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, 2012
Date of reporting period: May 31, 2012



Item 1. Schedule of Investments:













Putnam High Income Securities Fund

The fund's portfolio
5/31/12 (Unaudited)
CORPORATE BONDS AND NOTES (41.8%)(a)
Principal amount Value
Basic materials (2.7%)
Associated Materials, LLC company guaranty sr. notes 9 1/8s, 2017 $20,000 $17,475
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 185,000 184,075
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany) 55,000 58,163
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 140,000 145,950
Compass Minerals International, Inc. company guaranty sr. unsec. notes 8s, 2019 115,000 122,763
Edgen Murray Corp. company guaranty sr. notes 12 1/4s, 2015 50,000 51,125
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 160,000 159,200
FMG Resources August 2006 Pty, Ltd. 144A company guaranty sr. unsec notes 6 3/8s, 2016 (Australia) 40,000 39,100
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 95,000 98,088
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 40,000 40,050
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 150,000 147,217
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia) 65,000 62,442
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 30,000 26,175
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 90,000 89,550
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes FRN 4.967s, 2014 45,000 40,613
Hexion U.S. Finance Corp./Hexion Nove Scotia Finance, ULC 144A company guaranty sr. notes 6 5/8s, 2020 40,000 40,500
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 90,000 100,800
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 75,000 83,625
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) 100,000 105,000
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (United Kingdom) EUR 105,000 111,226
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 $130,000 135,200
Louisiana-Pacific Corp. 144A sr. unsec. notes 7 1/2s, 2020 55,000 56,100
LyondellBasell Industries NV 144A sr. unsec. notes 5s, 2019 (Netherlands) 240,000 244,200
Momentive Performance Materials, Inc. notes 9s, 2021 110,000 83,050
Momentive Performance Materials, Inc. 144A company guaranty sr. notes 10s, 2020 30,000 29,925
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 (Canada) 65,000 68,352
Norbord, Inc. sr. unsub. notes 7 1/4s, 2012 (Canada) 10,000 9,988
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 110,000 116,325
Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015 120,000 117,900
Old All, Inc. company guaranty sr. unsec. notes 9s, 2014 (In default)(F)(NON) 230,000 1
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria) EUR 55,000 72,644
Resolute Forest Products company guaranty sr. notes 10 1/4s, 2018 (Canada) $15,000 16,988
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec notes 10s, 2020 45,000 45,450
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A sr. notes 8 5/8s, 2017 140,000 165,434
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland) 105,000 106,050
Smurfit Kappa Treasury company guaranty sr. unsec. unsub. debs 7 1/2s, 2025 (Ireland) 35,000 34,738
Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017 90,000 101,250
Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 165,000 193,050
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016 65,000 67,113
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 100,000 101,750
TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017 110,000 115,500
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes 8 3/4s, 2019 75,000 26,625
Verso Paper Holdings, LLC/Verso Paper, Inc. 144A company guaranty sr. notes 11 3/4s, 2019 10,000 7,600
3,638,370
Capital goods (2.6%)
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 185,000 197,488
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 160,000 169,600
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014 60,000 61,950
American Axle & Manufacturing, Inc. 144A company guaranty sr. notes 9 1/4s, 2017 41,000 45,203
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 100,000 127,346
Ball Corp. company guaranty sr. unsec. notes 5s, 2022 $20,000 20,200
BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 35,000 38,413
BE Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 80,000 81,400
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018 70,000 71,750
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 40,000 41,600
Berry Plastics Holding Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2016 50,000 51,125
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada) 50,000 54,813
Bombardier, Inc. 144A sr. unsec. notes 5 3/4s, 2022 (Canada) 65,000 63,213
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 115,000 122,763
Exide Technologies sr. notes 8 5/8s, 2018 80,000 59,200
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 180,000 190,800
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) 245,000 320,186
Mead Products, LLC/ACCO Brands Corp. 144A company guaranty sr. unsec notes 6 3/4s, 2020 25,000 25,688
Meritor, Inc. company guaranty sr. unsec. notes 8 1/8s, 2015 30,000 31,913
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 13,000 14,365
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 185,000 173,900
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 110,000 114,950
Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 7 1/8s, 2019 100,000 102,750
Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 120,000 115,200
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC 144A company guaranty sr. notes 7 3/4s, 2016 115,000 121,325
Ryerson Holding Corp. sr. disc. notes zero %, 2015 125,000 67,813
Ryerson, Inc. company guaranty sr. notes 12s, 2015 220,000 224,400
Silgan Holdings, Inc. 144A sr. notes 5s, 2020 30,000 29,925
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 90,000 95,625
Terex Corp. company guaranty sr. unsec. notes 10 7/8s, 2016 55,000 61,600
