,876,252
DPL Holding Corporation
A distributor and manufacturer of aftermarket undercarriage parts for medium and heavy duty trucks and trailers.
Preferred Stock (B)		25 shs.					05/04/12				252,434				265,889
Common Stock (B)		25 shs.					05/04/12				28,048				—
											280,482				265,889
DuBois Chemicals, Inc.
A provider of consumable, value-added specialty cleaning chemical solutions to the industrial, transportation paper and water markets.
10.40% Second Lien Term Loan due 08/31/2025 (LIBOR + 8.000%)		$	1,725,000				09/19/18				1,707,750				1,707,750
Dunn Paper
A provider of specialty paper for niche product applications.
10.99% Second Lien Term Loan due 08/26/2023 (LIBOR + 8.750%)		$	1,725,000				09/28/16				1,700,367				1,729,313
ECG Consulting Group
A healthcare management consulting company who provides strategic, financial, operational, and technology related consulting services to healthcare providers.
11.5% (0.5% PIK) Senior Subordinated Note due 06/20/2025		$	758,719				06/20/18				744,139				756,962
11.5% (0.75% PIK) Senior Subordinated Note due 06/20/2025		$	1,328,581				11/21/14				1,314,495				1,325,505
Limited Liability Company Unit (B)(F)		230 uts.					11/19/14				36,199				86,897
											2,094,833				2,169,364
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 01/14/2022 (D)		$	1,588,640				10/14/16				1,568,694				1,509,208
Limited Liability Company Unit (B)(F)		101 uts.					10/14/16				159,722				40,662
											1,728,416				1,549,870
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		$	1,335,621				06/30/17				1,313,102				1,305,319
Limited Liability Company Unit (B)(F)		397,695 uts.					06/30/17				397,695				326,110
											1,710,797				1,631,429

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
E.S.P. Associates, P.A.
A professional services firm providing engineering, surveying and planning services to infrastructure projects.
12% (1% PIK) Senior Subordinated Note due 10/04/2023		$	690,226				04/04/18			$	677,375			$	682,313
Limited Liability Company Unit (B)		229 uts.					04/04/18				228,955				247,971
											906,330				930,284
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				24,100
Limited Liability Company Unit Common (B)		171 uts.					09/27/10				17,073				—
											75,418				24,100
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				—				80,558
Limited Liability Company Unit Class B-1 (B)		65,789 uts.					12/15/10				65,789				422,290
Limited Liability Company Unit Class B-2 (B)		8,248 uts.					12/15/10				8,248				52,943
Limited Liability Company Unit Class B-3 (B)		6,522 uts.					08/30/12				15,000				43,558
Limited Liability Company Unit Class C (B)		1,575 uts.					12/20/10				16,009				68,206
											105,046				667,555
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				—
Limited Liability Company Unit Common (B)		767 uts.					10/05/12				767				—
											76,687				—
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		$	1,499,222				03/27/13				1,496,582				1,349,300
Common Stock (B)		1,181 shs.					03/27/13				118,110				3,679
											1,614,692				1,352,979
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				193,076

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			$	89,256
Common Stock (B)		342 shs.				06/19/15					2,945				147,056
											73,628				236,312
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.
8.39% Term Loan due 12/21/2022 (LIBOR + 6.000%)		$	2,446,513			12/19/17					2,403,942				2,399,013
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					706,730				727,865
Common Stock (B)		1,046 shs.					*				104,636				131,843
Warrant, exercisable until 2027, to purchase common stock at $.01 per share (B)		397 shs.				02/05/14					36,816				50,040
* 02/05/14 and 11/22/17.											848,182				909,748
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				*				1,706,207				1,712,013
Limited Liability Company Unit Preferred (B)		372 uts.					**				371,644				471,646
Limited Liability Company Unit Common Class A (B)		3,594 uts.				12/19/14					—				33,528
* 12/19/14 and 02/21/17.											2,077,851				2,217,187
* *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		$	993,896			07/01/16					980,155				1,003,835
Common Stock (B)		150 shs.				07/01/16					149,500				213,685
											1,129,655				1,217,520
Hartland Controls Holding Corporation
A manufacturer and distributor of electronic and electromechanical components.
14% (2% PIK) Senior Subordinated Note due 08/14/2020		$	1,145,688			02/14/14					1,138,481				1,145,688
12% Senior Subordinated Note due 08/14/2020		$	431,250			06/22/15					429,584				430,609
Common Stock (B)		821 shs.				02/14/14					822				267,601
											1,568,887				1,843,898

