| UNITED STATES | ||||
| SECURITIES AND EXCHANGE COMMISSION | ||||
| Washington, D.C. 20549 | ||||
| FORM N-Q | ||||
| QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT | ||||
| INVESTMENT COMPANY | ||||
| Investment Company Act file number: (811-05133) | ||||
| Exact name of registrant as specified in charter: | Putnam High Income Securities Fund | |||
| Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109 | ||||
| Name and address of agent for service: | Beth S. Mazor, Vice President | |||
| One Post Office Square | ||||
| Boston, Massachusetts 02109 | ||||
| Copy to: | John W. Gerstmayr, Esq. | |||
| Ropes & Gray LLP | ||||
| 800 Boylston Street | ||||
| Boston, Massachusetts 02199-3600 | ||||
| Registrant’s telephone number, including area code: | (617) 292-1000 | |||
| Date of fiscal year end: August 31, 2011 | ||||
| Date of reporting period: November 30, 2010 | ||||
Item 1. Schedule of Investments:
| Putnam High Income Securities Fund | |||
| The fund's portfolio | |||
| 11/30/10 (Unaudited) | |||
| CORPORATE BONDS AND NOTES (39.7%)(a) | |||
| Principal amount | Value | ||
|
| |||
| Basic materials (3.2%) | |||
| Associated Materials, LLC 144A company guaranty sr. | |||
| notes 9 1/8s, 2017 | $130,000 | $132,600 | |
| Celanese US Holdings, LLC 144A company guaranty sr. | |||
| notes 6 5/8s, 2018 (Germany) | 55,000 | 56,513 | |
| Chemtura Corp. 144A company guaranty sr. unsec. notes | |||
| 7 7/8s, 2018 | 25,000 | 26,438 | |
| Compass Minerals International, Inc. company guaranty | |||
| sr. unsec. notes 8s, 2019 | 150,000 | 163,500 | |
| Edgen Murray Corp. company guaranty sr. notes 12 1/4s, | |||
| 2015 | 50,000 | 42,125 | |
| Ferro Corp. sr. unsec. notes 7 7/8s, 2018 | 175,000 | 182,167 | |
| FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, | |||
| 2015 (Australia) | 90,000 | 92,044 | |
| Graphic Packaging International, Inc. company guaranty | |||
| sr. unsec. notes 7 7/8s, 2018 | 30,000 | 31,050 | |
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, | |||
| ULC company guaranty 9 3/4s, 2014 | 90,000 | 94,275 | |
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, | |||
| ULC company guaranty sr. notes 8 7/8s, 2018 | 30,000 | 30,900 | |
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, | |||
| ULC 144A sr. notes 9s, 2020 | 55,000 | 54,588 | |
| Huntsman International, LLC company guaranty sr. | |||
| unsec. sub. notes 8 5/8s, 2020 | 60,000 | 64,050 | |
| Huntsman International, LLC 144A company guaranty sr. | |||
| unsec. sub. notes 8 5/8s, 2021 | 55,000 | 58,300 | |
| Ineos Finance PLC 144A company guaranty sr. notes 9s, | |||
| 2015 (United Kingdom) | 200,000 | 208,000 | |
| Ineos Group Holdings PLC company guaranty sr. unsec. | |||
| notes Ser. REGS, 7 7/8s, 2016 (United Kingdom) | EUR | 105,000 | 115,159 |
| Jefferson Smurfit escrow bonds 8 1/4s, 2012 | $49,000 | 1,991 | |
| Kronos International, Inc. sr. notes 6 1/2s, 2013 | |||
| (Germany) | EUR | 80,000 | 102,201 |
| Lyondell Chemical Co. sr. notes 11s, 2018 | $320,000 | 356,000 | |
| Lyondell Chemical Co. 144A company guaranty sr. notes | |||
| 8s, 2017 | 325,000 | 350,594 | |
| Momentive Performance Materials, Inc. company guaranty | |||
| sr. notes 12 1/2s, 2014 | 15,000 | 16,800 | |
| Momentive Performance Materials, Inc. company guaranty | |||
| sr. unsec. notes 9 3/4s, 2014 | 115,000 | 120,463 | |
| Momentive Performance Materials, Inc. 144A notes 9s, | |||
| 2021 | 155,000 | 154,225 | |
| NewPage Corp. company guaranty sr. notes 11 3/8s, 2014 | 105,000 | 95,025 | |
| Novelis, Inc. company guaranty sr. unsec. notes | |||
| 11 1/2s, 2015 | 110,000 | 135,300 | |
| Novelis, Inc. company guaranty sr. unsec. notes | |||
| 7 1/4s, 2015 | 120,000 | 123,450 | |
| Old AII, Inc. company guaranty sr. unsec. notes 9s, | |||
| 2014 (In default) (NON) (PIK) | 230,000 | 483 | |
| Omnova Solutions, Inc. 144A company guaranty sr. notes | |||
| 7 7/8s, 2018 | 35,000 | 34,825 | |
| PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, | |||
| 2014 (Austria) | EUR | 55,000 | 82,371 |
| PE Paper Escrow GmbH 144A sr. notes 12s, 2014 (Austria) | $140,000 | 161,000 | |
| Rohm & Haas Co. sr. unsec. unsub. notes 7.85s, 2029 | 145,000 | 166,459 | |
| Sappi Papier Holding AG 144A company guaranty 6 3/4s, | |||
| 2012 (Austria) | 90,000 | 92,475 | |
| Sealed Air Corp. 144A sr. unsec. bonds 6 7/8s, 2033 | 55,000 | 51,277 | |
| Smurfit Kappa Funding PLC sr. sub. notes 7 3/4s, 2015 | |||
| (Ireland) | EUR | 15,000 | 19,976 |
| Smurfit Kappa Funding PLC sr. unsec. sub. notes | |||
| 7 3/4s, 2015 (Ireland) | $240,000 | 245,400 | |
| Solutia, Inc. company guaranty sr. unsec. notes | |||
| 7 7/8s, 2020 | 65,000 | 69,875 | |
| Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, | |||
| 2016 | 65,000 | 68,413 | |
| Steel Dynamics, Inc. 144A company guaranty sr. unsec. | |||
| notes 7 5/8s, 2020 | 40,000 | 42,800 | |
| Stone Container Corp. escrow bonds 8 3/8s, 2012 | |||
| (In default) (NON) | 95,000 | 3,800 | |
| Teck Resources Limited sr. notes 10 3/4s, 2019 (Canada) | 105,000 | 136,500 | |
| TPC Group, LLC 144A sr. notes 8 1/4s, 2017 | 45,000 | 46,238 | |
| Tube City IMS Corp. company guaranty sr. unsec. sub. | |||
| notes 9 3/4s, 2015 | 160,000 | 164,800 | |
| Tutor Perini Corp. 144A company guaranty sr. unsec. | |||
| notes 7 5/8s, 2018 | 45,000 | 45,338 | |
| USG Corp. 144A company guaranty sr. notes 8 3/8s, 2018 | 45,000 | 43,200 | |
| Vartellus Specialties, Inc. 144A company guaranty sr. | |||
| notes 9 3/8s, 2015 | 60,000 | 62,550 | |
| Verso Paper Holdings, LLC/Verso Paper, Inc. company | |||
| guaranty Ser. B, 11 3/8s, 2016 | 80,000 | 78,100 | |
| Verso Paper Holdings, LLC/Verso Paper, Inc. company | |||
| guaranty sr. notes FRN Ser. B, 4.037s, 2014 | 80,000 | 71,200 | |
| Verso Paper Holdings, LLC/Verso Paper, Inc. sr. notes | |||
| 11 1/2s, 2014 | 55,000 | 59,675 | |
| 4,554,513 | |||
|
| |||
| Capital goods (2.2%) | |||
| ACCO Brands Corp. company guaranty sr. notes 10 5/8s, | |||
| 2015 | 80,000 | 89,000 | |
| Alliant Techsystems, Inc. company guaranty sr. unsec. | |||
| sub. notes 6 7/8s, 2020 | 25,000 | 25,625 | |
| Allison Transmission, Inc. 144A company guaranty sr. | |||
| unsec. notes 11 1/4s, 2015 (PIK) | 117,500 | 128,075 | |
| Altra Holdings, Inc. company guaranty sr. notes | |||
| 8 1/8s, 2016 | 185,000 | 192,400 | |
| Ardagh Packaging Finance PLC sr. notes Ser. REGS, | |||
| 7 3/8s, 2017 (Ireland) | EUR | 100,000 | 129,917 |
| Baldor Electric Co. company guaranty 8 5/8s, 2017 | $75,000 | 83,625 | |
| BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 | 90,000 | 92,250 | |
| Berry Plastics Corp. 144A sr. notes 9 3/4s, 2021 | 135,000 | 129,263 | |
| Case New Holland, Inc. 144A sr. notes 7 7/8s, 2017 | |||
| (Netherlands) | 80,000 | 88,200 | |
| Cleaver-Brooks, Inc. 144A sr. notes 12 1/4s, 2016 | 125,000 | 131,875 | |
| Graham Packaging Co., Inc. 144A company guaranty sr. | |||
| notes 8 1/4s, 2018 | 20,000 | 20,400 | |
| Kratos Defense & Security Solutions, Inc. company | |||
| guaranty sr. notes 10s, 2017 | 130,000 | 145,113 | |
| Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) | 325,000 | 392,985 | |
| Mueller Water Products, Inc. company guaranty sr. | |||
| unsec. notes 7 3/8s, 2017 | 90,000 | 82,800 | |
| Mueller Water Products, Inc. company guaranty sr. | |||
| unsec. unsub. notes 8 3/4s, 2020 | 20,000 | 21,950 | |
| Polypore International, Inc. 144A sr. notes 7 1/2s, | |||
| 2017 | 75,000 | 75,938 | |
| Reynolds Group DL Escrow, Inc./Reynolds Group Escrow, | |||
| LLC 144A company guaranty sr. notes 7 3/4s, 2016 | |||
| (Luxembourg) | 115,000 | 119,888 | |
| Reynolds Group Issuer, Inc. 144A sr. notes 7 1/8s, 2019 | 100,000 | 101,750 | |
| Ryerson Holding Corp. 144A sr. disc. notes zero %, 2015 | 100,000 | 46,250 | |
| Ryerson, Inc. company guaranty sr. notes 12s, 2015 | 225,000 | 230,906 | |
| Tenneco, Inc. company guaranty sr. unsec. notes | |||
| 8 1/8s, 2015 | 175,000 | 184,625 | |
| Tenneco, Inc. company guaranty sr. unsec. sub. notes | |||
| 8 5/8s, 2014 | 5,000 | 5,138 | |
| Tenneco, Inc. 144A sr. notes 7 3/4s, 2018 | 50,000 | 52,188 | |
| Terex Corp. sr. unsec. sub. notes 8s, 2017 | 200,000 | 197,250 | |
| Thermadyne Holdings Corp. 144A sr. notes 9s, 2017 | 100,000 | 100,750 | |
| Thermon Industries, Inc. 144A company guaranty sr. | |||
| notes 9 1/2s, 2017 | 130,000 | 138,450 | |
