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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

 

Investment Company Act file number   811-2183

 

 

 

 

	Barings Corporate Investors
	(Exact name of registrant as specified in charter)
	1500 Main Street, P.O. Box 15189, Springfield, MA 01115-5189
	(Address of principal executive offices) (Zip code)
	Janice M. Bishop, Vice President, Secretary and Chief Legal Officer Independence Wharf, 470 Atlantic Ave., Boston, MA 02210
	(Name and address of agent for service)

 

 

 

Registrant's telephone number, including area code: 413-226-1000

 

Date of fiscal year end: 12/31

 

Date of reporting period: 06/30/17

 

 

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ITEM 1. REPORT TO STOCKHOLDERS.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:
Investments
(See Consolidated Schedule of Investments)
Corporate restricted securities at fair value (Cost - $212,435,568)		$	216,971,616
Corporate restricted securities at market value (Cost - $57,849,677)			58,808,444
Corporate public securities at market value (Cost - $44,363,143)			46,215,387
Short-term securities at amortized cost			1,998,678
Total investments (Cost - $316,647,066)			323,994,125
Cash			9,170,096
Interest receivable			3,603,283
Other assets			6,747
Total assets			336,774,251
Liabilities:
Note payable			30,000,000
Payable for investments purchased			1,462,849
Deferred tax liability			1,371,595
Investment advisory fee payable			945,169
Interest payable			202,400
Tax payable			147,693
Accrued expenses			190,447
Total liabilities			34,320,153
Total net assets		$	302,454,098
Net Assets:
Common shares, par value $1.00 per share		$	19,868,194
Additional paid-in capital			112,114,511
Retained net realized gain on investments, prior years			145,980,019
Undistributed net investment gain			8,785,835
Accumulated net realized gain on investments			9,730,075
Net unrealized depreciation of investments			5,975,464
Total net assets		$	302,454,098
Common shares issued and outstanding (28,054,782 authorized)			19,868,194
Net asset value per share		$	15.22

Investment Income:
Interest		$	13,526,935
Dividends			2,426,510
Other			257,275
Total investment income			16,210,720
Expenses:
Investment advisory fees			1,858,863
Interest			792,000
Trustees' fees and expenses			168,000
Professional fees			104,087
Reports to shareholders			57,000
Custodian fees			16,795
Other			58,253
Total expenses			3,054,998
Investment income - net			13,155,722
Net realized and unrealized gain on investments:
Net realized gain on investments before taxes			3,230,440
Income tax expense			(323,912	)
Net realized gain on investments after taxes			2,906,528
Net increase (decrease) in unrealized appreciation (depreciation) of investments before taxes			9,978,472
Net (increase) decrease in deferred income tax expense			(358,394	)
Net increase (decrease) in unrealized appreciation (depreciation) of investments after taxes			9,620,078
Net gain on investments			12,526,606
Net increase in net assets resulting from operations		$	25,682,328

Net decrease in cash:
Cash flows from operating activities:
Purchases/Proceeds/Maturities from short-term portfolio securities, net		$	8,933,108
Purchases of portfolio securities			(37,946,279	)
Proceeds from disposition of portfolio securities			25,023,238
Interest, dividends and other income received			14,920,901
Interest expense paid			(792,000	)
Operating expenses paid			(2,201,481	)
Income taxes paid			(2,320,378	)
Net cash provided by operating activities			5,617,109
Cash flows from financing activities:
Cash dividends paid from net investment income			(11,886,148	)
Receipts for shares issued on reinvestment of dividends			1,149,905
Net cash used for financing activities			(10,736,243	)
Net decrease in cash			(5,119,134	)
Cash - beginning of year			14,289,230
Cash - end of period		$	9,170,096
Reconciliation of net increase in net assets to net cash provided by operating activities:
Net increase in net assets resulting from operations		$	25,682,328
Increase in investments			(20,081,942	)
Decrease in interest receivable			110,393
Decrease in other assets			20,036
Increase in payable for investments purchased			1,462,849
Increase in deferred tax liability			358,394
Increase in investment advisory fee payable			65,260
Decrease in tax payable			(1,996,466	)
Decrease in accrued expenses			(3,743	)
Total adjustments to net assets from operations			(20,065,219	)
Net cash provided by operating activities		$	5,617,109

		For the six months ended 06/30/2017 (Unaudited)				For the year ended 12/31/2016
Increase in net assets:
Operations:
Investment income - net		$	13,155,722			$	22,171,839
Net realized gain on investments after taxes			2,906,528				3,711,135
Net change in unrealized appreciation of investments after taxes			9,620,078				1,357,082
Net increase in net assets resulting from operations			25,682,328				27,240,056
Increase from common shares issued on reinvestment of dividends
Common shares issued (2017 - 77,787; 2016 - 125,703)			1,149,905				2,103,555
Dividends to shareholders from:
Net investment income (2017 - $0.30 per share; 2016 - $1.20 per share)			(5,949,026	)			(23,688,009	)
Total increase in net assets			20,883,207				5,655,602
Net assets, beginning of period/year			281,570,891				275,915,289
Net assets, end of period/year (including undistributed net investment income of $8,785,835 and $1,579,139, respectively)		$	302,454,098			$	281,570,891

		For the six months ended 06/30/2017 (Unaudited)				For the years ended December 31,
						2016				2015				2014				2013
Net asset value:
Beginning of period/year		$	14.23			$	14.03			$	14.34			$	13.85			$	13.38
Net investment income (a)			0.66				1.12				1.04				1.23				1.18
Net realized and unrealized gain (loss) on investments			0.63				0.26				(0.16	)			0.45				0.48
Total from investment operations			1.29				1.38				0.88				1.68				1.66
Dividends from net investment income to common shareholders			(0.30	)			(1.20	)			(1.20	)			(1.20	)			(1.20	)
Dividends from net realized gain on investments to common shareholders			—				—				—				—				—
(Decrease)/Increase from dividends reinvested			0.00				0.02				0.01				0.01				0.01
Total dividends			(0.30	)			(1.18	)			(1.19	)			(1.19	)			(1.19	)
Net asset value: End of period/year		$	15.22			$	14.23			$	14.03			$	14.34			$	13.85
Per share market value:
End of period/year		$	15.09			$	15.48			$	17.25			$	15.89			$	14.93
Total investment return
Net asset value (b)			9.15%				10.13%				6.20%				13.78%				12.76%
Market value (b)			(0.51%	)			(3.49%	)			17.01%				16.53%				5.93%
Net assets (in millions):
End of period/year		$	302.45			$	281.57			$	275.92			$	280.13			$	268.69
Ratio of total expenses to average net assets			2.34%				2.92%				2.56%				3.66%				2.42%
Ratio of operating expenses to average net assets			1.57%				1.56%				1.67%				1.65%				1.64%
Ratio of interest expense to average net assets			0.55%				0.56%				0.55%				0.57%				0.59%
Ratio of income tax expense to average net assets (c)			0.22%				0.80%				0.34%				1.44%				0.19%
Ratio of net investment income to average net assets			9.11%				7.80%				7.12%				8.57%				8.50%
Portfolio turnover			8%				29%				29%				38%				34%

