a_highincomesecurities.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: May 31, 2013



Item 1. Schedule of Investments:













Putnam High Income Securities Fund

The fund's portfolio
5/31/13 (Unaudited)
CORPORATE BONDS AND NOTES (40.3%)(a)
Principal amount Value
Basic materials (3.2%)
Ainsworth Lumber Co., Ltd. 144A sr. notes 7 1/2s, 2017 (Canada) $40,000 $43,400
ArcelorMittal sr. unsec. bonds 10.35s, 2019 (France) 95,000 117,706
ArcelorMittal sr. unsec. unsub. notes 7 1/2s, 2039 (France) 90,000 90,450
Ashland, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 65,000 66,381
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022 90,000 91,913
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 215,000 231,663
Axiall Corp. 144A company guaranty sr. unsec. notes 4 7/8s, 2023 10,000 10,050
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 35,000 37,538
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 65,000 66,625
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 140,000 154,350
Cemex Finance, LLC 144A company guaranty sr. bonds 9 1/2s, 2016 (Mexico) 100,000 106,000
Compass Minerals International, Inc. company guaranty sr. unsec. notes 8s, 2019 115,000 124,775
Eagle Spinco, Inc. 144A company guaranty sr. unsec. notes 4 5/8s, 2021 15,000 15,113
Edgen Murray Corp. 144A company guaranty sr. notes 8 3/4s, 2020 60,000 62,550
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 35,000 35,525
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 160,000 169,200
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 75,000 79,125
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 150,000 152,625
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 65,000 65,650
HD Supply, Inc. company guaranty sr. unsec. sub. notes 10 1/2s, 2021 55,000 57,269
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 155,000 182,125
HD Supply, Inc. 144A sr. unsec. notes 7 1/2s, 2020 165,000 174,900
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 40,000 41,600
Hexion U.S. Finance Corp. 144A sr. notes 6 5/8s, 2020 30,000 31,200
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 65,000 66,138
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 90,000 93,938
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC 144A company guaranty sr. notes 8 7/8s, 2018 45,000 46,969
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 150,000 167,625
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 35,000 38,675
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 105,000 106,050
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 120,000 109,800
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (Luxembourg) EUR 105,000 138,257
Inmet Mining Corp. 144A company guaranty sr. unsec. notes 7 1/2s, 2021 (Canada) $25,000 25,500
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 160,000 184,400
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 55,000 62,013
Momentive Performance Materials, Inc. company guaranty sr. notes 10s, 2020 45,000 48,488
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020 5,000 5,375
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 (Canada) 65,000 68,900
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 35,000 36,120
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 110,000 122,925
Nufarm Australia Ltd. 144A company guaranty sr. notes 6 3/8s, 2019 (Australia) 35,000 36,663
PolyOne Corp. 144A sr. unsec. notes 5 1/4s, 2023 85,000 87,338
PQ Corp. 144A sr. notes 8 3/4s, 2018 80,000 85,200
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 85,000 94,563
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company guaranty sr. notes 9s, 2017 85,000 91,800
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 55,000 61,188
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 65,000 65,488
Smurfit Kappa Treasury company guaranty sr. unsec. unsub. debs 7 1/2s, 2025 (Ireland) 60,000 66,300
Steel Dynamics, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 100,000 110,250
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2022 20,000 21,800
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2019 25,000 27,188
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2023 10,000 10,400
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium) 135,000 152,888
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2020 110,000 108,075
USG Corp. sr. unsec. notes 9 3/4s, 2018 80,000 94,200
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 6s, 2023 110,000 114,400
Weyerhaeuser Co. sr. unsec. unsub. debs. 7 1/8s, 2023(R) 65,000 80,772
4,837,419
Capital goods (2.6%)
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020 175,000 187,688
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 270,000 308,475
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 100,000 139,836
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 $35,000 38,588
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 80,000 84,000
Ball Corp. company guaranty sr. unsec. notes 4s, 2023 25,000 24,000
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 130,000 150,150
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) 125,000 130,313
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 65,000 67,925
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada) 50,000 58,750
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 170,000 192,100
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec. notes 10 1/8s, 2020 15,000 16,913
Crown Americas LLC/Crown Americas Capital Corp. IV 144A company guaranty sr. unsec. notes 4 1/2s, 2023 70,000 68,425
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 90,000 95,513
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 130,000 140,075
Exide Technologies sr. notes 8 5/8s, 2018 (In default)(NON) 110,000 70,950
GrafTech International, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 105,000 109,200
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 85,000 92,650
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 245,000 321,179
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 40,000 42,500
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 70,000 69,038
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 12,000 13,560
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 200,000 206,000
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 170,000 181,900
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France) 200,000 216,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 60,000 60,900
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 120,000 126,000
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 50,000 54,125
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 100,000 109,000
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 25,000 26,813
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 155,000 163,913
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 145,000 158,050
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 140,000 152,775
Triumph Group, Inc. 144A sr. unsec. notes 4 7/8s, 2021 90,000 91,800
4,045,754
Communication services (5.9%)
Adelphia Communications Corp. escrow bonds zero %, 2014 235,000 1,763
Adelphia Communications Corp. escrow bonds zero %, 2013 20,000 150
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 75,000 81,000
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 140,000 163,100
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 35,000 39,638
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 40,000 45,200
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 145,000 155,875
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 50,000 50,125
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 70,000 77,875
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 6 5/8s, 2022 35,000 37,625
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023 40,000 39,200
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 115,000 122,906
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 25,000 25,844
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 8 3/8s, 2020 20,000 21,250
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 10,000 10,238
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2017 120,000 126,300
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2017 665,000 771,400
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 110,000 117,568
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 10,000 10,688
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 160,000 159,600
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 45,000 48,825
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 80,000 81,000
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 65,000 72,638
CyrusOne LP / CyrusOne Finance Corp. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 35,000 37,363
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) 200,000 213,000
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 165,000 171,600
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 120,000 134,550
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 185,000 195,638
Equinix, Inc. sr. unsec. notes 7s, 2021 60,000 66,900
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 35,000 40,775
Frontier Communications Corp. sr. unsec. notes 8 1/2s, 2020 80,000 91,600
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 150,000 172,688
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 30,000 31,500
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 130,000 142,025
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 145,000 162,038
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 95,000 104,381
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s, 2022 (Bermuda) 50,000 52,063
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 348,000 368,184
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 8 1/8s, 2023 (Luxembourg) 215,000 230,050
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021 (Luxembourg) 265,000 278,581
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 80,000 88,200
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 85,000 93,500
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 20,000 21,650
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 100,000 105,250
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 92,438
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 125,000 136,250
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 145,000 153,338
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 120,000 125,700
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 (Mexico) 20,000 20,200
NII Capital Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 (Mexico) 25,000 22,500
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 (Mexico) 100,000 83,500
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 11 3/8s, 2019 (Luxembourg) 35,000 38,763
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 95,000 92,388
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 160,000 182,000
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 80,000 82,000
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 75,000 79,895