| TransDigm, Inc. company guaranty sr. sub. notes | |||
| 7 3/4s, 2014 | 50,000 | 51,375 | |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes | |||
| 7 3/4s, 2014 | 100,000 | 102,750 | |
| 3,160,736 | |||
|
| |||
| Communication services (4.8%) | |||
| Adelphia Communications Corp. escrow bonds zero %, | |||
| 2011 | 20,000 | 300 | |
| Adelphia Communications Corp. escrow bonds zero %, | |||
| 2011 | 235,000 | 3,525 | |
| Atlantic Broadband Finance, LLC company guaranty | |||
| 9 3/8s, 2014 | 225,000 | 229,219 | |
| Cablevision Systems Corp. sr. unsec. unsub. notes | |||
| 8 5/8s, 2017 | 125,000 | 135,938 | |
| Cablevision Systems Corp. sr. unsec. unsub. notes 8s, | |||
| 2020 | 35,000 | 37,538 | |
| Cablevision Systems Corp. sr. unsec. unsub. notes | |||
| 7 3/4s, 2018 | 65,000 | 68,900 | |
| CCH II, LLC/CCH II Capital company guaranty sr. unsec. | |||
| notes 13 1/2s, 2016 | 299,815 | 352,657 | |
| CCO Holdings LLC/CCO Holdings Capital Corp. 144A | |||
| company guaranty sr. notes 7 7/8s, 2018 | 55,000 | 56,925 | |
| Cequel Communications Holdings I LLC/Cequel Capital | |||
| Corp. 144A sr. notes 8 5/8s, 2017 | 230,000 | 235,750 | |
| Charter Communications Operating LLC/Charter | |||
| Communications Operating Capital 144A company guaranty | |||
| sr. notes 8s, 2012 | 110,000 | 114,950 | |
| Cincinnati Bell, Inc. company guaranty sr. unsec. sub. | |||
| notes 8 3/4s, 2018 | 130,000 | 117,650 | |
| Clearwire Communications, LLC/Clearwire Finance, Inc. | |||
| 144A company guaranty sr. notes 12s, 2015 | 160,000 | 169,400 | |
| Clearwire Communications, LLC/Clearwire Finance, Inc. | |||
| 144A company guaranty sr. notes 12s, 2015 | 120,000 | 127,350 | |
| Cricket Communications, Inc. company guaranty sr. | |||
| unsub. notes 7 3/4s, 2016 | 85,000 | 86,913 | |
| Cricket Communications, Inc. 144A company guaranty sr. | |||
| unsec. notes 7 3/4s, 2020 | 215,000 | 198,338 | |
| CSC Holdings LLC sr. notes 6 3/4s, 2012 | 26,000 | 27,008 | |
| Digicel Group, Ltd. 144A sr. notes 8 1/4s, 2017 | |||
| (Jamaica) | 115,000 | 120,750 | |
| Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015 | |||
| (Jamaica) | 160,000 | 161,600 | |
| Frontier Communications Corp. sr. unsec. notes 8 1/2s, | |||
| 2020 | 110,000 | 121,000 | |
| Frontier Communications Corp. sr. unsec. notes 8 1/4s, | |||
| 2017 | 65,000 | 71,500 | |
| Frontier Communications Corp. sr. unsec. notes 8 1/4s, | |||
| 2014 | 25,000 | 27,625 | |
| Frontier Communications Corp. sr. unsec. notes 8 1/8s, | |||
| 2018 | 35,000 | 38,675 | |
| Intelsat Intermediate Holding Co., Ltd. company | |||
| guaranty sr. unsec. notes 9 1/4s, 2015 (Luxembourg) | 70,000 | 71,925 | |
| Intelsat Jackson Holdings SA 144A sr. unsec. notes | |||
| 7 1/4s, 2020 (Bermuda) | 140,000 | 139,650 | |
| Intelsat Luxembourg SA company guaranty sr. unsec. | |||
| notes 11 1/2s, 2017 (Luxembourg) (PIK) | 230,000 | 243,800 | |
| Intelsat Luxembourg SA company guaranty sr. unsec. | |||
| notes 11 1/4s, 2017 (Luxembourg) | 580,000 | 607,550 | |
| Level 3 Financing, Inc. company guaranty 9 1/4s, 2014 | 300,000 | 289,500 | |
| Mediacom Broadband, LLC/Mediacom Broadband Corp. sr. | |||
| unsec. unsub. notes 8 1/2s, 2015 | 50,000 | 49,875 | |
| Mediacom LLC/Mediacom Capital Corp. sr. unsec. notes | |||
| 9 1/8s, 2019 | 55,000 | 55,550 | |
| MetroPCS Wireless, Inc. company guaranty sr. unsec. | |||
| notes 7 7/8s, 2018 | 170,000 | 175,950 | |
| MetroPCS Wireless, Inc. company guaranty sr. unsec. | |||
| notes 6 5/8s, 2020 | 115,000 | 109,538 | |
| Nextel Communications, Inc. company guaranty sr. | |||
| unsec. notes Ser. D, 7 3/8s, 2015 | 255,000 | 246,075 | |
| NII Capital Corp. company guaranty sr. unsec. unsub. | |||
| notes 10s, 2016 | 215,000 | 238,650 | |
| PAETEC Escrow Corp. 144A sr. unsec. notes 9 7/8s, 2018 | 100,000 | 98,750 | |
| PAETEC Holding Corp. company guaranty sr. notes | |||
| 8 7/8s, 2017 | 115,000 | 120,175 | |
| PAETEC Holding Corp. company guaranty sr. unsec. | |||
| unsub. notes 9 1/2s, 2015 | 145,000 | 146,813 | |
| Qwest Communications International, Inc. company | |||
| guaranty 7 1/2s, 2014 | 20,000 | 20,200 | |
| Qwest Corp. sr. unsec. notes 7 1/2s, 2014 | 90,000 | 101,925 | |
| Qwest Corp. sr. unsec. unsub. notes 8 3/8s, 2016 | 20,000 | 24,000 | |
| Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 | 65,000 | 70,038 | |
| SBA Telecommunications, Inc. company guaranty sr. | |||
| unsec. notes 8 1/4s, 2019 | 35,000 | 38,325 | |
| SBA Telecommunications, Inc. company guaranty sr. | |||
| unsec. notes 8s, 2016 | 145,000 | 156,600 | |
| Sprint Capital Corp. company guaranty 6 7/8s, 2028 | 325,000 | 276,250 | |
| Sprint Nextel Corp. sr. notes 8 3/8s, 2017 | 150,000 | 156,000 | |
| Virgin Media Finance PLC company guaranty sr. notes | |||
| Ser. 1, 9 1/2s, 2016 (United Kingdom) | 175,000 | 195,563 | |
| Wind Acquisition Finance SA 144A company guaranty sr. | |||
| notes 7 1/4s, 2018 (Netherlands) | 80,000 | 78,800 | |
| Wind Acquisition Finance SA 144A sr. notes 11 3/4s, | |||
| 2017 (Netherlands) | 110,000 | 122,100 | |
| Wind Acquisition Finance SA 144A sr. notes 11 3/4s, | |||
| 2017 (Netherlands) | EUR | 50,000 | 72,813 |
| Wind Acquisition Holdings Finance SA 144A company | |||
| guaranty sr. notes 12 1/4s, 2017 (Italy) (PIK) | $107,145 | 121,074 | |
| Windstream Corp. company guaranty 8 5/8s, 2016 | 110,000 | 114,125 | |
| Windstream Corp. company guaranty 8 1/8s, 2013 | 95,000 | 103,788 | |
| Windstream Corp. company guaranty sr. unsec. unsub. | |||
| notes 8 1/8s, 2018 | 35,000 | 36,050 | |
| Windstream Corp. company guaranty sr. unsec. unsub. | |||
| notes 7 7/8s, 2017 | 125,000 | 131,250 | |
| 6,916,213 | |||
|
| |||
| Consumer cyclicals (9.3%) | |||
| Affinion Group Holdings, Inc. 144A company guaranty | |||
| sr. notes 11 5/8s, 2015 | 125,000 | 124,375 | |
| Affinion Group Holdings, Inc. 144A sr. notes 10 3/4s, | |||
| 2016 | 95,000 | 105,450 | |
| Affinion Group, Inc. company guaranty 11 1/2s, 2015 | 110,000 | 110,825 | |
| Affinion Group, Inc. 144A sr. notes 7 7/8s, 2018 | 135,000 | 124,538 | |
| AMC Entertainment, Inc. company guaranty 11s, 2016 | 77,000 | 81,620 | |
| American Axle & Manufacturing, Inc. company guaranty | |||
| sr. unsec. notes 5 1/4s, 2014 | 255,000 | 244,800 | |
| American Casino & Entertainment Properties LLC sr. | |||
| notes 11s, 2014 | 160,000 | 158,400 | |
| American Media Operations, Inc. 144A sr. sub. notes | |||
| 14s, 2013 (PIK) | 224,930 | 141,706 | |
| American Media Operations, Inc. 144A sr. unsec. notes | |||
| 9s, 2013 (PIK) | 18,880 | 19,258 | |
| Ameristar Casinos, Inc. company guaranty sr. unsec. | |||
| notes 9 1/4s, 2014 | 80,000 | 85,600 | |
| Aramark Corp. company guaranty 8 1/2s, 2015 | 120,000 | 124,200 | |
| Autonation, Inc. company guaranty sr. unsec. notes | |||
| 6 3/4s, 2018 | 40,000 | 40,700 | |
| Beazer Homes USA, Inc. company guaranty sr. unsec. | |||
| notes 6 7/8s, 2015 | 50,000 | 47,188 | |
| Beazer Homes USA, Inc. company guaranty sr. unsec. | |||
| unsub. notes 9 1/8s, 2018 | 65,000 | 62,400 | |
| Beazer Homes USA, Inc. 144A sr. notes 9 1/8s, 2019 | 75,000 | 70,688 | |
| Belo Corp. sr. unsec. unsub. notes 8s, 2016 | 30,000 | 31,800 | |
| Bon-Ton Department Stores, Inc. (The) company guaranty | |||
| 10 1/4s, 2014 | 160,000 | 160,800 | |
| Brickman Group Holdings, Inc. 144A sr. notes 9 1/8s, | |||
| 2018 | 35,000 | 35,700 | |
| Building Materials Corp. 144A company guaranty sr. | |||
| notes 7 1/2s, 2020 | 100,000 | 102,125 | |
| Building Materials Corp. 144A sr. notes 7s, 2020 | 45,000 | 46,350 | |
| Building Materials Corp. 144A sr. notes 6 7/8s, 2018 | 50,000 | 49,000 | |
| Burlington Coat Factory Warehouse Corp. company | |||
| guaranty sr. unsec. notes 11 1/8s, 2014 | 170,000 | 174,675 | |
| Cedar Fair LP/Canada's Wonderland Co./Magnum | |||
| Management Corp. 144A company guaranty sr. unsec. | |||
| notes 9 1/8s, 2018 | 20,000 | 21,300 | |
| Cengage Learning Acquisitions, Inc. 144A sr. notes | |||
| 10 1/2s, 2015 | 210,000 | 210,000 | |
| Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 | 95,000 | 94,288 | |
| Cenveo Corp. 144A company guaranty sr. unsec. notes | |||
| 10 1/2s, 2016 | 40,000 | 41,100 | |
| Cinemark, Inc. company guaranty sr. unsec. notes | |||
| 8 5/8s, 2019 | 85,000 | 91,163 | |
| Clear Channel Communications, Inc. sr. unsec. unsub. | |||
