a_highincsecurities.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: Robert T. Burns, 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, 2013
Date of reporting period: November 30, 2012



Item 1. Schedule of Investments:













Putnam High Income Securities Fund

The fund's portfolio
11/30/12 (Unaudited)
CORPORATE BONDS AND NOTES (41.1%)(a)
Principal amount Value
Basic materials (2.7%)
Ainsworth Lumber Co., Ltd. 144A sr. notes 7 1/2s, 2017 (Canada) $40,000 $40,400
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022 45,000 46,238
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 205,000 208,844
Boise Cascade LLC / Boise Cascade Finance Corp. 144A sr. unsec. notes 6 3/8s, 2020 (United Kingdom) 20,000 20,300
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 65,000 66,950
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 140,000 156,450
Cemex Finance, LLC 144A company guaranty sr. bonds 9 1/2s, 2016 100,000 107,500
Compass Minerals International, Inc. company guaranty sr. unsec. notes 8s, 2019 115,000 123,625
Edgen Murray Corp. 144A company guaranty sr. notes 8 3/4s, 2020 60,000 60,000
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 160,000 144,400
FMG Resources August 2006 Pty, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2016 (Australia) 40,000 40,300
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 75,000 76,688
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 150,000 147,615
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 65,000 62,888
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 90,000 90,900
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 6 5/8s, 2020 40,000 39,900
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes FRN 4.81s, 2014 45,000 41,400
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 150,000 169,875
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 35,000 39,200
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 65,000 64,350
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 120,000 117,600
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) 100,000 106,620
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (Luxembourg) EUR 105,000 132,314
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 $130,000 145,275
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 55,000 61,325
LyondellBasell Industries NV sr. unsec. unsub. notes 5s, 2019 (Netherlands) 240,000 266,700
Momentive Performance Materials, Inc. 144A company guaranty sr. notes 10s, 2020 45,000 43,200
MPM Escrow LLC / MPM Finance Escrow Corp. 144A sr. notes 8 7/8s, 2020 50,000 49,625
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 (Canada) 65,000 69,063
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 35,000 35,473
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 110,000 123,200
Nufarm Australia Ltd. 144A company guaranty sr. notes 6 3/8s, 2019 (Australia) 45,000 46,712
PQ Corp. 144A sr. notes 8 3/4s, 2018 80,000 82,200
Rockwood Specialties Group, Inc. company guaranty sr. unsec. notes 4 5/8s, 2020 25,000 25,563
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 85,000 93,925
Ryerson, Inc. / Joseph T Ryerson & Son, Inc. 144A company guaranty sr. notes 9s, 2017 85,000 84,150
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 20,000 20,800
Smurfit Kappa Treasury company guaranty sr. unsec. unsub. debs 7 1/2s, 2025 (Ireland) 35,000 36,050
Steel Dynamics, Inc. sr. unsec. notes company guaranty 7 5/8s, 2020 100,000 110,250
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2022 20,000 20,900
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2019 25,000 26,125
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium) 135,000 145,800
TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017 110,000 122,100
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2020 125,000 123,125
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes 8 3/4s, 2019 25,000 7,500
Verso Paper Holdings, LLC/Verso Paper, Inc. 144A company guaranty sr. notes 11 3/4s, 2019 5,000 3,200
3,846,618
Capital goods (2.6%)
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020 20,000 20,900
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 130,000 138,216
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 250,000 270,625
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 100,000 139,325
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 $35,000 39,069
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 80,000 84,000
Ball Corp. company guaranty sr. unsec. notes 5s, 2022 20,000 21,200
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 70,000 76,650
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 130,000 147,875
Berry Plastics Holding Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2016 50,000 51,688
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) 40,000 39,200
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada) 50,000 55,813
Bombardier, Inc. 144A sr. unsec. notes 5 3/4s, 2022 (Canada) 35,000 35,700
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 120,000 132,900
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec. notes 10 1/8s, 2020 45,000 47,813
Exide Technologies sr. notes 8 5/8s, 2018 100,000 81,000
GrafTech International, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 25,000 25,750
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 180,000 196,200
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) 245,000 327,718
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 30,000 30,075
Meritor, Inc. company guaranty sr. unsec. notes 8 1/8s, 2015 30,000 31,800
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 13,000 14,820
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 200,000 182,500
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 170,000 184,238
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France) 200,000 207,962
Reynolds Group Issuer, Inc. company guaranty sr. notes 7 1/8s, 2019 100,000 108,000
Reynolds Group Issuer, Inc. company guaranty sr. unsec. unsub. notes 9s, 2019 120,000 123,600
Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 5 3/4s, 2020 60,000 61,350
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 50,000 54,250
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 150,000 161,438
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 130,000 134,550
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 195,000 206,700
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 79,000 88,184
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 140,000 154,700
3,675,809
Communication services (6.2%)
Adelphia Communications Corp. escrow bonds zero %, 2012 20,000 152
Adelphia Communications Corp. escrow bonds zero %, 2012 235,000 1,786
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 75,000 80,625
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 140,000 160,650
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 35,000 38,675
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 40,000 43,700
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 80,000 86,400
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 145,000 156,600
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 65,000 65,650
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 70,000 78,050
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 6 5/8s, 2022 35,000 38,063
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 115,000 124,488
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017 125,000 133,438
Cequel Communiciations Escrow Capital Corp. 144A sr. unsec. notes 6 3/8s, 2020 25,000 25,688
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 60,000 60,375
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2017 120,000 128,100
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2017 665,000 731,500
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 110,000 116,050
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 10,000 10,500
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 195,000 201,338
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 115,000 121,613
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 45,000 49,613
Crown Castle International Corp. 144A sr. unsec. notes 5 1/4s, 2023 80,000 83,600
CSC Holdings, LLC 144A sr. unsec. unsub. notes 6 3/4s, 2021 65,000 71,500
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) 200,000 212,500
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 165,000 176,963
DISH DBS Corp. company guaranty 7 1/8s, 2016 15,000 16,819
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 135,000 159,638
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 230,000 259,900
Equinix, Inc. sr. unsec. notes 7s, 2021 75,000 82,594
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 35,000 40,863
Frontier Communications Corp. sr. unsec. notes 8 1/2s, 2020 85,000 97,113
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017 65,000 74,750
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 95,000 108,300
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 130,000 139,750
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 145,000 161,675
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 95,000 101,650
Intelsat Jackson Holdings SA 144A company guaranty sr. unsec. notes 7 1/4s, 2020 (Bermuda) 60,000 63,900
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s, 2022 (Bermuda) 50,000 50,000
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 387,187 410,902
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 580,000 614,800
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 80,000 89,400
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 85,000 92,438
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 20,000 21,400
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 100,000 101,750
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 55,000 60,775
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. unsub. notes 7 1/4s, 2022 85,000 91,163
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 165,000 178,200
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 50,000 42,500
NII Capital Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 25,000 17,875
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 110,000 76,450
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 50,000 53,875
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 160,000 180,400
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) 75,000 80,830
Quebecor Media, Inc. 144A sr. unsec. notes 5 3/4s, 2023 (Canada) 80,000 83,000
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 90,000 98,896
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 130,000 152,190
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 65,000 76,611
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 36,000 40,410
SBA Telecommunications, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 35,000 36,575
Sprint Capital Corp. company guaranty 6 7/8s, 2028 325,000 334,750
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 130,000 150,800
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 325,000 352,625
Sprint Nextel Corp. sr. unsec. unsub. notes 9 1/8s, 2017 95,000 111,625
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020 70,000 75,775