Terex Corp. sr. unsec. sub. notes 8s, 2017 125,000 127,188
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 175,000 178,500
Thermadyne Holdings Corp. 144A sr. notes 9s, 2017 70,000 71,400
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 79,000 86,900
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 145,000 154,063
3,568,305
Communication services (5.4%)
Adelphia Communications Corp. escrow bonds zero %, 2012 20,000 150
Adelphia Communications Corp. escrow bonds zero %, 2012 235,000 1,763
AMC Networks, Inc. 144A company guaranty sr. unsec notes 7 3/4s, 2021 30,000 33,300
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 85,000 86,488
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 180,000 196,650
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 35,000 36,488
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 110,000 117,975
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 95,000 97,138
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 70,000 75,163
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 6 5/8s, 2022 75,000 76,781
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 85,000 89,038
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017 125,000 131,719
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 100,000 93,000
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2017 120,000 122,400
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2017 665,000 512,050
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 110,000 95,975
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 10,000 8,675
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 195,000 178,425
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 115,000 121,325
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 45,000 48,319
CSC Holdings, LLC 144A sr. unsec. unsub. notes 6 3/4s, 2021 65,000 65,813
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 165,000 165,825
Equinix, Inc. sr. unsec. notes 7s, 2021 75,000 80,250
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 35,000 36,225
Frontier Communications Corp. sr. unsec. notes 8 1/2s, 2020 85,000 85,213
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017 65,000 67,113
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2014 25,000 27,375
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 95,000 96,663
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 130,000 131,950
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 145,000 150,075
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 95,000 95,000
Intelsat Jackson Holdings SA 144A company guaranty sr. unsec notes 7 1/4s, 2020 (Bermuda) 80,000 79,400
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 322,187 316,549
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 580,000 569,850
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 85,000 82,663
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 80,000 85,000
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 20,000 20,000
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes FRN 8 5/8s, 2020 85,000 86,700
Mediacom Broadband, LLC/Mediacom Broadband Corp. sr. unsec. unsub. notes 8 1/2s, 2015 50,000 51,375
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 55,000 59,538
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 7 1/4s, 2022 60,000 60,150
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 165,000 167,475
Nextel Communications, Inc. company guaranty sr. unsec. notes Ser. D, 7 3/8s, 2015 55,000 53,763
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 50,000 52,000
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 135,000 113,738
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 50,000 53,750
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 160,000 175,600
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 75,000 76,380
Qwest Corp. notes 6 3/4s, 2021 $130,000 145,431
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 90,000 100,811
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 65,000 70,308
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 36,000 39,060
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016 94,000 100,345
Sprint Capital Corp. company guaranty 6 7/8s, 2028 295,000 219,038
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 145,000 139,200
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 325,000 297,375
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 210,000 226,800
Sprint Nextel Corp. 144A sr. unsec. notes 9 1/8s, 2017 95,000 94,288
Videotron Ltee sr. notes 6 7/8s, 2021 (Canada) CAD 75,000 77,852
Videotron Ltee 144A sr. unsec. notes 5s, 2022 (Canada) $115,000 112,125
Virgin Media Finance PLC company guaranty sr. notes Ser. 1, 9 1/2s, 2016 (United Kingdom) 73,000 80,848
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Luxembourg) 80,000 68,400
Wind Acquisition Holdings Finance SA 144A company guaranty sr. notes 12 1/4s, 2017 (Italy)(PIK) 128,062 94,766
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 35,000 36,313
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2013 95,000 99,988
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 65,000 69,225
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 75,000 75,188
7,375,616
Consumer cyclicals (9.9%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 15,000 15,825
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 105,000 84,525
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 135,000 114,075
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 125,000 105,625
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 200,000 215,000
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 168,000 175,560
American Media, Inc. 144A notes 13 1/2s, 2018 18,955 17,249
AmeriGas Finance, LLC/AmeriGas Finance Corp. company guaranty sr. unsec notes 7s, 2022 85,000 83,300
ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016(PIK) 50,000 51,126
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 40,000 43,200