| notes 5 3/4s, 2013 | 145,000 | 131,588 | |
| Clear Channel Communications, Inc. sr. unsec. unsub. | |||
| notes 5s, 2012 | 110,000 | 105,600 | |
| Clear Channel Worldwide Holdings, Inc. company | |||
| guaranty sr. unsec. unsub. notes 9 1/4s, 2017 | 50,000 | 53,000 | |
| Clear Channel Worldwide Holdings, Inc. company | |||
| guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017 | 160,000 | 170,800 | |
| Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, | |||
| 2015 | 205,000 | 220,375 | |
| Corrections Corporation of America company guaranty | |||
| sr. notes 7 3/4s, 2017 | 150,000 | 163,688 | |
| DISH DBS Corp. company guaranty 7 1/8s, 2016 | 110,000 | 113,025 | |
| DISH DBS Corp. company guaranty sr. unsec. notes | |||
| 7 7/8s, 2019 | 135,000 | 141,750 | |
| FelCor Lodging LP company guaranty sr. notes 10s, | |||
| 2014 (R) | 195,000 | 215,719 | |
| Ferrellgas LP/Ferrellgas Finance Corp. 144A sr. notes | |||
| 6 1/2s, 2021 | 65,000 | 64,025 | |
| Ford Motor Credit Co., LLC sr. unsec. notes 8 1/8s, | |||
| 2020 | 235,000 | 266,725 | |
| Gateway Casinos & Entertainment, Ltd. 144A company | |||
| guaranty sr. notes 8 7/8s, 2017 | CAD | 35,000 | 35,121 |
| Giraffe Acquisition Corp. 144A sr. unsec. notes | |||
| 9 1/8s, 2018 | $55,000 | 55,275 | |
| Goodyear Tire & Rubber Co. (The) sr. unsec. notes | |||
| 10 1/2s, 2016 | 215,000 | 235,425 | |
| Gray Television, Inc. company guaranty sr. notes | |||
| 10 1/2s, 2015 | 130,000 | 130,000 | |
| Hanesbrands, Inc. sr. unsec. notes 8s, 2016 | 75,000 | 79,781 | |
| Hanesbrands, Inc. 144A company guaranty sr. notes | |||
| 6 3/8s, 2020 | 125,000 | 119,375 | |
| Harrah's Operating Co., Inc. company guaranty sr. | |||
| notes 10s, 2018 | 387,000 | 327,015 | |
| Harrah's Operating Co., Inc. company guaranty sr. | |||
| notes 10s, 2015 | 30,000 | 27,900 | |
| Harrah's Operating Co., Inc. sr. notes 11 1/4s, 2017 | 220,000 | 239,800 | |
| Interactive Data Corp. 144A company guaranty sr. notes | |||
| 10 1/4s, 2018 | 220,000 | 237,600 | |
| Isle of Capri Casinos, Inc. company guaranty 7s, 2014 | 195,000 | 185,006 | |
| Jarden Corp. company guaranty sr. unsec. notes 8s, 2016 | 50,000 | 54,250 | |
| Jarden Corp. company guaranty sr. unsec. sub. notes | |||
| 7 1/2s, 2017 | 280,000 | 293,300 | |
| Lamar Media Corp. company guaranty sr. notes 9 3/4s, | |||
| 2014 | 10,000 | 11,425 | |
| Lamar Media Corp. company guaranty sr. sub. notes | |||
| 7 7/8s, 2018 | 40,000 | 42,200 | |
| Lear Corp. company guaranty sr. unsec. bond 7 7/8s, | |||
| 2018 | 25,000 | 26,750 | |
| Lear Corp. company guaranty sr. unsec. notes 8 1/8s, | |||
| 2020 | 190,000 | 207,100 | |
| Lender Processing Services, Inc. company guaranty sr. | |||
| unsec. unsub. notes 8 1/8s, 2016 | 145,000 | 150,256 | |
| Lennar Corp. company guaranty sr. unsec. unsub. notes | |||
| 6.95s, 2018 | 155,000 | 146,088 | |
| Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016 | 80,000 | 84,000 | |
| Levi Strauss & Co. sr. unsec. unsub. notes 7 5/8s, 2020 | 100,000 | 102,500 | |
| Limited Brands, Inc. company guaranty sr. unsec. | |||
| unsub. notes 7s, 2020 | 50,000 | 53,000 | |
| M/I Homes, Inc. 144A sr. unsec. notes 8 5/8s, 2018 | 170,000 | 169,575 | |
| Macy's Retail Holdings, Inc. company guaranty sr. | |||
| unsec. unsub. notes 8 3/8s, 2015 | 75,000 | 87,375 | |
| Macy's Retail Holdings, Inc. company guaranty sr. | |||
| unsec. notes 5.9s, 2016 | 160,000 | 172,800 | |
| Marquee Holdings, Inc. sr. disc. notes 9.505s, 2014 | 145,000 | 119,263 | |
| Mashantucket Western Pequot Tribe 144A bonds 8 1/2s, | |||
| 2015 (In default) (NON) | 200,000 | 24,000 | |
| McClatchy Co. (The) company guaranty sr. notes | |||
| 11 1/2s, 2017 | 105,000 | 109,988 | |
| Meritage Homes Corp. company guaranty sr. unsec. | |||
| unsub. notes 7.15s, 2020 | 15,000 | 14,888 | |
| MGM Resorts International company guaranty sr. unsec. | |||
| notes 6 5/8s, 2015 | 50,000 | 43,250 | |
| MGM Resorts International sr. notes 10 3/8s, 2014 | 20,000 | 22,200 | |
| MGM Resorts International sr. notes 6 3/4s, 2012 | 2,000 | 1,963 | |
| MGM Resorts International 144A sr. notes 9s, 2020 | 25,000 | 27,250 | |
| Michaels Stores, Inc. company guaranty 11 3/8s, 2016 | 225,000 | 243,281 | |
| Michaels Stores, Inc. 144A sr. notes 7 3/4s, 2018 | 90,000 | 87,525 | |
| MTR Gaming Group, Inc. company guaranty sr. notes | |||
| 12 5/8s, 2014 | 225,000 | 231,750 | |
| Navistar International Corp. sr. notes 8 1/4s, 2021 | 165,000 | 176,550 | |
| Neiman-Marcus Group, Inc. company guaranty sr. unsec. | |||
| notes 9s, 2015 | 5,587 | 5,810 | |
| Neiman-Marcus Group, Inc. company guaranty sr. unsec. | |||
| sub. notes 10 3/8s, 2015 | 65,000 | 68,413 | |
| Nexstar Broadcasting, Inc./Mission Broadcasting, Inc. | |||
| 144A sr. notes 8 7/8s, 2017 | 130,000 | 135,525 | |
| Nielsen Finance LLC Co. 144A company guaranty sr. | |||
| unsec. notes 7 3/4s, 2018 | 95,000 | 96,663 | |
| Nielsen Finance LLC/Nielsen Finance Co. company | |||
| guaranty sr. unsec. sub. disc. notes stepped-coupon | |||
| zero % (12 1/2s, 8/1/11), 2016 (STP) | 215,000 | 217,150 | |
| Nortek, Inc. company guaranty sr. notes 11s, 2013 | 110,155 | 115,938 | |
| Nortek, Inc. 144A company guaranty sr. unsec. notes | |||
| 10s, 2018 | 90,000 | 90,000 | |
| Owens Corning, Inc. company guaranty unsec. unsub. | |||
| notes 9s, 2019 | 300,000 | 356,250 | |
| Penn National Gaming, Inc. sr. unsec. sub. notes | |||
| 8 3/4s, 2019 | 30,000 | 32,925 | |
| Penske Automotive Group, Inc. company guaranty sr. | |||
| unsec. sub. notes 7 3/4s, 2016 | 150,000 | 147,375 |
| PETCO Animal Supplies, Inc. 144A company guaranty sr. | |||
| notes 9 1/4s, 2018 | 65,000 | 65,813 | |
| PHH Corp. 144A sr. unsec. notes 9 1/4s, 2016 | 60,000 | 61,500 | |
| Pinnacle Entertainment, Inc. company guaranty sr. | |||
| unsec. notes 8 5/8s, 2017 | 35,000 | 37,669 | |
| Pinnacle Entertainment, Inc. company guaranty sr. | |||
| unsec. sub. notes 7 1/2s, 2015 | 180,000 | 177,525 | |
| QVC Inc. 144A sr. notes 7 1/2s, 2019 | 140,000 | 147,000 | |
| QVC Inc. 144A sr. notes 7 3/8s, 2020 | 65,000 | 67,925 | |
| Regal Entertainment Group company guaranty sr. unsec. | |||
| notes 9 1/8s, 2018 | 35,000 | 36,925 | |
| Roofing Supplay Group, LLC/Roofing Supply Finance, | |||
| Inc. 144A sr. notes 8 5/8s, 2017 | 30,000 | 29,775 | |
| Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, | |||
| 2016 | 235,000 | 230,888 | |
| Sealy Mattress Co. 144A company guaranty sr. sec. | |||
| notes 10 7/8s, 2016 | 104,000 | 117,520 | |
| Sears Holdings Corp. 144A sr. notes 6 5/8s, 2018 | 85,000 | 79,263 | |
| Sinclair Television Group, Inc. 144A sr. notes 8 3/8s, | |||
| 2018 | 65,000 | 66,625 | |
| Sirius XM Radio, Inc. 144A sr. notes 9 3/4s, 2015 | 35,000 | 38,500 | |
| Standard Pacific Corp. company guaranty sr. notes | |||
| 10 3/4s, 2016 | 115,000 | 131,100 | |
| Standard Pacific Corp. company guaranty sr. unsec. | |||
| unsub. notes 7s, 2015 | 25,000 | 25,750 | |
| Toys R Us Property Co., LLC company guaranty sr. notes | |||
| 8 1/2s, 2017 | 110,000 | 116,875 | |
| Toys R Us Property Co., LLC company guaranty sr. | |||
| unsec. notes 10 3/4s, 2017 | 195,000 | 219,375 | |
| Toys R US-Delaware, Inc. 144A company guaranty sr. | |||
| notes 7 3/8s, 2016 | 30,000 | 30,825 | |
| Travelport LLC company guaranty 11 7/8s, 2016 | 150,000 | 153,375 | |
| Travelport LLC company guaranty 9 7/8s, 2014 | 155,000 | 153,450 | |
| Travelport LLC/Travelport, Inc. 144A company guaranty | |||
| sr. unsec. notes 9s, 2016 | 55,000 | 54,588 | |
| TRW Automotive, Inc. company guaranty sr. unsec. | |||
| unsub. notes Ser. REGS, 6 3/8s, 2014 | EUR | 60,000 | 80,154 |
| TRW Automotive, Inc. 144A company guaranty sr. unsec. | |||
| unsub. notes 6 3/8s, 2014 | EUR | 80,000 | 106,872 |
| Umbrella Acquisition, Inc. 144A company guaranty sr. | |||
| unsec. unsub. notes 9 3/4s, 2015 (PIK) | $158,966 | 168,107 | |
| Universal City Development Partners, Ltd. company | |||
| guaranty sr. unsec. notes 8 7/8s, 2015 | 50,000 | 52,750 | |
| Universal City Development Partners, Ltd. company | |||
| guaranty sr. unsec. sub. notes 10 7/8s, 2016 | 35,000 | 37,975 | |
| Univision Communications, Inc. 144A sr. notes 7 7/8s, | |||
| 2020 | 10,000 | 10,225 | |
| Vertis, Inc. company guaranty sr. notes 13 1/2s, 2014 | |||
| (F)(PIK) | 184,377 | 9,219 | |
| WMG Acquisition Corp. company guaranty sr. sec. notes | |||
