a_highincomesec.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:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: August 31, 2015
Date of reporting period: May 31, 2015



Item 1. Schedule of Investments:













Putnam High Income Securities Fund

The fund's portfolio
5/31/15 (Unaudited)
CORPORATE BONDS AND NOTES (40.5%)(a)
Principal amount Value
Basic materials (4.1%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 $150,000 $153,000
Alcoa, Inc. sr. unsec. unsub. notes 5.4s, 2021 55,000 59,813
Alcoa, Inc. sr. unsec. unsub. notes 5 1/8s, 2024 20,000 21,350
ArcelorMittal SA sr. unsec. bonds 10.6s, 2019 (France) 105,000 127,575
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France) 60,000 60,900
ArcelorMittal SA sr. unsec. unsub. notes 7 3/4s, 2039 (France) 65,000 66,848
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 175,000 185,063
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 85,000 86,063
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 140,000 151,900
Cemex SAB de CV 144A company guaranty sr. notes 5 7/8s, 2019 (Mexico) 320,000 330,400
Chemours Co. (The) 144A sr. unsec. notes 7s, 2025 40,000 40,700
Chemours Co. (The) 144A sr. unsec. notes 6 5/8s, 2023 105,000 106,575
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 120,000 120,900
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 265,000 278,250
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 35,000 34,407
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 85,000 82,344
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 125,000 122,188
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 160,000 173,000
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 80,000 93,600
HD Supply, Inc. 144A company guaranty sr. notes 5 1/4s, 2021 135,000 140,400
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 45,000 42,413
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 225,000 240,188
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 130,000 131,950
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 30,000 30,075
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 160,000 172,200
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 55,000 49,775
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 55,000 58,850
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 125,000 134,688
Momentive Performance Materials, Inc. company guaranty sr. notes 3.88s, 2021 5,000 4,506
Momentive Performance Materials, Inc. escrow company guaranty sr. notes 8 7/8s, 2020(F) 5,000 1
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 (Canada) 65,000 67,844
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 65,000 65,325
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) 90,000 91,583
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 200,000 209,500
Platform Specialty Products Corp. 144A sr. unsec. notes 6 1/2s, 2022 85,000 89,250
PQ Corp. 144A sr. notes 8 3/4s, 2018 130,000 134,550
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 65,000 66,788
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 150,000 152,625
SBA Communications Corp. 144A sr. unsec. notes 4 7/8s, 2022 145,000 145,827
Sealed Air Corp. 144A company guaranty sr. unsec. notes 8 3/8s, 2021 45,000 50,625
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 30,000 31,200
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 75,000 83,625
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 100,000 103,500
Sealed Air Corp. 144A sr. unsec. notes 5 1/8s, 2024 50,000 50,875
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022 35,000 35,263
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) 75,000 93,188
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 20,000 21,400
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 25,000 26,688
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 70,000 72,188
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 10,000 10,225
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 20,000 20,250
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 175,000 172,813
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 90,000 87,075
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 20,000 21,425
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 100,000 103,500
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 140,000 133,350
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 160,000 168,400
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 70,000 72,275
5,681,079
Capital goods (3.2%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 325,000 342,469
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 315,000 359,100
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 80,000 80,800
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 105,000 106,575
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 70,000 71,750
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 80,000 79,800
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 55,000 56,272
Berry Plastics Corp. company guaranty unsub. notes 5 1/8s, 2023 45,000 44,775
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada) 50,000 51,625
Bombardier, Inc. 144A sr. unsec. notes 7 1/2s, 2025 (Canada) 120,000 114,750
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 150,000 165,000
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 55,000 54,313
Crown Cork & Seal Co., Inc. sr. unsec. bonds 7 3/8s, 2026 65,000 74,750
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 135,000 141,750
Gates Global, LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 350,000 322,000
Huntington Ingalls Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2021 55,000 57,200
KLX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 120,000 121,500
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 160,000 222,336
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 175,000 189,000
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 160,000 149,200
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 50,000 51,500
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 190,000 202,409
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 130,000 135,525
Oshkosh Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 60,000 62,100
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 95,000 95,713
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 174,000 183,135
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 205,000 216,019
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 125,000 130,000
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 245,000 249,288
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 85,000 92,013
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2024 25,000 25,500
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020 105,000 105,000
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2025 150,000 150,000
4,503,167
Communication services (4.8%)
Adelphia Communications Corp. escrow bonds zero %, 2016 235,000 2,056
Adelphia Communications Corp. escrow bonds zero %, 2015 20,000 175
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) 400,000 403,937
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 140,000 155,225
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 35,000 38,500
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 40,000 43,850
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 110,000 115,638
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 20,000 20,425
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 125,000 125,625
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 6 5/8s, 2022 35,000 37,231
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 110,000 117,425
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 25,000 26,094
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025 75,000 75,938
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 175,000 184,494
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 55,000 57,200
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 65,000 70,688
CSC Holdings, LLC 144A sr. unsec. notes 5 1/4s, 2024 85,000 83,194
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 (Jamaica) 200,000 198,250
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 70,000 79,100
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 115,000 115,288
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 125,000 137,890
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 10,000 9,631
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 30,000 29,025
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 76,000 83,600
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 50,000 46,500
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 95,000 96,425
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 110,000 97,900
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 245,000 221,113
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 100,000 102,125
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 85,000 91,694
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 100,000 107,125
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 40,000 42,400
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 90,000 91,800
Numericable Group SA 144A sr. notes 6s, 2022 (France) 200,000 201,376
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 80,000 83,000
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 75,000 64,003
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 $30,000 33,750
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 65,000 75,606
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 35,000 36,750
Sprint Capital Corp. company guaranty 6 7/8s, 2028 260,000 234,650
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 80,000 87,400
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 60,000 61,125
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 115,000 131,819