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 225,000 276,750
TW Telecom Holdings, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 30,000 31,050
Videotron Ltee company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) 45,000 46,350
Videotron Ltee sr. notes 6 7/8s, 2021 (Canada) 75,000 82,725
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Luxembourg) 80,000 79,200
Wind Acquisition Holdings Finance SA 144A company guaranty sr. notes 12 1/4s, 2017 (Luxembourg)(PIK) 135,905 134,206
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 35,000 37,975
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2013 95,000 98,800
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 65,000 71,988
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 75,000 79,125
8,918,753
Consumer cyclicals (9.1%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 15,000 16,500
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 105,000 72,450
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 135,000 108,000
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 125,000 101,250
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 130,000 146,250
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 228,000 234,413
American Media, Inc. 144A notes 13 1/2s, 2018 18,955 16,491
ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016(PIK) 50,000 51,251
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 50,000 53,250
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 40,000 45,250
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 35,000 37,363
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 6 7/8s, 2015 65,000 65,081
Beazer Homes USA, Inc. company guaranty sr. unsec. unsub. notes 9 1/8s, 2018 15,000 15,488
Beazer Homes USA, Inc. sr. unsec. notes company guaranty 8 1/8s, 2016 60,000 63,300
Beazer Homes USA, Inc. 144A company guaranty sr. notes 6 5/8s, 2018 90,000 95,850
Bon-Ton Department Stores, Inc. (The) 144A company guaranty sr. notes 10 5/8s, 2017 150,000 144,000
Boyd Gaming Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 60,000 60,450
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 100,000 109,500
Building Materials Corp. 144A sr. notes 7s, 2020 45,000 49,050
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 50,000 53,625
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 40,000 43,800
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 150,000 164,250
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 107,000 68,213
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 270,000 290,081
Caesars Operating Escrow LLC/Caesars Escrow Corp. 144A sr. sub. notes 8 1/2s, 2020 90,000 88,200
Carmike Cinemas, Inc. company guaranty notes 7 3/8s, 2019 55,000 58,850
CCM Merger, Inc. 144A company guaranty sr. unsec. notes 9 1/8s, 2019 80,000 80,000
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 20,000 22,650
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 125,000 113,750
Choice Hotels International, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2022 45,000 49,163
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 200,000 220,250
Cinemark USA, Inc. company guaranty sr. unsec. notes 8 5/8s, 2019 50,000 55,250
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 60,000 65,700
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty 10 3/4s, 2017(PIK) 182,970 197,150
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty sr. notes 7 5/8s, 2016 60,000 63,900
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 120,000 105,900
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2019 155,000 140,275
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 230,000 226,550
Clear Channel Worldwide Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 100,000 100,500
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 145,000 140,288
Entercom Radio, LLC company guaranty sr. unsec. sub. notes 10 1/2s, 2019 110,000 120,725
FelCor Lodging LP company guaranty sr. notes 10s, 2014(R) 151,000 170,819
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 165,000 173,663
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 3/4s, 2021 200,000 227,180
Gray Television, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2020 75,000 75,000
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 155,000 161,329
Griffey Intermediate, Inc. / Griffey Finance Sub LLC 144A sr. notes 7s, 2020 $105,000 105,788
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 85,000 93,394
Hanesbrands, Inc. sr. unsec. notes 8s, 2016 75,000 83,251
HD Supply, Inc. 144A company guaranty sr. notes 8 1/8s, 2019 75,000 84,000
HD Supply, Inc. 144A company guaranty sr. unsec. notes 11 1/2s, 2020 105,000 114,713
Host Hotels & Resorts LP company guaranty sr. unsec. unsub. notes 4 3/4s, 2023(R) 30,000 31,800
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 240,000 268,800
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 75,000 79,406
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 90,000 96,300
Jarden Corp. company guaranty sr. unsec. notes 8s, 2016 50,000 53,250
Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017 165,000 190,988
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 60,000 58,650
K Hovnanian Enterprises, Inc. 144A company guaranty notes 9 1/8s, 2020 30,000 31,725
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 70,000 75,425
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 10,000 11,000
Lamar Media Corp. company guaranty sr. sub. notes 7 7/8s, 2018 30,000 33,113
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 75,000 79,781
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 120,000 124,950
Lennar Corp. 144A company guaranty sr. notes 4 3/4s, 2017 35,000 36,225
Lennar Corp. 144A company guaranty sr. unsec. notes 4 3/4s, 2022 40,000 38,700
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 100,000 114,500
Limited Brands, Inc. sr. notes 5 5/8s, 2022 50,000 54,000
LIN Television Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2021 40,000 40,900
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 240,000 259,800
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 160,000 188,216
Macy's Retail Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2015 75,000 87,868
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) 200,000 16,000
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 130,000 139,100
MGM Resorts International company guaranty sr. notes 9s, 2020 10,000 11,125
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 100,000 104,750
MGM Resorts International company guaranty sr. unsec. notes 6 5/8s, 2015 140,000 149,100
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 65,000 68,250
MGM Resorts International sr. notes 10 3/8s, 2014 20,000 22,350
MGM Resorts International 144A company guaranty sr. unsec. notes 8 5/8s, 2019 70,000 76,650
MGM Resorts International 144A company guaranty sr. unsec. notes 6 3/4s, 2020 75,000 75,563
Michaels Stores, Inc. company guaranty 11 3/8s, 2016 225,000 235,406
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019(PIK) 292,907 307,552
Navistar International Corp. sr. notes 8 1/4s, 2021 234,000 222,300
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 140,000 140,700
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 100,000 100,500
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc. company guaranty sr. notes 8 7/8s, 2017 105,000 114,713
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 (Netherlands) 40,000 44,600
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. notes 4 1/2s, 2020 (Netherlands) 60,000 59,850
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 125,000 139,063
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 35,000 38,063
Owens Corning company guaranty sr. unsec. notes 9s, 2019 38,000 47,880
Penske Automotive Group, Inc. 144A company guaranty sr. sub. notes 5 3/4s, 2022 95,000 96,663
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 65,000 72,150
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 60,000 61,200
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 35,000 37,756
Pulte Group, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 140,000 163,450
Pulte Group, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 80,000 85,600
QVC Inc. 144A sr. notes 7 1/2s, 2019 90,000 99,121
QVC Inc. 144A sr. notes 7 3/8s, 2020 65,000 72,059
Realogy Corp. 144A company guaranty sr. notes 9s, 2020 25,000 27,750
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 35,000 37,100
Realogy Corp. 144A company guaranty sr. notes 7 5/8s, 2020 25,000 27,875
Regal Entertainment Group company guaranty sr. unsec. notes 9 1/8s, 2018 140,000 155,050
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 85,000 91,163
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 135,000 153,900
Rural/Metro Corp. 144A sr. unsec. notes 10 1/8s, 2019 150,000 141,750
Rural/Metro Corp. 144A sr. unsec. notes 10 1/8s, 2019 40,000 37,600
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 200,000 208,000
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 100,000 106,000
Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s, 2019 (Germany) 240,000 266,400
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. notes 6 5/8s, 2020 90,000 97,425
Sealy Mattress Co. 144A company guaranty sr. notes 10 7/8s, 2016 49,000 53,288
Sinclair Television Group, Inc. 144A sr. notes 6 1/8s, 2022 45,000 46,913
Sirius XM Radio, Inc. 144A sr. unsec. notes 5 1/4s, 2022 15,000 14,963
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 5/8s, 2022 5,000 5,150
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 10,000 10,288
Spectrum Brands Holdings, Inc. company guaranty sr. notes 9 1/2s, 2018 205,000 233,444
Spectrum Brands Holdings, Inc. 144A sr. notes 6 3/4s, 2020 95,000 99,038
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016 15,000 16,050
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 30,000 31,650
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A sr. notes 7 3/4s, 2020 165,000 173,250
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 110,000 117,425
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 145,000 158,050
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 120,000 44,400
Travelport, LLC company guaranty sr. unsec. unsub. notes 9 7/8s, 2014 10,000 7,850
Travelport, LLC 144A sr. notes Ser. B, 6.362s, 2016(PIK) 96,864 71,679
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 36,000 25,380
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 75,000 77,250
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 115,000 122,763
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 60,000 66,300
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) 95,000 98,325
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 210,000 226,275
13,050,049
Consumer staples (2.9%)
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 35,000 40,250
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 20,000 22,250
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 8 1/4s, 2019 30,000 33,188
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 70,000 71,838
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 75,000 86,438
Carrols Restaurant Group, Inc. 144A company guaranty sr. notes 11 1/4s, 2018 30,000 32,925