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		$	1,675,777			01/17/14				$	1,665,178			$	1,675,777
Limited Liability Company Unit (B)(F)		102 uts.				01/17/14					101,563				44,253
											1,766,741				1,720,030
Hollandia Produce LLC
A hydroponic greenhouse producer of branded root vegetables.
14.25% (2.75% PIK) Senior Subordinated Note due 12/11/2020		$	1,434,770				*				1,420,640				1,363,031
10.1% Term Loan due 12/12/2020 (LIBOR + 8.000%)		$	109,916			04/06/18					109,916				109,652
10.1% Term Loan due 12/11/2020 (LIBOR + 8.000%)		$	146,780			04/06/18					146,780				146,429
* 12/30/15 and 12/23/16.											1,677,336				1,619,112
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					—				—
											—				—
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 (D)		$	1,306,594			11/10/14					1,297,147				—
Common Stock (B)		2,300 shs.				11/10/14					230,000				—
											1,527,147				—
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				294,064
Limited Liability Company Unit Class A-2 (B)(F)		1,032,609 uts.				10/31/16					—				169,430
											391,255				463,494
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					—				89,409
Common Stock (B)		353 shs.				07/15/08					285,619				304,713
											285,619				394,122

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
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				—
Common Stock Class B (B)		118 shs.				01/15/10					117,647				—
Warrant, exercisable until 2019, to purchase common stock at $.01 per share (B)		104 shs.				10/05/10					94,579
											766,351				481,701
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					864,572				390,646
Limited Liability Company Unit		5 uts.				04/17/15					678,329				—
											1,542,901				390,646
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				159,003
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		$	68,718				*				68,718				68,406
Common Stock Class A (B)		83,080 shs.					**				170,705				—
* 10/21/16, 01/27/17 and 10/13/17.											712,275				227,409
** 08/18/15, 10/20/16 and 01/27/17.
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		$	1,126,148			09/30/14					1,114,606				1,126,148
12% Senior Subordinated Note due 09/30/2021		$	302,537			02/28/18					297,340				308,633
Common Stock Class B (B)		259,252 shs.					*				244,163				71,799
* 09/30/14 and 02/28/18.											1,656,109				1,506,580
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					899,352				888,430
Limited Liability Company Unit (B)(F)		182 uts.				03/09/18					183,164				10,873
											1,082,516				899,303

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
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		$	1,582,309				12/02/16			$	1,558,411			$	1,573,613
Preferred Stock (B)		1,711 shs.					12/02/16				171,116				163,792
Common Stock (B)		242 shs.					12/02/16				242				—
											1,729,769				1,737,405
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		$	1,765,786				04/29/16				1,743,894				882,893
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		$	287,973				11/30/10				286,721				287,739
Limited Liability Company Unit Class B-1 (B)(F)		75,000 uts.					11/30/10				—				51,922
Limited Liability Company Unit Class B-2 (B)(F)		6,801 uts.					11/30/10				—				4,708
											286,721				344,369
New Mountain Learning, LLC
A leading provider of blended learning solutions to the K-12 and post-secondary school market.
7.89% Term Loan due 3/16/2024 (LIBOR + 5.500%)		$	1,792,448				03/15/18				1,665,813				1,658,725
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				1,505,322				1,517,821
Common Stock (B)		207 shs.					05/17/16				207,000				259,612
											1,712,322				1,777,433
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				1,752,299				1,758,924
Common Stock Class B (B)		380,545 shs.					*				380,545				588,612
* 01/29/16 and 02/17/17.											2,132,844				2,347,536

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
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		$	366,862			11/14/17				$	358,380			$	356,514
8.49% Term Loan due 11/17/2024 (LIBOR + 6.250%)		$	2,112,710			11/14/17					1,931,550				1,927,066
											2,289,930				2,283,580
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				19,255
* 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.
13.9% (1% PIK) Senior Subordinated Note due 01/31/2020		$	1,157,051			07/31/14					1,150,158				867,788
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.											1,323,056				867,788
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				122,055
Limited Liability Company Unit Common (B)(F)		1,149 uts.				05/29/15					—				137,824
											114,900				259,879
PPC Event Services
A special event equipment rental business.
14% (2% PIK) Senior Subordinated Note due 05/20/2020		$	1,208,352			11/20/14					1,199,910				1,208,352
Limited Liability Company Unit (B)		3,450 uts.				11/20/14					172,500				286,265
Limited Liability Company Unit Series A-1 (B)		339 uts.				03/16/16					42,419				28,822
											1,414,829				1,523,439
Randy's Worldwide Automotive
A designer and distributor of automotive aftermarket parts.
Common Stock (B)		118 shs.				05/12/15					118,476				305,572

