a_highincomesecurities.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05133)
Exact name of registrant as specified in charter: Putnam High Income Securities Fund
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: August 31, 2014
Date of reporting period: November 30, 2013



Item 1. Schedule of Investments:













Putnam High Income Securities Fund

The fund's portfolio
11/30/13 (Unaudited)
CORPORATE BONDS AND NOTES (40.0%)(a)
Principal amount Value
Basic materials (3.1%)
Ainsworth Lumber Co., Ltd. 144A sr. notes 7 1/2s, 2017 (Canada) $36,000 $38,884
ArcelorMittal sr. unsec. bonds 10.35s, 2019 (France) 115,000 145,478
ArcelorMittal sr. unsec. unsub. notes 7 1/2s, 2039 (France) 90,000 87,750
Ashland, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 155,000 147,638
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 193,000 207,716
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 120,000 125,400
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 65,000 62,319
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 140,000 149,450
CPG Merger Sub LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 70,000 72,975
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 35,000 34,657
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 160,000 169,600
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 75,000 83,813
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 150,000 158,625
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 50,000 54,000
FQM Akubra, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2021 (Canada) 25,000 26,125
Graphic Packaging International, Inc. company guaranty sr. unsec. notes 4 3/4s, 2021 110,000 108,350
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 165,000 174,900
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 140,000 167,300
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 70,000 71,313
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 65,000 64,106
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 135,000 140,231
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 160,000 179,200
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 25,000 27,625
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 105,000 103,425
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 100,000 88,750
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (Luxembourg) EUR 70,734 96,940
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 $160,000 183,600
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 55,000 60,775
Momentive Performance Materials, Inc. company guaranty sr. notes 10s, 2020 30,000 31,275
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020 5,000 5,250
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 (Canada) 65,000 67,275
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 35,000 34,507
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 180,000 201,600
Nufarm Australia, Ltd. 144A company guaranty sr. notes 6 3/8s, 2019 (Australia) 35,000 36,138
PQ Corp. 144A sr. notes 8 3/4s, 2018 80,000 87,200
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 85,000 95,625
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 85,000 89,463
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 75,000 81,375
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 65,000 63,213
Smurfit Kappa Treasury company guaranty sr. unsec. unsub. debs 7 1/2s, 2025 (Ireland) 60,000 65,550
Steel Dynamics, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 100,000 108,750
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 20,000 21,750
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 25,000 27,125
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 10,000 9,925
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium) 135,000 153,563
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 30,000 31,650
Tronox Finance, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 85,000 85,106
USG Corp. sr. unsec. notes 9 3/4s, 2018 80,000 93,600
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 20,000 20,750
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 6s, 2023 110,000 105,600
4,547,235
Capital goods (2.7%)
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020 175,000 185,063
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 270,000 303,750
B/E Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 35,000 38,500
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 80,000 82,000
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 70,000 75,600
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 130,000 151,288
Beverage Packaging Holdings Luxembourg II SA company guaranty sr. sub. notes Ser. REGS, 9 1/2s, 2017 EUR 65,000 91,669
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) $125,000 132,500
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 65,000 64,675
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada) 50,000 56,875
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 145,000 158,413
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 144A company guaranty sr. unsec. notes 10 1/8s, 2020 15,000 16,106
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 100,000 92,750
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 55,000 57,063
Exide Technologies sr. notes 8 5/8s, 2018 (In default)(NON) 110,000 81,950
GrafTech International, Ltd. company guaranty sr. unsec. notes 6 3/8s, 2020 105,000 106,313
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 85,000 92,013
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 185,000 237,119
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 110,000 111,100
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 180,000 171,000
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 160,000 167,200
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 100,000 106,000
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France) 200,000 207,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 60,000 61,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 120,000 128,400
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 205,000 215,763
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 50,000 53,750
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 100,000 109,500
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 25,000 26,563
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 155,000 160,038
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 145,000 155,150
Titan International, Inc. 144A company guaranty sr. bonds 6 7/8s, 2020 55,000 56,788
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 25,000 26,875
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 140,000 150,500
Triumph Group, Inc. unsec. sub. FRN notes 4 7/8s, 2021 90,000 87,075
WESCO Distribution, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 25,000 25,125
4,043,474
Communication services (5.1%)
Adelphia Communications Corp. escrow bonds zero %, 2014 20,000 150
Adelphia Communications Corp. escrow bonds zero %, 2014 235,000 1,763
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 140,000 162,050
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 35,000 39,025
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 40,000 44,800
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 145,000 151,525
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 115,000 108,963
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 70,000 76,125
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 6 5/8s, 2022 35,000 36,400
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023 125,000 117,188
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 115,000 121,469
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 90,000 92,025
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 25,000 25,438
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 8 3/8s, 2020 20,000 21,600
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 45,000 48,731
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 175,000 172,813
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 65,000 70,200
CyrusOne LP/CyrusOne Finance Corp. company guaranty sr. unsec. notes 6 3/8s, 2022 35,000 35,875
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) 200,000 209,000
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 165,000 171,806
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 120,000 138,900
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 185,000 199,338
Equinix, Inc. sr. unsec. notes 7s, 2021 60,000 65,700
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 30,000 35,250
Frontier Communications Corp. sr. unsec. notes 8 1/2s, 2020 15,000 17,175
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 125,000 144,375