| 9 1/2s, 2016 | 155,000 | 161,588 | |
| WMG Acquisition Corp. company guaranty sr. sub. notes | |||
| 7 3/8s, 2014 | 60,000 | 55,800 | |
| WMG Holdings Corp. company guaranty sr. unsec. disc. | |||
| notes 9 1/2s, 2014 | 30,000 | 27,675 | |
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A | |||
| company guaranty 1st mtge. notes 7 3/4s, 2020 | 70,000 | 73,850 | |
| XM Satellite Radio, Inc. 144A company guaranty sr. | |||
| unsec. notes 13s, 2013 | 145,000 | 169,650 | |
| XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, | |||
| 2018 | 130,000 | 129,350 | |
| Yankee Acquisition Corp. company guaranty sr. notes | |||
| Ser. B, 8 1/2s, 2015 | 190,000 | 196,413 | |
| Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 | 180,000 | 197,100 | |
| 13,406,212 | |||
|
| |||
| Consumer staples (3.5%) | |||
| Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. | |||
| company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 | 30,000 | 31,425 | |
| Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. | |||
| company guaranty sr. unsec. unsub. notes 7 5/8s, 2014 | 100,000 | 101,000 | |
| Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. | |||
| company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 | 150,000 | 150,000 | |
| Blue Acquisition Sub., Inc. 144A company guaranty sr. | |||
| unsec. notes 9 7/8s, 2018 | 75,000 | 78,563 | |
| Central Garden & Pet Co. sr. sub. notes 8 1/4s, 2018 | 140,000 | 143,150 | |
| Chiquita Brands International, Inc. sr. notes 7 1/2s, | |||
| 2014 | 85,000 | 84,150 | |
| Chiquita Brands International, Inc. sr. unsec. unsub. | |||
| notes 8 7/8s, 2015 | 30,000 | 30,300 | |
| CKE Restaurants, Inc. 144A sr. notes 11 3/8s, 2018 | 115,000 | 122,475 | |
| Constellation Brands, Inc. company guaranty sr. unsec. | |||
| unsub. notes 7 1/4s, 2016 | 145,000 | 155,513 | |
| Dave & Buster's, Inc. company guaranty sr. unsec. | |||
| unsub. notes 11s, 2018 | 130,000 | 140,400 | |
| Dean Foods Co. company guaranty 7s, 2016 | 50,000 | 45,875 | |
| DineEquity, Inc. 144A sr. unsec. notes 9 1/2s, 2018 | 105,000 | 108,675 | |
| Dole Food Co. sr. notes 13 7/8s, 2014 | 94,000 | 113,975 | |
| Dole Food Co. 144A sr. sec. notes 8s, 2016 | 65,000 | 67,600 | |
| Dunkin Finance Corp. 144A sr. notes 9 5/8s, 2018 | 50,000 | 50,313 | |
| Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014 | 155,000 | 157,519 | |
| Great Atlantic & Pacific Tea Co. 144A sr. notes | |||
| 11 3/8s, 2015 | 40,000 | 31,700 | |
| Harry & David Operations Corp. company guaranty sr. | |||
| unsec. notes 9s, 2013 | 115,000 | 80,788 | |
| Harry & David Operations Corp. company guaranty sr. | |||
| unsec. notes FRN 5.297s, 2012 | 40,000 | 29,200 | |
| Hertz Corp. company guaranty 8 7/8s, 2014 | 165,000 | 167,681 | |
| Hertz Corp. 144A company guaranty sr. unsec. notes | |||
| 7 1/2s, 2018 | 45,000 | 45,450 | |
| Hertz Holdings Netherlands BV 144A sr. bond 8 1/2s, | |||
| 2015 (Netherlands) | EUR | 110,000 | 151,907 |
| JBS USA LLC/JBS USA Finance, Inc. sr. notes 11 5/8s, | |||
| 2014 | $60,000 | 69,900 | |
| Libbey Glass, Inc. 144A sr. notes 10s, 2015 | 80,000 | 85,600 | |
| Michael Foods, Inc. 144A sr. notes 9 3/4s, 2018 | 55,000 | 59,400 | |
| Pinnacle Foods Finance LLC/Pinnacle Foods Finance | |||
| Corp. sr. notes 9 1/4s, 2015 | 45,000 | 46,294 | |
| Prestige Brands, Inc. company guaranty sr. unsec. | |||
| notes 8 1/4s, 2018 | 75,000 | 78,000 | |
| Prestige Brands, Inc. 144A company guaranty sr. unsec. | |||
| notes 8 1/4s, 2018 | 45,000 | 46,800 | |
| Reddy Ice Corp. company guaranty sr. notes 11 1/4s, | |||
| 2015 | 95,000 | 95,950 | |
| Revlon Consumer Products Corp. company guaranty sr. | |||
| notes 9 3/4s, 2015 | 80,000 | 84,000 | |
| Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019 | 40,000 | 41,500 | |
| Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 | 65,000 | 61,263 | |
| Rite Aid Corp. company guaranty sr. unsec. unsub. | |||
| notes 9 1/2s, 2017 | 210,000 | 174,300 | |
| Rite Aid Corp. 144A company guaranty sr. unsub. notes | |||
| 8s, 2020 | 35,000 | 36,050 | |
| Roadhouse Financing, Inc. 144A sr. notes 10 3/4s, 2017 | 75,000 | 79,313 | |
| RSC Equipment Rental, Inc. 144A sr. sec. notes 10s, | |||
| 2017 | 25,000 | 27,625 | |
| Service Corporation International sr. notes 7s, 2019 | 50,000 | 50,000 | |
| Service Corporation International sr. notes 7s, 2017 | 65,000 | 66,869 | |
| Service Corporation International sr. unsec. 7 3/8s, | |||
| 2014 | 125,000 | 136,563 | |
| Simmons Foods, Inc. 144A sr. notes 10 1/2s, 2017 | 75,000 | 78,188 | |
| Smithfield Foods, Inc. 144A sr. sec. notes 10s, 2014 | 130,000 | 146,900 | |
| Spectrum Brands, Inc. sr. unsec. sub. bonds 12s, 2019 | |||
| (PIK) | 117,016 | 129,888 | |
| Spectrum Brands, Inc. 144A sr. notes 9 1/2s, 2018 | 95,000 | 102,838 | |
| Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013 | 340,000 | 337,450 | |
| SUPERVALU, Inc. sr. unsec. notes 8s, 2016 | 85,000 | 83,513 | |
| Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014 | 305,000 | 361,425 | |
| United Rentals North America, Inc. company guaranty | |||
| sr. unsec. sub. notes 8 3/8s, 2020 | 45,000 | 44,325 | |
| Wendy's/Arby's Restaurants LLC company guaranty sr. | |||
| unsec. unsub. notes 10s, 2016 | 225,000 | 245,250 | |
| West Corp. 144A sr. notes 7 7/8s, 2019 | 65,000 | 64,188 | |
| West Corp. 144A sr. unsec. notes 8 5/8s, 2018 | 70,000 | 72,800 | |
| 4,993,851 | |||
|
| |||
| Energy (5.3%) | |||
| Anadarko Finance Co. company guaranty sr. unsec. | |||
| unsub. notes Ser. B, 7 1/2s, 2031 | 140,000 | 150,234 | |
| Anadarko Petroleum Corp. sr. notes 5.95s, 2016 | 105,000 | 111,944 | |
| Anadarko Petroleum Corp. sr. unsec. notes 6.2s, 2040 | 50,000 | 47,416 | |
| Arch Coal, Inc. company guaranty sr. unsec. notes | |||
| 7 1/4s, 2020 | 105,000 | 114,975 | |
| Arch Western Finance, LLC company guaranty sr. notes | |||
| 6 3/4s, 2013 | 95,000 | 96,069 | |
| ATP Oil & Gas Corp. 144A sr. notes 11 7/8s, 2015 | 50,000 | 44,875 | |
| Brigham Exploration Co. 144A company guaranty sr. | |||
| unsec. notes 8 3/4s, 2018 | 90,000 | 95,850 | |
| Carrizo Oil & Gas, Inc. 144A sr. unsec. notes 8 5/8s, | |||
| 2018 | 140,000 | 139,300 | |
| Chaparral Energy, Inc. company guaranty 8 1/2s, 2015 | 88,000 | 86,900 | |
| Chaparral Energy, Inc. company guaranty sr. unsec. | |||
| notes 8 7/8s, 2017 | 155,000 | 151,900 | |
| Chaparral Energy, Inc. 144A sr. notes 9 7/8s, 2020 | 85,000 | 87,550 | |
| Chesapeake Energy Corp. company guaranty sr. unsec. | |||
| notes 9 1/2s, 2015 | 35,000 | 39,200 | |
| Complete Production Services, Inc. company guaranty | |||
| 8s, 2016 | 100,000 | 102,500 | |
| Compton Petroleum Finance Corp. company guaranty sr. | |||
| unsec. notes 10s, 2017 (Canada) | 100,725 | 84,105 | |
| Comstock Resources, Inc. company guaranty sr. unsub. | |||
| notes 8 3/8s, 2017 | 110,000 | 112,200 | |
| Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s, | |||
| 2015 (Canada) | 300,000 | 295,500 | |
| Connacher Oil and Gas, Ltd. 144A sr. sec. notes | |||
| 11 3/4s, 2014 (Canada) | 15,000 | 16,125 | |
| CONSOL Energy, Inc. 144A company guaranty sr. unsec. | |||
| notes 8 1/4s, 2020 | 215,000 | 232,738 | |
| CONSOL Energy, Inc. 144A company guaranty sr. unsec. | |||
| notes 8s, 2017 | 130,000 | 139,750 | |
| Crosstex Energy LP/Crosstex Energy Finance Corp. | |||
| company guaranty sr. unsec. notes 8 7/8s, 2018 | 230,000 | 239,775 | |
| Denbury Resources, Inc. company guaranty sr. unsec. | |||
| sub. notes 8 1/4s, 2020 | 95,000 | 103,550 | |
| Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015 | 180,000 | 185,400 | |
| EXCO Resources, Inc. company guaranty sr. unsec. notes | |||
| 7 1/2s, 2018 | 250,000 | 237,500 | |
| Expro Finance Luxemburg 144A sr. notes 8 1/2s, 2016 | |||
| (Luxembourg) | 130,000 | 126,425 | |
| Forest Oil Corp. sr. notes 8s, 2011 | 185,000 | 193,325 | |
| Frac Tech Services, LLC/Frac Tech Finance, Inc 144A | |||
| company guaranty sr. notes 7 1/8s, 2018 | 115,000 | 114,138 | |
| Helix Energy Solutions Group, Inc. 144A sr. unsec. | |||
| notes 9 1/2s, 2016 | 345,000 | 358,800 | |
| Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017 | 60,000 | 47,700 | |
| Inergy LP/Inergy Finance Corp. sr. unsec. notes | |||
| 6 7/8s, 2014 | 275,000 | 278,438 | |
| International Coal Group, Inc. sr. notes 9 1/8s, 2018 | 225,000 | 244,688 |