CKE Holdings, Inc. 144A sr. unsec. notes 10 1/2s, 2016(PIK) 70,724 75,498
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 80,000 74,600
Claire's Stores, Inc. 144A sr. notes 9s, 2019 175,000 184,188
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 145,000 167,475
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 50,000 57,188
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 4 5/8s, 2023 25,000 25,750
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 150,000 159,750
Dave & Buster's, Inc. company guaranty sr. unsec. unsub. notes 11s, 2018 130,000 145,275
Dean Foods Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2018 80,000 90,200
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 95,000 101,888
Del Monte Corp. company guaranty sr. unsec. notes 7 5/8s, 2019 45,000 46,125
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 235,000 265,844
Dole Food Co. sr. notes 13 7/8s, 2014 94,000 104,340
Dole Food Co. 144A sr. notes 8s, 2016 35,000 36,488
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 105,000 116,813
HDTFS, Inc. 144A company guaranty sr. notes 6 1/4s, 2022 60,000 62,175
HDTFS, Inc. 144A company guaranty sr. notes 5 7/8s, 2020 50,000 51,625
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 45,000 49,275
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 110,000 154,727
JBS USA, LLC/JBS USA Finance, Inc. company guaranty sr. unsec. notes 11 5/8s, 2014 $60,000 67,575
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 40,000 41,500
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 135,000 132,638
Landry's Acquisition Co. 144A sr. unsec. notes 9 3/8s, 2020 70,000 74,200
Libbey Glass, Inc. 144A company guaranty sr. notes 6 7/8s, 2020 65,000 69,550
Michael Foods, Inc. company guaranty sr. unsec. notes 9 3/4s, 2018 55,000 61,050
Post Holdings, Inc. 144A sr. unsec. notes 7 3/8s, 2022 50,000 53,438
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 135,000 148,500
Revlon Consumer Products Corp. company guaranty notes 9 3/4s, 2015 80,000 84,200
Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019 40,000 45,200
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 65,000 66,463
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 250,000 257,500
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 95,000 96,900
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 35,000 39,288
RSC Equipment Rental, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 35,000 39,200
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 90,000 95,400
UR Financing Escrow Corp. 144A company guaranty notes 5 3/4s, 2018 30,000 32,325
UR Financing Escrow Corp. 144A sr. unsec. notes 7 5/8s, 2022 50,000 55,375
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2019 225,000 255,938
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 25,000 25,813
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 40,000 41,300
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 65,000 65,813
Wok Acquisition Corp. 144A sr. unsec. notes 10 1/4s, 2020 30,000 31,875
4,137,154
Energy (5.6%)
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 45,000 47,025
Access Midstream Partners, LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 35,000 37,100
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 45,000 39,825
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 75,000 66,188
AmeriGas Finance, LLC/AmeriGas Finance Corp. company guaranty sr. unsec. notes 7s, 2022 85,000 92,225
Anadarko Finance Co. company guaranty sr. unsec. unsub. notes Ser. B, 7 1/2s, 2031 20,000 26,727
Anadarko Petroleum Corp. sr. unsec. notes 6.2s, 2040 50,000 61,816
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 30,000 26,925
Arch Coal, Inc. company guaranty sr. unsec. unsub. notes 7s, 2019 95,000 85,263
Atlas Pipeline Partners LP / Atlas Pipeline Finance Corp. 144A company guaranty sr. notes 6 5/8s, 2020 35,000 36,400
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 60,000 64,050
Aurora USA Oil & Gas Inc., 144A sr. notes 9 7/8s, 2017 90,000 95,175
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 225,000 239,063
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 85,000 95,838
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 125,000 134,375
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 95,000 106,638
Chesapeake Energy Corp. company guaranty sr. unsec. unsub. notes 6.775s, 2019 40,000 40,100
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2019 115,000 108,100
Comstock Resources, Inc. company guaranty sr. unsub. notes 8 3/8s, 2017 110,000 114,125
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 120,000 131,400
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 30,000 30,975
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 50,000 51,625
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) 105,000 77,963
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 215,000 229,513
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 130,000 139,100
Continental Resources, Inc. company guaranty sr. unsec. notes 5s, 2022 205,000 217,300
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 230,000 249,550
Crosstex Energy LP/Crosstex Energy Finance Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2022 40,000 40,800
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 95,000 107,350
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 65,000 71,338
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 200,000 188,000
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 9 1/8s, 2017 75,000 80,625
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 85,000 82,450
Forbes Energy Services Ltd. company guaranty sr. unsec. notes 9s, 2019 80,000 72,200
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 84,000 86,520
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 185,000 174,363
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 70,000 69,300
Halcon Resources Corp. 144A sr. unsec. notes 8 7/8s, 2021 125,000 129,375
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 10,000 10,250
Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017 130,000 138,125
Hiland Partners LP / Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 50,000 52,313
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 110,000 110,275
Key Energy Services, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 25,000 24,938
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 175,000 190,750
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 40,000 43,300
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 160,000 179,200
Linn Energy LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 115,000 116,725
Linn Energy LLC/Linn Energy Finance Corp. 144A company guaranty sr. unsec. notes 6 1/4s, 2019 90,000 90,338
Lone Pine Resources Canada, Ltd. company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada) 45,000 41,850
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 90,000 93,938
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 40,000 41,400
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 120,000 90,000
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 95,000 103,075
Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s, 2018 90,000 94,838
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020 95,000 97,850
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 65,000 68,900
Offshore Group Investment, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 91,000 100,100
Offshore Group Investment, Ltd. 144A company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 120,000 120,600
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 90,000 103,500
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 10,000 10,650
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6s, 2018 85,000 88,825
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 190,000 190,000
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 3/4s, 2022 175,000 180,250
Quicksilver Resources, Inc. company guaranty sr. unsec. notes 8 1/4s, 2015 50,000 46,000
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 70,000 69,475
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 50,000 54,750
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 45,000 46,913
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 135,000 148,838
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 185,000 199,800
Sabine Pass LNG LP 144A sr. notes 6 1/2s, 2020 45,000 45,000
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020 245,000 259,088
SandRidge Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2016 55,000 59,400
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 5,000 5,213
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 230,000 243,225
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 100,000 100,500
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 55,000 58,163
SM Energy Co. sr. unsec. notes 6 1/2s, 2021 50,000 52,750
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 20,000 21,000
Suburban Propane Partners LP/Suburban Energy Finance Corp. 144A sr. unsec. notes 7 3/8s, 2021 83,000 88,810
Trinidad Drilling, Ltd. 144A sr. unsec. notes 7 7/8s, 2019 (Canada) 25,000 26,438
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 30,000 30,600
Unit Corp. 144A company guaranty sr. sub. notes 6 5/8s, 2021 65,000 66,138
Whiting Petroleum Corp. company guaranty 7s, 2014 90,000 95,175
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 71,000 91,687
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 40,000 42,800
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 145,000 153,338
8,133,796
Financials (4.1%)
ABN AMRO North American Holding Preferred Capital Repackage Trust I 144A jr. unsec. sub. bonds FRB 3.40675s, perpetual maturity 195,000 195,488
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 70,000 66,325
Air Lease Corp. sr. unsec. notes 5 5/8s, 2017 95,000 99,275
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 90,000 99,408
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 65,000 72,638
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2020 60,000 73,800
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 65,000 78,325
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2017 40,000 42,600
Ally Financial, Inc. unsec. sub. notes 8s, 2018 65,000 74,994
American International Group, Inc. jr. sub. bonds FRB 8.175s, 2068 100,000 125,000
Capital One Capital IV company guaranty jr. unsec. sub. notes FRN 6.745s, 2037 105,000 105,525
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 35,000 38,238
CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub. notes 11 5/8s, 2017 160,000 176,600
CIT Group, Inc. sr. unsec. notes 5s, 2022 100,000 104,847
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 80,000 85,400
CIT Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2018 105,000 111,431
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2017 65,000 68,088
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 135,000 151,200
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 185,000 197,025
Citigroup, Inc. unsec. sub. notes 4 3/4s, 2019 EUR 40,000 49,814
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 $45,000 45,788
CNO Financial Group, Inc. 144A company guaranty sr. notes 6 3/8s, 2020 65,000 68,088