Senior borrowings:
Total principal amount (in millions)		$	30			$	30			$	30			$	30			$	30
Asset coverage per $1,000 of indebtedness		$	11,082			$	10,386			$	10,197			$	10,338			$	9,956

Corporate Restricted Securities - 91.18%: (A)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
Private Placement Investments - 71.74%: (C)
1492 Acquisition LLC
A leading producer of premium Italian cured meats and deli meats in the U.S.
Limited Liability Company Unit Class A Preferred (B)		245 uts.				10/17/12				$	245,450			$	348,891
Limited Liability Company Unit Class A Common (B)		27,273 uts.				10/17/12					27,273				496,405
											272,723				845,296
ABC Industries, Inc.
A manufacturer of mine and tunneling ventilation products in the U.S.
13% Senior Subordinated Note due 07/31/2019		$	262,403			08/01/12					251,022				260,572
Preferred Stock Series A (B)		300,000 shs.				08/01/12					300,000				567,827
Warrant, exercisable until 2022, to purchase common stock at $.02 per share (B)		53,794 shs.				08/01/12					101,870				95,818
											652,892				924,217
Advanced Manufacturing Enterprises LLC
A designer and manufacturer of large, custom gearing products for a number of critical customer applications.
Limited Liability Company Unit (B)		4,669 uts.					*				498,983				—
* 12/07/12, 07/11/13 and 06/30/15.
AFC - Dell Holding Corporation
A distributor and provider of inventory management services for "C-Parts" used by OEMs in their manufacturing and production facilities.
12.5% (1% PIK) Senior Subordinated Note due 09/27/2020		$	2,453,761			03/27/15					2,421,586				2,478,299
Preferred Stock (B)		2,276 shs.				03/27/15					227,558				203,548
Common Stock (B)		703 shs.				03/27/15					703				—
											2,649,847				2,681,847
Airxcel Holdings
A leading manufacturer of a broad range of climate control solutions, including air-conditioners, heat pumps, cooking appliances, furnaces, powered vents, and water heaters.
Limited Liability Company Unit		583 uts.				11/18/14					583,000				998,604
AM Conservation Holding Corp
A supplier of energy efficiency ("EE") products, including lighting, shower heads and aerators, and weatherization products such as door seals and weather stripping.
11.75% (1.5% PIK) Senior Subordinated Note due 04/30/2023		$	3,181,818			10/31/16					3,122,698				3,192,476
Common Stock (B)		318,182 shs.				10/31/16					318,182				486,244
											3,440,880				3,678,720

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
AMS Holding LLC
A leading multi-channel direct marketer of high-value collectible coins and proprietary-branded jewelry and watches.
Limited Liability Company Unit Class A Preferred (B) (F)		273 uts.				10/04/12				$	272,727			$	600,919
API Technologies Corp.
A designer, developer and manufacturer of electronic systems, subsystems, modules and secure communications for technically demanding defense, aerospace and commercial applications in the U.S. and internationally.
12% (1% PIK) Senior Subordinated Note due 04/22/2023		$	2,833,434			04/22/16					2,804,365				2,877,268
Limited Liability Company Unit (B)		0.90% int.				04/20/16					700,000				700,000
											3,504,365				3,577,268
ARI Holding Corporation
A leading national supplier of products used primarily by specialty contractors.
11.5% (0.5% PIK) Senior Subordinated Note due 02/01/2020		$	3,434,795				*				3,405,290				3,434,795
Limited Partnership Interest		1,048 uts.				08/01/14					1,047,900				1,179,218
* 05/21/13 and 08/01/14.											4,453,190				4,614,013
ASC Holdings, Inc.
A manufacturer of capital equipment used by corrugated box manufacturers.
13% (1% PIK) Senior Subordinated Note due 05/18/2021		$	1,526,814			11/19/15					1,503,475				1,466,178
Limited Liability Company Unit (B)		225,300 uts.				11/18/15					225,300				67,815
											1,728,775				1,533,993
Aurora Parts & Accessories LLC
A distributor of aftermarket over-the-road semi-trailer parts and accessories sold to customers across North America.
11% Senior Subordinated Note due 02/17/2022		$	3,074,700			08/17/15					3,027,272				3,148,747
Preferred Stock (B)		425 shs.				08/17/15					424,875				400,568
Common Stock (B)		425 shs.				08/17/15					425				—
											3,452,572				3,549,315
Avantech Testing Services LLC
A manufacturer of custom Non-Destructive Testing ("NDT") systems and provider of NDT and inspections services primarily to the oil country tubular goods market.
15% (3.75% PIK) Senior Subordinated Note due 01/31/2021 (D)		$	1,015,684			07/31/14					996,694				—
Limited Liability Company Unit (B) (F)		92,327 uts.					*				—				—
* 07/31/14 and 10/14/15.											996,694				—

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
BEI Precision Systems & Space Company, Inc.
A provider of advanced design, manufacturing, and testing for custom optical encoder-based positioning systems, precision accelerometers, and micro scanners.
12% (1% PIK) Senior Subordinated Note due 04/28/2024		$	2,940,000			04/28/17				$	2,882,145			$	2,968,686
Limited Liability Company Unit (B) (F)		5,600 uts.				04/28/17					560,000				560,000
											3,442,145				3,528,686
Blue Wave Products, Inc.
A distributor of pool supplies.
10% Senior Secured Term Note due 09/30/2018		$	223,404			10/12/12					222,243				223,404
13% (1% PIK) Senior Subordinated Note due 09/30/2019		$	749,418			10/12/12					726,385				749,418
Common Stock (B)		114,894 shs.				10/12/12					114,894				701,637
Warrant, exercisable until 2022, to purchase common stock at $.01 per share (B)		45,486 shs.				10/12/12					45,486				277,775
											1,109,008				1,952,234
BlueSpire Holding, Inc.
A marketing services firm that integrates strategy, technology, and content to deliver customized marketing solutions for clients in the senior living, financial services and healthcare end markets.
12.5% (1.5% PIK) Senior Subordinated Note due 06/30/2021 (D)		$	3,217,730			06/30/15					3,167,754				—
Common Stock (B)		2,876 shs.				06/30/15					318,200				—
											3,485,954				—
BP SCI LLC
A leading value-added distributor of branded pipes, valves, and fittings (PVF) to diversified end markets.
Limited Liability Company Unit Class A (B) (F)		1,000 uts.				10/17/12					100,000				171,002
Limited Liability Company Unit Class B (B) (F)		400 uts.				10/17/12					400,000				682,287
											500,000				853,289
CG Holdings Manufacturing Company
A coating provider serving the automotive, agricultural, heavy truck and other end markets.
13% Senior Subordinated Note 11/01/2019		$	3,390,252				*				3,295,336				3,390,252
Preferred Stock (B)		3,241 shs.					*				324,054				422,426
Preferred Stock (B)		1,174 shs.					*				116,929				153,049
Common Stock (B)		337 shs.					*				35,673				664,850
Warrant, exercisable until 2023, to purchase common stock at $.01 per share (B)		137 shs.					*				13,033				270,499
* 05/09/13 and 11/01/13.											3,785,025				4,901,076