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 $90,000 97,513
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 115,000 132,113
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 65,000 75,621
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 36,000 39,420
SBA Telecommunications, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 35,000 36,400
Sprint Capital Corp. company guaranty 6 7/8s, 2028 260,000 260,000
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 130,000 149,825
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 325,000 351,000
Sprint Nextel Corp. sr. unsec. unsub. notes 9 1/8s, 2017 95,000 111,150
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020 60,000 65,100
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 225,000 273,375
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) 195,000 199,875
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 6 7/8s, 2021 (Canada) CAD 75,000 80,648
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 $90,000 98,775
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 65,000 70,525
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 205,000 231,138
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Luxembourg) 80,000 83,400
Wind Acquisition Holdings Finance SA 144A company guaranty sr. notes 12 1/4s, 2017 (Luxembourg)(PIK) 144,229 152,162
Windstream Corp. company guaranty sr. unsec. notes 6 3/8s, 2023 55,000 54,313
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 95,713
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 65,000 74,750
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 75,000 80,625
9,082,507
Consumer cyclicals (8.5%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 15,000 16,800
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 50,000 27,750
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 135,000 103,950
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 65,000 55,575
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 130,000 150,150
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 228,000 228,285
American Media, Inc. 144A notes 13 1/2s, 2018 18,955 18,197
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 50,000 54,250
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 40,000 45,950
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 35,000 37,975
Beazer Homes USA, Inc. company guaranty sr. notes 6 5/8s, 2018 90,000 97,538
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 8 1/8s, 2016 60,000 66,600
Beazer Homes USA, Inc. company guaranty sr. unsec. unsub. notes 9 1/8s, 2018 15,000 16,200
Beazer Homes USA, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2023 50,000 52,938
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 150,000 150,939
Bon-Ton Department Stores, Inc. (The) 144A notes 8s, 2021 30,000 30,788
Boyd Gaming Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 60,000 65,100
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 130,000 139,100
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 100,000 108,000
Building Materials Corp. 144A sr. notes 7s, 2020 45,000 48,150
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 50,000 53,375
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 40,000 43,300
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 150,000 167,438
Burlington Holdings, LLC/Burlington Holding Finance, Inc. 144A sr. unsec. notes 9s, 2018(PIK) 40,000 40,650
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 27,000 16,740
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 8 1/2s, 2020 90,000 85,500
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 205,000 214,225
Caesars Entertainment Operating Co., Inc. 144A company guaranty sr. notes 9s, 2020 365,000 351,313
Carmike Cinemas, Inc. company guaranty notes 7 3/8s, 2019 55,000 60,638
CCM Merger, Inc. 144A company guaranty sr. unsec. notes 9 1/8s, 2019 80,000 87,800
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 20,000 22,200
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 60,000 60,000
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 50,000 50,000
Choice Hotels International, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2022 45,000 50,063
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 200,000 226,000
Cinemark USA, Inc. company guaranty sr. unsec. notes 8 5/8s, 2019 50,000 56,100
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 30,000 30,450
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 60,000 67,050
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2023 15,000 14,944
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty notes 10 3/4s, 2017 182,970 199,437
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty sr. notes 7 5/8s, 2016 60,000 63,750
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 120,000 119,100
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2019 255,000 256,275
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 230,000 244,375
Clear Channel Worldwide Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 100,000 105,500
CST Brands, Inc. 144A company guaranty sr. unsec. notes 5s, 2023 145,000 146,450
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 95,000 97,375
Entercom Radio, LLC company guaranty sr. unsec. sub. notes 10 1/2s, 2019 110,000 128,425
FelCor Lodging LP company guaranty sr. notes 10s, 2014(R) 72,000 78,840
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 165,000 176,138
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023(R) 30,000 30,525
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 3/4s, 2021 200,000 226,252
General Motors Financial Co., Inc. 144A sr. unsec. notes 4 1/4s, 2023 45,000 43,875
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 75,000 80,250
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 155,000 157,863
Griffey Intermediate, Inc. / Griffey Finance Sub LLC 144A sr. notes 7s, 2020 $105,000 106,313
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 85,000 93,713
Hanesbrands, Inc. sr. unsec. notes 8s, 2016 37,000 39,590
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 150,000 154,125
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 95,000 106,638
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 65,000 64,675
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 75,000 82,125
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 90,000 97,200
Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017 165,000 192,638
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 45,000 47,869
K Hovnanian Enterprises, Inc. 144A company guaranty notes 9 1/8s, 2020 30,000 33,975
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 70,000 77,175
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 130,000 148,850
L Brands, Inc. sr. notes 5 5/8s, 2022 50,000 53,500
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 75,000 81,000
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 220,000 243,650
Lennar Corp. 144A company guaranty sr. unsec. notes 5s, 2022 40,000 40,000
LIN Television Corp. company guaranty sr. unsec. notes 6 3/8s, 2021 40,000 42,600
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 210,000 232,050
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 68,000 78,167
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) 200,000 14,000
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 130,000 144,300
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 90,000 89,775
MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017 185,000 211,131
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 100,000 110,000
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 75,000 81,750
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 70,000 82,775
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 65,000 74,750
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 25,000 27,063
Michaels Stores, Inc. company guaranty notes 11 3/8s, 2016 147,000 153,800
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019(PIK) 292,907 314,509
Navistar International Corp. sr. notes 8 1/4s, 2021 189,000 194,670
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 140,000 147,350
Neiman-Marcus Group, Inc. (The) company guaranty sr. notes 7 1/8s, 2028 140,000 145,600
New Academy Finance Co., LLC/New Academy Finance Corp. 144A sr. unsec. notes 8s, 2018(PIK) 110,000 113,438
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 100,000 106,500
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc. company guaranty sr. notes 8 7/8s, 2017 105,000 114,188
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 40,000 44,000
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. notes 4 1/2s, 2020 60,000 60,300
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 140,000 155,400
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 35,000 38,325
Owens Corning company guaranty sr. unsec. notes 9s, 2019 38,000 48,450
Penske Automotive Group, Inc. 144A company guaranty sr. sub. notes 5 3/4s, 2022 95,000 100,106
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 65,000 71,013
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 60,000 61,650
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 35,000 36,619
Pulte Group, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 140,000 162,575
Pulte Group, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 80,000 90,000
Realogy Corp. 144A company guaranty sr. notes 9s, 2020 25,000 29,000
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 35,000 38,413
Realogy Corp. 144A company guaranty sr. notes 7 5/8s, 2020 25,000 28,313
Regal Entertainment Group company guaranty sr. unsec. notes 9 1/8s, 2018 120,000 136,800
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2025 45,000 44,775
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023(FWC) 45,000 45,113
Rent-A-Center, Inc. 144A sr. unsec. notes 4 3/4s, 2021 75,000 74,063
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 85,000 93,500
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 135,000 156,600
RSI Home Products, Inc. 144A company guaranty notes 6 7/8s, 2018 100,000 103,500
Rural/Metro Corp. 144A sr. unsec. notes 10 1/8s, 2019 60,000 52,800
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 200,000 224,500
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 100,000 110,250
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 40,000 39,800
Sinclair Television Group, Inc. 144A sr. notes 6 1/8s, 2022 45,000 46,913
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 80,000 80,400
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 5/8s, 2022 5,000 5,400
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 10,000 10,750
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 95,000 102,125
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 20,000 20,100
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 21,000 23,310
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 45,000 45,338
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A sr. notes 7 3/4s, 2020 119,000 132,685
Tempur-Pedic International, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 10,000 10,788
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 110,000 116,463
