a_061nq.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05133)
Exact name of registrant as specified in charter: Putnam High Income Securities Fund
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Beth S. Mazor, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: August 31, 2011
Date of reporting period: May 31, 2011



Item 1. Schedule of Investments:













Putnam High Income Securities Fund

The fund's portfolio
5/31/11 (Unaudited)
CORPORATE BONDS AND NOTES (39.2%)(a)
Principal amount Value
Basic materials (3.2%)
Associated Materials, LLC 144A company guaranty sr. notes 9 1/8s, 2017 $130,000 $134,388
Atkore International, Inc. 144A sr. notes 9 7/8s, 2018 145,000 157,325
Catalyst Paper Corp. 144A company guaranty sr. notes 11s, 2016 (Canada) 55,000 50,050
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany) 55,000 57,956
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 100,000 102,250
Chemtura Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2018 25,000 27,125
Compass Minerals International, Inc. company guaranty sr. unsec. notes 8s, 2019 150,000 165,750
Edgen Murray Corp. company guaranty sr. notes 12 1/4s, 2015 50,000 51,250
Exopack Holding Corp. company guaranty sr. unsec. notes 11 1/4s, 2014 90,000 92,250
Exopack Holding Corp. 144A sr. notes 10s, 2018 80,000 80,000
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 200,000 212,500
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 90,000 95,035
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 150,000 154,688
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 55,000 59,125
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 90,000 96,638
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 90,000 100,688
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 75,000 83,813
Ineos Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) 200,000 217,000
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (United Kingdom) EUR 105,000 150,539
JMC Steel Group 144A sr. notes 8 1/4s, 2018 $45,000 46,463
KRATON Polymers, LLC/KRATON Polymers Capital Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 40,000 40,400
Kronos International, Inc. sr. notes 6 1/2s, 2013 (Germany) EUR 64,000 92,860
Lyondell Chemical Co. sr. notes 11s, 2018 $320,000 360,332
Lyondell Chemical Co. 144A company guaranty sr. notes 8s, 2017 262,000 294,750
Momentive Performance Materials, Inc. 144A notes 9s, 2021 185,000 197,950
NewPage Corp. company guaranty sr. notes 11 3/8s, 2014 150,000 144,750
Nexeo Solutions, LLC/Nexeo Solutions Finance Corp. 144A sr. sub. notes 8 3/8s, 2018 35,000 36,400
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 195,000 215,475
Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015 120,000 121,500
Old All, Inc. company guaranty sr. unsec. notes 9s, 2014 (In default)(F)(NON) 230,000 1
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria) EUR 55,000 90,102
PE Paper Escrow GmbH 144A sr. notes 12s, 2014 (Austria) $140,000 161,350
Smurfit Kappa Funding PLC sr. sub. notes 7 3/4s, 2015 (Ireland) EUR 15,000 22,093
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland) $100,000 102,625
Smurfit Kappa Treasury company guaranty sr. unsec. unsub. debs. 7 1/2s, 2025 (Ireland) 20,000 19,750
Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017 90,000 99,338
Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 145,000 158,775
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016 65,000 69,063
Thompson Creek Metals Co., Inc. 144A company guaranty sr. notes 7 3/8s, 2018 (Canada) 55,000 55,619
TPC Group, LLC 144A sr. notes 8 1/4s, 2017 130,000 139,100
Tube City IMS Corp. company guaranty sr. unsec. sub. notes 9 3/4s, 2015 160,000 167,200
USG Corp. 144A company guaranty sr. notes 8 3/8s, 2018 45,000 46,350
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes FRN Ser. B, 4.023s, 2014 20,000 19,250
Verso Paper Holdings, LLC/Verso Paper, Inc. 144A sr. notes 8 3/4s, 2019 55,000 55,000
4,844,866
Capital goods (2.1%)
Alliant Techsystems, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2020 15,000 15,750
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 7 1/8s, 2019 35,000 34,738
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 185,000 200,263
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014 60,000 60,150
American Axle & Manufacturing, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 5,000 5,125
American Axle & Manufacturing, Inc. 144A company guaranty sr. notes 9 1/4s, 2017 81,000 89,708
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 100,000 147,937
BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 $35,000 37,013
Berry Plastics Corp. company guaranty notes FRN 4.185s, 2014 75,000 70,313
Berry Plastics Corp. company guaranty sr. notes 9 1/2s, 2018 70,000 71,225
Berry Plastics Corp. notes 9 3/4s, 2021 35,000 35,044
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 100,000 105,500
Crown Americas, LLC/Crown Americas Capital Corp. III 144A sr. notes 6 1/4s, 2021 45,000 46,631
Delphi Corp. 144A sr. notes 6 1/8s, 2021 80,000 80,000
Exide Technologies 144A sr. notes 8 5/8s, 2018 60,000 63,750
Griffon Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2018 45,000 45,900
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 90,000 99,000
Kratos Defense & Security Solutions, Inc. 144A sr. notes 10s, 2017 145,000 159,500
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) 285,000 367,781
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 20,000 22,400
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 75,000 77,813
Polypore International, Inc. 144A sr. notes 7 1/2s, 2017 75,000 79,688
Pregis Corp. company guaranty sr. sub. notes 12 3/8s, 2013 70,000 69,475
Reynolds Group DL Escrow, Inc./Reynolds Group Escrow, LLC 144A company guaranty sr. notes 8 1/2s, 2016 (Luxembourg) 115,000 123,050
Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 7 1/8s, 2019 100,000 104,000
Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 120,000 127,350
Ryerson Holding Corp. sr. disc. notes zero %, 2015 100,000 56,000
Ryerson, Inc. company guaranty sr. notes 12s, 2015 225,000 242,438
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 50,000 52,875
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 90,000 92,250
Thermadyne Holdings Corp. 144A sr. notes 9s, 2017 175,000 185,938
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 117,000 124,898
TransDigm, Inc. 144A sr. sub. notes 7 3/4s, 2018 140,000 148,750
3,242,253
Communication services (4.8%)
Adelphia Communications Corp. escrow bonds zero %, 2012 235,000 3,525
Adelphia Communications Corp. escrow bonds zero %, 2011 20,000 300
Atlantic Broadband Finance, LLC company guaranty 9 3/8s, 2014 225,000 228,375
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 45,000 47,700
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 125,000 140,938
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 35,000 38,413
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 65,000 70,525
CCH II, LLC/CCH II Capital company guaranty sr. unsec. notes 13 1/2s, 2016 104,815 124,730
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 55,000 58,300
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 95,000 93,575
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 85,000 86,594
Cequel Communications Holdings I LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017 280,000 297,500
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 130,000 125,450
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 185,000 202,344
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 120,000 130,950
CPI International, Inc. 144A sr. notes 8s, 2018 35,000 34,563
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 275,000 272,250
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 85,000 90,313
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 45,000 47,925
CSC Holdings LLC sr. notes 6 3/4s, 2012 26,000 26,910
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 265,000 278,250
EH Holding Corp. 144A sr. notes 6 1/2s, 2019(FWC) 80,000 80,900
EH Holding Corp. 144A sr. unsec. notes 7 5/8s, 2021(FWC) 150,000 153,375
Frontier Communications Corp. sr. unsec. notes 8 1/2s, 2020 110,000 120,588
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017 65,000 71,338
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2014 25,000 27,688
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 35,000 38,544
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 7 1/2s, 2021 (Bermuda) 140,000 141,750
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 322,187 349,170
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 580,000 626,400
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 85,000 92,119
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2014 194,000 199,820
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 80,000 84,600
Mediacom Broadband, LLC/Mediacom Broadband Corp. sr. unsec. unsub. notes 8 1/2s, 2015 50,000 51,938
Mediacom LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 55,000 59,675
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 230,000 247,538
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 50,000 49,875
Nextel Communications, Inc. company guaranty sr. unsec. notes Ser. D, 7 3/8s, 2015 60,000 60,375
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 90,000 103,275
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 40,000 42,450
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 50,000 54,250
PAETEC Holding Corp. 144A sr. unsec. notes 9 7/8s, 2018 160,000 171,600
Qwest Communications International, Inc. company guaranty 7 1/2s, 2014 20,000 20,275
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 90,000 102,150
Qwest Corp. sr. unsec. unsub. notes 8 3/8s, 2016 20,000 23,750
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 65,000 69,388
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 35,000 38,544
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016 145,000 157,506
Sprint Capital Corp. company guaranty 6 7/8s, 2028 365,000 354,050
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 185,000 208,588
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 65,000 66,138