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
CHG Alternative Education Holding Company
A leading provider of publicly-funded, for profit pre-K-12 education services targeting special needs children at therapeutic day schools and "at risk" youth through alternative education programs.
13.5% (1.5% PIK) Senior Subordinated Note due 06/19/2020		$	2,357,344			01/19/11				$	2,335,995			$	2,357,344
14% (2% PIK) Senior Subordinated Note due 06/19/2020		$	621,228			08/03/12					616,456				621,228
Common Stock (B)		1,125 shs.				01/19/11					112,500				138,436
Warrant, exercisable until 2021, to purchase common stock at $.01 per share (B)		884 shs.				01/19/11					87,750				108,819
											3,152,701				3,225,827
Church Services Holding Company
A provider of diversified residential services to homeowners in the Houston, Dallas, and Austin markets.
Limited Liability Company Unit (B) (F)		3 uts.				03/26/12					569,935				—
Clarion Brands Holding Corp.
A portfolio of six over-the-counter (OTC) pharmaceutical brands whose products are used to treat tinnitus or ringing of the ear, excessive sweating, urinary tract infections, muscle pain, and skin conditions.
12.5% (1.5% PIK) Senior Subordinated Note due 04/01/2021		$	4,136,379.15				*				4,077,713				4,121,730
Limited Liability Company Unit (B)		3,759 uts.				07/18/16					384,020				304,568
* 10/01/14 and 07/18/16.											4,461,733				4,426,298
Clough, Harbour and Associates
An engineering service firm that is located in Albany, NY.
Preferred Stock (B)		277 shs.				12/02/08					276,900				1,223,848
Compass Chemical International LLC
A manufacturer and supplier of standard and specialty formulated chemicals, primarily phosphoric acid derivatives called phosphonates.
Limited Liability Company Unit (B) (F)		467 uts.				03/04/15					298,900				294,192
Connecticut Electric, Inc.
A supplier and distributor of electrical products sold into the retail and wholesale markets.
Limited Liability Company Unit Class A (B)		156,046 uts.				01/12/07					156,046				244,218
Limited Liability Company Unit Class C (B)		112,873 uts.				01/12/07					112,873				196,562
Limited Liability Company Unit Class D (B)		1,268,437 uts.				05/03/10					—				2,123,091
Limited Liability Company Unit Class E (B)		2,081 uts.				05/03/10					—				495,896
											268,919				3,059,767

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
CORA Health Services, Inc.
A provider of outpatient rehabilitation therapy services.
12.75% (1.75% PIK) Senior Subordinated Note due 06/30/2023		$	1,565,637			06/30/16				$	1,537,806			$	1,599,894
Preferred Stock Series A (B)		1,538 shs.				06/30/16					146,154				165,692
Common Stock Class A (B)		7,692 shs.				06/30/16					7,692				19,623
											1,691,652				1,785,209
CTM Holding, Inc.
A leading owner and operator of coin-operated children's rides, penny presses and candy kiosks in the U.S.
15% (3% PIK) Senior Subordinated Note due 11/22/2019		$	2,632,816			11/22/13					2,608,755				2,632,816
Common Stock (B)		180 shs.					*				1,028,568				812,973
* 11/22/13 and 09/16/16.											3,637,323				3,445,789
Del Real LLC
A manufacturer and distributor of fully-prepared fresh refrigerated Hispanic entrees as well as side dishes that are typically sold on a heat-and-serve basis at retail grocers.
11% Senior Subordinated Note due 04/06/2023		$	2,882,353			10/07/16					2,829,322				2,876,264
Limited Liability Company Unit (B) (F)		617,647 uts.				10/07/16					617,647				642,353
											3,446,969				3,518,617
DPL Holding Corporation
A distributor and manufacturer of aftermarket undercarriage parts for medium and heavy duty trucks and trailers.
14% (2% PIK) Senior Subordinated Note due 11/04/2020		$	3,403,284			05/04/12					3,378,046				3,334,215
Preferred Stock (B)		61 shs.				05/04/12					605,841				578,533
Common Stock (B)		61 shs.				05/04/12					67,316				—
											4,051,203				3,912,748
Dunn Paper
A provider of specialty paper for niche product applications.
9.75% Second Lien Term Loan due 08/31/2023		$	3,500,000			09/28/16					3,437,260				3,430,000
Eagle Family Foods, Inc.
A producer of low-cost branded and private label canned milk.
10.05% Last Out Term Loan due 12/31/2021		$	3,500,000			12/22/15					3,460,625				3,500,000

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage					Acquisition Date			Cost				Fair Value
ECG Consulting Group
A healthcare management consulting company who provides strategic, financial, operational, and technology related consulting services to healthcare providers.
11.75% (0.75% PIK) Senior Subordinated Note due 11/21/2020		$	2,676,809				11/21/14			$	2,637,870			$	2,703,577
Limited Liability Company Unit (B) (F)		467 uts.					11/19/14				145,833				193,915
											2,783,703				2,897,492
Elite Sportswear Holding, LLC
A designer and manufacturer of gymnastics, competitive cheerleading and swimwear apparel in the U.S. and internationally.
11.5% (1% PIK) Senior Subordinated Note due 10/13/2021		$	3,198,918				10/14/16				3,149,449				3,199,990
Limited Liability Company Unit (B) (F)		204 uts.					10/14/16				324,074				316,198
											3,473,523				3,516,188
English Color & Supply LLC
A distributor of aftermarket automotive paint and related products to collision repair shops, auto dealerships and fleet customers through a network of stores in the Southern U.S.
11.5% (0.5% PIK) Senior Subordinated Note due 12/31/2023		$	2,693,084				06/30/17				2,639,245				2,693,084
Limited Liability Company Unit (B) (F)		806,916 uts.					06/30/17				806,916				806,916
											3,446,161				3,500,000
ERG Holding Company LLC
A provider of inpatient and outpatient clinical trial services to pharmaceutical companies and contract research organizations.
13.5% (1.5% PIK) Senior Subordinated Note due 10/04/2019		$	1,981,566				04/04/14				1,962,558				1,981,566
14% (2% PIK) Senior Subordinated Note due 10/04/2019		$	521,572				07/01/16				513,993				532,004
Common Stock (B)		0.64% int.					04/04/14				157,314				175,135
											2,633,865				2,688,705
F F C Holding Corporation
A leading U.S. manufacturer of private label frozen novelty and ice cream products.
Limited Liability Company Unit Preferred (B)		512 uts.					09/27/10				175,035				252,077
Limited Liability Company Unit Common (B)		512 uts.					09/27/10				51,220				1,409,897
											226,255				1,661,974