Sprint Corp. company guaranty sr. unsec. notes 7 7/8s, 2023 275,000 279,648
Sprint Corp. company guaranty sr. unsec. notes 7 1/4s, 2021 265,000 266,656
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023 75,000 79,969
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021 45,000 47,925
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 145,000 152,975
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 45,000 46,491
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 165,000 172,219
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 165,000 173,869
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 125,000 130,625
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 40,000 41,525
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) 195,000 201,338
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 180,000 174,150
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 215,000 229,513
Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg) 200,000 208,500
Windstream Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 65,000 70,038
Windstream Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 200,000 189,000
Windstream Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 75,000 63,000
6,644,481
Consumer cyclicals (8.2%)
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 75,000 81,990
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 70,000 72,975
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 130,000 137,475
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 40,000 44,894
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 105,000 115,369
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 106,000 105,603
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 100,000 81,000
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 65,000 66,138
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 145,000 148,988
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 85,000 85,876
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 45,000 47,644
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 185,000 186,502
CCM Merger, Inc. 144A company guaranty sr. unsec. notes 9 1/8s, 2019 80,000 86,800
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 30,000 31,275
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 60,000 62,700
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 65,000 66,300
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 65,000 65,241
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 15,000 16,088
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 190,000 200,925
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 330,000 349,388
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 55,000 51,700
Dana Holding Corp. sr. unsec. notes 5 1/2s, 2024 65,000 66,300
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 125,000 132,188
Dana Holding Corp. sr. unsec. unsub. notes 5 3/8s, 2021 85,000 88,506
Entercom Radio, LLC company guaranty sr. unsec. sub. notes 10 1/2s, 2019 100,000 108,750
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 3/4s, 2023 45,000 47,475
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 1/4s, 2020 30,000 31,463
FCA US, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 200,000 220,900
First Cash Financial Services, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2021 (Mexico) 60,000 63,450
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 60,000 62,700
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 15,000 15,694
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 30,000 30,225
Garda World Security Corp. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 (Canada) 145,000 143,057
General Motors Co. sr. unsec. unsub. notes 5.2s, 2045 20,000 20,407
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 80,000 82,100
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 140,000 144,900
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 40,000 41,400
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 185,000 197,025
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 170,000 143,877
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 $190,000 199,500
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 180,000 182,700
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2021 215,000 203,175
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 255,000 250,538
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 65,000 67,275
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 75,000 81,563
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 15,000 15,113
JC Penney Corp, Inc. company guaranty sr. unsec. notes 5 3/4s, 2018 30,000 29,625
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020 20,000 18,050
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 80,000 76,400
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 165,000 160,463
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 85,000 95,944
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 50,000 54,125
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 75,000 79,125
Lamar Media Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 45,000 46,463
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 144,000 152,640
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 125,000 123,906
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 125,000 128,125
LIN Television Corp. company guaranty sr. unsec. notes 6 3/8s, 2021 40,000 41,300
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 210,000 218,400
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 45,000 46,575
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 130,000 126,100
Media General Financing Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2022 45,000 46,125
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 110,000 119,213
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 125,000 128,750
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 70,000 80,500
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 65,000 69,875
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 257,907 275,316
Navistar International Corp. sr. notes 8 1/4s, 2021 54,000 54,000
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 140,000 143,500
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 175,000 189,000
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 60,000 64,350
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 190,000 194,988
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 100,000 108,375
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 7/8s, 2025 90,000 94,950
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 5/8s, 2024 125,000 131,250
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A sr. unsec. notes 5 5/8s, 2024 10,000 10,500
Owens Corning company guaranty sr. unsec. notes 9s, 2019 38,000 45,724
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 140,000 142,275
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 160,000 169,600
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 90,000 93,150
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018 75,000 78,844
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 55,000 56,650
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 75,000 87,000
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2025 45,000 44,888
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 90,000 91,125
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 80,000 82,200
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 61,000 64,050
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 135,000 145,209
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 100,000 101,750
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 35,000 32,725
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022 280,000 270,900
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 35,000 26,775
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 95,000 99,038
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 80,000 84,400
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 60,000 61,050
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 30,000 31,650
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 45,000 45,450
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 130,000 135,200
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 205,000 213,456
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 220,000 227,150
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022 5,000 5,350
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 10,000 10,675
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 55,000 57,888
Spectrum Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 65,000 66,950
Spectrum Brands, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2024 55,000 58,438
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 90,000 95,850
Standard Pacific Corp. company guaranty sr. unsec. notes 5 7/8s, 2024 55,000 57,200
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 180,000 171,900
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 45,000 44,100
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 75,000 75,375
Tri Pointe Holdings, Inc. 144A sr. unsec. unsub. notes 5 7/8s, 2024 175,000 172,156
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 30,000 30,413
Univision Communications, Inc. 144A company guaranty sr. notes 5 1/8s, 2025 30,000 29,835
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 180,000 191,925
11,351,399
Consumer staples (2.5%)
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 200,000 208,500
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 145,000 155,694
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 45,000 46,125
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 40,000 40,100
BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) 45,000 45,056