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 120,000 113,700
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016(PIK) 30,050 31,102
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 30,000 30,975
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 110,000 119,075
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 115,000 125,925
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 7 5/8s, 2018 60,000 66,000
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) 95,000 97,732
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 210,000 223,125
12,955,674
Consumer staples (2.8%)
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 35,000 40,994
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 8 1/4s, 2019 30,000 32,663
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A sr. unsec. notes 5 1/2s, 2023 45,000 45,450
B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021 60,000 60,000
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 75,000 84,750
Carrols Restaurant Group, Inc. company guaranty sr. notes 11 1/4s, 2018 30,000 33,863
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 120,000 128,700
Claire's Stores, Inc. 144A company guaranty sr. notes 6 1/8s, 2020 30,000 31,350
Claire's Stores, Inc. 144A sr. notes 9s, 2019 140,000 157,850
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 30,000 29,475
Constellation Brands, Inc. company guaranty sr. unsec. notes 3 3/4s, 2021 10,000 9,750
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 145,000 167,113
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 50,000 56,125
Corrections Corp. of America 144A sr. unsec. notes 4 5/8s, 2023(R) 30,000 30,450
Corrections Corp. of America 144A sr. unsec. notes 4 1/8s, 2020(R) 25,000 25,094
Dave & Buster's, Inc. company guaranty sr. unsec. unsub. notes 11s, 2018 130,000 145,925
Dean Foods Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2018 80,000 92,200
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 95,000 107,231
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 235,000 264,375
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 105,000 116,944
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020 135,000 133,988
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 45,000 48,938
Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022 60,000 65,175
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020 50,000 52,750
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 110,000 150,285
JBS USA, LLC/JBS USA Finance, Inc. company guaranty sr. unsec. notes 11 5/8s, 2014 $60,000 64,500
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 40,000 43,900
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 135,000 144,788
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 65,000 68,900
Landry's Inc. 144A sr. unsec. notes 9 3/8s, 2020 150,000 163,125
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 58,000 62,930
Michael Foods, Inc. company guaranty sr. unsec. notes 9 3/4s, 2018 55,000 61,325
Post Holdings, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 50,000 55,688
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 135,000 145,800
Revlon Consumer Products Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2021 140,000 142,450
Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019 40,000 45,850
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 65,000 66,788
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 250,000 258,750
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 95,000 107,231
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 35,000 39,375
RSC Equipment Rental, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 35,000 38,763
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 90,000 102,375
Spectrum Brands Holdings, Inc. company guaranty sr. notes 9 1/2s, 2018 205,000 226,781
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 110,000 121,825
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2019 165,000 185,831
Wells Enterprises, Inc. 144A sr. notes 6 3/4s, 2020 45,000 48,263
4,306,676
Energy (5.6%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 45,000 47,700
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 35,000 37,450
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 165,000 162,938
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 45,000 40,275
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 75,000 67,500
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021 196,000 203,350
Atlas Pipeline Partners LP / Atlas Pipeline Finance Corp. 144A company guaranty sr. notes 6 5/8s, 2020 35,000 37,188
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 60,000 64,275
Aurora USA Oil & Gas Inc., 144A sr. notes 9 7/8s, 2017 90,000 99,000
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 225,000 245,250
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 85,000 97,325
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 125,000 138,125
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 85,000 94,775
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 30,000 31,200
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2019 115,000 120,750
Comstock Resources, Inc. company guaranty sr. unsub. notes 8 3/8s, 2017 110,000 115,500
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 120,000 130,950
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 65,000 66,544
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 60,900
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 215,000 237,575
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 130,000 139,100
Continental Resources, Inc. company guaranty sr. unsec. notes 5s, 2022 205,000 212,175
Continental Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 45,000 45,450
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 230,000 247,250
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 7 1/8s, 2022 40,000 42,800
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 7 1/8s, 2021 60,000 61,800
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 95,000 106,163
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 200,000 199,000
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 9 1/8s, 2017 75,000 79,500
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 85,000 89,675
Forbes Energy Services Ltd. company guaranty sr. unsec. notes 9s, 2019 80,000 78,400
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 244,000 259,860
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 185,000 190,088
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 105,000 111,563
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 265,000 269,638
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 10,000 10,750
Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017 130,000 139,750
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 60,000 65,400
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 135,000 136,688
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 175,000 196,875
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 40,000 44,000
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 160,000 181,200
Linn Energy LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 115,000 117,013
Linn Energy LLC/Linn Energy Finance Corp. 144A company guaranty sr. unsec. notes 6 1/4s, 2019 90,000 90,675
Lone Pine Resources Canada, Ltd. company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada) 45,000 39,600
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 75,000 77,625
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 55,000 56,375
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 120,000 98,400
Murray Energy Corp. 144A company guaranty sr. notes 8 5/8s, 2021 10,000 10,325
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 95,000 101,650
Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s, 2018 90,000 93,375
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020 170,000 176,800
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 65,000 70,363
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 120,000 130,102
Offshore Group Investment, Ltd. 144A company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 90,000 92,925
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 90,000 102,600
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 10,000 10,775
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6s, 2018 85,000 90,950
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 190,000 194,750
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 3/4s, 2022 175,000 195,563
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 40,000 42,400
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 50,000 54,125
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 45,000 45,675
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 135,000 148,500
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 35,000 35,088
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 185,000 206,275
Sabine Pass LNG LP 144A sr. notes 6 1/2s, 2020 45,000 47,138
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020 245,000 255,413
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 30,000 30,900
Seven Generations Energy Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 40,000 41,800
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 100,000 105,500
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 55,000 58,988
SM Energy Co. sr. unsec. notes 6 1/2s, 2021 50,000 54,625
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 20,000 22,000
Suburban Propane Partners LP/Suburban Energy Finance Corp. sr. unsec. notes 7 3/8s, 2021 83,000 89,433
Trinidad Drilling, Ltd. 144A sr. unsec. notes 7 7/8s, 2019 (Canada) 25,000 26,875
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 95,000 100,700
Whiting Petroleum Corp. company guaranty notes 7s, 2014 90,000 92,700
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 71,000 89,233
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 40,000 43,100
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 145,000 154,063
8,623,055
Financials (4.2%)
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub., LLC 144A sr. unsec. notes 7 7/8s, 2020 115,000 121,325
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 70,000 69,650
Air Lease Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2020 55,000 56,238
Air Lease Corp. sr. unsec. notes 6 1/8s, 2017 95,000 102,363
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 90,000 99,049
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 65,000 71,500
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2020 60,000 71,400
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 65,000 75,888
Ally Financial, Inc. unsec. sub. notes 8s, 2018 65,000 76,050
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2068 100,000 131,000
BBVA International Preferred SAU bank guaranty jr. unsec. sub. FRN notes 5.919s, perpetual maturity (Spain) 50,000 47,000
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 35,000 37,800
CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub. notes 11 5/8s, 2017 160,000 169,760
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 20,000 19,950