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 30,000 31,088
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 130,000 139,425
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 145,000 159,863
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 50,000 51,000
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 95,000 104,381
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 8 1/8s, 2023 (Luxembourg) 215,000 226,825
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021 (Luxembourg) 375,000 392,813
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 80,000 89,400
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 85,000 95,200
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 20,000 21,900
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 100,000 106,000
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 40,000 40,600
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. unsub. notes 7 1/4s, 2022 85,000 90,525
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 145,000 149,350
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 65,000 67,600
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 130,000 93,600
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 160,000 178,800
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 80,000 77,600
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 75,000 75,854
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 $90,000 94,692
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 115,000 125,395
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 65,000 69,342
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 36,000 38,880
SBA Telecommunications, Inc. notes 5 3/4s, 2020 35,000 36,488
Sprint Capital Corp. company guaranty 6 7/8s, 2028 260,000 247,000
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 115,000 133,400
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 60,000 64,650
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 225,000 271,969
Sprint Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 220,000 240,900
Sprint Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 265,000 286,863
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023 20,000 20,700
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021 45,000 47,250
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 30,000 30,600
T-Mobile USA, Inc. 144A sr. unsec. notes 5 1/4s, 2018 45,000 46,913
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 6 7/8s, 2021 (Canada) CAD 75,000 76,448
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $195,000 191,100
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 90,000 97,988
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 65,000 70,281
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 275,000 305,938
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Luxembourg) 80,000 84,000
Wind Acquisition Holdings Finance SA 144A company guaranty sr. notes 12 1/4s, 2017 (Luxembourg)(PIK) 153,063 158,038
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 65,000 74,588
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 170,000 181,475
Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 55,000 52,525
7,546,931
Consumer cyclicals (8.6%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 15,000 16,650
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 130,000 148,525
American Media, Inc. 144A notes 13 1/2s, 2018 18,955 20,377
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 40,000 46,000
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 35,000 37,625
Beazer Homes USA, Inc. company guaranty sr. notes 6 5/8s, 2018 90,000 96,750
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 8 1/8s, 2016 60,000 66,600
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 7 1/4s, 2023 50,000 49,000
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 60,000 60,000
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 20,000 20,050
Boyd Gaming Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 60,000 65,100
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 130,000 135,525
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 85,000 84,281
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 100,000 108,000
Building Materials Corp. 144A sr. notes 7s, 2020 45,000 48,375
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 50,000 53,375
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 45,000 48,488
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019 150,000 168,188
Burlington Holdings, LLC/Burlington Holding Finance, Inc. 144A sr. unsec. notes 9s, 2018(PIK) 15,000 15,450
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 9s, 2020 220,000 213,950
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 8 1/2s, 2020 90,000 86,625
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 145,000 147,538
CCM Merger, Inc. 144A company guaranty sr. unsec. notes 9 1/8s, 2019 80,000 83,800
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 20,000 21,800
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 60,000 58,800
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 36,350 36,577
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 85,000 85,638
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 65,000 75,075
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 125,000 144,375
Chinos Intermediate Holdings A, Inc. 144A sr. unsec. notes 7 3/4s, 2019(PIK) 50,000 50,500
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 200,000 227,500
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 30,000 28,913
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 15,000 14,063
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 60,000 65,550
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 120,000 121,200
Clear Channel Communications, Inc. company guaranty sr. unsec. unsub. notes 9s, 2019 255,000 260,100
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 295,000 310,488
Clear Channel Worldwide Holdings, Inc. sr. unsec. notes 6 1/2s, 2022 225,000 232,313
CST Brands, Inc. 144A company guaranty sr. unsec. notes 5s, 2023 145,000 139,563
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 95,000 99,988
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 130,000 138,775
Entercom Radio, LLC company guaranty sr. unsec. sub. notes 10 1/2s, 2019 110,000 125,125
FelCor Lodging LP company guaranty sr. notes 10s, 2014(R) 72,000 76,680
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 165,000 176,550
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023(R) 30,000 29,250
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2020 60,000 61,200
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2019 15,000 15,431
Garda World Security Corp. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 (Canada) 145,000 145,546
General Motors Co. 144A sr. unsec. notes 6 1/4s, 2043 30,000 30,450
General Motors Financial Co., Inc. 144A sr. unsec. notes 4 1/4s, 2023 45,000 42,863
Gibson Brands, Inc. 144A sr. unsec. notes 8 7/8s, 2018 70,000 71,575
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2020 110,000 109,725
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 3/8s, 2018 40,000 40,800
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 75,000 78,938
Gray Television, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2020 60,000 63,150
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 155,000 150,285
Griffey Intermediate, Inc. / Griffey Finance Sub LLC 144A sr. notes 7s, 2020 $115,000 89,700
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 85,000 92,863
Hanesbrands, Inc. sr. unsec. notes 8s, 2016 37,000 38,573
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 110,000 113,575
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 150,000 153,375
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 95,000 104,263
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 65,000 63,050
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 75,000 79,875
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 90,000 96,300
Jeld-Wen, Inc. 144A sr. notes 12 1/4s, 2017 125,000 142,188
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 45,000 47,025
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 70,000 73,850
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 130,000 143,000
L Brands, Inc. sr. notes 5 5/8s, 2022 50,000 51,250
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 75,000 77,344
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 220,000 229,350
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 40,000 37,100
LIN Television Corp. company guaranty sr. unsec. notes 6 3/8s, 2021 40,000 41,050
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 210,000 226,800