Virgin Media Finance PLC company guaranty sr. notes Ser. 1, 9 1/2s, 2016 (United Kingdom) 175,000 199,938
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Netherlands) 80,000 85,000
Wind Acquisition Finance SA 144A sr. notes 11 3/4s, 2017 (Netherlands) 110,000 127,875
Wind Acquisition Finance SA 144A sr. notes 11 3/4s, 2017 (Netherlands) EUR 50,000 85,561
Wind Acquisition Holdings Finance SA 144A company guaranty sr. notes 12 1/4s, 2017 (Italy)(PIK) $113,707 140,712
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 35,000 38,194
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2013 95,000 104,263
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 125,000 136,719
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 90,000 97,425
7,282,774
Consumer cyclicals (8.7%)
Affinion Group Holdings, Inc. 144A company guaranty sr. notes 11 5/8s, 2015 105,000 106,313
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 125,000 130,000
Affinion Group, Inc. 144A sr. notes 7 7/8s, 2018 135,000 128,250
AMC Entertainment, Inc. 144A sr. sub. notes 9 3/4s, 2020 185,000 196,331
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 152,000 162,260
American Media, Inc. 144A notes 13 1/2s, 2018 18,955 20,566
Ameristar Casinos, Inc. 144A sr. notes 7 1/2s, 2021 110,000 114,125
ARAMARK Holdings Corp. 144A sr. notes 8 5/8s, 2016(PIK) 50,000 51,125
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 40,000 41,900
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 6 7/8s, 2015 50,000 47,125
Beazer Homes USA, Inc. company guaranty sr. unsec. unsub. notes 9 1/8s, 2018 65,000 61,181
Beazer Homes USA, Inc. 144A sr. notes 9 1/8s, 2019 75,000 71,063
Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014 160,000 162,800
Brickman Group Holdings, Inc. 144A sr. notes 9 1/8s, 2018 30,000 31,200
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 100,000 105,750
Building Materials Corp. 144A sr. notes 7s, 2020 45,000 47,025
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 50,000 51,000
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 40,000 40,300
Burlington Coat Factory Warehouse Corp. 144A company guaranty sr. unsec. notes 10s, 2019 90,000 90,225
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 447,000 413,475
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2015 30,000 30,900
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 220,000 247,500
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 9 1/8s, 2018 20,000 21,825
Cengage Learning Acquisitions, Inc. 144A sr. notes 10 1/2s, 2015 210,000 199,500
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 95,000 96,425
Cenveo Corp. 144A company guaranty sr. unsec. notes 10 1/2s, 2016 40,000 40,300
Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company guaranty sr. notes 8 1/4s, 2021 200,000 199,500
Cinemark USA, Inc. company guaranty sr. unsec. notes 8 5/8s, 2019 85,000 92,863
Cinemark USA, Inc. 144A company guaranty sr. sub. notes 7 3/8s, 2021 25,000 25,000
CityCenter Holdings LLC/CityCenter Finance Corp. 144A company guaranty notes 10 3/4s, 2017(PIK) 155,000 173,213
Clear Channel Communications, Inc. company guaranty unsec. unsub. notes 10 3/4s, 2016 260,000 249,600
Clear Channel Communications, Inc. sr. unsec. notes 5 1/2s, 2014 100,000 91,750
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2021 120,000 120,000
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2017 20,000 21,800
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017 160,000 174,800
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015 205,000 220,119
Cumulus Media, Inc. 144A sr. notes 7 3/4s, 2019 95,000 95,000
DISH DBS Corp. company guaranty 7 1/8s, 2016 60,000 64,050
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 135,000 146,981
DISH DBS Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 100,000 101,000
FelCor Escrow Holdings, LLC 144A sr. notes 6 3/4s, 2019(R) 165,000 164,175
FelCor Lodging LP company guaranty sr. notes 10s, 2014(R) 195,000 223,275
Ford Motor Credit Co., LLC sr. unsec. notes 8 1/8s, 2020 135,000 157,950
Ford Motor Credit Co., LLC sr. unsec. notes 7s, 2015 110,000 120,164
General Motors Financial Co., Inc. 144A sr. notes 6 3/4s, 2018 55,000 55,418
Goodyear Tire & Rubber Co. (The) sr. unsec. notes 10 1/2s, 2016 18,000 20,385
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015 130,000 138,125
Gymboree Corp. 144A sr. unsec. notes 9 1/8s, 2018 55,000 51,288
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 85,000 83,513
Hanesbrands, Inc. sr. unsec. notes 8s, 2016 75,000 81,375
Interactive Data Corp. 144A company guaranty sr. notes 10 1/4s, 2018 240,000 267,000
Isle of Capri Casinos, Inc. company guaranty 7s, 2014 195,000 193,538
Isle of Capri Casinos, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2019 90,000 91,463
Jarden Corp. company guaranty sr. unsec. notes 8s, 2016 50,000 54,750
Jarden Corp. company guaranty sr. unsec. sub. notes 7 1/2s, 2017 280,000 298,200
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 10,000 11,625
Lamar Media Corp. company guaranty sr. sub. notes 7 7/8s, 2018 40,000 43,000
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 145,000 147,900
Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016 80,000 83,400
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 100,000 103,875
M/I Homes, Inc. 144A sr. unsec. notes 8 5/8s, 2018 180,000 176,850
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 160,000 181,200
Macy's Retail Holdings, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2015 75,000 90,000
Mashantucket Western Pequot Tribe 144A bonds 8 1/2s, 2015 (In default)(NON) 200,000 16,500
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 35,000 35,263
McClatchy Co. (The) company guaranty sr. notes 11 1/2s, 2017 85,000 93,075
MGM Resorts International company guaranty sr. notes 9s, 2020 25,000 27,813
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 40,000 38,250
MGM Resorts International company guaranty sr. unsec. notes 6 5/8s, 2015 50,000 48,938
MGM Resorts International sr. notes 10 3/8s, 2014 20,000 23,100
MGM Resorts International sr. notes 6 3/4s, 2012 2,000 2,040
Michaels Stores, Inc. company guaranty 11 3/8s, 2016 225,000 243,281
MTR Gaming Group, Inc. company guaranty sr. notes 12 5/8s, 2014 225,000 237,375
Navistar International Corp. sr. notes 8 1/4s, 2021 165,000 181,088
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 90,000 91,125
Neiman-Marcus Group, Inc. company guaranty sr. unsec. sub. notes 10 3/8s, 2015 65,000 68,413
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc. company guaranty sr. notes 8 7/8s, 2017 130,000 141,050
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 7 3/4s, 2018 95,000 101,888
Nortek, Inc. 144A company guaranty sr. notes 8 1/2s, 2021 45,000 42,919
Nortek, Inc. 144A company guaranty sr. unsec. notes 10s, 2018 70,000 72,800
Owens Corning, Inc. company guaranty sr. unsec. notes 9s, 2019 170,000 202,938
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 30,000 32,738
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016 150,000 154,500
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 65,000 70,038
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 60,000 66,750
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 35,000 38,500
Pinnacle Entertainment, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2015 180,000 184,050
Ply Gem Industries, Inc. 144A sr. notes 8 1/4s, 2018 45,000 44,438
Pulte Group, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 105,000 108,938
Pulte Group, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 80,000 73,800
QVC Inc. 144A sr. notes 7 1/2s, 2019 140,000 150,850
QVC Inc. 144A sr. notes 7 3/8s, 2020 65,000 69,713
Realogy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 90,000 92,250
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 35,000 35,175
Regal Entertainment Group company guaranty sr. unsec. notes 9 1/8s, 2018 90,000 95,625
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A sr. notes 8 5/8s, 2017 145,000 148,263
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 235,000 212,675
Scotts Miracle-Gro Co. (The) 144A sr. notes 6 5/8s, 2020 90,000 93,150
Sealy Mattress Co. 144A company guaranty sr. sec. notes 10 7/8s, 2016 101,000 113,373
Sears Holdings Corp. 144A sr. notes 6 5/8s, 2018 85,000 78,200
Standard Pacific Corp. company guaranty sr. notes 10 3/4s, 2016 115,000 132,825
Standard Pacific Corp. company guaranty sr. unsec. notes 8 3/8s, 2021 35,000 35,088
Standard Pacific Corp. company guaranty sr. unsec. unsub. notes 7s, 2015 25,000 26,250
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016 40,000 41,200
Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016 30,000 31,125
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 110,000 117,838
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 170,000 192,100
Travelport LLC company guaranty 11 7/8s, 2016 120,000 104,400
Travelport LLC company guaranty 9 7/8s, 2014 155,000 143,763
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 75,000 65,813
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014 EUR 60,000 90,292
TRW Automotive, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2014 EUR 80,000 120,389
Universal City Development Partners, Ltd. company guaranty sr. unsec. notes 8 7/8s, 2015 $50,000 55,375
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 100,000 103,000
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 115,000 121,900
Vertis, Inc. company guaranty sr. notes 13 1/2s, 2014 (In default)(F)(NON)(PIK) 184,377 9,219
Visteon Corp. 144A sr. notes 6 3/4s, 2019 85,000 82,450
WMG Acquisition Corp. company guaranty sr. sub. notes 7 3/8s, 2014 60,000 60,750
WMG Holdings Corp. company guaranty sr. unsec. disc. notes 9 1/2s, 2014 30,000 31,163
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty 1st mtge. notes 7 3/4s, 2020 70,000 76,738
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013 145,000 172,550
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 130,000 138,125
Yankee Acquisition Corp. company guaranty sr. notes Ser. B, 8 1/2s, 2015 190,000 197,838
YCC Holdings, LLC/Yankee Finance, Inc. 144A sr. unsec. notes 10 1/4s, 2016 95,000 97,850