CIT Group, Inc. sr. unsec. notes 5s, 2022 100,000 106,500
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 80,000 86,200
CIT Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2018 75,000 80,625
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 135,000 151,875
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 185,000 200,263
Citigroup, Inc. unsec. sub. notes 4 3/4s, 2019 EUR 40,000 52,175
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 $45,000 44,775
CNO Financial Group, Inc. 144A company guaranty sr. notes 6 3/8s, 2020 65,000 70,850
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 110,000 108,350
Dresdner Funding Trust I 144A bonds 8.151s, 2031 240,000 255,600
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 175,000 183,750
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB bonds 6.071s, perpetual maturity (Jersey) 75,000 68,438
HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018 (United Kingdom) 135,000 151,515
HBOS PLC 144A unsec. sub. bonds 6s, 2033 (United Kingdom) 60,000 58,424
Hub International Ltd. 144A company guaranty sr. notes 8 1/8s, 2018 20,000 21,350
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 240,000 254,400
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 80,000 87,200
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 120,000 128,400
International Lease Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2015 45,000 46,800
International Lease Finance Corp. sr. unsec. unsub. notes 4 5/8s, 2021 40,000 39,600
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 70,000 75,600
iStar Financial, Inc. sr. unsec. unsub. notes Ser. B, 9s, 2017(R) 85,000 98,600
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. FRN notes 7s, 2037 30,000 31,350
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 75,000 89,625
Lloyds TSB Bank PLC jr. sub. FRN notes Ser. EMTN, 13s, perpetual maturity (United Kingdom) GBP 100,000 232,828
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) $50,000 55,250
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 65,000 71,175
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 85,000 91,056
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. notes 9 5/8s, 2019 30,000 34,350
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2020 100,000 109,500
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. unsub. notes 9 5/8s, 2019 20,000 22,800
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 50,000 51,000
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. 144A sr. notes 5 7/8s, 2022 75,000 80,063
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. 144A sr. notes 5 5/8s, 2020 50,000 52,875
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 85,000 91,163
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 160,000 168,000
Onex USI Acquisition Corp. 144A sr. unsec. notes 7 3/4s, 2021 120,000 125,100
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 95,000 110,438
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 75,000 85,313
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 120,000 122,100
Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/8s, 2019 60,000 67,200
Residential Capital LLC company guaranty jr. notes 9 5/8s, 2015 (In default)(NON) 200,000 216,500
Royal Bank of Scotland PLC (The) jr. sub. FRN notes Ser. MTN, 7.64s, perpetual maturity (United Kingdom) 100,000 96,500
Royal Bank of Scotland PLC (The) jr. unsec. sub. FRB bonds 7.648s, perpetual maturity (United Kingdom) 265,000 278,913
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 290,000 321,900
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 295,000 305,694
Springleaf Finance Corp. 144A sr. unsec. notes 6s, 2020 55,000 53,075
6,484,031
Health care (3.0%)
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 60,000 62,550
AmSurg Corp. company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 135,000 138,152
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 95,000 103,788
Biomet, Inc. 144A sr. unsec. notes 6 1/2s, 2020 130,000 136,825
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 130,000 139,263
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 100,000 147,616
CDRT Holding Corp. 144A sr. unsec. notes 9 1/4s, 2017(PIK) $140,000 143,850
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 95,000 99,513
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 40,000 44,000
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) 200,000 229,500
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 100,000 109,000
Endo Health Solutions, Inc. company guaranty sr. unsec. notes 7s, 2019 70,000 75,250
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 95,000 104,263
HCA, Inc. company guaranty sr. notes 8 1/2s, 2019 215,000 234,350
HCA, Inc. sr. notes 6 1/2s, 2020 355,000 401,150
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 30,000 35,025
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 190,000 204,013
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 100,000 104,500
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 50,000 52,875
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 50,000 53,625
Jaguar Holding Co.II/ Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 120,000 136,950
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 180,000 197,100
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sr. unsec. notes 12 1/2s, 2019 65,000 67,600
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 95,000 106,400
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 70,000 76,300
Service Corporation International sr. notes 7s, 2019 50,000 54,000
Service Corporation International sr. notes 7s, 2017 65,000 74,263
Sky Growth Acquisition Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2020 200,000 212,500
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 83,200
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015 131,119 131,775
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 85,000 91,800
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 225,000 249,188
Tenet Healthcare Corp. 144A company guaranty sr. notes 4 1/2s, 2021 30,000 29,475
Tenet Healthcare Corp. 144A company guaranty sr. notes 4 3/8s, 2021 95,000 92,150
United Surgical Partners International, Inc. company guaranty sr. unsec. unsub. notes 9s, 2020 80,000 89,400
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 20,000 21,550
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 45,000 48,038
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/4s, 2017 20,000 21,100
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 120,000 128,100
4,621,372
Technology (1.7%)
Alcatel-Lucent USA, Inc. sr. unsec. unsub. notes 6.45s, 2029 25,000 20,063
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 65,000 54,600
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 215,000 200,488
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 36,350 37,441
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 20,000 20,600
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 65,000 74,588
Ceridian Corp. 144A sr. unsec. notes 11s, 2021 125,000 143,750
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 100,000 108,750
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 205,000 223,963
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 180,000 190,800
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 145,000 152,975
First Data Corp. 144A company guaranty sr. unsec. notes 11 1/4s, 2021 80,000 81,800
First Data Corp. 144A company guaranty sr. unsec. sub. notes 11 3/4s, 2021 85,000 82,238
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 84,000 94,920
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 49,000 54,023
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 155,000 168,563
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 60,000 67,650
Infor US, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2018 55,000 64,488
Iron Mountain, Inc. company guaranty sr. sub. notes 7 3/4s, 2019 45,000 50,231
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 25,000 27,156
Jazz Technologies, Inc. company guaranty sr. unsec. notes 8s, 2015 446,000 419,240
SunGard Data Systems, Inc. 144A company guaranty sr. sub. notes 6 5/8s, 2019 70,000 73,675
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 95,000 104,500
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 120,000 131,100
2,647,602
Transportation (0.5%)
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg) 200,000 215,250
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 167,000 182,865
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 100,000 107,250
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 180,000 205,650
Watco Cos LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 90,000 94,725
805,740
Utilities and power (2.3%)
AES Corp. (VA) sr. unsec. notes 8s, 2020 55,000 66,000
AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017 85,000 99,663
AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021 145,000 169,650
AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023 45,000 44,213
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 90,000 98,775
Calpine Corp. 144A sr. notes 7 1/4s, 2017 166,000 173,470
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 95,000 112,927
DPL, Inc. sr. unsec. notes 6 1/2s, 2016 155,000 167,013
Dynegy Holdings Escrow, LLC escrow bonds 7 3/4s, 2019 175,000 219
El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031 100,000 111,375
El Paso Natural Gas Co. debs. 8 5/8s, 2022 40,000 54,199
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 122,000 138,928
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 125,000 142,344
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020 293,000 332,189
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 155,000 177,863
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 45,000 48,488
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 35,000 39,025
EP Energy/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020 195,000 221,325
EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec. notes 8 1/8s, 2017(PIK) 65,000 68,575
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 40,000 39,431
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 100,000 113,000
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 180,000 203,400
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 25,000 29,188
NGPL PipeCo, LLC 144A sr. notes 9 5/8s, 2019 45,000 50,175
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 325,000 362,375
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 70,000 85,024
PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015 84,000 95,340
Regency Energy Partners company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 75,000 78,750
Regency Energy Partners 144A company guaranty sr. unsec. notes 4 1/2s, 2023 95,000 94,050
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 15,000 19,498
Texas Competitive/Texas Competitive Electric Holdings Co., LLC company guaranty notes 15s, 2021 75,000 24,000
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 60,000 47,100
3,507,572
Total corporate bonds and notes (cost $57,963,479) $61,917,402