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 130,000 142,513
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 90,000 88,200
MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017 185,000 209,975
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 100,000 110,500
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 75,000 80,625
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 70,000 82,425
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 65,000 72,475
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 25,000 26,313
Michaels FinCo Holdings, LLC/Michaels FinCo, Inc. 144A sr. unsec. notes 7 1/2s, 2018(PIK) 90,000 93,150
Michaels Stores, Inc. company guaranty notes 11 3/8s, 2016 147,000 150,676
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 292,907 325,127
Navistar International Corp. sr. notes 8 1/4s, 2021 189,000 193,725
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 140,000 145,250
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 110,000 113,300
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8s, 2021 60,000 61,650
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 140,000 138,250
Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 155,000 163,913
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 110,000 113,300
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 4 1/2s, 2020 50,000 48,625
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 140,000 154,350
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 35,000 38,675
Owens Corning company guaranty sr. unsec. notes 9s, 2019 38,000 47,168
Penn National Gaming, Inc. 144A sr. unsec. notes 5 7/8s, 2021 70,000 68,775
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 95,000 95,950
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 65,000 69,875
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 60,000 61,500
Pulte Group, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 140,000 161,700
Pulte Group, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 75,000 77,250
Quiksilver, Inc./QS Wholesale, Inc. company guaranty sr. unsec. notes 10s, 2020 10,000 11,100
Quiksilver, Inc./QS Wholesale, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2018 10,000 10,750
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 35,000 38,238
Realogy Corp. 144A company guaranty sr. notes 7 5/8s, 2020 25,000 27,938
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2025 45,000 42,525
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 90,000 88,425
Rent-A-Center, Inc./TX company guaranty sr. unsec. notes 4 3/4s, 2021 75,000 70,313
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 79,000 86,110
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 135,000 136,013
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 200,000 223,750
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 100,000 110,500
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 70,000 68,950
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 45,000 45,619
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2021 80,000 82,200
Sirius XM Holdings, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 290,000 297,975
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 180,000 176,400
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 5/8s, 2022 5,000 5,300
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 10,000 10,638
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 95,000 101,888
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 45,000 46,125
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 50,000 47,375
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 21,000 22,995
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 45,000 43,425
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A sr. notes 7 3/4s, 2020 119,000 130,305
Townsquare Radio, LLC/Townsquare Radio, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 65,000 69,875
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 120,000 121,500
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016(PIK) 217,529 229,493
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 30,000 30,900
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 165,000 182,738
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 115,000 127,938
12,872,125
Consumer staples (2.5%)
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 135,000 124,200
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 50,000 51,500
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 50,000 53,625
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 35,000 40,950
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 45,000 43,763
B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021 60,000 57,150
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 75,000 83,531
Carrols Restaurant Group, Inc. company guaranty sr. notes 11 1/4s, 2018 30,000 34,200
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 120,000 131,100
Claire's Stores, Inc. 144A company guaranty sr. notes 6 1/8s, 2020 30,000 30,375
Claire's Stores, Inc. 144A sr. notes 9s, 2019 140,000 156,625
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 95,000 89,300
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 145,000 165,119
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 50,000 53,438
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 30,000 28,275
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 25,000 24,438
Dave & Buster's, Inc. company guaranty sr. unsec. unsub. notes 11s, 2018 130,000 143,326
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 95,000 106,400
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 235,000 260,850
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 105,000 114,581
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020 270,000 259,875
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 45,000 48,656
Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022 60,000 62,400
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020 50,000 51,875
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 40,000 43,200
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 35,000 36,313
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 135,000 141,075
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 65,000 69,225
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 150,000 163,500
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 148,000 157,990
Post Holdings, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 50,000 53,000
Post Holdings, Inc. 144A sr. unsec. unsub. notes 7 3/8s, 2022 10,000 10,600
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 135,000 143,100
Revlon Consumer Products Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2021 140,000 138,775
Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019 40,000 45,000
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 225,000 259,594
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 35,000 39,200
RSC Equipment Rental, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 35,000 39,813
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 90,000 95,175
Sun Merger Sub, Inc. 144A company guaranty sr. unsec. sub. notes 5 7/8s, 2021 25,000 25,625
Sun Merger Sub, Inc. 144A sr. unsec. notes 5 1/4s, 2018 15,000 15,638
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 30,000 33,600
Wells Enterprises, Inc. 144A sr. notes 6 3/4s, 2020 30,000 30,750
3,756,725
Energy (5.7%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 45,000 48,150
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 35,000 37,538
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 265,000 259,038
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 95,000 81,225
Antero Resources Finance Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 90,000 90,900
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021 196,000 205,800
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 60,000 64,500
Aurora USA Oil & Gas Inc., 144A sr. notes 9 7/8s, 2017 90,000 96,188
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 80,000 81,000
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 225,000 244,406
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 85,000 96,900
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 125,000 137,188
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 85,000 92,650
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 30,000 31,050
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield Finance, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2019 115,000 120,175
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 120,000 129,600
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 65,000 66,056