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 210,000 231,263
13,332,795
Consumer staples (3.3%)
ACCO Brands Corp. company guaranty sr. notes 10 5/8s, 2015 80,000 89,800
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 30,000 32,925
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 150,000 154,313
Bumble Bee Acquisition Corp. 144A company guaranty sr. notes 9s, 2017 100,000 102,750
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 75,000 79,969
Central Garden & Pet Co. company guaranty sr. sub. notes 8 1/4s, 2018 140,000 147,438
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016(PIK) 60,000 57,000
CKE Restaurants, Inc. company guaranty sr. notes 11 3/8s, 2018 115,000 125,925
Claire's Stores, Inc. 144A notes 8 7/8s, 2019 90,000 86,400
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 145,000 158,594
Dave & Buster's, Inc. company guaranty sr. unsec. unsub. notes 11s, 2018 130,000 141,700
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 95,000 95,238
Dean Foods Co. 144A sr. notes 9 3/4s, 2018 30,000 32,325
DineEquity, Inc. 144A sr. unsec. notes 9 1/2s, 2018 125,000 136,875
Dole Food Co. sr. notes 13 7/8s, 2014 94,000 113,858
Dole Food Co. 144A sr. notes 8s, 2016 35,000 37,144
Dunkin Brands, Inc. 144A company guaranty sr. unsec. notes 9 5/8s, 2018 34,000 34,297
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 105,000 110,250
Harry & David Operations Corp. company guaranty sr. unsec. notes 9s, 2013 (In default)(NON) 130,000 26,000
Harry & David Operations Corp. company guaranty sr. unsec. notes FRN 5.311s, 2012 (In default)(NON) 70,000 14,350
Hertz Corp. 144A company guaranty sr. unsec. notes 7 1/2s, 2018 45,000 47,250
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 110,000 169,509
JBS USA LLC/JBS USA Finance, Inc. company guaranty sr. unsec. notes 11 5/8s, 2014 $60,000 70,200
JBS USA LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 335,000 328,300
Landry's Restaurants, Inc. company guaranty sr. notes 11 5/8s, 2015 20,000 21,700
Landry's Restaurants, Inc. 144A company guaranty sr. notes 11 5/8s, 2015 45,000 48,825
Libbey Glass, Inc. sr. notes 10s, 2015 72,000 78,480
Michael Foods, Inc. 144A sr. notes 9 3/4s, 2018 55,000 60,500
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. company guaranty sr. unsec. notes 9 1/4s, 2015 45,000 47,138
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 90,000 96,075
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 8 1/4s, 2018 45,000 48,038
Reddy Ice Corp. company guaranty sr. notes 11 1/4s, 2015 125,000 129,063
Revlon Consumer Products Corp. company guaranty notes 9 3/4s, 2015 80,000 87,000
Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019 40,000 44,600
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 65,000 65,325
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 210,000 192,675
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 35,000 37,669
Roadhouse Financing, Inc. 144A sr. notes 10 3/4s, 2017 75,000 81,188
RSC Equipment Rental, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 60,000 61,950
Service Corporation International sr. notes 7s, 2019 50,000 52,938
Service Corporation International sr. notes 7s, 2017 65,000 70,769
Service Corporation International sr. unsec. 7 3/8s, 2014 125,000 137,188
Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014 130,000 152,100
Spectrum Brands, Inc. sr. unsec. sub. bonds 12s, 2019 117,016 131,058
Spectrum Brands, Inc. 144A sr. notes 9 1/2s, 2018 95,000 106,163
Stewart Enterprises, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2019 85,000 85,850
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014 305,000 367,144
United Rentals North America, Inc. company guaranty sr. unsec. sub. notes 8 3/8s, 2020 45,000 46,463
Wendy's Co. (The) company guaranty sr. unsec. unsub. notes 10s, 2016 225,000 250,313
West Corp. 144A sr. notes 7 7/8s, 2019 65,000 66,219
West Corp. 144A sr. unsec. notes 8 5/8s, 2018 55,000 57,956
5,016,797
Energy (5.3%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021(FWC) 80,000 81,600
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019(FWC) 85,000 85,744
Anadarko Finance Co. company guaranty sr. unsec. unsub. notes Ser. B, 7 1/2s, 2031 210,000 249,040
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 75,000 84,518
Anadarko Petroleum Corp. sr. unsec. notes 6 3/8s, 2017 15,000 17,240
Anadarko Petroleum Corp. sr. unsec. notes 6.2s, 2040 50,000 51,989
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 105,000 110,775
Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013 95,000 95,356
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015 50,000 52,000
Brigham Exploration Co. company guaranty sr. unsec. notes 8 3/4s, 2018 90,000 98,775
Brigham Exploration Co. 144A company guaranty sr. unsec. notes 6 7/8s, 2019 30,000 30,150
Carrizo Oil & Gas, Inc. 144A sr. unsec. notes 8 5/8s, 2018 170,000 180,625
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 85,000 94,563
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 7/8s, 2017 155,000 161,975
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 45,000 46,575
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 35,000 41,300
Chesapeake Midstream Partners LP/CHKM Finance Corp. 144A company guaranty sr. notes 5 7/8s, 2021 45,000 45,225
Complete Production Services, Inc. company guaranty 8s, 2016 100,000 105,250
Compton Petroleum Finance Corp. company guaranty sr. unsec. notes 10s, 2017 (Canada) 100,725 75,544
Comstock Resources, Inc. company guaranty sr. unsub. notes 8 3/8s, 2017 110,000 116,050
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 120,000 120,600
Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s, 2015 (Canada) 300,000 327,375
Connacher Oil and Gas, Ltd. 144A sr. sec. notes 11 3/4s, 2014 (Canada) 15,000 16,013
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 215,000 238,650
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 130,000 142,350
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2021 20,000 20,200
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 230,000 249,550
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 95,000 104,500
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 65,000 66,056
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 250,000 251,250
Ferrellgas LP/Ferrellgas Finance Corp. 144A sr. unsec. notes 6 1/2s, 2021 65,000 64,756
Forbes Energy Services Ltd. 144A company guaranty sr. unsec. notes 9s, 2019(FWC) 80,000 80,400
Frac Tech Services, LLC/Frac Tech Finance, Inc. 144A company guaranty sr. notes 7 1/8s, 2018 115,000 121,900
Goodrich Petroleum Corp. 144A sr. notes 8 7/8s, 2019 185,000 186,388
Helix Energy Solutions Group, Inc. 144A sr. unsec. notes 9 1/2s, 2016 345,000 365,700
Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017 60,000 63,750
Inergy LP/Inergy Finance Corp. 144A sr. notes 6 7/8s, 2021 135,000 139,050
James River Escrow, Inc. 144A sr. notes 7 7/8s, 2019 45,000 45,900
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 100,000 101,000
Laredo Petroleum, Inc. 144A sr. notes 9 1/2s, 2019 85,000 90,525
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 90,000 90,675
Milagro Oil & Gas 144A notes 10 1/2s, 2016 120,000 114,600
Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s, 2018 90,000 96,413
Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, 2014 210,000 214,200
Offshore Group Investments, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 95,000 104,738
Offshore Group Investments, Ltd. 144A company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands)(FWC) 25,000 27,500
OPTI Canada, Inc. company guaranty sr. sec. notes 8 1/4s, 2014 (Canada) 50,000 24,875
OPTI Canada, Inc. company guaranty sr. sec. notes 7 7/8s, 2014 (Canada) 290,000 142,825
OPTI Canada, Inc. 144A company guaranty sr. notes 9 3/4s, 2013 (Canada) 35,000 35,263
OPTI Canada, Inc. 144A sr. notes 9s, 2012 (Canada) 5,000 5,025
Peabody Energy Corp. company guaranty 7 3/8s, 2016 295,000 333,350
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 10,000 10,763
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 135,000 153,225
Petroleum Development Corp. company guaranty sr. unsec. notes 12s, 2018 265,000 298,125
Plains Exploration & Production Co. company guaranty 7 3/4s, 2015 75,000 78,000
Plains Exploration & Production Co. company guaranty 7s, 2017 375,000 385,313
Quicksilver Resources, Inc. company guaranty sr. unsec. notes 8 1/4s, 2015 50,000 52,750
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 70,000 81,200
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 50,000 52,750
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 135,000 150,863
Sabine Pass LNG LP sec. notes 7 1/2s, 2016 185,000 190,088
SandRidge Energy, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2021 25,000 25,875
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 230,000 241,500
SandRidge Energy, Inc. 144A sr. unsec. notes 9 7/8s, 2016 55,000 60,638
SM Energy Co. 144A sr. unsec. notes 6 5/8s, 2019 55,000 56,306
Trico Shipping AS 144A sr. notes 13 7/8s, 2014 (Norway) (In default)(NON) 191,427 144,048
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 30,000 30,469
Whiting Petroleum Corp. company guaranty 7s, 2014 90,000 97,200
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 115,000 149,881
8,068,665
Financials (4.4%)
ABN Amro North American Holding Preferred Capital Repackage Trust I 144A jr. sub. bonds FRB 6.523s, Perpetual maturity 195,000 186,713
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 90,000 91,350
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 65,000 72,475
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2020 60,000 66,225
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 65,000 69,956
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.511s, 2014 65,000 64,031
Ally Financial, Inc. unsec. sub. notes 8s, 2018 65,000 71,338
Ally Financial, Inc. 144A company guaranty notes 6 1/4s, 2017 90,000 92,714
American International Group, Inc. jr. sub. bonds FRB 8.175s, 2058 140,000 154,000
BAC Capital Trust VI bank guaranty jr. unsec. sub. notes 5 5/8s, 2035 85,000 78,460
BankAmerica Capital II bank guaranty jr. unsec. sub. notes 8s, 2026 30,000 30,788