CONVERTIBLE BONDS AND NOTES (32.0%)(a)
Principal amount Value
Basic materials (1.1%)
CEMEX SAB de CV cv. unsec. sub. notes 4 7/8s, 2015 (Mexico) $725,000 $873,625
U.S. Steel Corp. cv. sr. unsec. notes 4s, 2014 730,000 749,163
1,622,788
Capital goods (2.4%)
Covanta Holding Corp. cv. sr. unsec. notes 3 1/4s, 2014 670,000 877,700
General Cable Corp. cv. unsec. sub. notes stepped-coupon 4 1/2s (2 1/4s, 11/15/19) 2029(STP) 740,000 917,600
Icahn Enterprises LP 144A cv. sr. unsec. notes FRN 4s, 2013 630,000 628,425
Owens-Brockway Glass Container, Inc. 144A cv. company guaranty sr. unsec. notes 3s, 2015 655,000 668,919
Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s, 2036 530,000 633,350
3,725,994
Communication services (2.0%)
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A cv. company guaranty sr. unsec. notes 8 1/4s, 2040 199,000 219,771
Equinix, Inc. cv. sr. unsec. sub. notes 4 3/4s, 2016 470,000 1,167,950
Leap Wireless International, Inc. cv. sr. unsec. notes 4 1/2s, 2014 857,000 870,926
Level 3 Communications, Inc. cv. sr. unsec. unsub. notes 6 1/2s, 2016 645,000 890,906
Powerwave Technologies, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2027 (In default)(NON) 1,160,000 2,900
3,152,453
Consumer cyclicals (8.4%)
Callaway Golf Co. 144A cv. sr. unsec. bonds 3 3/4s, 2019 603,000 664,385
CBIZ, Inc. 144A cv. sr. sub. notes 4 7/8s, 2015 397,000 438,685
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 881,000 1,608,376
Forest City Enterprises, Inc. cv. sr. unsec. notes 4 1/4s, 2018 732,000 838,598
Forestar Group, Inc. cv. sr. unsec. unsub. notes 3 3/4s, 2020 412,000 504,443
Liberty Interactive, LLC cv. sr. unsec. unsub. notes 3 1/2s, 2031 2,280,000 1,208,400
Liberty Interactive, LLC cv. sr. unsec. unsub. notes 3 1/8s, 2023 503,000 835,609
Liberty Interactive, LLC 144A cv. sr. unsec. unsub. notes 3/4s, 2043 833,000 878,565
M/I Homes, Inc. cv. company guaranty sr. sub. notes 3s, 2018 400,000 431,250
MGM Resorts International Co. cv. company guaranty sr. unsec. notes 4 1/4s, 2015 1,350,000 1,534,781
Ryland Group, Inc. (The) cv. company guaranty sr. unsub. notes 1 5/8s, 2018 480,000 756,300
Standard Pacific Corp. cv. company guaranty sr. unsec. unsub. notes 1 1/4s, 2032 710,000 942,081
Toll Brothers, Inc. 144A cv. company guaranty sr. unsec. notes 1/2s, 2032 510,000 545,088
TRW Automotive, Inc. cv. company guaranty sr. unsec. notes 3 1/2s, 2015 195,000 428,942
XM Satellite Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014 622,000 1,223,785
12,839,288
Consumer staples (1.0%)
Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015 470,000 672,100
Vector Group Ltd. cv. sr. unsec. FRN notes 2 1/2s, 2019 740,000 859,325
1,531,425
Energy (3.6%)
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 2 1/4s, 2038 2,230,000 2,073,900
Cobalt International Energy, Inc. cv. sr. unsec. unsub. notes 2 5/8s, 2019 375,000 406,172
Endeavour International Corp. cv. company guaranty sr. unsec. unsub. notes 5 1/2s, 2016 280,000 162,225
Goodrich Petroleum Corp. cv. sr. unsec. unsub. notes 5s, 2029 865,000 860,675
Hornbeck Offshore Services, Inc. 144A cv. company guaranty sr. unsec. notes 1 1/2s, 2019 375,000 463,594
Peabody Energy Corp. cv. jr. unsec. sub. debs. 4 3/4s, 2041 875,000 753,047
Trico Marine Services, Inc. cv. sr. unsec. debs. 3s, 2027 (In default)(NON) 500,000 3,750
Vantage Drilling Co. cv. sr. unsec. unsub. notes 7 7/8s, 2042 615,000 744,150
5,467,513
Financials (4.1%)
Ares Capital Corp. cv. sr. unsec. notes 5 3/4s, 2016 935,000 1,024,293
DFC Global Corp. 144A cv. sr. unsec. unsub. notes 3 1/4s, 2017 175,000 179,165
Hercules Technology Growth Capital, Inc. cv. sr. unsec. notes 6s, 2016 453,000 527,179
Jefferies Group, LLC cv. sr. unsec. notes 3 7/8s, 2029 825,000 920,391
Morgans Hotel Group Co. cv. sr. sub. notes 2 3/8s, 2014(R) 799,000 775,030
PHH Corp. cv. sr. unsec. notes 4s, 2014 940,000 1,012,850
RAIT Financial Trust cv. sr. unsec. unsub. notes 7s, 2031(R) 392,000 482,650
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4.55s, 2018(R) 510,000 546,019
Walter Investment Management Corp. cv. sr. unsec. sub. notes 4 1/2s, 2019 835,000 906,497
6,374,074
Health care (2.7%)
Accuray, Inc. cv. sr. unsec. notes 3 3/4s, 2016 694,000 659,734
Alere, Inc. cv. sr. unsec. sub. notes 3s, 2016 430,000 430,000
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4s, 2013 (China) (In default)(F)(NON) 763,000 61,040
China Medical Technologies, Inc. 144A cv. sr. unsec. notes 6 1/4s, 2016 (China) (In default)(F)(NON) 445,000 31,150
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2s (zero %, 3/1/18) 2042(STP) 1,075,000 1,109,938
Opko Health, Inc. 144A cv. sr. unsec. notes 3s, 2033 346,000 344,270
Sequenom, Inc. 144A cv. sr. unsec. notes 5s, 2017 615,000 703,406
Teleflex, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2017 625,000 860,156
4,199,694
Technology (6.7%)
Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s, 2015 794,000 815,835
Intel Corp. cv. jr. sub. notes 3 1/4s, 2039 500,000 652,500
Micron Technology, Inc. 144A cv. sr. unsec. notes 1 5/8s, 2033 1,875,000 2,384,766
ON Semiconductor Corp. cv. company guaranty sr. unsec. sub. notes Ser. B, 2 5/8s, 2026 490,000 578,813
Safeguard Scientifics, Inc. 144A cv. sr. unsec. notes 5 1/4s, 2018 1,600,000 1,768,000
SanDisk Corp. cv. sr. unsec. notes 1 1/2s, 2017 990,000 1,313,606
TeleCommunication Systems, Inc. cv. sr. unsec. notes 7 3/4s, 2018 1,490,000 1,471,375
TTM Technologies, Inc. cv. sr. unsec. notes 3 1/4s, 2015 540,000 543,402
Vishay Intertechnology, Inc. 144A cv. sr. unsec. notes 2 1/4s, 2041 745,000 705,422
10,233,719
Transportation (—%)
Genco Shipping & Trading, Ltd. cv. sr. unsec. notes 5s, 2015 241,000 69,890
69,890
Total convertible bonds and notes (cost $46,892,069) $49,216,838