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 35,000 35,263
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 6 7/8s, 2015 65,000 59,963
Beazer Homes USA, Inc. company guaranty sr. unsec. unsub. notes 9 1/8s, 2018 15,000 12,450
Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019 40,000 33,200
Beazer Homes USA, Inc. sr. unsec. notes company guaranty 8 1/8s, 2016 10,000 9,125
Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014 190,000 131,100
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 100,000 106,250
Building Materials Corp. 144A sr. notes 7s, 2020 45,000 47,250
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 50,000 51,625
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 40,000 40,900
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec notes 10s, 2019 90,000 92,925
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 227,000 153,225
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2015 30,000 26,100
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 270,000 286,875
Caesars Operating Escrow LLC/Caesars Escrow Corp. 144A sr. sub. notes 8 1/2s, 2020 90,000 89,663
Carmike Cinemas, Inc. 144A company guaranty sr. notes 7 3/8s, 2019 55,000 56,650
CCM Merger, Inc. 144A company guaranty sr. unsec notes 9 1/8s, 2019 80,000 80,200
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 20,000 22,150
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 125,000 113,125
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 200,000 200,500
Cinemark USA, Inc. company guaranty sr. unsec. notes 8 5/8s, 2019 50,000 54,375
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 60,000 64,200
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty 10 3/4s, 2017(PIK) 173,022 185,134
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 120,000 103,200
Clear Channel Communications, Inc. company guaranty unsec. unsub. notes 10 3/4s, 2016 180,000 117,000
Clear Channel Communications, Inc. sr. unsec. notes 5 1/2s, 2014 100,000 85,500
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2017 20,000 21,400
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017 95,000 102,125
Clear Channel Worldwide Holdings, Inc. 144A company guaranty sr. sub. notes 7 5/8s, 2020 80,000 76,000
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015 205,000 213,713
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 125,000 113,750
DISH DBS Corp. company guaranty 7 1/8s, 2016 15,000 16,050
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 135,000 150,188
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 170,000 175,525
Entercom Radio, LLC company guaranty sr. unsec. sub. notes 10 1/2s, 2019 110,000 118,800
FelCor Lodging LP company guaranty sr. notes 10s, 2014(R) 151,000 172,140
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 165,000 165,413
Ford Motor Credit Co., LLC sr. unsec. notes 8 1/8s, 2020 315,000 398,869
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 3/4s, 2021 200,000 227,662
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015 130,000 133,900
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 85,000 86,806
Hanesbrands, Inc. sr. unsec. notes 8s, 2016 75,000 82,219
HD Supply, Inc. 144A company guaranty sr. notes 8 1/8s, 2019 80,000 83,600
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 240,000 265,800
Isle of Capri Casinos, Inc. company guaranty 7s, 2014 195,000 193,538
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 90,000 91,013
Jarden Corp. company guaranty sr. unsec. notes 8s, 2016 50,000 54,125
Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017 150,000 169,500
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 10,000 11,225
Lamar Media Corp. company guaranty sr. sub. notes 7 7/8s, 2018 30,000 32,250
Lamar Media Corp. 144A sr. sub. notes 5 7/8s, 2022 50,000 50,313
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 145,000 150,800
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 100,000 107,000
Limited Brands, Inc. sr. notes 5 5/8s, 2022 50,000 50,438
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 180,000 182,250
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 160,000 185,086
Macy's Retail Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2015 75,000 88,222
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) 200,000 15,000
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 130,000 132,275
MGM Resorts International company guaranty sr. notes 9s, 2020 10,000 10,950
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 40,000 40,200
MGM Resorts International company guaranty sr. unsec. notes 6 5/8s, 2015 140,000 143,763
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 65,000 65,000
MGM Resorts International sr. notes 10 3/8s, 2014 20,000 22,500
MGM Resorts International sr. notes 6 3/4s, 2012 2,000 2,014
MGM Resorts International 144A company guaranty sr. unsec. notes 8 5/8s, 2019 70,000 74,025
Michaels Stores, Inc. company guaranty 11 3/8s, 2016 225,000 239,065
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019(PIK) 291,450 294,365
Navistar International Corp. sr. notes 8 1/4s, 2021 224,000 235,200
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 140,000 136,850
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc. company guaranty sr. notes 8 7/8s, 2017 105,000 109,725
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 205,000 220,375
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 125,000 131,875
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 45,000 43,650
Owens Corning company guaranty sr. unsec. notes 9s, 2019 225,000 274,500
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 30,000 33,075
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016 150,000 155,250
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 65,000 69,875
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 95,000 98,800
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 35,000 37,975
Pulte Group, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 140,000 149,800