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) 230,000 238,510
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 155,000 160,038
CEC Entertainment, Inc. company guaranty sr. unsec. notes 8s, 2022 70,000 71,050
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 195,000 206,456
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 95,000 95,713
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 105,000 112,244
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 115,000 129,663
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2024 10,000 10,363
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 3 7/8s, 2019 10,000 10,238
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 205,000 204,488
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 25,000 25,375
Dean Foods Co. 144A sr. unsec. notes 6 1/2s, 2023 90,000 93,375
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 175,000 147,656
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 40,000 42,660
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 135,000 142,628
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 35,000 36,978
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 35,000 36,444
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 220,000 236,775
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 55,000 55,825
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 90,000 91,350
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 165,000 165,413
Rite Aid Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2023 120,000 124,800
RSC Equipment Rental, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 16,000 17,220
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 30,000 32,850
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 20,000 20,325
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 1/2s, 2025 85,000 84,894
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 125,000 130,625
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 115,000 116,150
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 130,000 140,400
3,475,981
Energy (4.5%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 95,000 12,825
Antero Resources Corp. company guaranty sr. unsec. notes 5 1/8s, 2022 85,000 84,788
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 65,000 66,755
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 90,000 91,125
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) 95,000 91,675
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) 15,000 14,592
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 60,000 56,100
California Resources Corp. company guaranty sr. unsec. notes 6s, 2024 190,000 174,800
California Resources Corp. company guaranty sr. unsec. notes 5s, 2020 70,000 66,675
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 125,000 101,250
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 90,000 76,275
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 120,000 118,500
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 60,000 57,150
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield Finance, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2019 115,000 95,091
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 120,000 126,150
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 140,000 142,100
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 50,000 50,750
CONSOL Energy, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 140,000 130,550
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 65,000 64,350
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 75,000 72,000
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 75,000 51,375
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2022 130,000 127,400
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2021 70,000 68,425
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 60,000 63,900
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 15,000 16,106
FTS International, Inc. 144A company guaranty sr. FRN 7.808s, 2020 55,000 54,976
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 155,000 163,913
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2023 70,000 71,400
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 40,000 28,900
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 235,000 165,088
Halcon Resources Corp. 144A company guaranty notes 8 5/8s, 2020 60,000 60,900
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 90,000 97,875
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 30,000 31,125
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 45,000 43,763
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 135,000 87,413
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 155,000 112,298
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 25,000 20,063
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 145,000 125,063
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 150,000 128,250
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada)(F) 45,000 2
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 120,000 24,000
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 210,000 221,550
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 65,000 67,275
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 50,000 50,750
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 225,000 230,063
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 220,000 158,950
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 55,000 38,500
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 115,000 47,150
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 195,000 80,925
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. notes 5 5/8s, 2022 55,000 54,863
Rose Rock Midstream LP/Rose Rock Finance Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 65,000 64,025
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 45,000 47,705
Sabine Pass Liquefaction, LLC company guaranty sr. notes 5 5/8s, 2023 230,000 234,025
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 185,000 197,488
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 45,000 47,363
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 245,000 20,213
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 130,000 128,944
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6 3/4s, 2023 (Canada) 65,000 65,683
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 120,000 128,586
Seventy Seven Energy, Inc. sr. unsec. notes 6 1/2s, 2022 105,000 67,200
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 100,000 89,000
SM Energy Co. sr. unsec. notes 6 1/2s, 2021 50,000 52,250
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 20,000 20,800
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 30,000 21,609
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 55,000 46,475
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 150,000 146,250
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 230,000 234,025
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 71,000 86,858
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 35,000 37,669
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 240,000 244,200
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 65,000 65,488
6,231,618
Financials (5.0%)
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub., LLC 144A sr. unsec. notes 7 7/8s, 2020 115,000 118,163
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 185,000 186,388
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 90,000 96,525
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 175,000 215,250
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2020 60,000 70,950
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 50,000 58,625
Ally Financial, Inc. unsec. sub. notes 8s, 2018 65,000 72,963
American International Group, Inc. jr. sub. FRB 8.175s, 2058 100,000 136,125
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.1s, perpetual maturity 120,000 121,350
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6 1/2s, perpetual maturity 50,000 52,875
BBVA International Preferred SAU company guaranty jr. unsec. sub. FRB 5.919s, perpetual maturity (Spain) 105,000 107,888
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 50,000 53,500
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 75,000 77,250
CIT Group, Inc. sr. unsec. notes 5s, 2023 65,000 66,463
CIT Group, Inc. sr. unsec. notes 5s, 2022 100,000 102,750
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 80,000 84,900
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 45,000 45,113
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 135,000 145,287
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 185,000 195,406
Citigroup, Inc. jr. unsec. sub. FRB Ser. B, 5.9s, perpetual maturity 25,000 24,969
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 125,000 95,625
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025 60,000 62,250
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 65,000 67,191
CNO Financial Group, Inc. 144A company guaranty sr. notes 6 3/8s, 2020 65,000 69,063
Communications Sales & Leasing, Inc. 144A company guaranty sr. unsec. notes 8 1/4s, 2023(R) 35,000 35,700
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 75,000 36,750
Credit Acceptance Corp. company guaranty sr. unsec. bonds 6 1/8s, 2021 110,000 111,375
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2023 50,000 51,875
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 160,000 123,200
Dresdner Funding Trust I 144A bonds 8.151s, 2031 240,000 302,400
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 90,000 94,050
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 105,000 105,525
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB 6.15s, 2066 50,000 31,375
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019(PIK) 70,000 69,650
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 155,000 160,038