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 50,000 50,875
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) 105,000 74,550
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 205,000 222,938
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 130,000 137,475
Continental Resources, Inc. company guaranty sr. unsec. notes 5s, 2022 205,000 211,150
Continental Resources, Inc. company guaranty sr. unsec. notes 4 1/2s, 2023 45,000 44,550
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 230,000 242,650
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 95,000 104,500
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 65,000 69,225
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 165,000 160,875
Forbes Energy Services Ltd. company guaranty sr. unsec. notes 9s, 2019 80,000 79,000
Forum Energy Technologies, Inc. 144A sr. unsec. notes 6 1/4s, 2021 115,000 119,888
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 215,000 225,750
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 105,000 112,350
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 40,000 42,400
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 265,000 268,975
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 10,000 10,650
Hercules Offshore, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2021 40,000 41,900
Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021 45,000 49,613
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 90,000 95,850
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 135,000 138,038
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 175,000 193,813
Kodiak Oil & Gas Corp. 144A sr. unsec. unsub. notes 5 1/2s, 2022 25,000 25,000
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 160,000 178,400
Linn Energy LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 115,000 115,863
Linn Energy LLC/Linn Energy Finance Corp. 144A company guaranty sr. unsec. notes 7s, 2019 120,000 119,400
Lone Pine Resources Canada, Ltd. company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada) (In default)(NON) 45,000 26,100
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 75,000 78,000
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 55,000 55,550
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 120,000 90,000
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 95,000 99,038
Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s, 2018 90,000 93,600
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020 115,000 120,463
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 65,000 70,200
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 95,000 102,125
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 220,000 239,248
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 90,000 92,700
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 90,000 101,475
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6s, 2018 85,000 90,313
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 190,000 189,050
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 3/4s, 2022 175,000 191,204
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 50,000 54,250
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 45,000 44,213
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 135,000 145,125
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 60,000 60,225
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 185,000 209,050
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 45,000 46,575
Samson Investment Co. 144A sr. unsec. notes 10 1/2s, 2020 245,000 264,906
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 30,000 31,425
Seven Generations Energy Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 40,000 42,904
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 100,000 107,500
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 55,000 58,300
SM Energy Co. sr. unsec. notes 6 1/2s, 2021 50,000 53,500
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 20,000 21,400
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 30,000 30,300
Trinidad Drilling, Ltd. 144A sr. unsec. notes 7 7/8s, 2019 (Canada) 25,000 26,563
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 95,000 99,513
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 65,000 67,438
Whiting Petroleum Corp. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 165,000 170,363
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 71,000 84,008
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 65,000 65,325
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 145,000 155,150
8,495,141
Financials (4.5%)
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub., LLC 144A sr. unsec. notes 7 7/8s, 2020 115,000 119,888
Air Lease Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2020 50,000 51,688
Air Lease Corp. sr. unsec. notes 5 5/8s, 2017 40,000 43,900
Allegion US Holding Co., Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2021 50,000 51,875
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 90,000 100,688
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 65,000 70,200
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2020 60,000 72,000
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 65,000 76,213
Ally Financial, Inc. unsec. sub. notes 8s, 2018 65,000 77,350
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2068 100,000 120,050
BBVA International Preferred SAU bank guaranty jr. unsec. sub. FRN notes 5.919s, perpetual maturity (Spain) 105,000 99,488
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 135,000 143,775
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 20,000 19,225
CIT Group, Inc. company guaranty sr. notes 5s, 2023 65,000 63,538
CIT Group, Inc. sr. unsec. notes 5s, 2022 100,000 99,000
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 80,000 85,400
CIT Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2018 75,000 80,813
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 135,000 152,550
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 185,000 199,338
Citigroup, Inc. unsec. sub. notes 4 3/4s, 2019 EUR 40,000 54,024
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 $125,000 115,625
CNO Financial Group, Inc. 144A company guaranty sr. notes 6 3/8s, 2020 65,000 69,550
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 110,000 95,700
Dresdner Funding Trust I 144A bonds 8.151s, 2031 240,000 247,200
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 175,000 187,250
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB bonds 6.071s, perpetual maturity (Jersey) 75,000 74,719
HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018 (United Kingdom) 135,000 152,762
HBOS PLC 144A unsec. sub. bonds 6s, 2033 (United Kingdom) 60,000 58,630
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021 130,000 134,388
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 125,000 130,469
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A unsec. sub. notes 6s, 2020 75,000 76,969
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 80,000 87,800
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 60,000 61,650
International Lease Finance Corp. sr. unsec. unsub. notes 4 5/8s, 2021 40,000 38,900
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 70,000 76,650
iStar Financial, Inc. sr. unsec. unsub. notes Ser. B, 9s, 2017(R) 85,000 99,025
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. FRN notes 7s, 2037 30,000 31,200
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 75,000 80,250
Lloyds Bank PLC jr. sub. FRN notes Ser. EMTN, 13s, perpetual maturity (United Kingdom) GBP 100,000 257,161
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) $50,000 53,625
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 125,000 129,375
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 85,000 88,188
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 9 5/8s, 2019 50,000 56,250
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 100,000 103,750
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 85,000 80,750
Nationstar Mortgage, LLC/Nationstar Capital Corp. FRN notes 6 1/2s, 2018 40,000 40,500
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. 144A sr. notes 5 7/8s, 2022 75,000 76,875
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. 144A sr. notes 5 5/8s, 2020 50,000 52,500
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 85,000 83,513
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 160,000 158,800
Onex USI Acquisition Corp. 144A sr. unsec. notes 7 3/4s, 2021 120,000 122,700
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 75,000 80,625
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 115,000 115,575