Pulte Group, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 80,000 77,000
QVC Inc. 144A sr. notes 7 1/2s, 2019 90,000 97,875
QVC Inc. 144A sr. notes 7 3/8s, 2020 65,000 70,850
Realogy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 90,000 87,525
Realogy Corp. 144A company guaranty sr. notes 9s, 2020 25,000 25,063
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 35,000 33,250
Realogy Corp. 144A company guaranty sr. notes 7 5/8s, 2020 25,000 25,688
Regal Entertainment Group company guaranty sr. unsec. notes 9 1/8s, 2018 140,000 152,250
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 85,000 85,850
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 135,000 150,863
Rural/Metro Corp. 144A sr. unsec. notes 10 1/8s, 2019 130,000 121,875
Rural/Metro Corp. 144A sr. unsec. notes 10 1/8s, 2019 40,000 36,850
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 200,000 183,000
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 70,000 70,000
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. notes 6 5/8s, 2020 90,000 95,400
Sealy Mattress Co. 144A company guaranty sr. notes 10 7/8s, 2016 49,000 53,165
Sears Holdings Corp. company guaranty 6 5/8s, 2018 55,000 47,231
Spectrum Brands Holdings, Inc. company guaranty sr. notes 9 1/2s, 2018 95,000 104,975
Spectrum Brands Holdings, Inc. 144A company guaranty sr. notes 9 1/2s, 2018 50,000 55,250
Spectrum Brands Holdings, Inc. 144A sr. notes 6 3/4s, 2020 95,000 96,188
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016 40,000 42,200
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A sr. notes 7 3/4s, 2020 85,000 87,550
Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016 30,000 29,925
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 110,000 113,163
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 145,000 157,688
TransUnion Holding Co., Inc. 144A sr. notes 9 5/8s, 2018(PIK) 30,000 31,425
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016 120,000 42,900
Travelport, LLC company guaranty sr. unsec. unsub. notes 9 7/8s, 2014 10,000 6,975
Travelport, LLC 144A sr. notes 6.47s, 2016(PIK) 80,000 57,800
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 60,000 38,700
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014 EUR 60,000 76,254
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 $75,000 72,375
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 115,000 117,588
UR Financing Escrow Corp. 144A company guaranty notes 5 3/4s, 2018 30,000 30,525
UR Financing Escrow Corp. 144A sr. unsec. notes 7 5/8s, 2022 50,000 51,125
UR Merger Sub Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2019 200,000 220,500
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty 1st mtge. notes 7 3/4s, 2020 70,000 76,038
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013 145,000 162,763
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 130,000 139,100
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) 95,000 95,238
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 210,000 223,125
13,412,365
Consumer staples (3.2%)
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 35,000 38,238
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 30,000 32,588
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 150,000 154,125
Avis Budget Car Rental, LLC 144A company guaranty sr. unsec. unsub. notes 8 1/4s, 2019 30,000 31,050
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 75,000 84,656
Carrols Restaurant Group, Inc. 144A company guaranty sr. notes 11 1/4s, 2018 30,000 30,525
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016(PIK) 66,958 72,147
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 80,000 67,600
Claire's Stores, Inc. 144A sr. notes 9s, 2019 95,000 95,000
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 145,000 163,578
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 50,000 53,125
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 150,000 161,625
Dave & Buster's, Inc. company guaranty sr. unsec. unsub. notes 11s, 2018 130,000 139,750
Dean Foods Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2018 75,000 82,453
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 95,000 98,919
Del Monte Corp. company guaranty sr. unsec. notes 7 5/8s, 2019 45,000 43,650
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 175,000 190,094
Dole Food Co. sr. notes 13 7/8s, 2014 94,000 107,160
Dole Food Co. 144A sr. notes 8s, 2016 35,000 36,619
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 105,000 114,581
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018 45,000 46,856
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 110,000 144,717
JBS USA, LLC/JBS USA Finance, Inc. company guaranty sr. unsec. notes 11 5/8s, 2014 $60,000 68,100
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 40,000 38,200
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 135,000 124,538
Landry's Acquisition Co. 144A sr. unsec. notes 9 3/8s, 2020 70,000 71,750
Libbey Glass, Inc. sr. notes 10s, 2015 8,000 8,520
Libbey Glass, Inc. 144A company guaranty sr. notes 6 7/8s, 2020 60,000 60,150
Michael Foods, Inc. company guaranty sr. unsec notes 9 3/4s, 2018 55,000 59,538
Post Holdings, Inc. 144A sr. unsec. notes 7 3/8s, 2022 40,000 40,700
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 135,000 147,150
Revlon Consumer Products Corp. company guaranty notes 9 3/4s, 2015 80,000 85,800
Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019 40,000 45,200
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 65,000 64,350
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 250,000 240,000
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 35,000 38,281
Rite Aid Corp. 144A sr. notes 9 1/4s, 2020 95,000 91,200
Service Corporation International sr. notes 7s, 2019 50,000 52,750
Service Corporation International sr. notes 7s, 2017 65,000 72,313
Service Corporation International sr. unsec. notes 7 3/8s, 2014 125,000 136,563
Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014 130,000 149,500
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 85,000 87,125
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014 305,000 349,225
Wendy's Co. (The) company guaranty sr. unsec. unsub. notes 10s, 2016 225,000 243,565
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 40,000 41,700
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 65,000 65,163
4,370,437
Energy (5.6%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 45,000 40,388
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 85,000 76,288
Anadarko Finance Co. company guaranty sr. unsec. unsub. notes Ser. B, 7 1/2s, 2031 20,000 24,972
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 75,000 85,003
Anadarko Petroleum Corp. sr. unsec. notes 6.2s, 2040 50,000 57,244
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 30,000 25,650
Arch Coal, Inc. 144A company guaranty sr. unsec. notes 7s, 2019 110,000 94,325
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015 50,000 26,625
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 60,000 62,100
Aurora USA Oil & Gas Inc.. 144A sr. notes 9 7/8s, 2017 65,000 68,250
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 265,000 276,925
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 85,000 94,563
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 125,000 132,500
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 35,000 36,925
Chesapeake Energy Corp. company guaranty sr. unsec. unsub. notes 6.775s, 2019 75,000 71,250
Chesapeake Midstream Partners LP/CHKM Finance Corp. company guaranty sr. unsec notes 5 7/8s, 2021 45,000 42,975
Chesapeake Midstream Partners LP/CHKM Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 35,000 33,250
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2019 115,000 99,475
Comstock Resources, Inc. company guaranty sr. unsub. notes 8 3/8s, 2017 110,000 107,250
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 120,000 125,100
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 50,000 49,125
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) 50,000 46,500
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 215,000 215,000
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 130,000 130,325
Continental Resources, Inc. 144A company guaranty sr. unsec notes 5s, 2022 110,000 109,175
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 230,000 241,500
Crosstex Energy LP/Crosstex Energy Finance Corp. 144A company guaranty sr. unsec notes 7 1/8s, 2022 40,000 39,700
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 95,000 102,600
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 65,000 66,950
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 144A sr. notes 6 7/8s, 2019 45,000 46,125
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 144A sr. unsec. notes 9 3/8s, 2020 195,000 199,875
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 250,000 210,000
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 9 1/8s, 2017 75,000 77,625
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 85,000 76,075
Forbes Energy Services Ltd. company guaranty sr. unsec notes 9s, 2019 80,000 74,200
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 115,000 113,850
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 185,000 175,750
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 10,000 9,650
Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017 130,000 130,000
Inergy LP/Inergy Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021 99,000 99,000
James River Coal Co. company guaranty sr. unsec. unsub. notes 7 7/8s, 2019 25,000 13,750
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 110,000 110,413
Key Energy Services, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 25,000 24,969
Kodiak Oil & Gas Corp. 144A sr. notes 8 1/8s, 2019 175,000 180,250
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019 160,000 177,600
Laredo Petroleum, Inc. 144A company guaranty sr. unsec notes 7 3/8s, 2022 40,000 40,900
Lone Pine Resources Canada, Ltd. 144A company guaranty sr. notes 10 3/8s, 2017 (Canada) 45,000 42,750
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 90,000 91,800
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 120,000 92,400
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 50,000 52,625
Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s, 2018 90,000 95,400
Northern Oil and Gas, Inc. 144A company guaranty sr. unsec notes 8s, 2020 95,000 94,525
Offshore Group Investments, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 120,000 127,800
Offshore Group Investments, Ltd. 144A company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 80,000 85,200
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 185,000 204,888
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 10,000 10,075
Peabody Energy Corp. 144A sr. unsec. notes 6s, 2018 175,000 174,563
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 190,000 192,850
Petroleum Development Corp. company guaranty sr. unsec. notes 12s, 2018 265,000 284,875
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 3/4s, 2022 175,000 173,250
Quicksilver Resources, Inc. company guaranty sr. unsec. notes 8 1/4s, 2015 50,000 48,875
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 70,000 71,750
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 50,000 54,000
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022 45,000 43,200
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 135,000 146,813
Sabine Pass LNG LP notes 7 1/2s, 2016 185,000 195,638
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020 245,000 243,775
SandRidge Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2016 55,000 59,950
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 5,000 4,850
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 230,000 230,000
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 55,000 56,650
SM Energy Co. sr. unsec. notes 6 1/2s, 2021 50,000 51,125