Capital One Capital IV company guaranty jr. unsec. sub. notes FRN 6.745s, 2037 105,000 106,706
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 35,000 36,838
CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub. notes 11 5/8s, 2017 170,000 200,600
CIT Group, Inc. sr. bonds 7s, 2017 556,354 558,440
CIT Group, Inc. sr. bonds 7s, 2016 289,538 290,624
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 135,000 144,450
CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018 105,000 113,400
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019 110,000 113,025
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 150,000 164,813
Dresdner Funding Trust I 144A bonds 8.151s, 2031 140,000 137,900
E*Trade Financial Corp. sr. notes 6 3/4s, 2016 80,000 80,000
E*Trade Financial Corp. sr. unsec. unsub. notes 12 1/2s, 2017 82,000 98,605
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB 6.071s, Perpetual maturity (Jersey) 175,000 157,500
HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018 (United Kingdom) 135,000 136,262
HBOS PLC 144A unsec. sub. bonds 6s, 2033 (United Kingdom) 60,000 48,988
HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015 180,000 186,750
HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014 115,000 119,744
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 240,000 247,200
ING Groep NV jr. unsec. sub. notes 5.775s, Perpetual maturity (Netherlands) 40,000 37,200
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 30,000 30,038
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 168,000 176,820
Liberty Mutual Group, Inc. 144A company guaranty jr. sub. notes FRB 10 3/4s, 2058 25,000 34,031
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 50,000 52,000
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. notes FRN 7s, 2037 30,000 29,898
MPT Operating Partnership LP/MPT Finance Corp. 144A company guaranty sr. notes 6 7/8s, 2021(R) 65,000 65,325
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 190,000 212,088
NB Capital Trust IV jr. unsec. sub. notes 8 1/4s, 2027 30,000 30,863
Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015 145,000 153,700
Omega Healthcare Investors, Inc. 144A sr. notes 6 3/4s, 2022(R) 125,000 124,688
Provident Funding Associates LP / PFG Finance Corp. 144A sr. notes 10 1/4s, 2017 115,000 127,075
Provident Funding Associates LP / PFG Finance Corp. 144A sr. notes 10 1/8s, 2019 60,000 62,100
Regions Financing Trust II company guaranty jr. unsec. sub. bonds FRB 6 5/8s, 2047 170,000 158,100
Residential Capital LLC company guaranty jr. notes 9 5/8s, 2015 275,000 280,500
Royal Bank of Scotland Group PLC jr. unsec. sub. bonds FRB 7.648s, Perpetual maturity (United Kingdom) 265,000 255,394
Sabra Health Care LP/Sabra Capital Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018(R) 45,000 46,013
SLM Corp. sr. notes Ser. MTN, 8s, 2020 90,000 99,252
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 320,000 360,800
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 295,000 280,250
Springleaf Finance Corp. sr. unsec. notes Ser. MTNI, 5.85s, 2013 65,000 65,325
Springleaf Finance Corp. sr. unsec. notes Ser. MTNI, 4 7/8s, 2012 120,000 120,600
6,721,955
Health care (3.0%)
Aviv Healthcare Properties LP 144A sr. notes 7 3/4s, 2019 95,000 97,138
Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017 90,000 99,450
Capella Healthcare, Inc. 144A company guaranty sr. notes 9 1/4s, 2017 130,000 140,400
CDRT Merger Sub, Inc. 144A company guaranty sr. unsec. notes 8 1/8s, 2019 55,000 55,481
CHS/Community Health Systems, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2015 245,000 252,963
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) 200,000 216,000
DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 30,000 30,750
DaVita, Inc. company guaranty sr. unsec. notes 6 3/8s, 2018 90,000 92,138
Elan Finance PLC/Elan Finance Corp. company guaranty sr. unsec. notes 8 3/4s, 2016 (Ireland) 160,000 171,200
Fresenius Medical Care US Finance, Inc. 144A company guaranty sr. notes 5 3/4s, 2021 140,000 137,550
Giant Funding Corp. 144A sr. notes 8 1/4s, 2018 (Spain) 170,000 178,925
HCA Holdings, Inc. 144A sr. unsec. notes 7 3/4s, 2021 110,000 115,088
HCA, Inc. company guaranty sr. notes 9 7/8s, 2017(FWC) 29,000 32,444
HCA, Inc. company guaranty sr. notes 9 5/8s, 2016(PIK) 267,000 285,690
HCA, Inc. company guaranty sr. notes 8 1/2s, 2019 215,000 240,531
HCA, Inc. sr. notes 6.95s, 2012 70,000 72,625
HCA, Inc. sr. sec. notes 9 1/4s, 2016 355,000 378,963
Health Management Associates, Inc. sr. notes 6 1/8s, 2016 245,000 256,025
IASIS Healthcare, LLC/IASIS Capital Corp. 144A sr. notes 8 3/8s, 2019 205,000 206,281
Kindred Escrow Corp. 144A sr. notes 8 1/4s, 2019(FWC) 80,000 80,700
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 95,000 102,600
Select Medical Corp. company guaranty 7 5/8s, 2015 70,000 70,875
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 80,000 82,800
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015(PIK) 131,119 135,053
Talecris Biotherapeutics Holdings Corp. company guaranty sr. unsec. notes 7 3/4s, 2016 30,000 33,600
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 15,000 17,175
Tenet Healthcare Corp. sr. notes 9s, 2015 215,000 234,081
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 55,000 61,188
Tenet Healthcare Corp. sr. unsec. notes 8s, 2020 110,000 113,713
United Surgical Partners International, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2017 265,000 280,569
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 20,000 19,600
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 45,000 44,325
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 20,000 19,800
Vanguard Health Systems, Inc. 144A sr. notes zero %, 2016 130,000 84,013
Ventas Realty LP/Capital Corp. company guaranty 9s, 2012(R) 100,000 106,850
4,546,584
Technology (2.3%)
Advanced Micro Devices, Inc. sr. unsec. notes 8 1/8s, 2017 55,000 58,163
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 40,000 42,000
Alcatel-Lucent USA, Inc. unsec. debs. 6.45s, 2029 25,000 22,938
Avaya, Inc. company guaranty sr. unsec. notes 10 1/8s, 2015(PIK) 55,000 57,200
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 180,000 186,975
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 120,000 117,300
Buccaneer Merger Sub, Inc. 144A sr. notes 9 1/8s, 2019 120,000 128,550
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 227,350 237,865
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 55,000 56,994
CommScope, Inc. 144A sr. notes 8 1/4s, 2019 90,000 94,275
Eagle Parent Inc. 144A sr. notes 8 5/8s, 2019 (Canada) 65,000 65,731
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 35,000 38,588
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 65,000 71,500
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015(PIK) 95,089 99,487
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 225,000 225,563
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 55,000 55,963
First Data Corp. 144A sr. bonds 12 5/8s, 2021 315,000 342,563
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 55,000 62,288
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 115,000 128,225
Freescale Semiconductor, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2020 260,000 299,000
Iron Mountain, Inc. company guaranty 8 3/4s, 2018 55,000 57,544
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 25,000 26,750
Jazz Technologies, Inc. company guaranty sr. unsec. notes 8s, 2015(F) 446,000 439,310
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands) 250,000 288,750
Seagate HDD Cayman 144A company guaranty sr. unsec. notes 7 3/4s, 2018 (Cayman Islands) 85,000 89,463
SunGard Data Systems, Inc. company guaranty 10 1/4s, 2015 116,000 120,640
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 95,000 98,563
3,512,188
Transportation (0.2%)
AMGH Merger Sub., Inc. 144A company guaranty sr. notes 9 1/4s, 2018 125,000 133,750
Swift Services Holdings, Inc. 144A company guaranty sr. notes 10s, 2018 140,000 155,400
Western Express, Inc. 144A sr. notes 12 1/2s, 2015 130,000 126,425
415,575
Utilities and power (1.9%)
AES Corp. (The) sr. unsec. notes 8s, 2020 55,000 59,538
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 85,000 91,906
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 100,000 105,750
Calpine Corp. 144A sr. notes 7 1/4s, 2017 185,000 192,400
Colorado Interstate Gas Co. debs. 6.85s, 2037 (Canada) 95,000 108,229
Dynegy Holdings, Inc. sr. unsec. notes 7 3/4s, 2019 230,000 167,900
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 75,000 68,063
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 20,000 20,500
Edison Mission Energy sr. unsec. notes 7.2s, 2019 85,000 68,850
Edison Mission Energy sr. unsec. notes 7s, 2017 40,000 33,100
El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031 100,000 121,250
El Paso Natural Gas Co. debs. 8 5/8s, 2022 40,000 52,804
Energy Future/Energy Future Intermediate Holdings Finance Co., LLC sr. notes 10s, 2020 62,000 67,435
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 45,000 48,720
Energy Future Intermediate Holdings Co., LLC sr. notes 9 3/4s, 2019 256,000 268,800
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 155,000 168,950
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 190,000 199,975
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 25,000 26,313
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 25,000 28,063
NRG Energy, Inc. company guaranty 7 3/8s, 2017 100,000 105,500
NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2021 325,000 325,406
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 70,000 73,040
PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015 140,000 158,900
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s, 2028 15,000 17,484
Texas Competitive/Texas Competitive Electric Holdings Co., LLC company guaranty sr. unsec. notes 10 1/2s, 2016(PIK) 188,546 134,810
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty notes 15s, 2021 75,000 65,250
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 85,000 86,063
2,864,999
Total Corporate bonds and notes (cost $56,797,081) $59,849,451