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020 215,000 231,125
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 125,000 131,094
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 80,000 88,600
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 60,000 66,450
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 70,000 74,900
iStar Financial, Inc. sr. unsec. notes 5s, 2019(R) 5,000 4,944
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 75,000 90,938
Lloyds Bank PLC jr. unsec. sub. FRN Ser. EMTN, 13s, perpetual maturity (United Kingdom) GBP 100,000 269,380
Lloyds Banking Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom) $249,000 264,874
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 50,000 53,563
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 125,000 134,688
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 100,000 101,500
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 85,000 81,706
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 110,000 118,250
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2019 105,000 98,438
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 155,000 165,946
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 65,000 69,713
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 30,000 32,400
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 140,000 140,350
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 155,000 149,575
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN Ser. U, 7.64s, perpetual maturity (United Kingdom) 100,000 109,125
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648s, perpetual maturity (United Kingdom) 265,000 335,888
Royal Bank of Scotland Group PLC unsec. sub. notes 6s, 2023 (United Kingdom) 65,000 70,689
Springleaf Finance Corp. sr. unsec. notes 5 1/4s, 2019 45,000 45,395
Springleaf Finance Corp. sr. unsec. unsub. notes 7 3/4s, 2021 30,000 33,450
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 85,000 87,338
Stearns Holdings, Inc. 144A company guaranty sr. notes 9 3/8s, 2020 90,000 90,000
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 170,000 144,500
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 155,000 158,100
Walter Investment Management Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2021 90,000 82,575
6,974,301
Health care (3.8%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 155,000 160,425
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 75,000 75,000
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) 95,000 97,138
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 110,000 115,500
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 150,000 155,625
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 40,000 41,150
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 25,000 26,688
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada) 140,000 140,875
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 165,000 144,994
DaVita HealthCare Partners, Inc. company guaranty sr. unsec. notes 5 1/8s, 2024 110,000 111,169
DaVita HealthCare Partners, Inc. company guaranty sr. unsec. sub. notes 5s, 2025 95,000 94,169
DPx Holdings BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 135,000 141,244
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 170,000 172,763
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 100,000 97,500
Halyard Health, Inc. 144A sr. unsec. notes 6 1/4s, 2022 125,000 131,563
HCA, Inc. company guaranty sr. notes 3 3/4s, 2019 65,000 65,975
HCA, Inc. company guaranty sr. unsec. bonds 5 3/8s, 2025 35,000 36,050
HCA, Inc. sr. notes 6 1/2s, 2020 275,000 307,313
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 30,000 35,100
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 100,000 104,563
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 120,000 122,700
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 80,000 85,900
JLL/Delta Dutch Pledgeco BV 144A sr. unsec. notes 8 3/4s, 2020 (Netherlands)(PIK) 85,000 86,381
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 165,000 177,375
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg) 125,000 125,938
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 70,000 73,413
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024(R) 85,000 88,778
Omnicare, Inc. sr. unsec. notes 5s, 2024 20,000 22,100
Omnicare, Inc. sr. unsec. notes 4 3/4s, 2022 45,000 48,938
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 150,000 160,500
Quintiles Transnational Corp. 144A company guaranty sr. unsec. notes 4 7/8s, 2023 55,000 55,825
Service Corporation International sr. unsec. notes 7s, 2017 65,000 70,769
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2024 185,000 196,100
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 125,000 133,125
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023 70,000 70,525
Teleflex, Inc. company guaranty sr. unsec. notes 5 1/4s, 2024 25,000 25,500
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 85,000 87,922
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 55,000 54,450
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 80,000 78,400
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 225,000 244,688
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 140,000 149,800
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 25,000 25,438
United Surgical Partners International, Inc. company guaranty sr. unsec. unsub. notes 9s, 2020 80,000 85,800
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 7s, 2020 20,000 20,925
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 150,000 159,563
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 10,000 10,375
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 55,000 55,963
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 6 1/8s, 2025 100,000 104,125
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 7/8s, 2023 110,000 113,988
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 3/8s, 2020 110,000 114,400
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 210,000 220,894
5,325,402
Technology (1.8%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 75,000 79,031
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 300,000 256,875
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 285,000 285,000
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 85,000 99,556
First Data Corp. company guaranty sr. unsec. notes 11 1/4s, 2021 8,000 8,980
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 109,000 124,669
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 320,000 341,200
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 12,000 12,825
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 5s, 2021 60,000 62,850
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 70,000 75,425
Infor US, Inc. 144A sr. unsec. notes 6 1/2s, 2022 170,000 176,613
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023(R) 105,000 111,300
Micron Technology, Inc. sr. unsec. bonds 5 7/8s, 2022 105,000 110,250
Micron Technology, Inc. 144A sr. unsec. notes 5 1/4s, 2023 100,000 100,000
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 120,000 121,800
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 200,000 205,500
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019 70,000 73,063
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 140,000 124,600
Zebra Technologies Corp. 144A sr. unsec. unsub. notes 7 1/4s, 2022 145,000 157,325
2,526,862
Transportation (0.3%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 135,000 130,275
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 205,000 209,100
339,375
Utilities and power (2.3%)
AES Corp./Virginia (The) sr. unsec. notes 8s, 2020 85,000 99,450
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 270,000 267,975
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 145,000 162,944
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 45,000 43,425
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 225,000 226,406
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 30,000 32,025
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 25,000 26,781
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037 95,000 104,810
DPL, Inc. sr. unsec. notes 6 1/2s, 2016 28,000 29,400
Dynegy, Inc. 144A company guaranty sr. unsec. notes 7 3/8s, 2022 10,000 10,650
Dynegy, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 180,000 190,350
Dynegy, Inc. 144A company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 80,000 85,800
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 40,000 49,525
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 107,000 122,248
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 35,000 36,750
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 155,000 168,756
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 50,000 50,063
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 100,000 94,000
GenOn Americas Generation, LLC sr. unsec. notes 8 1/2s, 2021 145,000 139,563
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 125,000 128,750
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 25,000 25,813
Kinder Morgan, Inc./DE sr. unsec. notes Ser. GMTN, 7.8s, 2031 100,000 118,134
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 325,000 348,156
NRG Yield Operating, LLC 144A company guaranty sr. unsec. notes 5 3/8s, 2024 90,000 92,700
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 140,000 153,300
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 75,000 77,625
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 55,000 57,508
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 85,000 85,468
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 130,000 135,850
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 60,000 38,550
3,202,775
Total corporate bonds and notes (cost $55,948,980) $56,256,440