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage					Acquisition Date			Cost				Fair Value
F G I Equity LLC
A manufacturer of a broad range of filters and related products that are used in commercial, light industrial, healthcare, gas turbine, nuclear, laboratory, clean room, hotel, educational system, and food processing settings.
Limited Liability Company Unit Preferred (B)		483,355 uts.					04/15/14			$	—			$	483,355
Limited Liability Company Unit Class B-1 (B)		394,737 uts.					12/15/10				394,737				1,781,338
Limited Liability Company Unit Class B-2 (B)		49,488 uts.					12/15/10				49,488				223,326
Limited Liability Company Unit Class B-3 (B)		39,130 uts.					08/30/12				90,000				186,759
Limited Liability Company Unit Class C (B)		9,449 uts.					12/20/10				96,056				304,062
											630,281				2,978,840
FMH Holdings Corporation
A designer and manufacturer of highly engineered components for the aerospace, defense and space industries.
Common Stock (B)		300 shs.					05/01/15				300,485				556,019
GD Dental Services LLC
A provider of convenient "onestop" general, specialty, and cosmetic dental services with 21 offices located throughout South and Central Florida.
Limited Liability Company Unit Preferred (B)		182 uts.					10/05/12				182,209				255,499
Limited Liability Company Unit Common (B)		1,840 uts.					10/05/12				1,840				—
											184,049				255,499
GenNx Novel Holding, Inc.
A manufacturer and distributor of nutraceutical ingredients.
15% (1% PIK) Senior Subordinated Note due 03/27/2020		$	3,282,855				03/27/14				3,245,877				3,118,712
Common Stock (B)		31,500 shs.					03/27/14				315,000				211,008
											3,560,877				3,329,720
gloProfessional Holdings, Inc.
A marketer and distributor of premium mineral-based cosmetics, cosmeceuticals and professional hair care products to the professional spa and physician's office channels.
14% (2% PIK) Senior Subordinated Note due 03/27/2019		$	2,957,402				03/27/13				2,936,675				2,957,402
Common Stock (B)		2,835 shs.					03/27/13				283,465				301,534
											3,220,140				3,258,936
Glynlyon Holding Companies, Inc.
A technology-enabled curriculum provider of K-12 and support services predominantly to small and medium public school districts.
12% (1% PIK) Senior Subordinated Note due 01/15/2022		$	3,247,908				01/15/16				3,195,442				3,312,867
Common Stock (B)		299 shs.					01/15/16				299,145				484,855
											3,494,587				3,797,722

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)		695 shs.				06/19/15				$	143,414			$	164,563
Common Stock (B)		695 shs.				06/19/15					5,976				75,567
											149,390				240,130
Grakon Parent
The leading designer and manufacturer of highly-engineered and customized LED and incandescent lighting systems for transportation-based markets.
Common Stock (B)		355 shs.				10/31/14					354,730				342,712
GTI Holding Company
A designer, developer, and marketer of precision specialty hand tools and handheld test instruments.
12% Senior Subordinated Note due 02/05/2020		$	1,455,729			02/05/14					1,400,927				1,439,148
Common Stock (B)		1,693 shs.				02/05/14					169,271				119,421
Warrant, exercisable until 2024, to purchase common stock at $.01 per share (B)		795 shs.				02/05/14					73,633				56,078
											1,643,831				1,614,647
Handi Quilter Holding Company (Premier Needle Arts)
A designer and manufacturer of long-arm quilting machines and related components for the consumer quilting market.
12% (1% PIK) Senior Subordinated Note due 06/19/2021		$	3,500,000				*				3,448,150				3,528,549
Limited Liability Company Unit Preferred (B)		754 uts.					**				754,061				861,020
Limited Liability Company Unit Common Class A (B)		7,292 uts.				12/19/14					—				—
* 12/19/14 and 02/21/17.											4,202,211				4,389,569
** 12/19/14 and 04/29/16.
Happy Floors Acquisition, Inc.
A wholesale importer and value-added distributor of premium European flooring tile to residential and commercial end markets.
12.5% (1% PIK) Senior Subordinated Note due 07/01/2022		$	3,228,754			07/01/16					3,172,473				3,287,946
Common Stock (B)		303 shs.				07/01/16					303,333				325,632
											3,475,806				3,613,578
Hartland Controls Holding Corporation
A manufacturer and distributor of electronic and electromechanical components.
14% (2% PIK) Senior Subordinated Note due 08/14/2020		$	2,267,331			02/14/14					2,245,020				2,267,331
12% Senior Subordinated Note due 08/14/2020		$	875,000			06/22/15					869,785				883,750
Common Stock (B)		1,666 shs.				02/14/14					1,667				591,795
											3,116,472				3,742,876

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
HHI Group, LLC
A developer, marketer, and distributor of hobby-grade radio control products.
14% (2% PIK) Senior Subordinated Note due 11/26/2020		$	3,463,129			01/17/14				$	3,430,619			$	3,289,972
Limited Liability Company Unit (B) (F)		203 uts.				01/17/14					203,125				—
											3,633,744				3,289,972
Hollandia Produce LLC
A hydroponic greenhouse producer of branded root vegetables.
14.25% (2.75% PIK) Senior Subordinated Note due 12/11/2020		$	2,795,414				*				2,754,239				2,701,270
* 12/30/15 and 12/23/16
HOP Entertainment LLC
A provider of post production equipment and services to producers of television shows and motion pictures.
Limited Liability Company Unit Class F (B) (F)		89 uts.				10/14/11					—				—
Limited Liability Company Unit Class G (B) (F)		215 uts.				10/14/11					—				—
Limited Liability Company Unit Class H (B) (F)		89 uts.				10/14/11					—				—
Limited Liability Company Unit Class I (B) (F)		89 uts.				10/14/11					—				—
											—				—
Hospitality Mints Holding Company
A manufacturer of individually-wrapped imprinted promotional mints.
12% Senior Subordinated Note due 10/01/2018		$	2,075,581			08/19/08					2,070,050				1,985,202
Common Stock (B)		474 shs.				08/19/08					474,419				38,509
Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B)		123 shs.				08/19/08					113,773				9,953
											2,658,242				2,033,664
HVAC Holdings, Inc.
A provider of integrated energy efficiency services and maintenance programs for HVAC systems.
12% (1% PIK) Senior Subordinated Note due 07/19/2022		$	2,301,887				*				2,277,391				2,301,887
Limited Liability Company Unit Class A Preferred (B)		2,705 uts.				09/27/12					270,542				416,988
Limited Liability Company Unit Class A Common (B)		2,185 uts.				09/27/12					2,185				530,862
* 07/19/16 and 09/06/16											2,550,118				3,249,737
Ideal Tridon Holdings, Inc.
A designer and manufacturer of clamps and couplings used in automotive and industrial end markets.
Common Stock		279 shs.				10/27/11					232,385				581,096