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 120,000 122,400
Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/8s, 2019 60,000 66,150
Residential Capital, LLC company guaranty jr. notes 9 5/8s, 2015 (In default)(NON) 102,787 111,010
Royal Bank of Scotland Group PLC jr. sub. FRN notes Ser. U, 7.64s, perpetual maturity (United Kingdom) 100,000 95,750
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds 7.648s, perpetual maturity (United Kingdom) 265,000 274,938
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 290,000 337,850
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 295,000 318,600
Springleaf Finance Corp. 144A sr. unsec. notes 7 3/4s, 2021 30,000 32,100
Springleaf Finance Corp. 144A sr. unsec. notes 6s, 2020 85,000 83,725
Stearns Holdings, Inc. 144A bank guaranty sr. unsec. FRN notes 9 3/8s, 2020 135,000 139,388
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 50,000 53,250
6,735,088
Health care (3.4%)
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 60,000 61,950
AmSurg Corp. company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 135,000 140,400
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 7 3/4s, 2019 95,000 102,125
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 144A company guaranty sr. unsec. notes 6s, 2021 105,000 107,625
Biomet, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2020 85,000 88,400
Biomet, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 130,000 137,800
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 130,000 139,425
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 100,000 151,957
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) $95,000 96,663
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 185,000 192,400
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 40,000 43,500
Envision Healthcare Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 100,000 108,375
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 95,000 102,600
HCA, Inc. company guaranty sr. notes 8 1/2s, 2019 215,000 229,781
HCA, Inc. sr. notes 6 1/2s, 2020 430,000 474,553
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 30,000 33,375
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 190,000 203,775
Healthcare Technology Intermediate, Inc. 144A sr. unsec. notes 7 3/8s, 2018(PIK) 50,000 51,500
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 100,000 105,750
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 50,000 52,625
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 50,000 52,813
Jaguar Holding Co.II/ Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 80,000 89,800
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 180,000 206,550
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sr. unsec. notes 12 1/2s, 2019 65,000 72,150
LifePoint Hospitals, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2021 30,000 30,113
MPH Intermediate Holding Co. 2 144A sr. unsec. notes 8 3/8s, 2018(PIK) 60,000 62,400
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 95,000 104,975
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 70,000 76,125
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 150,000 157,500
Service Corp. International/US sr. notes 7s, 2019 50,000 53,500
Service Corp. International/US sr. notes 7s, 2017 65,000 72,963
Service Corp. International/US 144A sr. unsec. notes 5 3/8s, 2022 45,000 45,450
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 85,000 90,100
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 80,000 82,666
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 85,000 89,250
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 55,000 52,525
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 225,000 246,375
Tenet Healthcare Corp. 144A company guaranty sr. notes 4 3/8s, 2021 95,000 89,300
Tenet Healthcare Corp. 144A sr. notes 6s, 2020 60,000 62,700
United Surgical Partners International, Inc. company guaranty sr. unsec. unsub. notes 9s, 2020 80,000 89,600
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 20,000 21,450
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 45,000 48,263
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 150,000 158,250
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 120,000 128,250
Valeant Pharmaceuticals International 144A sr. unsec. notes 6 3/4s, 2018 125,000 137,656
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 160,000 164,400
5,109,703
Technology (1.9%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 75,000 77,906
Alcatel-Lucent USA, Inc. sr. unsec. unsub. notes 6.45s, 2029 25,000 21,625
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 65,000 58,825
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 235,000 228,538
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019 100,000 108,750
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 285,000 334,163
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 225,000 238,781
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 80,000 85,600
First Data Corp. 144A company guaranty sr. unsec. notes 11 1/4s, 2021 80,000 88,000
First Data Corp. 144A company guaranty sr. unsec. sub. notes 11 3/4s, 2021 180,000 186,750
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 84,000 95,340
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 120,000 121,200
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 60,000 67,650
Infor US, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2018 55,000 63,525
Iron Mountain, Inc. company guaranty sr. sub. notes 7 3/4s, 2019 45,000 49,950
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 105,000 107,100
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 14,000 15,120
Jazz Technologies, Inc. company guaranty sr. unsec. notes 8s, 2015 356,000 334,640
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 200,000 198,750
SunGard Data Systems, Inc. unsec. sub. notes 6 5/8s, 2019 70,000 73,063
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 95,000 103,313
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 120,000 131,100
2,789,689
Transportation (0.5%)
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg) 200,000 212,250
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 167,000 181,613
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 100,000 107,500
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 125,000 139,219
United Continental Holdings, Inc. company guaranty sr. unsec. notes 6s, 2020 70,000 69,738
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 90,000 89,775
800,095
Utilities and power (2.0%)
AES Corp. (VA) sr. unsec. notes 8s, 2020 55,000 64,350
AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017 85,000 99,663
AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021 145,000 163,850
AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023 45,000 42,525
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 138,000 151,110
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 30,000 30,825
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 25,000 24,750
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 95,000 103,060
DPL, Inc. sr. unsec. notes 6 1/2s, 2016 155,000 167,400
Dynegy Holdings Escrow, LLC escrow bonds 7 3/4s, 2019 175,000 219
El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031 100,000 102,042
El Paso Natural Gas Co. debs. 8 5/8s, 2022 40,000 51,295
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 172,000 182,750
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 12 1/4s, 2022 125,000 145,000
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020 293,000 310,580
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 107,000 121,980
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 75,000 80,813
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 35,000 39,375
EP Energy/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020 155,000 177,863
EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec. notes 8 1/8s, 2017(PIK) 67,788 71,516
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 100,000 105,000
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 125,000 140,313
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 25,000 28,813
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 60,000 60,000
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 325,000 362,375
Regency Energy Partners company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 75,000 73,688
Regency Energy Partners 144A company guaranty sr. unsec. notes 4 1/2s, 2023 95,000 86,925
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 15,000 18,135
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 60,000 43,950
3,050,165
Total corporate bonds and notes (cost $57,021,625) $59,746,371