Trinidad Drilling, Ltd. 144A sr. unsec. notes 7 7/8s, 2019 (Canada) 25,000 26,250
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 30,000 29,925
Whiting Petroleum Corp. company guaranty 7s, 2014 90,000 95,400
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 71,000 92,198
WPX Energy, Inc. 144A sr. unsec. notes 6s, 2022 40,000 38,500
WPX Energy, Inc. 144A sr. unsec. notes 5 1/4s, 2017 145,000 143,731
7,697,596
Financials (4.6%)
ABN AMRO North American Holding Preferred Capital Repackage Trust I 144A jr. unsec. sub. bonds FRB 6.523s, perpetual maturity 195,000 168,188
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 75,000 65,438
Air Lease Corp. 144A sr. notes 5 5/8s, 2017 95,000 93,100
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 90,000 92,344
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 65,000 69,550
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2020 60,000 67,650
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 65,000 71,338
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2017 40,000 40,000
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.688s, 2014 65,000 62,266
Ally Financial, Inc. unsec. sub. notes 8s, 2018 65,000 70,200
American International Group, Inc. jr. sub. bonds FRB 8.175s, 2068 140,000 145,425
BankAmerica Capital II bank guaranty jr. unsec. sub. notes 8s, 2026 30,000 30,075
Capital One Capital IV company guaranty jr. unsec. sub. notes FRN 6.745s, 2037 105,000 105,131
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 35,000 37,275
CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub. notes 11 5/8s, 2017 170,000 192,100
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 80,000 76,800
CIT Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2018 105,000 103,425
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2017 65,000 63,863
CIT Group, Inc. 144A bonds 7s, 2017 444,536 443,981
CIT Group, Inc. 144A bonds 7s, 2016 104,000 103,870
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 135,000 140,063
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 100,000 97,250
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 45,000 45,225
CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018 105,000 111,300
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019 110,000 108,625
Dresdner Funding Trust I 144A bonds 8.151s, 2031 140,000 109,900
E*Trade Financial Corp. sr. notes 6 3/4s, 2016 80,000 81,200
E*Trade Financial Corp. sr. unsec. unsub. notes 12 1/2s, 2017 72,000 82,620
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB 6.071s, perpetual maturity (Jersey) 175,000 108,500
HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018 (United Kingdom) 135,000 123,699
HBOS PLC 144A unsec. sub. bonds 6s, 2033 (United Kingdom) 60,000 43,800
Hercules Technology Growth Capital, Inc. cv. sr. unsec. notes 6s, 2016 415,000 411,888
HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015 180,000 182,025
HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014 115,000 116,150
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 240,000 254,100
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 15,000 15,000
International Lease Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2015 45,000 44,213
iStar Financial, Inc. 144A sr. unsec. notes 9s, 2017(R) 85,000 82,025
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 75,000 73,125
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. notes FRN 7s, 2037 30,000 26,700
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec notes 6 7/8s, 2021(R) 50,000 51,500
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 65,000 64,838
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 85,000 93,925
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. notes 9 5/8s, 2019 30,000 31,200
NB Capital Trust IV jr. unsec. sub. notes 8 1/4s, 2027 30,000 30,066
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 51,125
Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015 120,000 121,200
Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/4s, 2017 135,000 139,725
Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/8s, 2019 60,000 53,700
Regions Financing Trust II company guaranty jr. unsec. sub. bonds FRB 6 5/8s, 2047 135,000 125,381
Residential Capital LLC company guaranty jr. notes 9 5/8s, 2015 (In default)(NON) 200,000 186,500
Royal Bank of Scotland Group PLC jr. unsec. sub. bonds FRB 7.648s, perpetual maturity (United Kingdom) 265,000 201,400
Royal Bank of Scotland Group PLC sr. sub. notes FRN 9 1/2s, 2022 (United Kingdom) 30,000 30,333
SLM Corp. sr. notes Ser. MTN, 8s, 2020 45,000 46,059
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 290,000 305,950
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 295,000 231,575
Springleaf Finance Corp. sr. unsec. notes Ser. MTNI, 4 7/8s, 2012 120,000 119,400
6,320,179
Health care (2.9%)
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 95,000 98,800
Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017 90,000 95,738
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 130,000 130,000
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019 EUR 100,000 130,199
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019 $130,000 132,763
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) 200,000 197,000
DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 30,000 30,375
Elan Finance PLC/Elan Finance Corp. company guaranty sr. unsec. notes 8 3/4s, 2016 (Ireland) 160,000 174,000
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 100,000 102,000
Endo Health Solutions, Inc. company guaranty sr. unsec notes 7s, 2019 70,000 73,150
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 95,000 94,288
Grifols, Inc. company guaranty sr. unsec notes 8 1/4s, 2018 170,000 180,838
HCA, Inc. company guaranty sr. notes 9 7/8s, 2017 29,000 31,610
HCA, Inc. company guaranty sr. notes 8 1/2s, 2019 215,000 237,306
HCA, Inc. sr. notes 6 1/2s, 2020 385,000 404,731
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 110,000 114,675