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage					Acquisition Date			Cost				Fair Value
Impact Confections
An independent manufacturer and marketer of confectionery products including Warheads® brand sour candies, Melster® brand classic candies, and co-manufactured/private label classic candies.
13% (1% PIK) Senior Subordinated Note due 11/10/2020		$	2,216,037				11/10/14			$	2,187,780			$	2,194,721
Common Stock (B)		4,667 shs.					11/10/14				466,667				354,628
											2,654,447				2,549,349
Insurance Claims Management, Inc.
A third party administrator providing auto and property claim administration services for insurance companies.
Common Stock (B)		89 shs.					02/27/07				2,689				237,255
Janus Group Holdings LLC
A manufacturer of roll-up doors and hallway systems that are primarily used in self-storage facilities.
Limited Liability Company Unit Class A (B) (F)		565 uts.					12/11/13				—				2,773,525
JMH Investors LLC
A developer and manufacturer of custom formulations for a wide variety of foods.
Limited Liability Company Unit (B) (F)		2,493,253 uts.					12/05/12				557,301				—
Limited Liability Company Unit Class A-1 (B) (F)		391,304 uts.					10/31/16				391,304				466,630
Limited Liability Company Unit Class A-2 (B) (F)		2,478,261 uts.					10/31/16				—				93,108
											948,605				559,738
K P I Holdings, Inc.
The largest player in the U.S. non-automotive, non-ferrous die casting segment.
Limited Liability Company Unit Class C Preferred (B)		75 uts.					06/30/15				—				151,846
Common Stock (B)		667 shs.					07/15/08				539,502				226,220
											539,502				378,066
Kyjen Company
A designer and distributor of branded and private label dog toys and accessories primarily in the U.S.
13% (1% PIK) Senior Subordinated Note due 10/14/2021		$	2,670,247				10/14/15				2,628,784				2,723,652
Mail Communications Group, Inc.
A provider of mail processing and handling services, lettershop services, and commercial printing services.
Limited Liability Company Unit		24,109 uts.					*				314,464				421,617
Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B) (F)		3,375 shs.					05/04/07				43,031				59,022
* 05/04/07 and 01/02/08.											357,495				480,639

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 01/15/2018 (D)		$	1,259,914			01/15/10				$	1,212,363			$	629,957
15% (2.5% PIK) Senior Subordinated Note due 01/15/2018 (D)		$	345,759			10/05/10					343,820				172,879
Common Stock (B)		106 shs.				10/05/10					106,200				—
Common Stock Class B (B)		353 shs.				01/15/10					352,941				—
Warrant, exercisable until 2019, to purchase common stock at $.01 per share (B)		312 shs.				10/05/10					283,738				—
											2,299,062				802,836
Master Cutlery LLC
A designer and marketer of a wide assortment of knives and swords.
13% Senior Subordinated Note due 04/17/2020		$	1,736,205			04/17/15					1,723,036				1,565,770
Limited Liability Company Unit		9 uts.				04/17/15					1,356,658				—
											3,079,694				1,565,770
MC Sign Holdings LLC
A provider of sign and lighting services nationwide.
11.75% (0.75% PIK) Senior Subordinated Note due 08/09/2022		$	2,003,561				*				1,971,016				2,023,910
Limited Liability Company Unit Class B (B)		205,900 uts.				09/22/15					205,900				295,878
* 09/22/15 and 02/09/17											2,176,916				2,319,788
Merex Holding Corporation
A provider of after-market spare parts and components, as well as maintenance, repair and overhaul services for "out of production" or "legacy" aerospace and defense systems that are no longer effectively supported by the original equipment manufacturers.
16% Senior Subordinated Note due 10/30/2019 (D)		$	1,362,886			09/22/11					1,347,188				1,294,742
15% PIK Senior Subordinated Note due 04/30/2022 (D)		$	71,517			08/18/15					71,517				—
14% PIK Senior Subordinated Note due 06/30/2019 (B)		$	109,734			10/21/16					109,734				109,621
Common Stock Class A (B)		225,775 shs.					*				512,114				—
* 08/18/15, 10/20/16 and 01/27/17.											2,040,553				1,404,363
MES Partners, Inc.
An industrial service business offering an array of cleaning and environmental services to the Gulf Coast region of the U.S.
12% (1% PIK) Senior Subordinated Note due 09/30/2021		$	2,256,590			09/30/14					2,225,669				2,227,849
Common Stock Class B (B)		445,455 shs.				09/30/14					445,455				190,816
											2,671,124				2,418,665

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		$	3,170,651			12/02/16				$	3,111,849			$	3,223,708
Preferred Stock		3,472 shs.				12/02/16					347,191				308,410
Common Stock		491 shs.				12/02/16					491				—
											3,459,531				3,532,118
MNX Holding Company
An international third party logistics company providing customized logistics services to customers across the globe.
14% (2% PIK) Senior Subordinated Note due 11/02/2019		$	3,174,953			11/02/12					3,149,072				3,174,953
Common Stock (B)		107 shs.				11/02/12					107,143				87,164
											3,256,215				3,262,117
Money Mailer Equity LLC
A leading provider of hyperlocal shared direct mail advertising as well as interactive and online advertising solutions through its nationwide production and distribution network.
12% (1% PIK) Senior Subordinated Note due 10/29/2021		$	3,538,231			04/29/16					3,479,321				3,398,754
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		$	844,980			11/30/10					839,069				844,980
Limited Liability Company Unit Class B-1 (B) (F)		225,000 uts.				11/30/10					—				160,783
Limited Liability Company Unit Class B-2 (B) (F)		20,403 uts.				11/30/10					—				14,580
											839,069				1,020,343
NetShape Technologies, Inc.
A manufacturer of powder metal and metal injection molded precision components used in industrial, consumer, and other applications.
12% Senior Subordinated Note due 06/10/2020 (D)		$	1,530,000			02/02/07					1,528,882				—
Limited Partnership Interest of Saw Mill PCG Partners LLC (B)		2.76% int.				02/01/07					1,110,810				—
Limited Liability Company Unit Class D of Saw Mill PCG Partners LLC (B)		17 uts.					*				16,759				—
Limited Liability Company Unit Class D-1 of Saw Mill PCG Partners LLC (B)		229 uts.				09/30/09					228,858				—
Limited Liability Company Unit Class D-2 of Saw Mill PCG Partners LLC (B)		128 uts.				04/29/11					65,256				—
Limited Liability Company Unit Class D-3 of Saw Mill PCG Partners LLC (B)		196 uts.				12/10/14					196,263				—
* 12/18/08 and 09/30/09.											3,146,828				—

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
NSi Industries Holdings, Inc.
A manufacturer and distributer of electrical components and accessories to small to mid-sized electrical wholesalers.
12.75% (1.75% PIK) Senior Subordinated Note due 05/17/2023		$	3,099,913			06/30/16				$	3,045,336			$	3,151,209
Common Stock (B)		420 shs.				05/17/16					420,000				502,081
											3,465,336				3,653,290
PANOS Brands LLC
A marketer and distributor of branded consumer foods in the specialty, natural, better-for-you,"free from" healthy and gluten-free categories.
12% (1% PIK) Senior Subordinated Note due 07/29/2021		$	2,940,000			01/29/16					2,892,829				2,998,800
12% (1% PIK) Senior Subordinated Note due 08/17/2022		$	662,879			02/17/17					650,254				669,960
Common Stock Class B (B)		772,121 shs.					*				772,121				772,121
* 01/29/16 and 02/17/17.											4,315,204				4,440,881
Petroplex Inv Holdings LLC
A leading provider of acidizing services to E&P customers in the Permian Basin.
Limited Liability Company Unit		0.90% int.					*				420,814				16,111
* 11/29/12 and 12/20/16.
Polytex Holdings LLC
A manufacturer of water based inks and related products serving primarily the wall covering market.
13% (1% PIK) Senior Subordinated Note due 01/31/2020		$	2,165,569			07/31/14					2,142,029				2,044,828
Limited Liability Company Unit		300,485 uts.				07/31/14					300,485				103,637
											2,442,514				2,148,465
Power Stop Holdings LLC
A supplier of performance upgrade aftermarket brake products.
11% Senior Subordinated Note due 05/29/2022		$	3,266,800			05/29/15					3,217,409				3,299,468
Limited Liability Company Unit Preferred (B) (F)		2,332 uts.				05/29/15					233,200				279,775
Limited Liability Company Unit Common (B) (F)		2,332 uts.				05/29/15					—				221,417
											3,450,609				3,800,660