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 110,000 106,700
Dresdner Funding Trust I 144A bonds 8.151s, 2031 140,000 132,300
E*Trade Financial Corp. sr. notes 6 3/4s, 2016 80,000 84,000
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 105,000 105,919
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB 6.071s, perpetual maturity (Jersey) 175,000 142,625
HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018 (United Kingdom) 135,000 143,438
HBOS PLC 144A unsec. sub. bonds 6s, 2033 (United Kingdom) 60,000 54,149
Hub International Ltd. 144A company guaranty sr. notes 8 1/8s, 2018 40,000 41,600
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 240,000 255,000
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 80,000 84,800
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 120,000 123,300
International Lease Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2015 45,000 46,013
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 70,000 70,788
iStar Financial, Inc. sr. unsec. unsub. notes Ser. B, 9s, 2017(R) 85,000 91,588
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 75,000 83,250
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. notes FRN 7s, 2037 30,000 29,700
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 50,000 54,250
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 65,000 67,763
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 85,000 94,138
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. notes 9 5/8s, 2019 30,000 33,375
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2020 65,000 67,356
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. unsub. notes 9 5/8s, 2019 20,000 22,150
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. 144A sr. notes 5 7/8s, 2022 75,000 78,375
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. 144A sr. notes 5 5/8s, 2020 50,000 52,125
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 30,000 30,300
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 60,000 59,550
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 95,000 110,556
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 75,000 81,375
Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/4s, 2017 135,000 148,500
Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/8s, 2019 60,000 63,000
Regions Financing Trust II company guaranty jr. unsec. sub. bonds FRB 6 5/8s, 2047 135,000 134,807
Residential Capital LLC company guaranty jr. notes 9 5/8s, 2015 (In default)(NON) 200,000 208,000
Royal Bank of Scotland Group PLC jr. unsec. sub. bonds FRB 7.648s, perpetual maturity (United Kingdom) 265,000 262,350
Royal Bank of Scotland Group PLC (The) sr. sub. notes FRN 9 1/2s, 2022 (United Kingdom) 30,000 34,854
SLM Corp. sr. notes Ser. MTN, 8s, 2020 45,000 51,413
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 290,000 337,125
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 295,000 261,813
5,978,242
Health care (3.4%)
AmSurg Corp. 144A company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 90,000 90,900
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 95,000 99,750
Biomet, Inc. 144A sr. unsec. notes 6 1/2s, 2020 130,000 135,850
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 130,000 138,775
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 100,000 146,908
CDRT Holding Corp. 144A sr. unsec. notes 9 1/4s, 2017(PIK) $125,000 124,375
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 95,000 99,988
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 40,000 43,550
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) 200,000 218,000
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 100,000 106,750
Endo Health Solutions, Inc. company guaranty sr. unsec. notes 7s, 2019 70,000 74,725
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 95,000 101,413
Grifols, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 170,000 188,063
HCA, Inc. company guaranty sr. notes 9 7/8s, 2017 29,000 30,849
HCA, Inc. company guaranty sr. notes 8 1/2s, 2019 215,000 241,338
HCA, Inc. sr. notes 6 1/2s, 2020 355,000 398,488
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 30,000 34,088
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 190,000 198,075
Hologic, Inc. 144A company guaranty sr. unsec. notes 6 1/4s, 2020 30,000 31,875
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 285,000 269,325
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 50,000 51,625
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 50,000 51,250
Jaguar Holding Co. II/ Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 120,000 135,000
Kinetics Concept/KCI USA 144A company guaranty notes 10 1/2s, 2018 165,000 171,600
Kinetics Concept/KCI USA 144A company guaranty sr. unsec. notes 12 1/2s, 2019 65,000 61,100
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 95,000 105,213
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 70,000 77,088
Service Corporation International sr. notes 7s, 2019 50,000 54,750
Service Corporation International sr. notes 7s, 2017 65,000 74,750
Service Corporation International sr. unsec. notes 7 3/8s, 2014 125,000 139,900
Sky Growth Acquisition Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2020 200,000 197,250
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 85,000 91,375
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 80,000 83,000
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015 131,119 133,414
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 85,000 91,588
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 15,000 17,100
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 225,000 247,500
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 55,000 61,600
United Surgical Partners International, Inc. company guaranty sr. unsec. unsub. notes 9s, 2020 80,000 88,200
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 20,000 21,750
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 45,000 48,656
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 120,000 129,900
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016 4,000 2,840
VPI Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 (Canada) 20,000 21,200
4,930,734
Technology (1.8%)
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 15,000 12,881
Alcatel-Lucent USA, Inc. unsec. debs. 6.45s, 2029 25,000 16,500
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 45,000 35,663
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 145,000 130,138
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 202,350 198,303
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 20,000 19,500
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 65,000 69,550
CyrusOne LP / CyrusOne Finance Corp. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 25,000 25,875
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 100,000 104,250
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 65,000 73,125
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 45,000 49,050
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 155,000 163,138
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015 95,116 97,732
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 75,000 74,063
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 180,000 179,550
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 145,000 148,988
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 84,000 88,095
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 49,000 53,410
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 155,000 166,819
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 60,000 66,900
Infor US, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2018 55,000 63,800
Iron Mountain, Inc. company guaranty sr. sub. notes 7 3/4s, 2019 45,000 50,513
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 25,000 27,625
Jazz Technologies, Inc. company guaranty sr. unsec. notes 8s, 2015 446,000 370,180
Seagate HDD Cayman company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 (Cayman Islands) 60,000 65,250
SunGard Data Systems, Inc. 144A company guaranty sr. sub. notes 6 5/8s, 2019 70,000 71,400
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 95,000 104,025
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 120,000 128,100
2,654,423
Transportation (0.5%)
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg) 200,000 212,000
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 185,000 199,338
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 100,000 101,500
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 170,000 187,000
Western Express, Inc. 144A sr. notes 12 1/2s, 2015 30,000 18,300
718,138
Utilities and power (2.2%)
AES Corp. (The) sr. unsec. notes 8s, 2020 55,000 63,525
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 85,000 97,538
AES Corp. (The) sr. unsec. unsub. notes 7 3/8s, 2021 145,000 160,588
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 90,000 99,900
Calpine Corp. 144A sr. notes 7 1/4s, 2017 166,000 177,620
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada) 95,000 117,501
DPL, Inc. sr. unsec. notes 6 1/2s, 2016 155,000 163,138
Dynegy Holdings, LLC bonds 7 3/4s, 2019 175,000 875
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 (In default)(NON) 75,000 37,875
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 (In default)(NON) 20,000 10,100
Edison Mission Energy sr. unsec. notes 7.2s, 2019 (In default)(NON) 85,000 42,819
Edison Mission Energy sr. unsec. notes 7s, 2017 (In default)(NON) 40,000 20,100
El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031 100,000 115,200
El Paso Natural Gas Co. debs. 8 5/8s, 2022 40,000 54,907
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 45,000 47,813
Energy Future Intermediate Holding Co., LLC sr. notes 9 3/4s, 2019 256,000 271,360
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 122,000 136,030
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 50,000 50,875
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 155,000 175,925
EP Energy/EP Finance, Inc. sr. unsec. notes 9 3/8s, 2020 195,000 215,963
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 45,000 48,713
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 35,000 36,313
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 180,000 203,850
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 25,000 28,938
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 25,000 27,688
NGPL PipeCo, LLC 144A sr. notes 9 5/8s, 2019 45,000 51,525
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 325,000 359,125
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 70,000 81,112
PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015 84,000 96,180
Regency Energy Partners company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 75,000 78,750
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 15,000 20,810
Texas Competitive/Texas Competitive Electric Holdings Co., LLC company guaranty notes 15s, 2021 75,000 21,094
Texas Competitive/Texas Competitive Electric Holdings Co., LLC company guaranty sr. unsec. notes 10 1/2s, 2016 222,185 34,439
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 60,000 44,400
3,192,589
Total corporate bonds and notes (cost $56,221,772) $59,236,305