CONVERTIBLE PREFERRED STOCKS (23.1%)(a)
Shares Value
Basic materials (0.6%)
ArcelorMittal Ser. MTUS, $1.50 cv. pfd. (France) 41,185 $865,709
Smurfit-Stone Container Corp. (Escrow) zero % cv. pfd.(F) 65,720 657
866,366
Capital goods (1.4%)
United Technologies Corp. $3.75 cv. pfd. 35,100 2,117,934
2,117,934
Communication services (1.1%)
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 28,570 1,348,161
Iridium Communications, Inc. 144A $7.00 cv. pfd. 4,095 409,500
1,757,661
Consumer cyclicals (3.5%)
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) 45,325 1,183,889
General Motors Co. Ser. B, $2.375 cv. pfd. 38,435 1,880,913
Interpublic Group of Cos, Inc. (The) Ser. B, 5.25% cv. pfd. 910 1,134,656
Stanley Black & Decker, Inc. $4.75 cv. pfd. 8,717 1,142,799
5,342,257
Consumer staples (0.8%)
Bunge, Ltd. $4.875 cv. pfd. 6,235 637,529
Post Holdings, Inc. 144A $3.75 cv. pfd. 5,894 635,845
1,273,374
Energy (1.4%)
Apache Corp. Ser. D, $3.00 cv. pfd. 9,595 450,365
Chesapeake Energy Corp. 144A 5.75% cv. pfd. 1,617 1,774,658
2,225,023
Financials (9.5%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd.(R) 28,010 779,028
AMG Capital Trust II $2.575 cv. pfd. 31,375 1,774,648
Bank of America Corp. Ser. L, 7.25% cv. pfd. 2,653 3,213,375
EPR Properties Ser. C, $1.44 cv. pfd. 51,300 1,223,187
Health Care REIT, Inc. Ser. I, $3.25 cv. pfd.(R) 20,775 1,347,778
Huntington Bancshares Ser. A, 8.50% cv. pfd. 844 1,144,380
MetLife, Inc. $3.75 cv. pfd. 29,905 1,592,740
OFG Bancorp 144A 8.75% cv. pfd. (Puerto Rico) 620 1,042,220
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 1,545 1,935,113
Wintrust Financial Corp. $3.75 cv. pfd. 10,190 556,374
14,608,843
Health care (0.7%)
HealthSouth Corp. Ser. A, 6.50% cv. pfd. 895 1,109,632
1,109,632
Technology (0.2%)
Unisys Corp. Ser. A, 6.25% cv. pfd. 4,588 269,832
269,832
Transportation (1.9%)
Continental Financial Trust II $3.00 cv. pfd. 18,090 871,712
Genesee & Wyoming, Inc. $5.00 cv. pfd. 5,938 743,438
Swift Mandatory Common Exchange Security Trust 144A 6.00% cv. pfd. 88,585 1,272,249
2,887,399
Utilities and power (2.0%)
AES Trust III $3.375 cv. pfd. 18,460 927,039
El Paso Energy Capital Trust I $2.375 cv. pfd. 1,069 63,606
NextEra Energy, Inc. $2.799 cv. pfd. 15,700 858,790
PPL Corp. $4.375 cv. pfd. 22,270 1,199,240
3,048,675
Total convertible preferred stocks (cost $30,756,753) $35,506,996