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
PPC Event Services
A special event equipment rental business.
14% (2% PIK) Senior Subordinated Note due 05/20/2020		$	2,391,344			11/20/14				$	2,363,388			$	2,391,344
Limited Liability Company Unit (B)		7,000 uts.				11/20/14					350,000				1,011,423
Limited Liability Company Unit Series A-1 (B)		689 uts.				03/16/16					86,067				115,750
											2,799,455				3,518,517
Randy's Worldwide Automotive
A designer and distributor of automotive aftermarket parts.
11.5% Senior Subordinated Note due 05/12/2021		$	2,304,719			05/12/15					2,272,827				2,327,766
Common Stock (B)		240 shs.				05/12/15					240,388				432,057
											2,513,215				2,759,823
Signature Systems Holdings Company
A seller and installer of a variety of modular surfaces, industrial matting and related products used for ground protection.
Common Stock (B)		181 shs.				03/15/13					181,221				128,304
Warrant, exercisable until 2023, to purchase common stock at $.01 per share (B)		74 shs.				03/15/13					67,958				52,413
											249,179				180,717
Smart Source Holdings LLC
A short-term computer rental company.
Limited Liability Company Unit (B)		619 uts.					*				493,496				790,082
Warrant, exercisable until 2020, to purchase common stock at $.01 per share (B)		157 shs.					*				127,437				200,154
* 08/31/07 and 03/06/08.											620,933				990,236
SMB Machinery Holdings, Inc.
A reseller of used, rebuilt and refurbished packaging and processing equipment, primarily serving the bottling and food manufacturing industries.
14% (2% PIK) Senior Subordinated Note due 10/18/2019 (D)		$	1,477,388			10/18/13					1,452,295				—
Common Stock (B)		1,681 shs.				10/18/13					168,100				—
											1,620,395				—
Software Paradigms International Group, LLC
An outsourced IT services provider focused on the retail industry.
12.5% (1.5% PIK) Senior Subordinated Note due 11/23/2021		$	3,500,000			05/23/16					3,440,446				3,535,000

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
SR Smith LLC
A manufacturer of mine and tunneling ventilation products in the United States.
11% Senior Subordinated Note due 03/27/2022		$	1,760,454			03/27/17				$	1,739,325			$	1,760,454
Limited Liability Company Unit Class A (B) (F)		29 uts.				03/27/17					1,717,802				1,475,918
											3,457,127				3,236,372
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.
14% (2% PIK) Senior Subordinated Note due 06/13/2019		$	2,119,565			12/13/13					2,093,476				2,111,744
Preferred Stock Series A (B)		317,935 shs.				12/13/13					317,935				375,163
Preferred Stock Series A-2 (B)		53,086 shs.				09/10/15					59,987				62,641
											2,471,398				2,549,4548
Sunrise Windows Holding Company
A manufacturer and marketer of premium vinyl windows exclusively selling to the residential remodeling and replacement market.
16% Senior Subordinated Note due 01/31/2019 (D)		$	4,285,410				*				4,075,756				2,999,787
Common Stock (B)		115 shs.				12/14/10					114,504				—
Warrant, exercisable until 2020, to purchase common stock at $.01 per share (B)		112 shs.				12/14/10					111,747				—
* 12/14/10, 08/17/12 and 03/31/16.											4,302,007				2,999,787
Sunvair Aerospace Group Inc.
An aerospace maintenance, repair, and overhaul provider servicing landing gears on narrow body aircraft.
12% (1% PIK) Senior Subordinated Note due 07/31/2021		$	2,478,788			07/31/15					2,429,459				2,453,647
Common Stock (B)		139 shs.				07/31/15					158,560				105,675
											2,588,019				2,559,322
Team Drive-Away Holdings LLC
An asset-light provider of over the road driveaway services for class 8 trucks and specialized equipment.
Limited Liability Company Unit (B)		194,400 uts.				10/15/15					194,400				244,750
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		$	134,039			12/05/13					415,666				134,039
Warrant, exercisable until 2023, to purchase common stock at $.01 per share (B)		53,038 shs.				12/05/13					—				21,215
											415,666				155,254

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage				Acquisition Date				Cost				Fair Value
Tranzonic Holdings LLC
A producer of commercial and industrial supplies, such as safety products, janitorial supplies, work apparel, washroom and restroom supplies and sanitary care products.
Limited Liability Company Unit Preferred Class A (B)		305,393 uts.					*			$	332,498			$	1,182,907
* 07/05/13 and 02/13/17.
Tristar Global Energy Solutions, Inc.
A hydrocarbon and decontamination services provider serving refineries worldwide.
12.5% (1.5% PIK) Senior Subordinated Note due 07/31/2020		$	2,337,355			01/23/15					2,307,736				2,325,560
Veritext Corporation
A provider of stenographic staffing and other services used during the legal deposition process.
10.75% Second Lien Term Loan due 01/29/2023		$	4,083,333				*				4,016,564				4,015,949
* 01/21/16 and 02/23/17.
VP Holding Company
A provider of school transportation services for special-needs and homeless children in Massachusetts.
Common Stock (B)		7,368 shs.				03/31/14					736,842				1,001,535
Wellborn Forest Holding Company
A manufacturer of semi-custom kitchen and bath cabinetry.
8% Senior Subordinated Note due 09/30/2019 (D)		$	3,359,243			11/30/06					1,481,602				3,359,243
Common Stock (B)		191 shs.				11/30/06					191,250				—
Warrant, exercisable until 2019, to purchase common stock at $.01 per share (B)		95 shs.				11/30/06					86,493				—
											1,759,345				3,359,243
Westminster Acquisition LLC
A manufacturer of premium, all-natural oyster cracker products sold under the Westminster and Olde Cape Cod brands.
12% (1% PIK) Senior Subordinated Note due 02/03/2021		$	765,668			08/03/15					755,010				780,981
Limited Liability Company Unit (B) (F)		751,212 uts.				08/03/15					751,212				1,159,221
											1,506,222				1,940,202