CONVERTIBLE BONDS AND NOTES (33.0%)(a)
Principal amount Value
Basic materials (0.9%)
AK Steel Corp. cv. company guaranty sr. unsec. unsub. notes 5s, 2019 $635,000 $777,875
Cemex SAB de CV cv. unsec. sub. notes 3 3/4s, 2018 (Mexico) 355,000 429,106
1,206,981
Capital goods (1.0%)
General Cable Corp. cv. unsec. sub. notes stepped-coupon 4 1/2s (2 1/4s, 11/15/19) 2029(STP) 595,000 480,091
Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s, 2036 685,000 944,444
1,424,535
Communication services (0.9%)
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A cv. company guaranty sr. unsec. notes 8 1/4s, 2040 199,000 216,910
Powerwave Technologies, Inc. cv. unsec. sub. notes 3 7/8s, 2027 (In default)(F)(NON) 1,160,000 116
TeleCommunication Systems, Inc. cv. sr. unsec. notes 7 3/4s, 2018 1,075,000 1,053,500
1,270,526
Consumer cyclicals (6.4%)
Callaway Golf Co. cv. sr. unsec. bonds 3 3/4s, 2019 453,000 579,274
CBIZ, Inc. 144A cv. sr. sub. notes 4 7/8s, 2015 332,000 413,133
Host Hotels & Resorts LP 144A cv. company guaranty sr. unsec. notes 2 1/2s, 2029(R) 391,000 608,005
Jarden Corp. company guaranty cv. sr. unsec. bonds 1 1/8s, 2034 650,000 769,844
Lennar Corp. 144A cv. sr. notes 2 3/4s, 2020 344,000 723,260
Liberty Interactive, LLC cv. sr. unsec. unsub. bonds 3/4s, 2043 833,000 1,332,279
Liberty Interactive, LLC cv. sr. unsec. unsub. notes 3 1/2s, 2031 1,250,000 660,938
Liberty Interactive, LLC 144A cv. sr. unsec. notes 1s, 2043 575,000 555,953
Macquarie Infrastructure Corp. cv. sr. unsec. sub. notes 2 7/8s, 2019 432,000 515,430
Navistar International Corp. cv. sr. unsec. sub. bonds 4 3/4s, 2019 644,000 581,210
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 1s, 2018 320,000 430,800
Ryland Group, Inc. (The) cv. company guaranty sr. unsec. unsub. notes 1 5/8s, 2018 480,000 681,300
Standard Pacific Corp. cv. company guaranty sr. unsec. unsub. notes 1 1/4s, 2032 365,000 428,647
Tesla Motors, Inc. cv. sr. unsec. notes 1 1/4s, 2021 680,000 651,525
8,931,598
Consumer staples (0.6%)
Vector Group, Ltd. cv. sr. unsec. FRN 2 1/2s, 2019 585,000 821,882
821,882
Energy (3.8%)
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 2 1/4s, 2038 2,230,000 2,051,600
Cobalt International Energy, Inc. cv. sr. unsec. unsub. notes 2 5/8s, 2019 1,075,000 835,141
Energy XXI, Ltd. cv. sr. unsec. bonds 3s, 2018 (acquired various dates from 11/19/13 to 1/24/14, cost $446,469)(RES) 451,000 173,635
Goodrich Petroleum Corp. cv. company guaranty sr. unsec. unsub. notes 5s, 2032 569,000 324,330
Hornbeck Offshore Services, Inc. cv. company guaranty sr. unsec. notes 1 1/2s, 2019 377,000 318,329
Peabody Energy Corp. cv. jr. unsec. sub. debs. 4 3/4s, 2041 655,000 164,159
SEACOR Holdings, Inc. cv. sr. unsec. bonds 3s, 2028 621,000 558,900
SunEdison, Inc. 144A cv. sr. unsec. notes 2 5/8s, 2023 289,000 298,212
Trico Marine Services, Inc. cv. sr. unsec. debs. 3s, 2027 (In default)(NON) 500,000 13,750
Vantage Drilling Co. cv. sr. unsec. unsub. notes 7 7/8s, 2042 615,000 568,106
5,306,162
Financials (5.4%)
Ares Capital Corp. cv. sr. unsec. notes 5 3/4s, 2016 627,000 644,243
Ares Capital Corp. cv. sr. unsec. unsub. bonds 4 3/8s, 2019 147,000 152,421
Blackstone Mortgage Trust, Inc. cv. sr. unsec. unsub. notes 5 1/4s, 2018(R) 626,000 677,645
Cowen Group, Inc. cv. sr. unsec. unsub. notes 3s, 2019 458,000 557,329
Empire State Realty OP LP 144A cv. sr. unsec. notes 2 5/8s, 2019(R) 442,000 461,614
Forest City Enterprises, Inc. cv. sr. unsec. notes 4 1/4s, 2018 816,000 976,650
Hercules Technology Growth Capital, Inc. cv. sr. unsec. notes 6s, 2016 453,000 515,288
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) 330,000 417,656
Radian Group, Inc. cv. sr. unsec. unsub. notes 3s, 2017 430,000 691,494
Spirit Realty Capital, Inc. cv. sr. unsec. notes 2 7/8s, 2019(R) 561,000 545,222
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4s, 2019(R) 631,000 713,424
TCP Capital Corp. 144A cv. sr. unsec. notes 5 1/4s, 2019 827,000 833,719
Walter Investment Management Corp. cv. sr. unsec. sub. notes 4 1/2s, 2019 312,000 243,360
7,430,065
Health care (4.5%)
Accuray, Inc. cv. sr. unsec. notes 3 3/4s, 2016 694,000 702,241
Brookdale Senior Living, Inc. cv. sr. unsec. unsub. notes 2 3/4s, 2018 720,000 1,004,400
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4s, 2016 (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
Gilead Sciences, Inc. cv. sr. unsec. notes 1 5/8s, 2016 225,000 1,111,219
HealthSouth Corp. cv. sr. unsec. sub. notes 2s, 2043 709,000 859,663
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2s (zero %, 3/1/18) 2042(STP) 880,000 1,126,400
Jazz Investments I, Ltd. 144A cv. company guaranty sr. unsec. notes 1 7/8s, 2021 (Ireland) 722,000 860,534
Medidata Solutions, Inc. cv. sr. unsec. notes 1s, 2018 370,000 453,944
6,210,591
Technology (8.4%)
Ciena Corp. cv. sr. unsec. notes 4s, 2020 618,000 873,311
j2 Global, Inc. cv. sr. unsec. notes 3 1/4s, 2029 570,000 661,200
Jazz Technologies, Inc. company guaranty cv. sr. unsec. bonds 8s, 2018 223,000 368,508
Micron Technology, Inc. cv. sr. unsec. bonds Ser. E, 1 5/8s, 2033 1,120,000 2,874,900
Micron Technology, Inc. cv. sr. unsec. unsub. bonds 3s, 2043 890,000 1,001,250
Novellus Systems, Inc. cv. company guaranty sr. unsec. notes 2 5/8s, 2041 370,000 888,231
ON Semiconductor Corp. cv. company guaranty sr. unsec. sub. notes Ser. B, 2 5/8s, 2026 442,000 597,529
Safeguard Scientifics, Inc. cv. sr. unsec. bonds 5 1/4s, 2018 970,000 1,164,000
Salesforce.com, Inc. cv. sr. unsec. unsub. notes 1/4s, 2018 600,000 750,375
SanDisk Corp. cv. sr. unsec. notes 1 1/2s, 2017 424,000 613,210
Vishay Intertechnology, Inc. 144A cv. sr. unsec. notes 2 1/4s, 2041 745,000 610,900
Yahoo!, Inc. cv. sr. unsec. bonds zero %, 2018 1,130,000 1,218,988
11,622,402
Transportation (1.1%)
Atlas Air Worldwide Holdings, Inc. cv. sr. unsec. notes 2 1/4s, 2022 394,000 397,940
Scorpio Tankers, Inc. 144A cv. sr. unsec. notes 2 3/8s, 2019 1,072,000 1,126,270
1,524,210
Total convertible bonds and notes (cost $43,874,077) $45,748,952