COMMON STOCKS (1.1%)(a)
Shares Value
Air Methods Corp. 1,865 $69,826
CIT Group, Inc.(NON) 936 43,131
Citigroup, Inc. 5,036 261,822
Deepocean Group (Shell) (acquired 6/9/11, cost $131,921) (Norway)(RES) 9,082 136,230
DISH Network Corp. Class A 2,080 80,163
FelCor Lodging Trust, Inc.(NON)(R) 8,485 52,268
General Motors Co.(NON) 2,830 95,909
Gulfport Energy Corp.(NON) 2,512 119,797
Harry & David Holdings, Inc.(NON) 124 15,500
Healthways, Inc.(NON) 2,800 37,660
Huntsman Corp. 3,180 61,851
Kodiak Oil & Gas Corp.(NON) 11,230 98,599
LyondellBasell Industries NV Class A 1,045 69,649
Manitowoc Co., Inc. (The) 3,415 71,749
Newfield Exploration Co.(NON) 1,350 32,117
NII Holdings, Inc.(NON) 6,770 52,197
Quicksilver Resources, Inc.(NON) 4,455 9,890
Quintiles Transnational Corp.(NON) 877 38,623
Rite Aid Corp.(NON) 44,207 129,969
Terex Corp.(NON) 2,105 75,506
Trump Entertainment Resorts, Inc.(NON) 152 380
Vantage Drilling Co.(NON) 60,983 117,087
W.R. Grace & Co.(NON) 985 83,242
Total common stocks (cost $1,837,955) $1,753,165