CONVERTIBLE BONDS AND NOTES (28.0%)(a)
Principal amount Value
Basic materials (1.1%)
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 $535,000 $655,375
U.S. Steel Corp. cv. sr. unsec. notes 4s, 2014 335,000 534,744
USEC, Inc. cv. sr. unsec. notes 3s, 2014 600,000 472,500
1,662,619
Capital goods (1.1%)
Alliant Techsystems, Inc. cv. company guaranty sr. sub. notes 3s, 2024 80,000 90,100
General Cable Corp. cv. unsec. sub. notes stepped-coupon 4 1/2s (2 1/4s, 11/15/19) 2029(STP) 1,075,000 1,467,375
Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s, 2036 95,000 100,700
1,658,175
Communication services (5.9%)
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A cv. company guaranty sr. unsec. notes 8 1/4s, 2040 1,385,000 1,393,656
Cogent Communication Group, Inc. cv. sr. unsec. notes 1s, 2027 733,000 650,538
Equinix, Inc. cv. sr. unsec. sub. notes 4 3/4s, 2016 840,000 1,193,850
Leap Wireless International, Inc. cv. sr. unsec. notes 4 1/2s, 2014 1,280,000 1,252,800
Level 3 Communications, Inc. cv. sr. unsec. unsub. notes 6 1/2s, 2016 800,000 1,611,000
Level 3 Communications, Inc. cv. sr. unsec. unsub. notes 3 1/2s, 2012 610,000 607,713
Virgin Media, Inc. cv. sr. unsec. notes 6 1/2s, 2016 (United Kingdom) 1,170,000 2,239,088
8,948,645
Consumer cyclicals (5.0%)
CBIZ, Inc. 144A cv. sr. sub. notes 4 7/8s, 2015 397,000 497,491
Charming Shoppes, Inc. cv. sr. unsec. notes 1 1/8s, 2014 1,270,000 1,130,300
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 631,000 1,148,294
Icahn Enterprises LP 144A cv. sr. unsec. notes FRN 4s, 2013 900,000 866,250
Liberty Media, LLC cv. sr. unsec. unsub. notes 3 1/2s, 2031 1,900,000 1,068,750
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2 7/8s, 2027 1,420,000 1,327,700
Morgans Hotel Group Co. cv. sr. sub. notes 2 3/8s, 2014 920,000 811,900
XM Satellite Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014 547,000 850,585
7,701,270
Consumer staples (0.9%)
Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015 470,000 472,350
Spartan Stores, Inc. cv. sr. unsec. notes 3 3/8s, 2027 883,000 880,793
1,353,143
Energy (2.3%)
Carrizo Oil & Gas, Inc. cv. sr. unsec. unsub. notes 4 3/8s, 2028 225,000 225,844
Chesapeake Energy Corp. cv. sr. unsec. notes company guaranty 2 1/2s, 2037 780,000 864,825
Global Industries, Ltd. cv. sr. unsec. notes 2 3/4s, 2027 573,000 443,387
Helix Energy Solutions Group, Inc. cv. sr. unsec. unsub. notes 3 1/4s, 2025 1,325,000 1,328,313
Peabody Energy Corp. cv. jr. unsec. sub. debs. 4 3/4s, 2041 495,000 623,700
Trico Marine Services, Inc. cv. sr. unsec. debs. 3s, 2027 (In default)(NON) 500,000 22,500
3,508,569
Financials (3.9%)
Ares Capital Corp. 144A cv. sr. unsec. notes 5 3/4s, 2016 610,000 639,829
CapitalSource, Inc. cv. company guaranty sr. unsec. sub. notes 7 1/4s, 2037 300,000 312,375
Digital Realty Trust LP 144A cv. sr. unsec. notes 5 1/2s, 2029(R) 545,000 826,697
iStar Financial, Inc. cv. sr. unsec. unsub. notes FRN 0.805s, 2012(R) 820,000 772,850
KKR Financial Holdings, LLC cv. sr. unsec. notes 7 1/2s, 2017 598,000 875,696
MF Global Holdings Ltd. cv. sr. unsec. notes 9s, 2038 910,000 1,045,363
Old Republic International Corp. cv. sr. unsec. unsub. notes 8s, 2012 639,000 736,448
Tower Group, Inc. 144A cv. sr. unsec. notes 5s, 2014 679,000 746,900
5,956,158
Health care (2.7%)
Amylin Pharmaceuticals, Inc. cv. sr. unsec. notes 3s, 2014 850,000 775,625
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4s, 2013 (China) 1,065,000 899,925
China Medical Technologies, Inc. 144A cv. sr. unsec. notes 6 1/4s, 2016 (China) 445,000 429,959
Hologic, Inc. cv. sr. unsec. notes stepped-coupon 2s (zero %, 12/15/16) 2037(STP) 625,000 739,063
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2s (zero %, 12/15/13) 2037(STP) 600,000 585,750
LifePoint Hospitals, Inc. cv. sr. unsec. sub. notes 3 1/4s, 2025 400,000 418,500
Providence Service Corp. (The) cv. sr. unsec. sub. notes 6 1/2s, 2014 302,000 298,225
4,147,047
Technology (4.7%)
Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s, 2015 1,309,000 1,359,724
EnerSys cv. sr. unsec. notes stepped-coupon 3 3/8s (zero %, 6/1/15) 2038(STP) 367,000 420,215
Powerwave Technologies, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2027 1,160,000 1,083,150
Quantum Corp. 144A cv. sr. unsec. sub. notes 3 1/2s, 2015 793,000 840,977
Safeguard Scientifics, Inc. cv. sr. unsec. sub. notes 10 1/8s, 2014 1,800,000 2,688,750
TeleCommunication Systems, Inc. 144A cv. sr. unsec. notes 4 1/2s, 2014 875,000 849,297
7,242,113
Transportation (0.4%)
AMR Corp. cv. company guaranty sr. unsub. notes 6 1/4s, 2014 545,000 561,350
561,350
Total Convertible bonds and notes (cost $36,031,909) $42,739,089