CONVERTIBLE PREFERRED STOCKS (23.5%)(a)
Shares Value
Basic materials (1.2%)
Alcoa, Inc. Ser. 1, $2.688 cv. pfd. 20,158 $881,284
Smurfit-Stone Container Corp. escrow zero % cv. pfd.(F) 65,720 657
Weyerhaeuser Co. Ser. A, $3.188 cv. pfd.(R) 15,650 848,524
1,730,465
Capital goods (1.2%)
United Technologies Corp. $3.75 cv. pfd. 28,240 1,720,381
1,720,381
Communication services (3.7%)
American Tower Corp. $5.50 cv. pfd.(R) 13,085 1,327,604
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 21,872 1,074,462
Crown Castle International Corp. Ser. A, $4.50 cv. pfd.(R) 7,809 803,156
Iridium Communications, Inc. 7.00% cv. pfd. 4,095 485,002
Iridium Communications, Inc. Ser. B, 6.75% cv. pfd. 680 255,000
T-Mobile US, Inc. Ser. A, $2.75 cv. pfd. 16,339 1,123,633
5,068,857
Consumer cyclicals (3.0%)
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) 37,550 966,327
Fiat Chrysler Automobiles NV Ser. FCAU, $7.875 cv. pfd. (United Kingdom)(NON) 15,943 2,193,159
Stanley Black & Decker, Inc. $6.25 cv. pfd. 8,385 992,449
4,151,935
Consumer staples (0.7%)
Tyson Foods, Inc. $2.375 cv. pfd. 18,767 975,321
975,321
Energy (1.7%)
Chesapeake Energy Corp. 144A 5.75% cv. pfd. 1,848 1,547,585
Halcon Resources Corp. Ser. A, 5.75% cv. pfd. 610 155,512
Southwestern Energy Co. Ser. B, $3.125 cv. pfd. 11,845 654,436
2,357,533
Financials (7.0%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd.(R) 32,805 956,469
AMG Capital Trust II $2.575 cv. pfd. 21,285 1,306,367
Banc of California, Inc. $4.00 cv. pfd. 8,217 501,894
Bank of America Corp. Ser. L, 7.25% cv. pfd. 3,093 3,533,752
EPR Properties Ser. C, $1.438 cv. pfd.(R) 37,670 899,371
Health Care REIT, Inc. Ser. I, $3.25 cv. pfd.(R) 12,177 777,045
Maiden Holdings, Ltd. Ser. B, $3.625 cv. pfd. (Bermuda) 12,175 610,698
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 925 1,115,781
9,701,377
Health care (2.2%)
Actavis PLC Ser. A, 5.50% cv. pfd.(NON) 2,420 2,565,127
Alere, Inc. Ser. B, 3.00% cv. pfd. 1,410 489,006
3,054,133
Transportation (0.4%)
Genesee & Wyoming, Inc. $5.00 cv. pfd. 5,548 589,031
589,031
Utilities and power (2.4%)
Dominion Resources, Inc./VA $3.188 cv. pfd. 19,498 982,309
Dynegy, Inc. Ser. A, $5.375 cv. pfd. 3,886 435,154
El Paso Energy Capital Trust I $2.375 cv. pfd. 1,069 64,107
Exelon Corp. $3.25 cv. pfd. 15,998 772,863
NextEra Energy, Inc. $2.90 cv. pfd. 18,350 1,044,666
3,299,099
Total convertible preferred stocks (cost $30,043,164) $32,648,132