CONVERTIBLE BONDS AND NOTES (27.3%)(a)
Principal amount Value
Basic materials (1.5%)
CEMEX SAB de CV cv. unsec. sub. notes 4 7/8s, 2015 (Mexico) $725,000 $743,125
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 670,000 712,294
U.S. Steel Corp. cv. sr. unsec. notes 4s, 2014 730,000 760,569
2,215,988
Capital goods (1.6%)
General Cable Corp. cv. unsec. sub. notes stepped-coupon 4 1/2s (2 1/4s, 11/15/19) 2029(STP) 740,000 777,000
Icahn Enterprises LP 144A cv. sr. unsec. notes FRN 4s, 2013 630,000 635,513
Meritor, Inc. 144A cv. company guaranty sr. unsec. notes 7 7/8s, 2026 257,000 257,000
Owens-Brockway Glass Container, Inc. 144A cv. company guaranty sr. unsec. notes 3s, 2015 655,000 646,813
2,316,326
Communication services (3.2%)
Equinix, Inc. cv. sr. unsec. sub. notes 4 3/4s, 2016 630,000 1,450,575
Leap Wireless International, Inc. cv. sr. unsec. notes 4 1/2s, 2014 1,280,000 1,213,600
Level 3 Communications, Inc. cv. sr. unsec. unsub. notes 6 1/2s, 2016 645,000 821,166
Powerwave Technologies, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2027 1,160,000 127,600
Virgin Media, Inc. cv. sr. unsec. notes 6 1/2s, 2016 (United Kingdom) 515,000 1,025,494
4,638,435
Consumer cyclicals (6.8%)
Callaway Golf Co. 144A cv. sr. unsec. bonds 3 3/4s, 2019 603,000 656,124
CBIZ, Inc. 144A cv. sr. sub. notes 4 7/8s, 2015 397,000 407,918
Cenveo Corp. 144A cv. company guaranty sr. unsec. notes 7s, 2017 355,000 313,953
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 571,000 845,822
Forest City Enterprises, Inc. cv. sr. unsec. notes 4 1/4s, 2018 732,000 756,705
Liberty Interactive, LLC cv. sr. unsec. unsub. notes 3 1/2s, 2031 2,280,000 1,090,125
Liberty Interactive, LLC cv. sr. unsec. unsub. notes 3 1/8s, 2023 1,250,000 1,809,625
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2 7/8s, 2027 1,070,000 1,065,988
MGM Resorts International Co. cv. company guaranty sr. unsec. notes 4 1/4s, 2015 1,760,000 1,791,900
XM Satellite Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014 622,000 1,022,024
9,760,184
Consumer staples (1.3%)
Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015 470,000 492,325
Spartan Stores, Inc. cv. sr. unsec. notes 3 3/8s, 2027 618,000 605,254
Vector Group Ltd. cv. sr. unsec. FRN notes 2 1/2s, 2019 740,000 807,525
1,905,104
Energy (3.1%)
Alpha Natural Resources, Inc. cv. sr. unsec. notes 2 3/8s, 2015 685,000 613,931
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 2 1/4s, 2038 1,870,000 1,504,181
Endeavour International Corp. cv. company guaranty sr. unsec. unsub. notes 5 1/2s, 2016 530,000 458,450
Goodrich Petroleum Corp. cv. sr. unsec. unsub. notes 5s, 2029 650,000 593,938
Peabody Energy Corp. cv. jr. unsec. sub. debs. 4 3/4s, 2041 670,000 609,281
Trico Marine Services, Inc. cv. sr. unsec. debs. 3s, 2027 (In default)(NON) 500,000 3,438
Vantage Drilling Co. cv. sr. unsec. unsub. notes 7 7/8s, 2042 615,000 704,175
4,487,394
Financials (3.1%)
Ares Capital Corp. 144A cv. sr. unsec. notes 5 3/4s, 2016 935,000 1,004,541
Hercules Technology Growth Capital, Inc. cv. sr. unsec. notes 6s, 2016 415,000 423,819
KKR Financial Holdings, LLC cv. sr. unsec. notes 7 1/2s, 2017 598,000 908,960
Morgans Hotel Group Co. cv. sr. sub. notes 2 3/8s, 2014 920,000 846,400
PHH Corp. cv. sr. unsec. notes 4s, 2014 1,115,000 1,238,347
4,422,067
Health care (2.3%)
Alere, Inc. cv. sr. unsec. sub. notes 3s, 2016 185,000 173,438
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4s, 2013 (China) (In default)(F)(NON) 763,000 144,970
China Medical Technologies, Inc. 144A cv. sr. unsec. notes 6 1/4s, 2016 (China) (In default)(F)(NON) 445,000 111,250
Dendreon Corp. cv. sr. unsec. notes 2 7/8s, 2016 1,135,000 761,159
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2s (zero %, 3/1/18) 2042(STP) 1,075,000 1,036,703
Providence Service Corp. (The) cv. sr. unsec. sub. notes 6 1/2s, 2014 302,000 298,603
Teleflex, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2017 625,000 786,719
3,312,842
Technology (4.2%)
Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s, 2015 794,000 732,465
Digital River, Inc. cv. sr. unsec. notes 2s, 2030 954,000 908,685
Micron Technology, Inc. 144A cv. sr. unsec. notes 3 1/8s, 2032 1,085,000 1,011,763
ON Semiconductor Corp. cv. company guaranty sr. unsec. sub. notes Ser. B, 2 5/8s, 2026 420,000 441,000
Safeguard Scientifics, Inc. 144A cv. sr. unsec. notes 5 1/4s, 2018 1,600,000 1,632,000
TeleCommunication Systems, Inc. 144A cv. sr. unsec. notes 4 1/2s, 2014 875,000 818,125
TTM Technologies, Inc. cv. sr. unsec. notes 3 1/4s, 2015 540,000 544,050
6,088,088
Transportation (0.2%)
Genco Shipping & Trading, Ltd. cv. sr. unsec. notes 5s, 2015 670,000 226,544
226,544
Total convertible bonds and notes (cost $39,245,945) $39,372,972