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 190,000 193,800
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec notes 8 3/8s, 2019 135,000 126,900
Jaguar Holding Co.II/ Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 120,000 127,800
Kinetics Concept/KCI USA 144A company guaranty notes 10 1/2s, 2018 165,000 166,650
Kinetics Concept/KCI USA 144A company guaranty sr. unsec. notes 12 1/2s, 2019 110,000 97,900
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 95,000 100,700
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 70,000 73,850
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 80,000 79,800
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015(PIK) 131,119 132,430
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 85,000 90,100
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 15,000 17,100
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 55,000 61,188
Tenet Healthcare Corp. 144A company guaranty notes 6 1/4s, 2018 225,000 227,250
USPI Finance Corp. 144A sr. unsec. notes 9s, 2020 80,000 83,000
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 20,000 19,350
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 45,000 44,438
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 120,000 120,000
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016 4,000 2,770
3,992,499
Technology (2.3%)
Advanced Micro Devices, Inc. sr. unsec. notes 8 1/8s, 2017 55,000 58,988
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 105,000 112,613
Alcatel-Lucent USA, Inc. unsec. debs. 6.45s, 2029 25,000 17,188
Avaya, Inc. company guaranty sr. unsec. notes 10 1/8s, 2015 10,000 8,250
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 85,000 70,125
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 145,000 129,775
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 212,350 194,300
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 45,000 40,725
Epicor Software Corp. company guaranty sr. unsec notes 8 5/8s, 2019 60,000 60,150
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 65,000 71,988
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 45,000 48,994
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 155,000 146,088
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015 150,116 149,365
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 190,000 165,300
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 195,000 189,150
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 85,000 85,000
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 84,000 89,880
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 49,000 52,308
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 155,000 163,138
Iron Mountain, Inc. company guaranty 8 3/4s, 2018 55,000 56,788
Iron Mountain, Inc. company guaranty sr. sub. notes 7 3/4s, 2019 45,000 48,150
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 25,000 26,688
Jazz Technologies, Inc. company guaranty sr. unsec. notes 8s, 2015 446,000 354,570
Lawson Software, Inc. 144A sr. notes 11 1/2s, 2018 55,000 60,363
Lawson Software, Inc. 144A sr. notes 9 3/8s, 2019 60,000 61,800
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands) 150,000 169,125
Seagate HDD Cayman company guaranty sr. unsec notes 7s, 2021 (Cayman Islands) 55,000 57,750
Seagate HDD Cayman company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 (Cayman Islands) 85,000 91,588
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 10 1/4s, 2015 116,000 119,190
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 95,000 97,375
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 120,000 128,700
3,125,412
Transportation (0.5%)
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg) 200,000 204,000
AMGH Merger Sub, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 185,000 187,775
CHC Helicopter SA 144A company guaranty sr. notes 9 1/4s, 2020 (Canada) 100,000 97,000
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 170,000 182,750
Western Express, Inc. 144A sr. notes 12 1/2s, 2015 130,000 66,950
738,475
Utilities and power (2.1%)
AES Corp. (The) sr. unsec. notes 8s, 2020 55,000 61,875
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 85,000 94,350
AES Corp. (The) 144A sr. notes 7 3/8s, 2021 75,000 81,000
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 100,000 106,250
Calpine Corp. 144A sr. notes 7 1/4s, 2017 185,000 195,175
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada) 95,000 112,072
Dolphin Subsidiary II, Inc. 144A sr. unsec. notes 7 1/4s, 2021 70,000 76,125
Dolphin Subsidiary II, Inc. 144A sr. unsec. notes 6 1/2s, 2016 155,000 165,075
Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019 (In default)(NON) 175,000 105,875
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 75,000 39,938
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 20,000 11,650
Edison Mission Energy sr. unsec. notes 7.2s, 2019 85,000 44,838
Edison Mission Energy sr. unsec. notes 7s, 2017 40,000 21,400
El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031 100,000 112,500
El Paso Natural Gas Co. debs. 8 5/8s, 2022 40,000 50,850
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 45,000 47,813
Energy Future Intermediate Holding Co., LLC sr. notes 9 3/4s, 2019 256,000 262,400
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 62,000 66,805
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 155,000 167,400
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 180,000 166,500
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 25,000 23,250
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 25,000 27,125
NGPL PipeCo, LLC 144A sr. notes 9 5/8s, 2019 45,000 46,238
NRG Energy, Inc. company guaranty 7 3/8s, 2017 100,000 103,375
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 325,000 312,813
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 70,000 76,824
PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015 84,000 97,230