COMMON STOCKS (1.2%)(a)
Shares Value
Ally Financial, Inc.(NON) 4,650 $105,416
CIT Group, Inc. 1,606 74,294
Connacher Oil and Gas, Ltd. (Canada)(NON) 2,338 5,170
DISH Network Corp. Class A(NON) 1,525 107,955
EP Energy Corp. Class A(NON) 5,301 69,708
General Motors Co. 2,360 84,889
Halcon Resources Corp.(NON) 7,586 7,965
Huntsman Corp. 3,400 76,296
Live Nation Entertainment, Inc.(NON) 1,215 34,749
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 5,612 224
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 5,612 224
Penn National Gaming, Inc.(NON) 6,025 100,196
Rite Aid Corp.(NON) 108,181 943,338
Seventy Seven Energy, Inc.(NON) 2,750 16,225
Spectrum Brands Holdings, Inc. 655 63,306
Vantage Drilling Co.(NON) 36,191 12,341
Total common stocks (cost $1,149,327) $1,702,296

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 88 $88,880
Citigroup, Inc. Ser. K, $1.719 ARP 1,200 32,364
GMAC Capital Trust I Ser. 2, $2.031 cum. ARP 4,695 122,352
M/I Homes, Inc. Ser. A, $2.438 pfd. 2,305 59,077
Total preferred stocks (cost $283,533) $302,673