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
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		$	1,437,794			11/13/17				$	1,437,794			$	1,465,747
Limited Liability Company Unit Class B		293,617 uts.				11/13/17					184,688				274,295
											1,622,482				1,740,042
Rock-it Cargo
A provider of specialized international logistics solutions to the music touring, performing arts, live events, fine art and specialty industries.
7.09% Term Loan due 06/22/2024 (LIBOR + 4.750%)		$	2,465,000			07/30/18					2,405,150				2,400,844
ROI Solutions
Call center outsourcing and end user engagement services provider.
7.17% Term Loan due 07/31/2024 (LIBOR + 5.000%)		$	1,634,653			07/31/18					640,774				638,646
Sara Lee Frozen Foods
A provider of frozen bakery products, desserts and sweet baked goods.
6.74% Lien Term Loan due 07/31/2024 (LIBOR + 4.500%)		$	1,533,288			07/27/18					1,499,780				1,496,970
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				258,220
Warrant, exercisable until 2023, to purchase common stock A at $.01 per share (B)		31 shs.				03/15/13					28,316				105,497
											103,825				363,717
Smart Source Holdings LLC
A short-term computer rental company.
Limited Liability Company Unit (B)		328 uts.					*				261,262				479,594
Warrant, exercisable until 2020, to purchase common stock at $.01 per share (B)		83 shs.					*				67,467				121,481
* 08/31/07 and 03/06/08.											328,729				601,075
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				—

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
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				$	1,702,400			$	1,715,276
SR Smith LLC
A manufacturer of mine and tunneling ventilation products in the United States.
11% Senior Subordinated Note due 03/27/2022		$	1,084,565				*				1,076,389				1,073,751
Limited Liability Company Unit Series A (B)		229 uts.					*				1,060,968				1,295,171
* 03/27/07 and 08/07/18.											2,137,357				2,368,922
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				291,958
Preferred Stock Series A-2 (B)		26,543 shs.				09/10/15					29,994				48,749
											188,961				340,707
Strategic Insight, Inc.
A provider of largely proprietary data, market research, and business intelligence to the global asset management industry.
11.64% Second Lien Term Loan due 12/21/2024 (LIBOR + 9.250%)		$	1,725,000			12/28/17					1,690,390				1,633,554
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 05/28/2020 (D)		$	1,812,109				*				1,358,229				1,540,293
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				1,540,293
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 (D)		$	1,405,417			07/31/15					1,392,548				1,194,605
Common Stock (B)		68 shs.					*				104,986				—
* 07/31/15 and 11/08/17.											1,497,534				1,194,605

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
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			$	203,000
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		$	1,371,399				11/30/17				1,371,399				1,341,465
Limited Liability Company Unit		359,375 uts.					11/30/17				342,851				238,796
											1,714,250				1,580,261
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		$	47,044				12/05/13				93,430				47,514
Warrant, exercisable until 2023, to purchase common stock at $.01 per share (B)		28,079 shs.					12/05/13				—				23,305
											93,430				70,819
Trident Maritime Systems
A leading provider of turnkey marine vessel systems and solutions for government and commercial new ship construction as well as repair, refurbishment, and retrofit markets worldwide.
7.89% Term Loan due 04/30/2024 (LIBOR + 5.500%)		$	2,465,000				05/14/18				2,412,597				2,400,931
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		$	1,173,744				01/23/15				1,164,561				1,113,391
Trystar, Inc.
A niche manufacturer of temporary power distribution products for the power rental, industrial, commercial utility and back-up emergency markets.
7.39% Term Loan due 10/01/2023 (LIBOR + 5.000%)		$	2,304,813				09/28/18				2,264,479				2,264,479
Limited Liability Company Unit (B) (F)		47 uts.					09/28/18				46,562				46,560
											2,311,041				2,311,039
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.
10.89% Second Lien Term Loan due 2/14/2023 (LIBOR + 8.500%)		$	1,725,000				03/05/18				1,486,379				1,480,026