CONVERTIBLE PREFERRED STOCKS (27.0%)(a)
Shares Value
Basic materials (1.3%)
Smurfit-Stone Container Corp. (Escrow) zero % cv. pfd.(F) 65,720 $657
Vale Capital II $3.375 cv. pfd. (Cayman Islands) 21,400 1,905,938
1,906,595
Communication services (2.0%)
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 30,900 1,305,525
Crown Castle International Corp. $3.125 cum. cv. pfd. 29,498 1,773,715
3,079,240
Consumer cyclicals (7.0%)
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) 88,700 2,383,813
General Motors Co. Ser. B, $2.375 cv. pfd. 67,775 3,397,222
Interpublic Group of Cos, Inc. (The) Ser. B, 5.25% cv. pfd. 1,055 1,159,181
Nielsen Holdings NV $3.125 cv. pfd. 21,515 1,347,269
Retail Ventures, Inc. $3.312 cv. pfd. 19,725 1,461,228
Stanley Black & Decker, Inc. $4.75 cv. pfd. 8,247 995,825
10,744,538
Consumer staples (1.7%)
Bunge, Ltd. $4.875 cv. pfd. 11,750 1,229,344
Dole Food Automatic Exchange 144A 7.00% cv. pfd.(NON) 45,742 574,520
Newell Financial Trust I $2.625 cum. cv. pfd. 18,460 853,775
2,657,639
Energy (1.1%)
Apache Corp. Ser. D, $3.00 cv. pfd. 19,995 1,331,667
Chesapeake Energy Corp. 144A 5.75% cv. pfd. 307 406,391
1,738,058
Financials (8.9%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd. 28,010 751,228
AMG Capital Trust II $2.575 cv. pfd. 31,375 1,378,539
Assured Guaranty, Ltd. $4.25 cv. pfd. (Bermuda) 5,870 410,196
Bank of America Corp. Ser. L, 7.25% cv. pfd. 1,802 1,883,090
Citigroup, Inc. $7.50 cv. pfd. 12,180 1,465,498
Entertainment Properties Trust Ser. C, $1.438 cum. cv. pfd. 51,500 1,078,796
Hartford Financial Services Group, Inc. (The) $1.182 cv. pfd. 30,825 797,597
Health Care REIT, Inc. Ser. I, $3.25 cv. pfd. 20,775 1,117,955
Huntington Bancshares Ser. A, 8.50% cv. pfd. 844 970,600
MetLife, Inc. $3.75 cv. pfd. 13,195 1,091,358
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 1,575 1,708,875
XL Group PLC $2.688 cv. pfd. 28,530 908,681
13,562,413
Technology (1.7%)
Lucent Technologies Capital Trust I 7.75% cv. pfd. 1,255 1,265,668
Unisys Corp. Ser. A, 6.25% cv. pfd. 15,345 1,264,121
2,529,789
Transportation (0.6%)
Swift Mandatory Common Exchange Security Trust 144A 6.00% cv. pfd. 64,785 855,162
855,162
Utilities and power (2.7%)
AES Trust III $3.375 cv. pfd. 30,565 1,501,506
El Paso Energy Capital Trust I $2.375 cv. pfd. 1,069 49,241
Great Plains Energy, Inc. $6.00 cv. pfd. 19,895 1,324,012
PPL Corp. $4.75 cv. pfd. 19,856 1,144,698
PPL Corp. $4.375 cv. pfd. 3,193 176,860
4,196,317
Total Convertible preferred stocks (cost $36,977,944) $41,269,751