Corporate Restricted Securities: (A) (Continued)		Interest Rate			Maturity Date		Principal Amount				Cost				Market Value
Rule 144A Securities - 19.44%:
Bonds - 19.44%
Altice Financing S.A.			7.500	%	05/15/26		$	1,000,000			$	1,060,025			$	1,110,000
Altice S.A.			7.750		05/15/22			1,000,000				1,000,000				1,061,250
American Airlines Group Inc.			5.500		10/01/19			870,000				889,810				916,197
Amsted Industries			5.375		09/15/24			520,000				520,000				538,200
Belden Inc.			5.250		07/15/24			410,000				410,000				424,350
Boise Cascade Company			5.625		09/01/24			259,000				259,000				266,770
CITGO Holding, Inc.			10.750		02/15/20			1,000,000				1,015,908				1,086,250
CITGO Petroleum Corporation			6.250		08/15/22			925,000				925,000				938,875
Consolidated Energy Finance S.A.			6.750		10/15/19			394,000				390,405				401,880
Constellium N.V.			7.875		04/01/21			743,000				743,000				795,010
Cornerstone Chemical Company			9.375		03/15/18			1,000,000				1,004,410				1,000,000
Coveris Holdings S.A.			7.875		11/01/19			1,000,000				1,000,000				985,000
CTP Transportation Products, LLC			8.250		12/15/19			635,000				635,000				591,344
CVR Partners, LP.			9.250		06/15/23			1,000,000				977,789				1,046,250
Dean Foods			6.500		03/15/23			663,000				663,000				699,465
Diamond 1 Finance Corp / Diamond 2 Finance Corp (Dell)			5.875		06/15/21			228,000				228,000				238,830
Digicel Group Limited			6.000		04/15/21			1,000,000				926,502				958,750
Eagle Holding Co II LLC			7.625		05/15/22			208,000				208,000				213,980
Endo Finance LLC			5.375		01/31/23			1,000,000				982,429				835,000
EnPro Industries Inc.			5.875		09/15/22			250,000				252,392				260,625
EP Energy Corporation			8.000		11/29/24			500,000				500,000				498,750
First Quantum Minerals Ltd.			7.500		04/01/25			1,000,000				971,620				977,500
Gates Global LLC			6.000		07/15/22			1,000,000				803,238				1,002,500
Hertz Corporation			7.625		06/01/22			1,000,000				1,000,000				997,600
Hilcorp Energy Company			5.000		12/01/24			500,000				500,000				460,000
Hill-Rom Holdings, Inc.			5.750		09/01/23			385,000				385,000				405,213
Hub International Ltd.			7.875		10/01/21			1,000,000				1,000,000				1,042,500
IAMGOLD Corporation			7.000		04/15/25			1,000,000				1,000,000				1,030,000
Infor (US), Inc.			5.750		08/15/20			226,000				224,498				233,345
International Automotive Component			9.125		06/01/18			1,000,000				989,168				977,500
J.B. Poindexter Co., Inc.			9.000		04/01/22			1,000,000				1,033,486				1,048,750
JBS USA Holdings, Inc.			7.750		10/28/20			750,000				772,450				710,475
JDA Escrow LLC			7.375		10/15/24			179,000				179,000				186,160
Jupiter Resources Inc.			8.500		10/01/22			1,000,000				944,230				750,000
KeHE Distributors, LLC			7.625		08/15/21			1,000,000				1,041,522				1,002,500
LBC Tank Terminals Holding Netherlands B.V.			6.875		05/15/23			1,315,000				1,343,787				1,364,313
Mallinckrodt PLC			5.750		08/01/22			1,000,000				1,000,000				940,000
Micron Technology, Inc.			5.250		08/01/23			669,000				669,000				694,757

Corporate Restricted Securities: (A) (Continued)		Interest Rate			Maturity Date		Principal Amount				Cost				Market Value
Moog Inc.			5.250	%	12/01/22		$	1,000,000			$	1,005,851			$	1,040,000
New Gold Inc.			6.250		11/15/22			1,000,000				1,004,788				1,027,500
New Gold Inc.			6.375		05/15/25			231,000				231,000				237,930
Numericable Group SA			6.000		05/15/22			1,000,000				980,010				1,046,250
Onex Corporation			8.500		10/01/22			1,352,000				1,289,319				1,301,300
OPE KAG Finance Sub			7.875		07/31/23			1,750,000				1,810,954				1,837,500
Orchestra Borrower LLC/Orchestra Co-Issuer, Inc.			6.750		06/15/22			174,000				174,000				179,290
Park-Ohio Industries Inc.			6.625		04/15/27			343,000				343,000				360,150
Peabody Energy Corporation			6.615		03/31/25			1,000,000				985,354				985,000
Pinnacle Operating Corporation			9.000		05/15/23			756,588				941,414				718,759
Prime Security Services Borrower			9.250		05/15/23			1,000,000				1,000,000				1,086,660
PSPC Escrow Corp			6.500		02/01/22			299,000				259,448				308,718
Sabre GLBL Inc.			5.250		11/15/23			251,000				251,000				260,413
Signode Industrial Group			6.375		05/01/22			1,265,000				1,239,160				1,321,925
Sinclair Television Group, Inc.			5.125		02/15/27			1,000,000				1,000,000				967,500
Sirius XM Radio Inc.			5.375		04/15/25			250,000				250,000				258,438
Sirius XM Radio Inc.			5.375		07/15/26			1,000,000				993,970				1,035,000
Sonic Automotive, Inc.			6.125		03/15/27			352,000				352,000				350,240
Suncoke Energy			7.500		06/15/25			1,000,000				984,670				987,500
Tallgrass Operations LLC			5.500		09/15/24			605,000				605,000				612,562
Teine Energy Ltd.			6.875		09/30/22			1,300,000				1,308,753				1,317,875
Tempo Acquisition LLC			6.750		06/01/25			216,000				216,000				220,860
Topaz Marine S.A.			8.625		11/01/18			1,000,000				1,000,000				993,140
Tullow Oil Plc			6.250		04/15/22			725,000				553,243				660,655
United States Steel Corp.			8.375		07/01/21			195,000				195,000				214,500
Unitymedia KabelBW GmbH			6.125		01/15/25			1,000,000				1,000,000				1,072,500
Univision Communications, Inc.			5.125		05/15/23			325,000				325,000				328,145
Univision Communications, Inc.			5.125		02/15/25			860,000				869,488				852,475
UPCB Finance IV Limited			5.375		01/15/25			425,000				425,000				444,656
USIS Merger Sub Inc.			6.875		05/01/25			1,000,000				1,000,000				1,017,500
Virgin Media Secured Finance PLC			5.250		01/15/26			1,000,000				1,005,420				1,040,810
VRX Escrow Corp.			5.875		05/15/23			1,500,000				1,138,983				1,286,250
Watco Companies, L.L.C.			6.375		04/01/23			1,000,000				1,000,000				1,042,500
Welltec A/S			8.000		02/01/19			750,000				745,504				727,500
West Corporation			5.375		07/15/22			1,000,000				986,319				1,010,000
WMG Acquisition Corp.			6.750		04/15/22			1,000,000				1,036,360				1,051,250
Wolverine World Wide, Inc.			5.000		09/01/26			666,000				666,000				656,842
Zekelman Industries, Inc			9.875		06/15/23			230,000				230,000				258,462
Total Bonds												57,849,677				58,808,444