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
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.
8.39% Lien Term Loan due 12/07/2023 (LIBOR + 6.000%)		$	2,089,500				12/07/17			$	2,071,414			$	2,070,793
VP Holding Company
A provider of school transportation services for special-needs and homeless children in Massachusetts and Connecticut.
7.89% Lien Term Loan due 05/22/2024 (LIBOR + 5.500%)		$	2,465,000				05/17/18				1,724,521				1,713,097
Wellborn Forest Holding Company
A manufacturer of semi-custom kitchen and bath cabinetry.
10% Senior Subordinated Note due 09/30/2019 (D)		$	1,778,423				11/30/06				1,336,280				1,778,422
Common Stock (B)		101 shs.					11/30/06				101,250				14,279
Warrant, exercisable until 2019, to purchase common stock at $.01 per share (B)		51 shs.					11/30/06				45,790				7,129
											1,483,320				1,799,830
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		$	382,106				08/03/15				378,589				372,745
Limited Liability Company Unit (B)(F)		370,241 uts.					08/03/15				370,241				362,921
											748,830				735,666
Whitebridge Pet Brands Holdings, LLC
A manufacturer and marketer of branded, all-natural treats and foods for dogs and cats.
11.5% (0.5% PIK) Senior Subordinated Note due 08/18/2021		$	1,491,901				04/18/17				1,476,267				1,473,961
Limited Liability Company Unit Class A (B)(F)		123 uts.					04/18/17				148,096				141,720
Limited Liability Company Unit Class B (B)(F)		123 uts.					04/18/17				—				2,655
											1,624,363				1,618,336
Wolf-Gordon, Inc.
A designer and specialty distributor of wallcoverings and related building products, including textiles, paint, and writeable surfaces.
Common Stock (B)		157 shs.					01/22/16				156,818				217,507
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		$	1,009,773				11/03/11				1,009,428				989,071
Common Stock (B)		1,500 shs.					11/03/11				150,000				104,057
											1,159,428				1,093,128

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
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			$	1,810,024
Common Stock (B)		2,046 shs.					*				200,418				94,758
* 03/04/15 and 02/07/18											1,750,000				1,904,782
Total Private Placement Investments (E)										$	109,983,886			$	105,987,170

Corporate Restricted Securities: (A) (Continued)		Interest Rate		Maturity Date		Principal Amount				Cost				Market Value
Rule 144A Securities - 12.41%:
Bonds - 12.41%
Acrisure, LLC		7.000	%	11/15/25		$	500,000			$	455,914			$	466,225
Alliance Residential Company		7.500		05/01/25			500,000				518,975				532,500
Altice Financing S.A.		7.500		05/15/26			400,000				400,000				390,000
Amsted Industries		5.375		09/15/24			240,000				240,000				237,600
Avantor Inc.		6.000		10/01/24			406,000				406,000				412,090
Avantor Inc.		9.00		10/01/25			500,000				516,722				516,250
Beacon Roofing Supply, Inc.		4.875		11/01/25			406,000				406,000				374,027
Boyne USA, Inc.		7.250		05/01/25			167,000				167,000				176,603
Cimpress N.V.		7.000		06/15/26			500,000				500,000				508,065
CITGO Petroleum Corporation		6.250		08/15/22			425,000				425,000				423,937
CVR Partners, L.P.		9.250		06/15/23			500,000				490,744				530,000
Endo Finance LLC		6.000		02/01/25			480,000				394,500				413,760
Endo Finance LLC		6.000		07/15/23			250,000				223,125				221,875
Enterprise Merger Sub Inc.		8.750		10/15/26			500,000				500,000				500,000
EP Energy LLC / Everest Acquisition Finance Inc.		9.375		05/01/24			406,000				249,444				334,950
Financial & Risk US Holdings, Inc.		6.250		05/15/26			151,000				151,000				151,557
Financial & Risk US Holdings, Inc.		8.250		11/15/26			195,000				195,000				193,818
First Quantum Minerals Ltd.		7.500		04/01/25			500,000				483,616				474,375
First Quantum Minerals Ltd.		7.250		04/01/23			500,000				494,414				477,813
Flex Acquisition Co Inc.		7.875		07/15/26			386,000				386,000				381,175
Hertz Corporation		7.625		06/01/22			500,000				500,000				493,750
Hilcorp Energy Company		5.000		12/01/24			335,000				335,000				326,876
IAMGOLD Corporation		7.000		04/15/25			500,000				500,000				496,150
JBS USA Lux S.A.		6.750		02/15/28			476,000				476,000				473,025
Jonah Energy LLC		7.250		10/15/25			500,000				427,580				382,500
Jupiter Resources Inc.		8.500		10/01/22			500,000				469,920				237,500
LBC Tank Terminals Holding Netherlands B.V.		6.875		05/15/23			663,000				674,940				658,028
Mattamy Group Corp.		6.500		10/01/25			500,000				490,127				485,000
Mattel, Inc.		6.750		12/31/25			500,000				482,102				490,000
Moog Inc.		5.250		12/01/22			500,000				502,401				503,750
New Enterprise Stone & Lime Co., Inc.		6.250		03/15/26			500,000				508,406				503,750
New Gold Inc.		6.250		11/15/22			500,000				501,890				436,250
OPE KAG Finance Sub		7.875		07/31/23			500,000				516,241				517,188
Prime Security Services Borrower		9.250		05/15/23			608,000				617,951				650,256
Sinclair Broadcast Group, Inc.		5.875		03/15/26			204,000				204,000				198,920
Sinclair Television Group, Inc.		5.125		02/15/27			500,000				500,000				459,375
Suncoke Energy		7.500		06/15/25			500,000				493,229				515,000
Teine Energy Ltd.		6.875		09/30/22			500,000				506,250				503,750
Topaz Marine S.A.		9.125		07/26/22			500,000				500,000				512,480