UNITS (0.9%)(a)
Units Value
Ashland, Inc. cv. jr. unsec. sub. debs. units 6 1/2s, 2029 1,540,000 $1,432,200
Total units (cost $1,269,401) $1,432,200

PREFERRED STOCKS (0.3%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 146 $143,135
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 6,800 181,016
M/I Homes, Inc. $2.438 pfd.(NON) 2,490 61,877
Total preferred stocks (cost $347,144) $386,028

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Tower Semiconductor, Ltd. 144A (Israel)(F) 6/30/15 $0.01 168,777 $1
Total warrants (cost $33,755) $1

SHORT-TERM INVESTMENTS (1.8%)(a)
Shares Value
Putnam Short Term Investment Fund 0.01%(AFF) 2,828,776 $2,828,776
Total short-term investments (cost $2,828,776) $2,828,776

TOTAL INVESTMENTS
Total investments (cost $141,929,332)(b) $153,041,406













FORWARD CURRENCY CONTRACTS at 5/31/13 (aggregate face value $1,183,453) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Canadian Dollar Sell 7/17/13 $33,724 $34,331 $607
Barclays Bank PLC
British Pound Sell 6/19/13 226,975 224,227 (2,748)
Deutsche Bank AG
Euro Sell 6/19/13 148,573 148,662 89
JPMorgan Chase Bank N.A.
Canadian Dollar Sell 7/17/13 39,506 40,205 699
State Street Bank and Trust Co.
Canadian Dollar Sell 7/17/13 149,352 151,976 2,624
UBS AG
Euro Buy 6/19/13 9,879 9,871 8
WestPac Banking Corp.
Canadian Dollar Sell 7/17/13 71,400 72,675 1,275
Euro Sell 6/19/13 501,223 501,506 283
Total $2,837












Key to holding's currency abbreviations
CAD Canadian Dollar
EUR Euro
GBP British Pound
USD / $ United States Dollar
Key to holding's abbreviations
EMTN Euro Medium Term Notes
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 May 31, 2013 (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, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $153,685,088.
(b) The aggregate identified cost on a tax basis is $141,921,176, resulting in gross unrealized appreciation and depreciation of $15,912,762 and $4,792,532, respectively, or net unrealized appreciation of $11,120,230.
(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 and Putnam Short Term Investment Fund, which are 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 $12,919,933 $17,319,777 $4,043 $—
Putnam Short Term Investment Fund * — 10,670,367 7,841,591 418 2,828,776
Totals $4,399,844 $23,590,300 $25,161,368 $4,461 $2,828,776
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.
(FWC) Forward commitment, in part or in entirety.
(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 $41,069 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 under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, 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 consider 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.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC 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 $2,748 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund for these agreements.












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 $214,742 $— $—
    Capital goods 147,255 — —
    Communication services 132,360 — —
    Consumer cyclicals 148,177 380 —
    Consumer staples 129,969 15,500 —
    Energy 377,490 136,230 —
    Financials 304,953 — —
    Health care 146,109 — —
Total common stocks 1,601,055 152,110 —
Convertible bonds and notes — 49,124,648 92,190
Convertible preferred stocks 2,117,934 33,388,405 657
Corporate bonds and notes — 61,917,402 —
Preferred stocks — 386,028 —
Units — 1,432,200 —
Warrants — 1 —
Short-term investments 2,828,776 — —
Totals by level $6,547,765 $146,400,794 $92,847



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


Forward currency contracts $— $2,837 $—
Totals by level $— $2,837 $—


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 $5,585 $2,748
Equity contracts 1 —
Total $5,586 $2,748


The average volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows:
Forward currency contracts (contract amount) $1,200,000
Warrants (number of warrants) 170,000

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 26, 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: July 26, 2013

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: July 26, 2013