CONVERTIBLE BONDS AND NOTES (33.7%)(a)
Principal amount Value
Basic materials (0.9%)
Cemex SAB de CV cv. unsec. sub. notes 4 7/8s, 2015 (Mexico) $725,000 $835,109
U.S. Steel Corp. cv. sr. unsec. notes 4s, 2014 485,000 507,128
1,342,237
Capital goods (1.9%)
Covanta Holding Corp. cv. sr. unsec. notes 3 1/4s, 2014 535,000 624,947
General Cable Corp. cv. unsec. sub. notes stepped-coupon 5s (2 1/4s, 11/15/19) 2029(STP) 595,000 633,303
Owens-Brockway Glass Container, Inc. 144A cv. company guaranty sr. unsec. notes 3s, 2015 655,000 677,516
Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s, 2036 685,000 888,359
2,824,125
Communication services (0.9%)
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A cv. company guaranty sr. unsec. notes 8 1/4s, 2040 199,000 227,606
Level 3 Communications, Inc. cv. sr. unsec. unsub. notes 6 1/2s, 2016 690,000 1,118,663
Powerwave Technologies, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2027 (In default)(NON) 1,160,000 5,800
1,352,069
Consumer cyclicals (7.8%)
Callaway Golf Co. cv. sr. unsec. bonds 3 3/4s, 2019 453,000 547,281
CBIZ, Inc. 144A cv. sr. sub. notes 4 7/8s, 2015 397,000 524,784
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 776,000 1,569,945
Forestar Group, Inc. cv. sr. unsec. unsub. notes 3 3/4s, 2020 412,000 454,766
Host Hotels & Resorts LP 144A cv. company guaranty sr. unsec. notes 2 1/2s, 2029(R) 295,000 425,722
Lennar Corp. 144A cv. sr. notes 2 3/4s, 2020 309,000 525,686
Liberty Interactive, LLC cv. sr. unsec. unsub. notes 3 1/2s, 2031 1,635,000 870,638
Liberty Interactive, LLC 144A cv. sr. unsec. notes 1s, 2043 405,000 417,656
Liberty Interactive, LLC 144A cv. sr. unsec. unsub. notes 3/4s, 2043 833,000 1,041,292
MGM Resorts International Co. cv. company guaranty sr. unsec. notes 4 1/4s, 2015 1,350,000 1,634,344
Priceline.com, Inc. cv. sr. unsec. unsub. notes 1s, 2018 320,000 449,200
Ryland Group, Inc. (The) cv. company guaranty sr. unsub. notes 1 5/8s, 2018 480,000 690,000
Standard Pacific Corp. cv. company guaranty sr. unsec. unsub. notes 1 1/4s, 2032 710,000 888,831
TRW Automotive, Inc. cv. company guaranty sr. unsec. notes 3 1/2s, 2015 195,000 515,897
XM Satellite Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014 527,000 1,106,041
11,662,083
Consumer staples (1.3%)
Hertz Global Holdings, Inc. cv. sr. unsec. notes 5 1/4s, 2014 64,000 188,200
Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015 345,000 823,688
Vector Group Ltd. cv. sr. unsec. FRN notes 2 1/2s, 2019 740,000 871,824
1,883,712
Energy (3.7%)
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 2 1/4s, 2038 2,230,000 2,090,625
Cobalt International Energy, Inc. cv. sr. unsec. unsub. notes 2 5/8s, 2019 375,000 376,172
Energy XXI Bermuda, Ltd. 144A cv. sr. unsec. notes 3s, 2018 316,000 311,671
Goodrich Petroleum Corp. cv. company guaranty sr. unsub. notes 5s, 2032 714,000 745,238
Hornbeck Offshore Services, Inc. cv. company guaranty sr. unsec. notes 1 1/2s, 2019 492,000 594,705
SEACOR Holdings, Inc. 144A cv. sr. unsec. notes 3s, 2028 621,000 624,105
Trico Marine Services, Inc. cv. sr. unsec. debs. 3s, 2027 (In default)(NON) 500,000 9,375
Vantage Drilling Co. cv. sr. unsec. unsub. notes 7 7/8s, 2042 615,000 727,238
5,479,129
Financials (4.7%)
Ares Capital Corp. cv. sr. unsec. notes 5 3/4s, 2016 935,000 1,015,317
Blackstone Mortgage Trust, Inc. cv. sr. unsec. unsub. notes 5 1/4s, 2018(R) 626,000 638,520
DFC Global Corp. cv. sr. unsec. unsub. notes 3 1/4s, 2017 175,000 155,785
Forest City Enterprises, Inc. cv. sr. unsec. notes 4 1/4s, 2018 816,000 915,960
Hercules Technology Growth Capital, Inc. cv. sr. unsec. notes 6s, 2016 453,000 657,983
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) 330,000 426,731
Morgans Hotel Group Co. cv. sr. sub. notes 2 3/8s, 2014(R) 436,000 420,740
PHH Corp. cv. sr. unsec. notes 4s, 2014 760,000 816,050
Radian Group, Inc. cv. sr. unsec. unsub. notes 3s, 2017 430,000 615,169
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4s, 2019(R) 386,000 426,289
Walter Investment Management Corp. cv. sr. unsec. sub. notes 4 1/2s, 2019 835,000 865,791
6,954,335
Health care (4.1%)
Accuray, Inc. cv. sr. unsec. notes 3 3/4s, 2016 694,000 749,520
Alere, Inc. cv. sr. unsec. sub. notes 3s, 2016 430,000 473,000
Brookdale Senior Living, Inc. cv. sr. unsec. unsub. notes 2 3/4s, 2018 355,000 438,647
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4s, 2014 (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
Cubist Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 1 1/8s, 2018 270,000 305,100
Gilead Sciences, Inc. cv. sr. unsec. notes 1 5/8s, 2016 150,000 493,095
HealthSouth Corp. cv. sr. unsec. sub. notes 2s, 2043 1,114,000 1,235,203
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2s (zero %, 3/1/18) 2042(STP) 1,075,000 1,097,844
Medidata Solutions, Inc. 144A cv. sr. unsec. notes 1s, 2018 370,000 467,588
Teleflex, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2017 490,000 806,663
6,158,850
Technology (8.4%)
Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s, 2015 794,000 829,730
Blucora, Inc. 144A cv. sr. unsec. unsub. notes 4 1/4s, 2019 425,000 629,531
Ciena, Inc. cv. sr. unsec. notes 4s, 2020 (acquired 8/23/13, cost $666,730)(RES) 488,000 689,300
Micron Technology, Inc. 144A cv. sr. unsec. notes 1 5/8s, 2033 1,875,000 3,725,391
Novellus Systems, Inc. cv. sr. unsec. notes 2 5/8s, 2041 260,000 415,838
ON Semiconductor Corp. cv. company guaranty sr. unsec. sub. notes Ser. B, 2 5/8s, 2026 727,000 767,894
Safeguard Scientifics, Inc. cv. sr. unsec. bonds 5 1/4s, 2018 1,485,000 1,783,856
Salesforce.com, Inc. 144A cv. sr. unsec. unsub. notes 1/4s, 2018 385,000 407,378
SanDisk Corp. cv. sr. unsec. notes 1 1/2s, 2017 640,000 916,400
TeleCommunication Systems, Inc. cv. sr. unsec. notes 7 3/4s, 2018 1,490,000 1,456,475
Vishay Intertechnology, Inc. 144A cv. sr. unsec. notes 2 1/4s, 2041 745,000 632,784
Xilinx, Inc. cv. sr. unsec. notes 2 5/8s, 2017 255,000 397,322
12,651,899
Total convertible bonds and notes (cost $45,179,500) $50,308,439