| Key Energy Services, Inc. company guaranty sr. unsec. | ||
| unsub. notes 8 3/8s, 2014 | 235,000 | 248,513 |
| Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s, | ||
| 2018 | 90,000 | 94,500 |
| Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, | ||
| 2014 | 210,000 | 214,200 |
| Offshore Group Investments, Ltd. 144A sr. notes | ||
| 11 1/2s, 2015 | 70,000 | 73,850 |
| OPTI Canada, Inc. company guaranty sr. sec. notes | ||
| 8 1/4s, 2014 (Canada) | 50,000 | 34,750 |
| OPTI Canada, Inc. company guaranty sr. sec. notes | ||
| 7 7/8s, 2014 (Canada) | 290,000 | 199,375 |
| OPTI Canada, Inc. 144A company guaranty sr. notes | ||
| 9 3/4s, 2013 (Canada) | 30,000 | 30,300 |
| OPTI Canada, Inc. 144A sr. notes 9s, 2012 (Canada) | 10,000 | 9,950 |
| Peabody Energy Corp. company guaranty 7 3/8s, 2016 | 295,000 | 325,238 |
| Peabody Energy Corp. company guaranty sr. unsec. | ||
| unsub. notes 6 1/2s, 2020 | 10,000 | 10,800 |
| Petrohawk Energy Corp. company guaranty sr. unsec. | ||
| notes 10 1/2s, 2014 | 135,000 | 152,213 |
| Petroleum Development Corp. company guaranty sr. | ||
| unsec. notes 12s, 2018 | 265,000 | 296,800 |
| Plains Exploration & Production Co. company guaranty | ||
| 7 3/4s, 2015 | 75,000 | 77,813 |
| Plains Exploration & Production Co. company guaranty | ||
| 7s, 2017 | 375,000 | 379,688 |
| Quicksilver Resources, Inc. company guaranty sr. | ||
| unsec. notes 8 1/4s, 2015 | 50,000 | 51,125 |
| Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 | 70,000 | 80,325 |
| Range Resources Corp. company guaranty sr. sub. notes | ||
| 6 3/4s, 2020 | 50,000 | 51,750 |
| Rosetta Resources, Inc. company guaranty sr. unsec. | ||
| notes 9 1/2s, 2018 | 115,000 | 123,050 |
| Sabine Pass LNG LP sec. notes 7 1/2s, 2016 | 185,000 | 170,663 |
| SandRidge Energy, Inc. 144A company guaranty sr. | ||
| unsec. unsub. notes 8s, 2018 | 230,000 | 218,500 |
| SandRidge Energy, Inc. 144A sr. unsec. notes 9 7/8s, | ||
| 2016 | 55,000 | 56,925 |
| Trico Shipping AS 144A sr. notes 13 7/8s, 2014 | ||
| (Norway) (In default) (NON) | 205,000 | 170,150 |
| Whiting Petroleum Corp. company guaranty 7s, 2014 | 90,000 | 93,600 |
| Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 | 115,000 | 139,061 |
| 7,582,009 | ||
|
| ||
| Financials (4.0%) | ||
| ABN Amro North American Holding Preferred Capital | ||
| Repackage Trust I 144A jr. sub. bonds FRB 6.523s, | ||
| perpetual maturity | 75,000 | 64,875 |
| Ally Financial, Inc. company guaranty sr. unsec. | ||
| unsub. notes 8.3s, 2015 | 65,000 | 68,413 |
| Ally Financial, Inc. company guaranty sr. unsec. | ||
| unsub. notes FRN 2.497s, 2014 | 65,000 | 58,177 |
| Ally Financial, Inc. 144A company guaranty notes | ||
| 6 1/4s, 2017 | 90,000 | 86,400 |
| Ally Financial, Inc. 144A company guaranty sr. unsec. | ||
| notes 8s, 2020 | 60,000 | 61,800 |
| Ally Financial, Inc. 144A company guaranty sr. unsec. | ||
| unsub. notes 7 1/2s, 2020 | 45,000 | 44,100 |
| American General Finance Corp. sr. unsec. notes Ser. | ||
| MTNI, 4 7/8s, 2012 | 175,000 | 162,313 |
| American General Finance Corp. sr. unsec. notes Ser. | ||
| MTNJ, 6.9s, 2017 | 295,000 | 233,788 |
| American General Finance Corp. sr. unsec. notes Ser. | ||
| MTNJ, 5 5/8s, 2011 | 30,000 | 29,400 |
| American International Group, Inc. jr. sub. bonds FRB | ||
| 8.175s, 2058 | 120,000 | 122,400 |
| BAC Capital Trust VI bank guaranty jr. unsec. sub. | ||
| notes 5 5/8s, 2035 | 85,000 | 75,877 |
| BAC Capital Trust XI bank guaranty jr. unsec. sub. | ||
| notes 6 5/8s, 2036 | 70,000 | 66,882 |
| BankAmerica Capital II bank guaranty jr. unsec. sub. | ||
| notes 8s, 2026 | 30,000 | 30,150 |
| Capital One Capital IV company guaranty jr. unsec. | ||
| sub. notes FRN 6.745s, 2037 | 80,000 | 77,900 |
| CB Richard Ellis Services, Inc. company guaranty sr. | ||
| unsec. sub. notes 11 5/8s, 2017 | 170,000 | 196,988 |
| CB Richard Ellis Services, Inc. 144A company guaranty | ||
| sr. unsec. notes 6 5/8s, 2020 | 65,000 | 65,000 |
| CIT Group, Inc. sr. bonds 7s, 2017 | 476,354 | 464,445 |
| CIT Group, Inc. sr. bonds 7s, 2016 | 349,538 | 343,421 |
| CIT Group, Inc. sr. bonds 7s, 2015 | 147,723 | 145,507 |
| CIT Group, Inc. sr. bonds 7s, 2014 | 57,723 | 57,146 |
| CIT Group, Inc. sr. bonds 7s, 2013 | 96,815 | 96,936 |
| Dresdner Funding Trust I 144A bonds 8.151s, 2031 | 140,000 | 130,200 |
| E*Trade Financial Corp. sr. unsec. notes 7 3/8s, 2013 | 90,000 | 89,100 |
| E*Trade Financial Corp. sr. unsec. unsub. notes | ||
| 12 1/2s, 2017 | 137,000 | 157,893 |
| HBOS Capital Funding LP 144A bank guaranteed jr. | ||
| unsec. sub. FRB 6.071s, perpetual maturity (Jersey) | 175,000 | 152,688 |
| HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018 | ||
| (United Kingdom) | 135,000 | 129,323 |
| HUB International Holdings, Inc. 144A sr. sub. notes | ||
| 10 1/4s, 2015 | 180,000 | 180,000 |
| HUB International Holdings, Inc. 144A sr. unsec. | ||
| unsub. notes 9s, 2014 | 115,000 | 115,000 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. | ||
| company guaranty sr. unsec. notes 8s, 2018 | 240,000 | 238,200 |
| ING Groep NV unsec. sub. notes 5.775s, perpetual | ||
| maturity (Netherlands) | 40,000 | 33,600 |
| iStar Financial, Inc. sr. unsec. unsub. notes Ser. B, | ||
| 5.95s, 2013 (R) | 110,000 | 100,100 |
| Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015 | 35,000 | 37,975 |
| Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 | 168,000 | 173,460 |
| Liberty Mutual Group, Inc. 144A company guaranty jr. | ||
| sub. notes FRB 10 3/4s, 2058 | 25,000 | 31,095 |
| Liberty Mutual Group, Inc. 144A company guaranty jr. | ||
| unsec. sub. bonds 7.8s, 2037 | 50,000 | 49,500 |
| National Money Mart Co. company guaranty sr. unsec. | ||
| unsub. notes 10 3/8s, 2016 (Canada) | 190,000 | 202,350 |
| NB Capital Trust IV jr. unsec. sub. notes 8 1/4s, 2027 | 30,000 | 30,225 |
| Nuveen Investments, Inc. company guaranty sr. unsec. | ||
| unsub. notes 10 1/2s, 2015 | 145,000 | 144,456 |
| Omega Healthcare Investors, Inc. 144A sr. notes | ||
| 6 3/4s, 2022 (R) | 125,000 | 124,688 |
| Provident Funding Associates 144A sr. notes 10 1/4s, | ||
| 2017 | 115,000 | 118,738 |
| Regions Financing Trust II company guaranty jr. unsec. | ||
| sub. bond FRB 6 5/8s, 2047 | 105,000 | 85,050 |
| Residential Capital LLC company guaranty jr. notes | ||
| 9 5/8s, 2015 | 275,000 | 269,500 |
| Royal Bank of Scotland Group PLC jr. unsec. sub. bonds | ||
| FRB 7.648s, 2049 (United Kingdom) | 185,000 | 159,100 |
| Sabra Health Care LP/Sabra Capital Corp. 144A company | ||
| guaranty sr. notes 8 1/8s, 2018 (R) | 80,000 | 80,800 |
| SLM Corp. sr. notes Ser. MTN, 8s, 2020 | 90,000 | 90,450 |
| SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 | 260,000 | 271,505 |
| SLM Corp. sr. unsec. unsub. notes Ser. MTNA, 5s, 2013 | 60,000 | 59,550 |
| 5,806,464 | ||
|
| ||
| Health care (2.9%) | ||
| Biomet, Inc. company guaranty sr. unsec. bond 10s, 2017 | 220,000 | 239,800 |
| Capella Healthcare, Inc. 144A company guaranty sr. | ||
| notes 9 1/4s, 2017 | 130,000 | 136,988 |
| CHS/Community Health Systems, Inc. company guaranty | ||
| sr. unsec. sub. notes 8 7/8s, 2015 | 40,000 | 41,850 |
| DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, | ||
| 2020 | 30,000 | 29,738 |
| DaVita, Inc. company guaranty sr. unsec. notes 6 3/8s, | ||
| 2018 | 90,000 | 89,213 |
| Elan Finance PLC/Elan Finance Corp. company guaranty | ||
| sr. unsec. notes 8 3/4s, 2016 (Ireland) | 160,000 | 160,400 |
| HCA Holdings, Inc. 144A sr. unsec. notes 7 3/4s, 2021 | 110,000 | 108,213 |
| HCA, Inc. company guaranty sr. notes 9 7/8s, 2017 | 45,000 | 49,163 |
| HCA, Inc. company guaranty sr. notes 9 5/8s, 2016 (PIK) | 267,000 | 285,356 |
| HCA, Inc. company guaranty sr. notes 8 1/2s, 2019 | 215,000 | 234,350 |
| HCA, Inc. sr. notes 6.95s, 2012 | 70,000 | 71,663 |
| HCA, Inc. sr. sec. notes 9 1/4s, 2016 | 355,000 | 379,850 |
| Health Management Associates, Inc. sr. notes 6 1/8s, | ||
| 2016 | 245,000 | 247,144 |
| IASIS Healthcare/IASIS Capital Corp. sr. sub. notes | ||
| 8 3/4s, 2014 | 355,000 | 359,438 |
| Multiplan, Inc. 144A company guaranty sr. notes | ||
| 9 7/8s, 2018 | 95,000 | 100,938 |
| Quintiles Transnational Corp. 144A sr. notes 9 1/2s, | ||
| 2014 (PIK) | 50,000 | 50,750 |
| Select Medical Corp. company guaranty 7 5/8s, 2015 | 85,000 | 84,575 |
| Surgical Care Affiliates, Inc. 144A sr. sub. notes | ||