Corporate Restricted Securities: (A) (Continued)		Interest Rate		Maturity Date		Principal Amount				Cost				Market Value
Valeant Pharmaceuticals International		7.000	%	03/15/24		$	173,000			$	173,000			$	182,775
Vine Oil & Gas, LP		8.750		04/15/23			500,000				463,614				488,750
Virgin Media Secured Finance PLC		5.250		01/15/26			500,000				501,274				488,895
VRX Escrow Corp.		6.125		04/15/25			182,000				182,000				172,900
Warrior Met Coal, Inc.		8.000		11/01/24			209,000				209,000				214,225
Total Bonds											18,338,379				18,107,713
Common Stock - 0.00%
TherOX, Inc. (B)							2				—				—
Touchstone Health Partnership (B)							292				—				—
Total Common Stock											—				—
Total Rule 144A Securities											18,338,379				18,107,713

Corporate Public Securities - 15.86%: (A)		LIBOR Spread		Interest Rate		Maturity Date		Principal Amount				Cost				Market Value
Bank Loans - 4.25%
Argon Medical Devices, Inc.		8.000	%	10.242	%	01/23/26		$	500,000			$	503,750			$	503,125
Big River Steel LLC.		5.000		7.386		08/11/23			118,173				117,206				119,798
BMC Software Finance, Inc.		4.250		6.586		06/26/25			500,000				495,000				504,685
CenturyLink Inc.		2.750		5.148		05/15/25			498,744				495,180				495,128
Coronado Coal LLC		6.500		8.886		03/29/25			223,269				216,995				225,223
Coronado Coal LLC		6.500		8.886		03/29/25			61,044				59,339				61,578
Edelman Financial Services		6.750		9.092		07/20/26			128,178				127,552				130,742
Getty Images, Inc.		3.500		5.742		10/18/19			389,592				379,779				386,494
Gulf Finance, LLC		5.250		7.640		08/25/23			251,510				249,772				210,280
ION Trading Technologies Sarl		4.000		6.386		11/21/24			276,243				269,410				274,947
Murray Energy Corporation		7.250		9.492		10/17/22			39,087				36,902				35,785
OCI Beaumont LLC		4.000		6.386		02/14/25			121,675				121,534				123,299
PowerSchool		7.000		8.854		05/29/26			500,000				495,096				500,000
Prospect Medical Holdings, Inc.		5.500		7.652		02/13/24			255,441				250,835				258,634
PS Logistics LLC		5.250		7.398		03/01/25			500,000				504,853				500,625
Schenectady International Group Inc.		4.750		4.750		08/10/25			307,325				295,032				308,093
Seadrill Partners Finco, LLC		6.000		8.386		02/21/21			464,734				325,525				440,452
STS Operating, Inc.		8.000		10.242		04/25/26			500,000				505,000				498,750
Summit Midstream Holdings, LLC		6.000		8.242		05/15/22			116,885				116,060				118,420
Unifrax Corporation		7.500		9.886		10/31/25			499,067				508,424				504,058
Total Bank Loans													6,073,244				6,220,116
Bonds - 11.27%
AMC Entertainment Holdings Inc.				6.125	%	05/15/27		$	500,000			$	487,410			$	478,750
Anchorage Capital Group, L.L.C.		7.250		9.598		01/15/29			500,000				517,187				506,927