Corporate Restricted Securities: (A) (Continued)		Shares				Cost				Market Value
Common Stock - 0.00%
TherOX, Inc. (B)			6			$	—			$	—
Touchstone Health Partnership (B)			1,168				—				—
Total Common Stock							—				—
Total Rule 144A Securities							57,849,677				58,808,444
Total Corporate Restricted Securities						$	270,285,245			$	275,780,060

Corporate Public Securities - 15.28%: (A)		Interest Rate			Maturity Date		Principal Amount				Cost				Market Value
Bank Loans - 2.72%
Almonde, Inc.			8.459	%	06/13/25		$	940,734			$	958,960			$	956,858
Aquilex Holdings LLC			6.500		12/31/20			273,105				272,760				267,643
Caelus Energy Alaska, LLC			8.750		04/15/20			1,000,000				995,136				858,330
Fieldwood Energy LLC			8.000		08/31/20			344,430				314,130				321,181
Fieldwood Energy LLC			8.375		09/30/20			1,044,008				562,026				576,815
Fieldwood Energy LLC			8.375		09/30/20			1,455,992				873,994				1,146,593
Gulf Finance LLC			6.300		08/25/23			523,337				518,796				486,049
K&N Engineering, Inc.			9.750		12/31/99			1,000,000				981,645				987,500
Kronos Incorporated			9.284		12/31/99			409,457				405,675				424,640
RadNet Management Inc.			8.150		12/31/99			1,000,000				997,854				1,002,500
Power Products LLC			5.530		01/24/23			267,591				266,343				267,926
Seadrill Partners Finco, LLC			4.000		02/21/21			984,694				535,501				626,265
Summit Midstream Holdings, LLC			7.022		03/06/22			306,680				303,775				309,747
Total Bank Loans												7,986,595				8,232,047
Bonds - 12.41%
A. Schulman Inc.			6.875		06/01/23			1,000,000				1,011,386				1,057,500
Alere Inc.			7.250		07/01/18			940,000				954,329				941,175
Anixter, Inc.			5.500		03/01/23			1,000,000				1,000,000				1,068,750
Antero Resources Corporation			5.375		11/01/21			800,000				800,000				808,000
Beazer Homes USA Inc.			6.750		03/15/25			598,000				598,000				623,415
Beazer Homes USA Inc.			8.750		03/15/22			320,000				320,000				356,800
Boyd Gaming Corporation			6.375		04/01/26			197,000				197,000				213,006
Calpine Corporation			5.750		01/15/25			700,000				700,000				656,250
CHS/Community Health Systems, Inc.			5.125		08/01/21			480,000				472,541				486,000
CHS/Community Health Systems, Inc.			6.250		03/31/23			298,000				298,000				307,640
Clearwater Paper Corporation			4.500		02/01/23			750,000				745,321				738,750
Commercial Metals Company			4.875		05/15/23			1,500,000				1,502,035				1,516,875
CVR Refining LLC			6.500		11/01/22			650,000				635,013				654,875
EP Energy Corporation			9.375		05/01/20			819,000				437,827				645,986
Ferrellgas Partners, L.P			6.750		01/15/22			1,000,000				1,005,526				940,000
Ferrellgas Partners, L.P			8.625		06/15/20			1,048,000				1,048,778				990,360
Forum Energy Technologies			6.250		10/01/21			325,000				325,000				316,875
GEO Group, Inc. (The)			5.875		01/15/22			1,000,000				954,330				1,040,000
HCA Holdings, Inc.			5.375		02/01/25			150,000				152,240				158,220
HealthSouth Corporation			5.750		11/01/24			579,000				582,331				594,199
Hughes Satellite Systems Corporation			6.625		08/01/26			1,250,000				1,233,962				1,343,750
Icahn Enterprises L.P.			6.000		08/01/20			1,150,000				1,161,826				1,183,781
Kindred Healthcare, Inc.			8.750		01/15/23			1,000,000				1,000,000				1,051,250
Lamar Media Corp.			5.375		01/15/24			320,000				320,000				334,400

Corporate Public Securities: (A) (Continued)		Interest Rate			Maturity Date		Shares or Principal Amount				Cost				Market Value
Laredo Petroleum, Inc.			5.625	%	01/15/22		$	1,000,000			$	951,273			$	970,000
Level 3 Communications Inc.			5.250		03/15/26			858,000				878,096				890,269
Meritor, Inc.			6.750		06/15/21			1,000,000				1,000,000				1,035,000
Meritor, Inc.			7.875		03/01/26			669,000				663,403				1,138,136
Micron Technology, Inc.			7.500		09/15/23			403,000				403,000				450,554
NRG Energy, Inc.			7.250		05/15/26			500,000				503,057				517,500
NRG Energy, Inc.			6.625		01/15/27			1,000,000				954,728				1,001,250
Oasis Petroleum Inc.			6.875		03/15/22			1,000,000				1,000,000				970,000
PBF Holding Company LLC			7.000		11/15/23			65,000				65,000				64,025
Perry Ellis International, Inc.			7.875		04/01/19			250,000				249,170				250,000
P.H. Glatfelter Company			5.375		10/15/20			1,000,000				1,006,865				1,022,500
Ply Gem Industries, Inc.			6.500		02/01/22			1,000,000				949,567				1,042,920
Precision Drilling Corporation			6.625		11/15/20			448,432				454,936				438,343
Select Medical Corporation			6.375		06/01/21			650,000				655,772				667,875
SM Energy Company			6.750		09/15/26			1,500,000				1,487,595				1,432,020
Sprint Corporation			7.125		06/15/24			315,000				315,000				350,438
Suburban Propane Partners, L.P.			5.750		03/01/25			1,000,000				1,000,000				990,000
Summit Midstream Holdings, LLC			5.500		08/15/22			170,000				127,625				169,788
Sunoco LP			6.250		04/15/21			840,000				835,924				877,800
Tenet Healthcare Corporation			6.750		06/15/23			725,000				722,053				725,000
TransDigm Group, Inc.			6.375		06/15/26			1,000,000				977,970				1,015,000
Triumph Group, Inc.			4.875		04/01/21			1,000,000				961,215				993,750
Western Digital Corporation			10.500		04/01/24			494,000				494,000				582,762
William Lyon Homes			7.000		08/15/22			1,000,000				1,000,000				1,035,000
WPX Energy, Inc.			5.250		09/15/24			925,000				925,000				878,750
Total Bonds												36,036,694				37,536,537
Common Stock - 0.00%
Chase Packaging Corporation								9,541				—				207
Total Common Stock												—				207
Preferred Stock - 0.15%
Pinnacle Operating Corporation								519,298				339,854				446,596
Total Preferred Stock												339,854				446,596
Total Corporate Public Securities											$	44,363,143			$	46,215,387

Short-Term Securities:		Interest Rate/Yield^			Maturity Date		Principal Amount				Cost				Market Value
Commercial Paper - 0.66%
Ryder System Inc			1.400	%	07/18/17		$	2,000,000			$	1,998,678			$	1,998,678
Total Short-Term Securities											$	1,998,678			$	1,998,678
Total Investments			107.12	%							$	316,647,066			$	323,994,125
Other Assets			4.23													12,780,126
Liabilities			(11.35	)												(34,320,153	)
Total Net Assets			100.00	%											$	302,454,098