CONVERTIBLE PREFERRED STOCKS (23.6%)(a)
Shares Value
Basic materials (—%)
Smurfit-Stone Container Corp. (Escrow) zero % cv. pfd.(F) 65,720 $657
657
Capital goods (1.3%)
United Technologies Corp. $3.75 cv. pfd. 35,100 1,920,672
1,920,672
Communication services (1.2%)
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 28,570 1,299,935
Iridium Communications, Inc. 144A $7.00 cv. pfd.(NON) 4,095 374,181
1,674,116
Consumer cyclicals (5.1%)
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) 62,060 1,488,472
General Motors Co. Ser. B, $2.375 cv. pfd. 67,775 2,746,934
Interpublic Group of Cos, Inc. (The) Ser. B, 5.25% cv. pfd. 910 956,410
Nielsen Holdings NV $3.125 cv. pfd. 21,515 1,135,588
Stanley Black & Decker, Inc. $4.75 cv. pfd. 8,717 1,065,108
7,392,512
Consumer staples (0.8%)
Bunge, Ltd. $4.875 cv. pfd. 11,750 1,201,438
1,201,438
Energy (1.2%)
Apache Corp. Ser. D, $3.00 cv. pfd. 9,595 426,378
Chesapeake Energy Corp. 144A 5.75% cv. pfd. 1,447 1,284,213
1,710,591
Financials (10.3%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd.(R) 28,010 745,766
AMG Capital Trust II $2.575 cv. pfd. 31,375 1,484,430
Bank of America Corp. Ser. L, 7.25% cv. pfd. 2,448 2,726,460
Citigroup, Inc. $7.50 cv. pfd. 19,455 1,950,947
EPR Properties Ser. C, $1.44 cv. pfd. 51,300 1,125,009
Health Care REIT, Inc. Ser. I, $3.25 cv. pfd.(R) 20,775 1,168,386
Huntington Bancshares Ser. A, 8.50% cv. pfd. 844 1,046,476
MetLife, Inc. $3.75 cv. pfd. 29,905 1,326,287
Oriental Financial Group 144A Ser. C, 8.75% cv. pfd. (Puerto Rico) 380 476,900
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 1,710 2,116,125
Wintrust Financial Corp. $3.75 cv. pfd. 10,190 563,507
14,730,293
Health care (0.2%)
HealthSouth Corp. Ser. A, 6.50% cv. pfd. 298 311,783
311,783
Transportation (1.0%)
Genesee & Wyoming, Inc. $5.00 cv. pfd.(NON) 5,938 653,655
Swift Mandatory Common Exchange Security Trust 144A 6.00% cv. pfd. 88,585 762,495
1,416,150
Utilities and power (2.5%)
AES Trust III $3.375 cv. pfd. 30,565 1,527,296
El Paso Energy Capital Trust I $2.375 cv. pfd. 1,069 56,924
NextEra Energy, Inc. $2.799 cv. pfd. 15,700 788,140
PPL Corp. $4.375 cv. pfd. 22,270 1,208,148
3,580,508
Total convertible preferred stocks (cost $32,979,860) $33,938,720