| 10s, 2017 | 80,000 | 81,200 |
| Surgical Care Affiliates, Inc. 144A sr. unsec. notes | ||
| 8 7/8s, 2015 (PIK) | 131,119 | 132,430 |
| Talecris Biotherapeutics Holdings Corp. company | ||
| guaranty sr. unsec. notes 7 3/4s, 2016 | 30,000 | 32,400 |
| Tenet Healthcare Corp. company guaranty sr. notes 10s, | ||
| 2018 | 15,000 | 16,763 |
| Tenet Healthcare Corp. sr. notes 9s, 2015 | 270,000 | 289,575 |
| Tenet Healthcare Corp. 144A sr. unsec. notes 8s, 2020 | 110,000 | 107,800 |
| United Surgical Partners International, Inc. company | ||
| guaranty sr. unsec. sub. notes 8 7/8s, 2017 | 265,000 | 272,288 |
| US Oncology Holdings, Inc. sr. unsec. notes FRN | ||
| 6.737s, 2012 (PIK) | 141,000 | 141,000 |
| US Oncology, Inc. company guaranty sr. unsec. sub. | ||
| notes 10 3/4s, 2014 | 35,000 | 36,225 |
| Valeant Pharmaceuticals International 144A company | ||
| guaranty sr. notes 7s, 2020 | 20,000 | 19,500 |
| Valeant Pharmaceuticals International 144A company | ||
| guaranty sr. unsec. notes 6 7/8s, 2018 | 45,000 | 44,269 |
| Valeant Pharmaceuticals International 144A sr. notes | ||
| 6 3/4s, 2017 | 20,000 | 19,750 |
| Ventas Realty LP/Capital Corp. company guaranty 9s, | ||
| 2012 (R) | 280,000 | 297,334 |
| 4,159,963 | ||
|
| ||
| Technology (2.3%) | ||
| Advanced Micro Devices, Inc. sr. unsec. notes 8 1/8s, | ||
| 2017 | 85,000 | 89,675 |
| Advanced Micro Devices, Inc. 144A sr. notes 7 3/4s, | ||
| 2020 | 40,000 | 41,000 |
| Alcatel-Lucent USA, Inc. unsec. debs. 6.45s, 2029 | 25,000 | 20,250 |
| Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, | ||
| 2015 | 145,000 | 143,913 |
| Ceridian Corp. company guaranty sr. unsec. notes | ||
| 12 1/4s, 2015 (PIK) | 212,350 | 205,449 |
| Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 | 65,000 | 62,563 |
| Fidelity National Information Services, Inc. 144A | ||
| company guaranty sr. notes 7 7/8s, 2020 | 65,000 | 69,388 | |
| Fidelity National Information Services, Inc. 144A | |||
| company guaranty sr. notes 7 5/8s, 2017 | 65,000 | 68,575 | |
| First Data Corp. company guaranty sr. unsec. notes | |||
| 10.55s, 2015 (PIK) | 339,824 | 293,098 | |
| First Data Corp. company guaranty sr. unsec. notes | |||
| 9 7/8s, 2015 | 170,000 | 144,500 | |
| First Data Corp. company guaranty sr. unsec. sub. | |||
| notes 11 1/4s, 2016 | 155,000 | 119,350 | |
| Freescale Semiconductor, Inc. company guaranty sr. | |||
| unsec. notes 9 1/8s, 2014 (PIK) | 23,647 | 23,765 | |
| Freescale Semiconductor, Inc. company guaranty sr. | |||
| unsec. notes 8 7/8s, 2014 | 246,000 | 249,690 | |
| Freescale Semiconductor, Inc. company guaranty sr. | |||
| unsec. sub. notes 10 1/8s, 2016 | 59,000 | 55,903 | |
| Freescale Semiconductor, Inc. 144A company guaranty | |||
| sr. notes 10 1/8s, 2018 | 70,000 | 75,775 | |
| Freescale Semiconductor, Inc. 144A company guaranty | |||
| sr. notes 9 1/4s, 2018 | 120,000 | 125,700 | |
| Iron Mountain, Inc. company guaranty 8 3/4s, 2018 | 55,000 | 57,750 | |
| Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 | 25,000 | 27,375 | |
| Jazz Technologies, Inc. 144A notes 8s, 2015 (F) | 625,000 | 550,000 | |
| NXP BV/NXP Funding, LLC company guaranty Ser. EXCH, | |||
| 9 1/2s, 2015 (Netherlands) | 150,000 | 153,750 | |
| NXP BV/NXP Funding, LLC company guaranty sr. notes FRN | |||
| Ser. EXCH, 3.039s, 2013 (Netherlands) | 150,000 | 141,750 | |
| NXP BV/NXP Funding, LLC 144A company guaranty sr. | |||
| notes 9 3/4s, 2018 (Netherlands) | 100,000 | 108,000 | |
| SunGard Data Systems, Inc. company guaranty 10 1/4s, | |||
| 2015 | 156,000 | 161,850 | |
| SunGard Data Systems, Inc. 144A sr. unsec. notes | |||
| 7 5/8s, 2020 | 160,000 | 160,000 | |
| Unisys Corp. 144A company guaranty sr. sub. notes | |||
| 14 1/4s, 2015 | 190,000 | 227,050 | |
| 3,376,119 | |||
|
| |||
| Transportation (0.1%) | |||
| AMGH Merger Sub., Inc. 144A company guaranty sr. notes | |||
| 9 1/4s, 2018 | 70,000 | 72,800 | |
| Inaer Aviation Finance Ltd. 144A sr. notes 9 1/2s, | |||
| 2017 (Spain) | EUR | 70,000 | 88,043 |
| 160,843 | |||
|
| |||
| Utilities and power (2.1%) | |||
| AES Corp. (The) sr. unsec. notes 8s, 2020 | $55,000 | 57,475 | |
| AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 | 85,000 | 88,400 | |
| Calpine Corp. 144A company guaranty sr. notes 7 7/8s, | |||
| 2020 | 100,000 | 101,750 | |
| Colorado Interstate Gas Co. debs. 6.85s, 2037 (Canada) | 95,000 | 95,530 | |
| Dynegy Holdings, Inc. sr. unsec. notes 7 3/4s, 2019 | 230,000 | 150,075 | |
| Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 | 75,000 | 64,125 | |
| Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 | 20,000 | 19,300 | |
| Edison Mission Energy sr. unsec. notes 7.2s, 2019 | 85,000 | 65,450 | |
| Edison Mission Energy sr. unsec. notes 7s, 2017 | 40,000 | 31,400 | |
| El Paso Corp. sr. unsec. notes 12s, 2013 | 35,000 | 42,788 | |
| El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031 | 100,000 | 103,875 | |
| El Paso Natural Gas Co. debs. 8 5/8s, 2022 | 40,000 | 50,118 | |
| Energy Future Holdings Corp. company guaranty sr. | |||
| unsec. notes 11 1/4s, 2017 (PIK) | 28,090 | 17,416 | |
| Energy Future Holdings Corp. 144A sr. sec. bond 10s, | |||
| 2020 | 45,000 | 46,042 | |
| Energy Future Intermediate Holdings Co., LLC sr. notes | |||
| 10s, 2020 | 62,000 | 63,591 | |
| Energy Future Intermediate Holdings Co., LLC sr. notes | |||
| 9 3/4s, 2019 | 256,000 | 256,640 | |
| GenOn Escrow Corp. 144A sr. notes 9 7/8s, 2020 | 190,000 | 180,975 | |
| GenOn Escrow Corp. 144A sr. unsec. notes 9 1/2s, 2018 | 25,000 | 23,750 | |
| Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s, | |||
| 2016 | 25,000 | 26,875 | |
| KCP&L Greater Missouri Operations Co. sr. unsec. notes | |||
| 7.95s, 2011 | 5,000 | 5,056 | |
| Mirant Americas Generation, Inc. sr. unsec. notes | |||
| 8.3s, 2011 | 170,000 | 172,975 | |
| Mirant North America, LLC company guaranty 7 3/8s, 2013 | 235,000 | 238,525 | |
| NRG Energy, Inc. company guaranty 7 3/8s, 2017 | 100,000 | 100,500 | |
| NRG Energy, Inc. company guaranty 7 1/4s, 2014 | 80,000 | 81,600 | |
| NRG Energy, Inc. sr. notes 7 3/8s, 2016 | 355,000 | 356,775 | |
| NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 | 70,000 | 70,798 | |
| NV Energy, Inc. sr. unsec. unsub. notes 8 5/8s, 2014 | 115,000 | 118,450 | |
| PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015 | 140,000 | 155,400 | |
| Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s, | |||
| 2028 | 15,000 | 16,108 | |
| Texas Competitive Electric Holdings Co., LLC company | |||
| guaranty sr. unsec. notes 10 1/2s, 2016 (PIK) | 178,506 | 96,393 | |
| Texas Competitive Electric Holdings Co., LLC 144A | |||
| company guaranty sr. notes 15s, 2021 | 75,000 | 69,000 | |
| 2,967,155 | |||
|
| |||
| Total corporate bonds and notes (cost $55,265,780) | $57,084,078 | ||
| CONVERTIBLE BONDS AND NOTES (30.7%)(a) | |||
| Principal amount | Value | ||
|
| |||
| Basic materials (1.2%) | |||
| Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 | $535,000 | $630,297 | |
| U.S. Steel Corp. cv. sr. unsec. notes 4s, 2014 | 335,000 | 558,613 | |
| USEC, Inc. cv. sr. unsec. notes 3s, 2014 | 600,000 | 534,750 |
| 1,723,660 | ||
|
| ||
| Capital goods (1.9%) | ||
| AAR CORP. 144A cv. sr. unsec. notes 2 1/4s, 2016 | 1,300,000 | 1,235,000 |
| Alliant Techsystems, Inc. cv. company guaranty sr. | ||
| sub. notes 3s, 2024 | 100,000 | 112,000 |
| General Cable Corp. cv. unsec. sub. notes | ||
| stepped-coupon 4 1/2s (2 1/4s, 11/15/19) 2029 (STP) | 1,075,000 | 1,226,844 |
| Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s, | ||
| 2036 | 75,000 | 70,875 |
| 2,644,719 | ||
|
| ||
| Communication services (4.6%) | ||
| Cogent Communication Group, Inc. cv. sr. unsec. notes | ||
| 1s, 2027 | 800,000 | 671,000 |
| Leap Wireless International, Inc. cv. sr. unsec. notes | ||
| 4 1/2s, 2014 | 1,160,000 | 1,046,900 |
| Level 3 Communications, Inc. cv. sr. unsec. unsub. | ||
| notes 3 1/2s, 2012 | 1,700,000 | 1,621,375 |
| NII Holdings, Inc. cv. sr. unsec. notes 3 1/8s, 2012 | 1,400,000 | 1,359,750 |
| Virgin Media, Inc. cv. sr. unsec. notes 6 1/2s, 2016 | ||
| (United Kingdom) | 1,170,000 | 1,848,600 |
| 6,547,625 | ||
|
| ||
| Consumer cyclicals (6.2%) | ||
| CBIZ, Inc. 144A cv. sr. sub. notes 4 7/8s, 2015 | 267,000 | 289,194 |
| Charming Shoppes, Inc. cv. sr. unsec. notes 1 1/8s, | ||
| 2014 | 1,175,000 | 981,125 |
| Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 | 631,000 | 1,217,483 |
| Icahn Enterprises LP 144A cv. sr. unsec. notes FRN 4s, | ||
| 2013 | 900,000 | 870,750 |
| International Game Technology 144A cv. sr. unsec. | ||
| notes 3 1/4s, 2014 | 375,000 | 410,175 |
| Liberty Media, LLC cv. sr. unsec. unsub. notes 3 1/2s, | ||
| 2031 | 1,900,000 | 1,009,565 |
| Live Nation Entertainment, Inc. cv. sr. unsec. notes | ||
| 2 7/8s, 2027 | 1,145,000 | 1,016,188 |
| Morgans Hotel Group Co. cv. sr. sub. notes 2 3/8s, 2014 | 800,000 | 633,000 |
| Sinclair Broadcast Group, Inc. cv. unsec. sub. debs | ||
| 6s, 2012 | 1,525,000 | 1,505,938 |
| Sirius Satellite Radio, Inc. cv. sr. unsec. notes | ||
| 3 1/4s, 2011 | 378,000 | 378,000 |
| XM Satellite Radio Holdings, Inc. 144A cv. sr. unsec. | ||
| sub. notes 7s, 2014 | 547,000 | 623,908 |
| 8,935,326 | ||
|
| ||
| Consumer staples (1.5%) | ||
| Pantry, Inc. (The) cv. company guaranty sr. unsec. | ||
| sub. notes 3s, 2012 | 968,000 | 941,380 |
| Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015 | 470,000 | 444,761 |
| Spartan Stores, Inc. cv. sr. unsec. notes 3 3/8s, 2027 | 883,000 | 809,049 |
| 2,195,190 | ||
|
| ||
| Energy (3.3%) | ||
| Carrizo Oil & Gas, Inc. cv. sr. unsec. unsub. notes | ||
| 4 3/8s, 2028 | 225,000 | 216,563 |
| Chesapeake Energy Corp. cv. sr. unsec. notes company | ||
| guaranty 2 1/2s, 2037 | 1,455,000 | 1,227,656 |
| Global Industries, Ltd. cv. sr. unsec. notes 2 3/4s, | ||
| 2027 | 573,000 | 419,723 |
| Helix Energy Solutions Group, Inc. cv. sr. unsec. | ||
| unsub. notes 3 1/4s, 2025 | 1,120,000 | 1,072,400 |
| International Coal Group, Inc. cv. company guaranty | ||
| sr. unsec. notes 4s, 2017 | 282,000 | 424,466 |
| Peabody Energy Corp. cv. jr. unsec. sub. debs. 4 3/4s, | ||
| 2041 | 400,000 | 499,500 |
| Penn Virginia Corp. cv. sr. unsec. sub. notes 4 1/2s, | ||
| 2012 | 870,000 | 856,950 |
| Trico Marine Services, Inc. cv. sr. unsec. debs. 3s, | ||
| 2027 (In default) (NON) | 500,000 | 35,625 |
| 4,752,883 | ||
|
| ||
| Financials (2.9%) | ||
| Annaly Capital Management, Inc. cv. sr. unsec. unsub. | ||
| notes 4s, 2015 (R) | 400,000 | 452,500 |
| CapitalSource, Inc. cv. company guaranty sr. unsec. | ||
| sub. notes 7 1/4s, 2037 | 300,000 | 302,250 |
| Digital Realty Trust LP 144A cv. sr. unsec. notes | ||
| 5 1/2s, 2029 (R) | 545,000 | 742,563 |
| KKR Financial Holdings, LLC cv. sr. unsec. notes | ||
| 7 1/2s, 2017 | 598,000 | 801,320 |
| Old Republic International Corp. cv. sr. unsec. unsub. | ||
| notes 8s, 2012 | 944,000 | 1,143,420 |
| Tower Group, Inc. 144A cv. sr. unsec. notes 5s, 2014 | 679,000 | 763,875 |
| 4,205,928 | ||
|
| ||
| Health care (3.2%) | ||
| Amylin Pharmaceuticals, Inc. cv. sr. unsec. notes 3s, | ||
| 2014 | 850,000 | 732,063 |
| China Medical Technologies, Inc. cv. sr. unsec. bonds | ||
| Ser. CMT, 4s, 2013 (China) | 1,065,000 | 902,588 |
| China Medical Technologies, Inc. 144A cv. sr. unsec. | ||
| notes 6 1/4s, 2016 (China) | 445,000 | 445,000 |
| Hologic, Inc. cv. sr. unsec. unsub. notes | ||
| stepped-coupon 2s (zero %, 12/15/13) 2037 (STP) | 1,200,000 | 1,113,000 |
| LifePoint Hospitals, Inc. cv. sr. unsec. sub. notes | ||
| 3 1/4s, 2025 | 400,000 | 399,500 |
| Omnicare, Inc. cv. company guaranty sr. unsec. debs | ||
| Ser. OCR, 3 1/4s, 2035 | 788,000 | 732,840 |
| Providence Service Corp. (The) cv. sr. unsec. sub. | ||
| notes 6 1/2s, 2014 | 302,000 | 302,000 |
| 4,626,991 | ||
|
| ||
| Technology (5.6%) | ||
| Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s, | ||
| 2015 | 829,000 | 830,036 |
| ARRIS Group, Inc. cv. sr. unsec. notes 2s, 2026 | 1,470,000 | 1,469,081 |
| EnerSys cv. sr. unsec. notes stepped-coupon 3 3/8s | ||
| (zero %, 6/1/15) 2038 (STP) | 437,000 | 485,616 |
| ON Semiconductor Corp. cv. company guaranty sr. unsec. | ||
| sub. notes 2 5/8s, 2026 | 650,000 | 695,500 |
| Powerwave Technologies, Inc. cv. sr. unsec. sub. notes | ||
| 3 7/8s, 2027 | 205,000 | 173,225 |
| Quantum Corp. 144A cv. sr. unsec. sub. notes 3 1/2s, | ||
| 2015 | 793,000 | 867,304 |
| Safeguard Scientifics, Inc. cv. sr. unsec. sub. notes | ||
| 10 1/8s, 2014 | 1,800,000 | 2,265,750 |
| TeleCommunication Systems, Inc. 144A cv. sr. unsec. | ||
| notes 4 1/2s, 2014 | 875,000 | 815,938 |
| TTM Technologies, Inc. cv. sr. unsec. notes 3 1/4s, | ||
| 2015 | 375,000 | 419,063 |
| 8,021,513 | ||
|
| ||
| Transportation (0.3%) | ||
| AMR Corp. cv. company guaranty sr. unsub. notes | ||
| 6 1/4s, 2014 | 355,000 | 420,675 |
| 420,675 | ||
|
| ||
| Total convertible bonds and notes (cost $38,668,697) | $44,074,510 | |
| CONVERTIBLE PREFERRED STOCKS (24.3%)(a) | ||
| Shares | Value | |
|
| ||
| Basic materials (1.3%) | ||
| Smurfit-Stone Container Corp. zero % cv. pfd. (F) | 65,720 | $657 |
| Vale Capital II $3.375 cv. pfd. (Cayman Islands) | 21,400 | 1,896,575 |
| 1,897,232 | ||
|
| ||
| Communication services (2.1%) | ||
| Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. | 30,900 | 1,274,625 |
| Crown Castle International Corp. $3.125 cum. cv. pfd. | 29,498 | 1,762,506 |
| 3,037,131 | ||
|
| ||
| Consumer cyclicals (8.1%) | ||
| FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. | ||
| pfd. (R) | 88,700 | 2,128,800 |
| Ford Motor Co. Capital Trust II $3.25 cum. cv. pfd. | 44,070 | 2,266,851 |
| General Motors Co. Ser. B, $2.375 cv. pfd. | 74,310 | 3,767,517 |
| Interpublic Group of Cos, Inc. (The) Ser. B, 5.25% cv. | ||
| pfd. | 990 | 990,000 |
| Retail Ventures, Inc. $3.312 cv. pfd. | 27,400 | 1,637,424 |
| Stanley Black & Decker, Inc. $4.75 cv. pfd. | 8,247 | 841,194 |
| 11,631,786 | ||
|
| ||
| Consumer staples (2.0%) | ||
| Bunge, Ltd. $4.875 cv. pfd. | 11,485 | 1,025,036 |
| Dole Food Automatic Exchange 144A 7.00% cv. pfd. (NON) | 58,672 | 573,225 |
| Newell Financial Trust I $2.625 cum. cv. pfd. | 30,380 | 1,298,745 |
| 2,897,006 | ||
|
| ||
| Energy (1.0%) | ||
| Apache Corp. Ser. D, $3.00 cv. pfd. | 23,200 | 1,406,848 |
| 1,406,848 | ||
|
| ||
| Financials (6.5%) | ||
| Alexandria Real Estate Equities, Inc. Ser. D, $1.75 | ||
| cv. pfd. | 28,010 | 644,230 |
| AMG Capital Trust II $2.575 cv. pfd. | 16,395 | 636,331 |
| Assured Guaranty, Ltd. $4.25 cv. pfd. (Bermuda) | 6,000 | 426,840 |
| Bank of America Corp. Ser. L, 7.25% cv. pfd. | 1,667 | 1,546,143 |
| Citigroup, Inc. $7.50 cv. pfd. | 10,000 | 1,250,000 |
| Entertainment Properties Trust Ser. C, $1.438 cum. cv. | ||
| pfd. | 51,500 | 1,001,515 |
| Hartford Financial Services Group, Inc. (The) $1.182 | ||
| cv. pfd. | 29,500 | 680,344 |
| Huntington Bancshares Ser. A, 8.50% cv. pfd. | 820 | 831,788 |
| Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd. | ||
| (In default) (NON) | 850 | 442 |
| Wells Fargo & Co. Ser. L, 7.50% cv. pfd. | 1,050 | 1,036,350 |
| XL Group, Ltd. $2.688 cv. pfd. | 45,545 | 1,300,765 |
| 9,354,748 | ||||
|
| ||||
| Utilities and power (3.3%) | ||||
| AES Trust III $3.375 cv. pfd. | 27,800 | 1,334,400 | ||
| El Paso Corp. 4.99% cv. pfd. | 1,090 | 1,276,663 | ||
| Great Plains Energy, Inc. $6.00 cv. pfd. | 20,806 | 1,281,442 | ||
| PPL Corp. $4.75 cv. pfd. | 14,345 | 776,065 | ||
| 4,668,570 | ||||
|
| ||||
| Total convertible preferred stocks (cost $33,089,574) | $34,893,321 | |||
| COMMON STOCKS (1.7%)(a) | ||||
| Shares | Value | |||
|
| ||||
| AES Corp. (The) (NON) | 6,265 | $67,725 | ||
| Alliance HealthCare Services, Inc. (NON) | 14,750 | 55,313 | ||
| American Media Operations, Inc. 144A (F) | 3,597 | 1 | ||
| Avis Budget Group, Inc. (NON) | 3,210 | 42,661 | ||
| Bohai Bay Litigation, LLC (Escrow) (F) | 406 | 1,267 | ||
| CIT Group, Inc. (NON) | 1,016 | 40,091 | ||
| Community Health Systems, Inc. (NON) | 2,371 | 75,540 | ||
| Dana Holding Corp. (NON) | 4,540 | 68,599 | ||
| El Paso Corp. | 4,940 | 66,641 | ||
| FelCor Lodging Trust, Inc. (NON) (R) | 8,485 | 50,316 | ||
| Fortescue Metals Group, Ltd. (Australia) (NON) | 9,200 | 55,630 | ||
| Freeport-McMoRan Copper & Gold, Inc. Class B | 1,100 | 111,452 | ||
| General Motors Co. (NON) | 2,830 | 96,786 | ||
| Interpublic Group of Companies, Inc. (The) (NON) | 3,010 | 32,057 | ||
| Leap Wireless International, Inc. (NON) | 1,316 | 14,325 | ||
| Louisiana-Pacific Corp. (NON) | 6,054 | 49,643 | ||
| Merck & Co., Inc. | 19,621 | 676,335 | ||
| Newell Rubbermaid, Inc. | 12,200 | 204,594 | ||
| Nortek, Inc. (NON) | 2,860 | 117,260 | ||
| Owens Corning, Inc. (NON) | 975 | 25,652 | ||