Corporate Public Securities: (A) (Continued)		Interest Rate		Maturity Date		Principal Amount				Cost				Market Value
Anixter, Inc.		5.125	%	10/01/21		$	165,000			$	165,000			$	167,888
Beazer Homes USA, Inc.		8.750		03/15/22			160,000				160,000				169,200
Brunswick Corporation		7.125		08/01/27			500,000				503,516				568,893
Bunge Limited Finance Corp.		3.250		08/15/26			600,000				601,793				542,933
Calumet Specialty Products Partners, L.P.		7.750		04/15/23			500,000				498,765				500,000
Clearwater Paper Corporation		4.500		02/01/23			489,000				486,564				454,770
CVR Refining LLC		6.500		11/01/22			350,000				343,550				355,250
CVS Health Corp.		4.300		03/25/28			345,000				340,192				342,295
Discovery Communications		4.900		03/11/26			600,000				644,753				615,805
Dish DBS Corporation		7.750		07/01/26			500,000				539,202				471,650
Expedia Inc.		4.500		08/15/24			600,000				621,815				603,449
Ferrellgas Partners, L.P.		6.750		01/15/22			265,000				267,058				231,213
Ferrellgas Partners, L.P.		8.625		06/15/20			650,000				650,212				617,500
Ford Motor Credit Co. LLC		4.375		08/06/23			600,000				636,141				593,192
General Motors Financial Co. Inc.		4.000		01/15/25			500,000				506,972				483,658
Genesis Energy, L.P.		5.625		06/15/24			500,000				472,841				472,500
Hospital Corporation of America		5.375		02/01/25			100,000				101,283				102,000
Hospital Corporation of America		5.250		06/15/26			174,000				174,000				179,003
Hewlett Packard Enterprise Company		4.900		10/15/25			500,000				498,800				513,971
Hughes Satellite Systems Corporation		6.625		08/01/26			500,000				497,029				483,750
Laredo Petroleum, Inc.		5.625		01/15/22			500,000				481,625				496,250
Laredo Petroleum, Inc.		6.250		03/15/23			500,000				501,193				500,000
M/I Homes, Inc.		5.625		08/01/25			500,000				475,989				470,000
NRG Energy, Inc.		7.250		05/15/26			500,000				502,720				542,500
Oasis Petroleum Inc.		6.875		03/15/22			474,000				455,776				482,286
PBF Holding Company LLC		6.997		11/15/23			33,000				33,000				34,320
PBF Holding Company LLC		7.250		06/15/25			500,000				516,701				525,000
Pitney Bowes Inc.		3.625		10/01/21			500,000				498,296				476,875
Reinsurance Group of America		3.950		09/15/26			500,000				502,671				485,000
SM Energy Company		6.750		09/15/26			750,000				744,811				779,062
Sprint Corporation		7.125		06/15/24			155,000				155,000				160,812
Trinity Acquisition Plc		4.400		03/15/26			500,000				514,006				497,478
William Lyon Homes		7.000		08/15/22			500,000				500,000				509,375
WPX Energy, Inc.		5.250		09/15/24			425,000				425,000				427,125
Xlit Ltd.		4.450		03/31/25			600,000				611,508				594,410
Total Bonds											16,632,379				16,435,090
Preferred Stock - 0.34%
B. Riley Financial Inc.							20,000				500,000				501,000
Total Preferred Stock											500,000				501,000
Total Corporate Public Securities										$	23,205,623			$	23,136,206

Short-Term Security:		Interest Rate/Yield^		Maturity Date		Principal Amount				Cost				Market Value
Commercial Paper - 1.37%
Aon Corp.		2.280	%	10/10/18		$	1,000,000			$	999,430			$	999,430
Comcast Corporation		2.370		10/16/18			1,000,000				999,013				999,013
Total Short-Term Security										$	1,998,443			$	1,998,443
Total Investments		102.29	%							$	153,526,331			$	149,229,532
Other Assets		9.71													14,166,925
Liabilities		(12.00	)												(17,508,160	)
Total Net Assets		100.00	%											$	145,888,297