UNITS (1.0%)(a)
Units Value
Ashland, Inc. cv. jr. unsec. sub. debs. units 6 1/2s, 2029 1,540,000 $1,432,200
Total units (cost $1,265,713) $1,432,200

COMMON STOCKS (1.0%)(a)
Shares Value
Avis Budget Group, Inc.(NON) 3,210 $60,797
CIT Group, Inc.(NON) 936 34,679
Deepocean Group (Shell) (acquired 6/9/11, cost $131,921) (Norway)(RES) 9,082 136,230
DISH Network Corp. Class A 2,080 77,043
Dole Food Co., Inc.(NON) 32,306 370,874
Domtar Corp. (Canada) 440 35,248
Dynegy, Inc.(NON) 4,269 78,982
FelCor Lodging Trust, Inc.(NON)(R) 8,485 35,637
Freeport-McMoRan Copper & Gold, Inc. Class B (Indonesia) 1,770 69,048
General Motors Co.(NON) 2,830 73,240
Harry & David Holdings, Inc.(NON) 124 10,540
Huntsman Corp. 5,330 87,625
Kodiak Oil & Gas Corp.(NON) 10,580 90,776
LyondellBasell Industries NV Class A (Netherlands) 1,000 49,730
Newfield Exploration Co.(NON) 1,350 32,859
NII Holdings, Inc.(NON) 6,770 34,324
Quicksilver Resources, Inc.(NON) 4,455 14,122
Terex Corp.(NON) 2,105 50,920
Trump Entertainment Resorts, Inc.(NON) 152 608
Vantage Drilling Co.(NON) 46,730 84,114
Vertis Holdings, Inc.(F) 481 5
Total common stocks (cost $1,710,429) $1,427,401