CONVERTIBLE PREFERRED STOCKS (20.8%)(a)
Shares Value
Basic materials (1.6%)
ArcelorMittal Ser. MTUS, $1.50 cv. pfd. (France) 39,735 $1,008,872
Smurfit-Stone Container Corp. (Escrow) zero % cv. pfd.(F) 65,720 657
Weyerhaeuser Co. Ser. A, $3.188 cv. pfd.(R) 26,055 1,428,140
2,437,669
Capital goods (1.4%)
United Technologies Corp. $3.75 cv. pfd. 31,820 2,079,755
2,079,755
Communication services (1.8%)
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 28,570 1,332,505
Crown Castle International Corp. Ser. A, $2.25 cv. pfd.(NON) 10,509 1,054,683
Iridium Communications, Inc. 144A $7.00 cv. pfd. 4,095 372,133
2,759,321
Consumer cyclicals (1.4%)
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) 45,325 1,051,540
Stanley Black & Decker, Inc. $6.25 cv. pfd.(NON) 4,436 452,472
Stanley Black & Decker, Inc. $4.75 cv. pfd. 4,483 558,414
2,062,426
Consumer staples (0.5%)
Post Holdings, Inc. 144A $3.75 cv. pfd. 5,894 713,940
713,940
Energy (2.0%)
Chesapeake Energy Corp. 144A 5.75% cv. pfd. 1,848 2,118,270
Halcon Resources Corp. Ser. A, 5.75% cv. pfd. 1,058 929,379
3,047,649
Financials (7.4%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd.(R) 28,010 703,751
AMG Capital Trust II $2.575 cv. pfd. 27,810 1,689,458
Bank of America Corp. Ser. L, 7.25% cv. pfd. 2,653 2,851,975
EPR Properties Ser. C, $1.44 cv. pfd. 44,170 921,360
Health Care REIT, Inc. Ser. I, $3.25 cv. pfd.(R) 14,532 783,365
Maiden Holdings, Ltd. Ser. B, $3.625 cv. pfd. (Bermuda)(NON) 12,555 632,395
MetLife, Inc. $3.75 cv. pfd. 29,905 917,186
OFG Bancorp Ser. C, 8.75% cv. pfd. (Puerto Rico) 620 1,029,200
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 1,290 1,450,444
10,979,134
Technology (0.6%)
Lucent Technologies Capital Trust I 7.75% cv. pfd. 507 512,070
Unisys Corp. Ser. A, 6.25% cv. pfd. 4,588 340,659
852,729
Transportation (1.9%)
Continental Financial Trust II $3.00 cv. pfd. 18,090 864,928
Genesee & Wyoming, Inc. $5.00 cv. pfd. 5,938 774,315
Swift Mandatory Common Exchange Security Trust 144A 6.00% cv. pfd. 62,565 1,188,460
2,827,703
Utilities and power (2.2%)
AES Trust III $3.375 cv. pfd. 18,460 929,347
Dominion Resources, Inc. Ser. A, $3.063 cv. pfd. 14,127 774,725
El Paso Energy Capital Trust I $2.375 cv. pfd. 1,069 60,298
NextEra Energy, Inc. $2.799 cv. pfd. 11,775 671,175
PPL Corp. $4.375 cv. pfd. 15,170 802,948
3,238,493
Total convertible preferred stocks (cost $27,258,862) $30,998,819