SENIOR LOANS (0.1%)(a)(c)
Principal amount Value
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11s, 2017 $203,234 $191,104
Total senior loans (cost $195,411) $191,104

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Tower Semiconductor, Ltd. 144A (Israel)(F) 6/30/15 $1.70 168,777 $—
Total warrants (cost $33,755) $—

SHORT-TERM INVESTMENTS (2.0%)(a)
Shares Value
Putnam Short Term Investment Fund 0.07%(AFF) 2,781,556 $2,781,556
Total short-term investments (cost $2,781,556) $2,781,556

TOTAL INVESTMENTS
Total investments (cost $134,309,803)(b) $139,631,153













FORWARD CURRENCY CONTRACTS at 5/31/15 (aggregate face value $549,806) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Canadian Dollar Sell 7/15/15 $28,125 $27,613 $(512)
Barclays Bank PLC
Canadian Dollar Buy 7/15/15 66,615 66,492 123
JPMorgan Chase Bank N.A.
British Pound Sell 6/17/15 228,317 229,640 1,323
Canadian Dollar Sell 7/15/15 32,946 32,388 (558)
State Street Bank and Trust Co.
Canadian Dollar Sell 7/15/15 137,570 135,155 (2,415)
WestPac Banking Corp.
Canadian Dollar Sell 7/15/15 59,544 58,518 (1,026)
Total $(3,065)












Key to holding's currency abbreviations
CAD Canadian Dollar
GBP British Pound
USD / $ United States Dollar
Key to holding's abbreviations
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
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 or yield at the close of the reporting period
GMTN Global 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, 2014 through May 31, 2015 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 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 $138,824,559.
(b) The aggregate identified cost on a tax basis is $134,847,098, resulting in gross unrealized appreciation and depreciation of $12,642,159 and $7,858,104, respectively, or net unrealized appreciation of $4,784,055.
(NON) This security is non-income-producing.
(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) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $173,635, 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 Short Term Investment Fund, which is under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund* $673,606 $23,971,186 $21,863,236 $1,964 $2,781,556
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security 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 $2,989 to cover certain derivative 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: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
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 valued 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. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 securities.
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 in accordance with policies and procedures approved by the Trustees. 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, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. 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 for hedging currency exposures.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair 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, is 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 $3,953 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund at period end 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 $76,296 $— $—
    Communication services 107,955 — —
    Consumer cyclicals 219,834 — —
    Consumer staples 1,006,644 — —
    Energy 111,409 — 448
    Financials 179,710 — —
Total common stocks 1,701,848 — 448
Convertible bonds and notes — 45,656,646 92,306
Convertible preferred stocks 4,343,196 28,304,279 657
Corporate bonds and notes — 56,256,437 3
Preferred stocks 154,716 147,957 —
Senior loans — 191,104 —
Warrants — — —
Short-term investments 2,781,556 — —
Totals by level $8,981,316 $130,556,423 $93,414



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(3,065) $—
Totals by level $— $(3,065) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
Transfers between level 1 and level 2 during the reporting period, totaling$2,257,067, are the result of changing to a pricing service as the source for the securities prices.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.

Fair Value 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 Fair value Fair value
Foreign exchange contracts $1,446 $4,511
Equity contracts — —
Total $1,446 $4,511


The 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 based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Forward currency contracts (contract amount)$640,000
Warrants (number of warrants)168,777
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Barclays Bank PLC JPMorgan Chase Bank N.A. State Street Bank and Trust Co. WestPac Banking Corp.   Total
                   
  Assets:                
  Forward currency contracts#   $— $123 $1,323 $— $—   $ 1,446
                   
  Total Assets $—  $123  $1,323 $— $—  $1,446
                   
  Liabilities:                
  Forward currency contracts#   $512 $— $ 558 $2,415 $1,026   $ 4,511
                   
  Total Liabilities  $512 $—  $558  $2,415  $1,026  $4,511
                   
  Total Financial and Derivative Net Assets    $(512)  $123  $765  $(2,415)  $(1,026)    $(3,065)
  Total collateral received (pledged)##†   $— $— $— $— $—    
  Net amount    $(512)  $123  $765  $(2,415)  $(1,026)    
                   
†  Additional collateral may be required from certain brokers based on individual agreements.
                   
# Covered by master netting agreement.
                   
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.

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 29, 2015

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 29, 2015

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: July 29, 2015