| Petrohawk Energy Corp. (NON) | 4,123 | 73,513 | ||
| Sealy Corp. (NON) | 29,223 | 88,253 | ||
| Service Corporation International | 9,975 | 80,399 | ||
| Spectrum Brands Holdings, Inc. (NON) | 1,789 | 48,357 | ||
| Sprint Nextel Corp. (NON) | 19,115 | 72,255 | ||
| Stallion Oilfield Holdings, Ltd. | 1,473 | 34,247 | ||
| Temple-Inland, Inc. | 1,645 | 34,496 | ||
| Terex Corp. (NON) | 1,305 | 31,685 | ||
| Trump Entertainment Resorts, Inc. (F) | 152 | 2,432 | ||
| TRW Automotive Holdings Corp. (NON) | 1,540 | 73,135 | ||
| Vertis Holdings, Inc. (F)(NON) | 7,497 | 7 | ||
|
| ||||
| Total common stocks (cost $2,501,802) | $2,390,667 | |||
| UNITS (0.9%)(a) | ||||
| Units | Value | |||
|
| ||||
| Hercules, Inc. cv. jr. unsec. sub. debs. units 6 1/2s, | ||||
| 2029 | 1,540,000 | $1,309,000 | ||
|
| ||||
| Total units (cost $1,252,362) | $1,309,000 | |||
| PREFERRED STOCKS (0.1%)(a) | ||||
| Shares | Value | |||
|
| ||||
| Ally Financial, Inc. 144A Ser. G, 7.00% cum. pfd. | 211 | $188,383 | ||
|
| ||||
| Total preferred stocks (cost $122,992) | $188,383 | |||
| WARRANTS (--%)(a)(NON) | ||||
| Expiration date | Strike Price | Warrants | Value | |
|
| ||||
| Smurfit Kappa Group PLC 144A (Ireland) (F) | 10/1/13 | EUR 0.001 | 119 | $5,446 |
| Tower Semiconductor, Ltd. 144A (Israel) (F) | 6/30/15 | $0.01 | 168,777 | 40,505 |
| Vertis Holdings, Inc. (F) | 10/18/15 | 0.01 | 309 | 1 |
|
| ||||
| Total warrants (cost $38,280) | $45,952 | |||
| SENIOR LOANS (--%)(a)(c) | ||||
| Principal amount | Value | |||
|
| ||||
| GateHouse Media, Inc. bank term loan FRN Ser. B, | ||||
| 2.26s, 2014 | $90,841 | $32,573 | ||
| GateHouse Media, Inc. bank term loan FRN Ser. DD, | ||||
| 2.26s, 2014 | 33,896 | 12,154 | ||
|
| ||||
| Total senior loans (cost $119,074) | $44,727 | |||
| SHORT-TERM INVESTMENTS (2.1%)(a) | ||||
| Shares | Value | |||
|
| ||||
| Putnam Money Market Liquidity Fund 0.19% (e) | 3,009,547 | $3,009,547 | ||
|
| ||||
| Total short-term investments (cost $3,009,547) | $3,009,547 | |||
| TOTAL INVESTMENTS | ||||
|
| ||||
| Total investments (cost $134,068,108) (b) | $143,040,185 | |||
| FORWARD CURRENCY CONTRACTS at 11/30/10 (aggregate face value $1,614,978) (Unaudited) | ||||||||
| Unrealized | ||||||||
| Contract | Delivery | Aggregate | appreciation/ | |||||
| Counterparty | Currency | type | date | Value | face value | (depreciation) | ||
|
| ||||||||
| Bank of America, N.A. | ||||||||
| Canadian Dollar | Sell | 12/15/10 | $34,114 | $34,972 | $858 | |||
| Euro | Sell | 12/15/10 | 115,514 | 124,156 | 8,642 | |||
| Citibank, N.A. | ||||||||
| Euro | Buy | 12/15/10 | 21,724 | 23,162 | (1,438) | |||
| Credit Suisse AG | ||||||||
| Euro | Buy | 12/15/10 | 20,033 | 21,362 | (1,329) | |||
| Deutsche Bank AG | ||||||||
| Euro | Sell | 12/15/10 | 123,579 | 131,729 | 8,150 | |||
| Goldman Sachs International | ||||||||
| Euro | Sell | 12/15/10 | 117,985 | 125,776 | 7,791 | |||
| HSBC Bank USA, National Association | ||||||||
| Euro | Sell | 12/15/10 | 49,432 | 52,708 | 3,276 | |||
| JPMorgan Chase Bank, N.A. | ||||||||
| Euro | Buy | 12/15/10 | 134,766 | 143,657 | (8,891) | |||
| Royal Bank of Scotland PLC (The) | ||||||||
| Euro | Buy | 12/15/10 | 73,367 | 78,212 | (4,845) | |||
| State Street Bank and Trust Co. | ||||||||
| Euro | Sell | 12/15/10 | 63,220 | 67,024 | 3,804 | |||
| UBS AG | ||||||||
| Euro | Sell | 12/15/10 | 92,619 | 98,744 | 6,125 | |||
| Westpac Banking Corp. | ||||||||
| Australian Dollar | Sell | 12/15/10 | 59,827 | 62,362 | 2,535 | |||
| Euro | Sell | 12/15/10 | 610,870 | 651,114 | 40,244 | |||
|
| ||||||||
| Total | $64,922 | |||||||
| Key to holding's currency abbreviations | |
| CAD | Canadian Dollar |
| EUR | Euro |
| USD / $ | United States Dollar |
| Key to holding's abbreviations | |
| FRB | Floating Rate Bonds |
| FRN | Floating Rate Notes |
| GMTN | Global Medium Term Notes |
| MTN | Medium Term Notes |
| MTNA | Medium Term Notes Class A |
| MTNI | Medium Term Notes Class I |
| MTNJ | Medium Term Notes Class J |
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from September 1, 2010 through November 30, 2010 (the reporting period).
(a) Percentages indicated are based on net assets of $143,724,733.
(b) The aggregate identified cost on a tax basis is $134,213,732, resulting in gross unrealized appreciation and depreciation of $12,675,568 and $3,849,115, respectively, or net unrealized appreciation of $8,826,453.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC (Putnam Management), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $633 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $19,367,211 and $17,860,228, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (ASC 820) based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $12,749 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The rates shown on FRB and FRN are the current interest rates at the close of the reporting period.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets and are classified as Level 1 securities. If no sales are reported-- as in the case of some securities traded over-the-counter-- a security is valued at its last reported bid price and is generally categorized as a Level 2 security. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders,
between securities (which considers such factors as security prices, yields, maturities and ratings) . Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to manage foreign exchange risk. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Outstanding contracts on forward currency contracts at the close of the reporting period are indicative of the volume of activity during the period.
Master agreements: The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $16,503 on derivative contracts subject to the Master Agreements. There was no collateral posted by the fund.
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
Level 2 – Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3 – Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
| Valuation inputs | ||||||
|
| ||||||
| Investments in securities: | Level 1 | Level 2 | Level 3 | |||
|
| ||||||
| Common stocks: | ||||||
|
| ||||||
| Basic materials | $195,591 | $55,630 | $-- | |||
|
| ||||||
| Capital goods | 31,685 | -- | -- | |||
|
| ||||||
| Communication services | 86,580 | -- | -- | |||
|
| ||||||
| Consumer cyclicals | 552,058 | -- | 2,440 | |||
|
| ||||||
| Consumer staples | 376,011 | -- | -- | |||
|
| ||||||
| Energy | 73,513 | 34,247 | 1,267 | |||
|
| ||||||
| Financials | 40,091 | -- | -- | |||
|
| ||||||
| Health care | 807,188 | -- | -- | |||
|
| ||||||
| Utilities and power | 134,366 | -- | -- | |||
|
| ||||||
| Total common stocks | 2,297,083 | 89,877 | 3,707 | |||
|
| ||||||
| Convertible bonds and notes | -- | 44,074,510 | -- | |||
|
| ||||||
| Convertible preferred stocks | -- | 34,892,664 | 657 | |||
|
| ||||||
| Corporate bonds and notes | -- | 56,524,859 | 559,219 | |||
|
| ||||||
| Preferred stocks | -- | 188,383 | -- | |||
|
| ||||||
| Senior loans | -- | 44,727 | -- | |||
|
| ||||||
| Units | -- | 1,309,000 | -- | |||
|
| ||||||
| Warrants | -- | -- | 45,952 | |||
|
| ||||||
| Short-term investments | 3,009,547 | -- | -- | |||
|
| ||||||
| Totals by level | $5,306,630 | $137,124,020 | $609,535 | |||
|
| ||||||
| Valuation inputs | ||||||
|
| ||||||
| Other financial instruments: | Level 1 | Level 2 | Level 3 | |||
|
| ||||||
| Forward currency contracts | $-- | $64,922 | $-- | |||
|
| ||||||
| Totals by level | $-- | $64,922 | $-- | |||
|
| ||||||
At the start and/or close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period
| Asset derivatives | Liability derivatives | |
|
| ||
| Derivatives not accounted for as hedging instruments under ASC 815 | Market value | Market value |
|
| ||
| Foreign exchange contracts | $81,425 | $16,503 |
|
| ||
| Equity contracts | 45,952 | -- |
|
| ||
| Total | $127,377 | $16,503 |
|
| ||
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com
Item 2. Controls and Procedures:
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.
(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Putnam High Income Securities Fund
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: January 27, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: January 27, 2011
By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: January 27, 2011