PREFERRED STOCKS (0.3%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 111 $108,072
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 6,800 177,140
M/I Homes, Inc. $2.438 pfd.(NON) 4,274 96,592
Total preferred stocks (cost $342,681) $381,804

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Smurfit Kappa Group PLC 144A (Ireland)(F) 10/1/13 EUR 0.001 119 $7,230
Tower Semiconductor, Ltd. 144A (Israel)(F) 6/30/15 $0.01 168,777 33,755
Total warrants (cost $38,280) $40,985

SHORT-TERM INVESTMENTS (4.6%)(a)
Shares Value
Putnam Money Market Liquidity Fund 0.16%(AFF) 6,657,560 $6,657,560
Total short-term investments (cost $6,657,560) $6,657,560

TOTAL INVESTMENTS
Total investments (cost $138,462,240)(b) $142,487,947













FORWARD CURRENCY CONTRACTS at 11/30/12 (aggregate face value $1,240,139) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Canadian Dollar Sell 12/20/12 $35,222 $35,037 $(185)
Citibank, N.A.
Euro Buy 12/20/12 82,469 82,312 157
Euro Sell 12/20/12 82,469 82,294 (175)
Credit Suisse AG
Euro Buy 12/20/12 60,486 60,358 128
Euro Sell 12/20/12 60,486 60,360 (126)
Deutsche Bank AG
Euro Sell 12/20/12 148,679 148,427 (252)
JPMorgan Chase Bank N.A.
Canadian Dollar Sell 12/20/12 41,260 41,083 (177)
State Street Bank and Trust Co.
Canadian Dollar Sell 12/20/12 155,984 155,297 (687)
WestPac Banking Corp.
Canadian Dollar Sell 12/20/12 74,571 74,256 (315)
Euro Sell 12/20/12 501,580 500,715 (865)
Total $(2,497)












Key to holding's currency abbreviations
CAD Canadian Dollar
EUR Euro
USD / $ United States Dollar
Key to holding's abbreviations
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
GMTN Global Medium Term Notes
MTN Medium Term Notes
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, 2012 through November 30, 2012 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures and references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC.
(a) Percentages indicated are based on net assets of $144,012,794.
(b) The aggregate identified cost on a tax basis is $138,454,084, resulting in gross unrealized appreciation and depreciation of $11,176,534 and $7,142,671, respectively, or net unrealized appreciation of $4,033,863.
(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.
(RES) Security is restricted with regard to public resale. The total market value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $136,230, or 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund, which is under common ownership and control, were as follows:
Name of affiliate Market value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Market value at the end of the reporting period
Putnam Money Market Liquidity Fund * $4,399,844 $6,345,688 $4,087,972 $2,369 $6,657,560
* Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $1,688 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 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.
Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
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 would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. 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. 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 were 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. 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 when the contract matures or by delivery of the currency. 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 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 Swaps 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 $2,499 on open 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 $241,651 $— $—
    Capital goods 50,920 — —
    Communication services 111,367 — —
    Consumer cyclicals 108,877 608 5
    Consumer staples 431,671 10,540 —
    Energy 221,871 136,230 —
    Financials 34,679 — —
    Utilities and power 78,982 — —
Total common stocks 1,280,018 147,378 5
Convertible bonds and notes — 39,116,752 256,220
Convertible preferred stocks 1,920,672 32,017,391 657
Corporate bonds and notes — 59,236,305 —
Preferred stocks 96,592 285,212 —
Units — 1,432,200 —
Warrants — — 40,985
Short-term investments 6,657,560 — —
Totals by level $9,954,842 $132,235,238 $297,867



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(2,497) $—
Totals by level $— $(2,497) $—


At the start and 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 $285 $2,782
Equity contracts 40,985 —
Total $41,270 $2,782


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: January 28, 2013

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: January 28, 2013

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: January 28, 2013