UNITS (0.9%)(a)
Units Value
Ashland, Inc. cv. jr. unsec. sub. debs. units 6 1/2s, 2029 1,540,000 $1,293,600
Total Units (cost $1,273,236) $1,293,600

COMMON STOCKS (0.7%)(a)
Shares Value
American Axle & Manufacturing Holdings, Inc.(NON) 3,645 $72,900
Calpine Corp.(NON) 4,660 88,121
CIT Group, Inc. 936 47,249
DISH Network Corp. Class A 1,525 82,594
Elizabeth Arden, Inc.(NON) 1,945 76,886
General Motors Co.(NON) 2,545 98,568
Gulfport Energy Corp.(NON) 1,122 65,558
Halcon Resources Corp.(NON) 3,648 14,628
Harry & David Holdings, Inc.(NON) 105 13,020
Huntsman Corp. 3,375 77,389
Jarden Corp.(NON) 1,460 82,110
Kodiak Oil & Gas Corp.(NON) 11,230 127,348
LyondellBasell Industries NV Class A 855 65,989
Trump Entertainment Resorts, Inc.(NON) 152 304
Vantage Drilling Co.(NON) 36,191 67,677
Total common stocks (cost $952,199) $980,341

PREFERRED STOCKS (0.3%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 146 $140,301
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 6,800 182,512
M/I Homes, Inc. $2.438 pfd. 2,305 59,354
Total preferred stocks (cost $343,484) $382,167

SENIOR LOANS (—%)(a)(c)
Principal amount Value
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.488s, 2018 $50,000 $47,438
Total senior loans (cost $45,027) $47,438

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Tower Semiconductor, Ltd. 144A (Israel)(F) 6/30/15 $1.70 168,777 $1
Total warrants (cost $33,755) $1

SHORT-TERM INVESTMENTS (2.9%)(a)
Shares Value
Putnam Short Term Investment Fund 0.08%(AFF) 4,310,777 $4,310,777
Total short-term investments (cost $4,310,777) $4,310,777

TOTAL INVESTMENTS
Total investments (cost $136,418,465)(b) $148,067,953













FORWARD CURRENCY CONTRACTS at 11/30/13 (aggregate face value $1,326,600) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Canadian Dollar Sell 1/16/14 $32,903 $33,827 $924
Barclays Bank PLC
British Pound Sell 12/18/13 244,438 232,290 (12,148)
Credit Suisse International
Euro Sell 12/18/13 81,392 78,914 (2,478)
Deutsche Bank AG
Euro Sell 12/18/13 10,055 4,148 (5,907)
JPMorgan Chase Bank N.A.
Canadian Dollar Sell 1/16/14 38,544 39,658 1,114
State Street Bank and Trust Co.
Canadian Dollar Sell 1/16/14 145,713 149,902 4,189
Euro Buy 12/18/13 208,439 208,236 203
WestPac Banking Corp.
Canadian Dollar Sell 1/16/14 69,660 71,663 2,003
Euro Sell 12/18/13 523,950 507,962 (15,988)
Total $(28,088)












Key to holding's currency abbreviations
CAD Canadian Dollar
EUR Euro
GBP British Pound
USD / $ United States Dollar
Key to holding's abbreviations
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
GMTN Global Medium Term Notes
MTN Medium Term Notes
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from September 1, 2013 through November 30, 2013 (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 $149,313,350.
(b) The aggregate identified cost on a tax basis is $136,246,393, resulting in gross unrealized appreciation and depreciation of $15,624,250 and $3,802,690, respectively, or net unrealized appreciation of $11,821,560.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES) Security is restricted with regard to public resale. The total market value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $689,300, or 0.5% 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 Market value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Market value at the end of the reporting period
Putnam Short Term Investment Fund * $2,095,391 $9,269,123 $7,053,737 $394 $4,310,777
* 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) 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 $484,113 to cover certain derivatives contracts and the settlement of certain securities.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are 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.
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 and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $34,518 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund for these agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks *:
    Basic materials $143,378 $— $—
    Capital goods 72,900 — —
    Communication services 82,594 — —
    Consumer cyclicals 180,678 304 —
    Consumer staples 76,886 13,020 —
    Energy 275,211 — —
    Financials 47,249 — —
    Utilities and power 88,121 — —
Total common stocks 967,017 13,324 —
Convertible bonds and notes — 50,216,249 92,190
Convertible preferred stocks 3,819,022 27,179,140 657
Corporate bonds and notes — 59,746,371 —
Preferred stocks 182,512 199,655 —
Senior loans — 47,438 —
Units — 1,293,600 —
Warrants — 1 —
Short-term investments 4,310,777 — —
Totals by level $9,279,328 $138,695,778 $92,847



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


Forward currency contracts $— $(28,088) $—
Totals by level $— $(28,088) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Foreign exchange contracts $8,433 $36,521
Equity contracts 1 —
Total $8,434 $36,521


The average volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows:
Forward currency contracts (contract amount) $1,600,000
Warrants (number of warrants) 168,777

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



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

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

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

Putnam High Income Securities Fund
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: January 28, 2014

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: January 28, 2014

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: January 28, 2014