COMMON STOCKS (2.0%)(a)
Shares Value
AES Corp. (The)(NON) 6,265 $81,194
Alliance HealthCare Services, Inc.(NON) 7,775 33,666
Ameristar Casinos, Inc. 4,640 104,214
Avis Budget Group, Inc.(NON) 3,210 56,464
Bohai Bay Litigation, LLC (Escrow)(F) 406 1,267
Cincinnati Bell, Inc.(NON) 31,355 99,709
CIT Group, Inc.(NON) 936 41,493
CONSOL Energy, Inc. 1,500 76,905
El Paso Corp. 58,196 1,225,026
FelCor Lodging Trust, Inc.(NON)(R) 8,485 52,862
Fortescue Metals Group, Ltd. (Australia) 9,200 64,112
Freeport-McMoRan Copper & Gold, Inc. Class B 2,200 113,608
General Motors Co.(NON) 2,830 90,022
Interpublic Group of Companies, Inc. (The) 6,010 71,699
Jarden Corp. 1,855 64,999
Kinder Morgan, Inc./Kansas 4,710 137,956
L-3 Communications Holdings, Inc. 1,290 105,329
NII Holdings, Inc.(NON) 2,425 105,876
Petrohawk Energy Corp.(NON) 4,123 109,136
Quicksilver Resources, Inc.(NON) 4,455 63,662
Sealy Corp.(NON) 29,223 76,564
Spectrum Brands Holdings, Inc.(NON) 2,429 87,371
Stallion Oilfield Holdings, Ltd. 693 28,933
Terex Corp.(NON) 2,105 62,413
Trump Entertainment Resorts, Inc.(F) 152 760
TRW Automotive Holdings Corp.(NON) 1,540 87,580
Vantage Drilling Co.(NON) 24,638 49,276
Verso Paper Corp.(NON) 8,876 33,374
Total Common stocks (cost $2,411,457) $3,125,470

UNITS (0.9%)(a)
Units Value
Ashland, Inc. cv. jr. unsec. sub. debs. units 6 1/2s, 2029 1,540,000 $1,324,400
Total Units (cost $1,255,661) $1,324,400

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A Ser. G, 7.00% cum. pfd. 111 $107,223
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 6,800 178,636
Total Preferred stocks (cost $260,815) $285,859

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Smurfit Kappa Group PLC 144A (Ireland)(F) 10/1/13 EUR 0.001 119 $7,674
Tower Semiconductor, Ltd. 144A (Israel)(F) 6/30/15 $0.01 168,777 40,506
Total Warrants (cost $38,280) $48,180

SENIOR LOANS (—%)(a)(c)
Principal amount Value
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.2s, 2014(FWC) $54,268 $20,405
GateHouse Media, Inc. bank term loan FRN Ser. DD, 2.2s, 2014(FWC) 20,249 7,614
Total Senior loans (cost $71,563) $28,019

SHORT-TERM INVESTMENTS (2.3%)(a)
Shares Value
Putnam Money Market Liquidity Fund 0.07%(e) 3,547,032 $3,547,032
Total Short-term investments (cost $3,547,032) $3,547,032

TOTAL INVESTMENTS
Total investments (cost $137,391,742)(b) $152,217,251













FORWARD CURRENCY CONTRACTS at 5/31/11 (aggregate face value $1,668,922) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America, N.A.
Canadian Dollar Sell 6/15/11 $36,115 $36,843 $728
Euro Sell 6/15/11 127,624 132,237 4,613
Citibank, N.A.
Euro Buy 6/15/11 24,001 24,860 (859)
Credit Suisse AG
Euro Buy 6/15/11 22,133 22,916 (783)
Deutsche Bank AG
Euro Sell 6/15/11 136,534 141,408 4,874
Goldman Sachs International
Euro Sell 6/15/11 130,354 135,032 4,678
HSBC Bank USA, National Association
Euro Sell 6/15/11 54,614 56,573 1,959
JPMorgan Chase Bank, N.A.
Euro Buy 6/15/11 148,894 154,102 (5,208)
Royal Bank of Scotland PLC (The)
Euro Buy 6/15/11 81,058 83,909 (2,851)
State Street Bank and Trust Co.
Euro Sell 6/15/11 69,848 72,349 2,501
UBS AG
Euro Sell 6/15/11 1,725 1,785 60
Westpac Banking Corp.
Australian Dollar Sell 6/15/11 66,420 68,171 1,751
Canadian Dollar Buy 6/15/11 38,901 39,690 (789)
Euro Sell 6/15/11 674,911 699,047 24,136
Total $34,810












Key to holding's currency abbreviations
EUR Euro
USD / $ United States Dollar
Key to holding's abbreviations
FRB Floating Rate Bonds
FRN Floating Rate Notes
GMTN Global Medium Term Notes
MTN Medium Term Notes
MTNI Medium Term Notes Class I
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from September 1, 2010 through May 31, 2011 (the reporting period).
(a) Percentages indicated are based on net assets of $152,791,819.
(b) The aggregate identified cost on a tax basis is $137,537,366, resulting in gross unrealized appreciation and depreciation of $16,870,240 and $2,190,355, respectively, or net unrealized appreciation of $14,679,885.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC (Putnam Management), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $1,585 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $43,340,442 and $41,295,974, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (ASC 820) based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $37,513 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The rates shown on FRB and FRN are the current interest rates at the close of the reporting period.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities. If no sales are reported— as in the case of some securities traded over-the-counter— a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Outstanding contracts on forward currency contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Master agreements: The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $9,703 on derivative contracts subject to the Master Agreements. There was no collateral posted by the fund.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
Level 2 – Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3 – Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks:
    Basic materials $146,982 $64,112 $—
    Capital goods 62,413 — —
    Communication services 205,585 — —
    Consumer cyclicals 547,940 — 760
    Consumer staples 143,835 — —
    Energy 327,912 — 1,267
    Financials 41,493 — —
    Health care 33,666 — —
    Technology 105,329 — —
    Utilities and power 1,444,176 — —
Total common stocks 3,059,331 64,112 2,027
Convertible bonds and notes — 42,739,089 —
Convertible preferred stocks — 41,269,094 657
Corporate bonds and notes — 59,400,921 448,530
Preferred stocks — 285,859 —
Senior loans — 28,019 —
Units — 1,324,400 —
Warrants — — 48,180
Short-term investments 3,547,032 — —
Totals by level $6,606,363 $145,111,494 $499,394



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3


Forward currency contracts $— $34,810 $—
Totals by level $— $34,810 $—


At the start and/or close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Foreign exchange contracts $45,300 $10,490
Equity contracts 48,180 —
Total $93,480 $10,490


For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com



Item 2. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam High Income Securities Fund
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: July 28, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: July 28, 2011

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: July 28, 2011