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 15,000 18,873
Texas Competitive/Texas Competitive Electric Holdings Co., LLC company guaranty notes 15s, 2021 75,000 24,750
Texas Competitive/Texas Competitive Electric Holdings Co., LLC company guaranty sr. unsec. notes 10 1/2s, 2016(PIK) 210,353 38,652
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 60,000 40,200
2,799,221
Total corporate bonds and notes (cost $56,699,807) $57,038,475

CONVERTIBLE BONDS AND NOTES (28.0%)(a)
Principal amount Value
Basic materials (1.0%)
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 $670,000 $696,800
U.S. Steel Corp. cv. sr. unsec. notes 4s, 2014 645,000 649,838
1,346,638
Capital goods (2.3%)
General Cable Corp. cv. unsec. sub. notes stepped-coupon 4 1/2s (2 1/4s, 11/15/19) 2029(STP) 880,000 916,300
Icahn Enterprises LP 144A cv. sr. unsec. notes FRN 4s, 2013 630,000 628,425
Meritor, Inc. cv. company guaranty sr. unsec. notes stepped-coupon 4 5/8s (zero %, 3/1/16) 2026(STP) 1,050,000 924,000
Owens-Brockway Glass Container, Inc. 144A cv. company guaranty sr. unsec. notes 3s, 2015 655,000 619,794
3,088,519
Communication services (3.8%)
Cogent Communication Group, Inc. cv. sr. unsec. notes 1s, 2027 733,000 691,769
Equinix, Inc. cv. unsec. sub. notes 3s, 2014 890,000 1,385,063
Leap Wireless International, Inc. cv. sr. unsec. notes 4 1/2s, 2014 1,280,000 1,208,000
Level 3 Communications, Inc. cv. sr. unsec. unsub. notes 6 1/2s, 2016 645,000 894,164
Powerwave Technologies, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2027 1,160,000 217,500
Virgin Media, Inc. cv. sr. unsec. notes 6 1/2s, 2016 (United Kingdom) 515,000 716,494
5,112,990
Consumer cyclicals (7.7%)
CBIZ, Inc. 144A cv. sr. sub. notes 4 7/8s, 2015 397,000 398,985
Charming Shoppes, Inc. cv. sr. unsec. notes 1 1/8s, 2014 1,270,000 1,263,650
Digital River, Inc. cv. sr. unsec. notes 2s, 2030 954,000 890,798
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 571,000 827,236
Liberty Interactive, LLC cv. sr. unsec. unsub. notes 3 1/8s, 2023 1,150,000 1,305,250
Liberty Media, LLC cv. sr. unsec. unsub. notes 3 1/2s, 2031 2,280,000 1,387,950
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2 7/8s, 2027 1,070,000 1,024,525
MGM Resorts International Co. cv. company guaranty sr. unsec. notes 4 1/4s, 2015 1,760,000 1,745,700
PHH Corp. cv. sr. unsec. notes 4s, 2014 890,000 875,538
XM Satellite Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014 622,000 806,656
10,526,288
Consumer staples (0.8%)
Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015 470,000 497,025
Spartan Stores, Inc. cv. sr. unsec. notes 3 3/8s, 2027 618,000 601,005
1,098,030
Energy (2.3%)
Chesapeake Energy Corp. cv. sr. unsec. notes company guaranty 2 1/4s, 2038 1,380,000 1,061,738
Endeavour International Corp. 144A cv. company guaranty sr. unsec. notes 5 1/2s, 2016 530,000 481,306
Goodrich Petroleum Corp. cv. sr. unsec. unsub. notes 5s, 2029 650,000 613,031
Massey Energy Co. cv. company guaranty sr. unsub. notes 3 1/4s, 2015 545,000 459,163
Peabody Energy Corp. cv. jr. unsec. sub. debs. 4 3/4s, 2041 670,000 580,388
Trico Marine Services, Inc. cv. sr. unsec. debs. 3s, 2027 (In default)(NON) 500,000 5,000
3,200,626
Financials (2.8%)
Amtrust Financial Services, Inc. 144A cv. sr. unsec. notes 5 1/2s, 2021 408,000 463,284
Ares Capital Corp. 144A cv. sr. unsec. notes 5 3/4s, 2016 935,000 944,350
iStar Financial, Inc. cv. sr. unsec. unsub. notes FRN 0.968s, 2012(R) 820,000 814,916
KKR Financial Holdings, LLC cv. sr. unsec. notes 7 1/2s, 2017 598,000 801,320
Morgans Hotel Group Co. cv. sr. sub. notes 2 3/8s, 2014 920,000 808,450
3,832,320
Health care (3.2%)
Brookdale Senior Living, Inc. cv. sr. unsec. unsub. notes 2 3/4s, 2018 940,000 848,350
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4s, 2013 (China) (In default)(NON) 763,000 190,750
China Medical Technologies, Inc. 144A cv. sr. unsec. notes 6 1/4s, 2016 (China) (In default)(NON) 445,000 146,850
Dendreon Corp. cv. sr. unsec. notes 2 7/8s, 2016 1,135,000 801,594
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2s (zero %, 12/15/13) 2037(STP) 1,010,000 993,588
Illumina, Inc. 144A cv. sr. unsec. notes 1/4s, 2016 360,000 325,350
Providence Service Corp. (The) cv. sr. unsec. sub. notes 6 1/2s, 2014 302,000 297,848
Teleflex, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2017 625,000 721,094
4,325,424
Technology (3.9%)
Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s, 2015 1,414,000 1,422,838
ON Semiconductor Corp. cv. company guaranty sr. unsec. sub. notes Ser. B, 2 5/8s, 2026 231,000 241,106
Safeguard Scientifics, Inc. cv. sr. unsec. sub. notes 10 1/8s, 2014 1,800,000 2,256,685
TeleCommunication Systems, Inc. 144A cv. sr. unsec. notes 4 1/2s, 2014 875,000 771,094
TTM Technologies, Inc. cv. sr. unsec. notes 3 1/4s, 2015 695,000 696,303
5,388,026
Transportation (0.2%)
Genco Shipping & Trading, Ltd. cv. sr. unsec. notes 5s, 2015 670,000 337,513
337,513
Total convertible bonds and notes (cost $38,035,756) $38,256,374

CONVERTIBLE PREFERRED STOCKS (22.8%)(a)
Shares Value
Basic materials (—%)
Smurfit-Stone Container Corp. (Escrow) zero % cv. pfd.(F) 65,720 $657
657
Communication services (0.9%)
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 28,570 1,147,086
1,147,086
Consumer cyclicals (5.8%)
Callaway Golf Co. Ser. B, 7.50% cv. pfd. 6,030 579,634
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) 62,060 1,601,924
General Motors Co. Ser. B, $2.375 cv. pfd. 67,775 2,494,967
Interpublic Group of Cos, Inc. (The) Ser. B, 5.25% cv. pfd. 1,170 1,167,075
Nielsen Holdings NV $3.125 cv. pfd. 21,515 1,163,155
Stanley Black & Decker, Inc. $4.75 cv. pfd. 8,247 950,467
7,957,222
Consumer staples (1.8%)
Bunge, Ltd. $4.875 cv. pfd. 11,750 1,083,703
Dole Food Automatic Exchange 144A 7.00% cv. pfd.(NON) 61,762 552,770
Newell Financial Trust I $2.625 cum. cv. pfd. 18,460 844,545
2,481,018
Energy (1.3%)
Apache Corp. Ser. D, $3.00 cv. pfd. 13,095 627,742
Chesapeake Energy Corp. 144A 5.75% cv. pfd. 1,447 1,197,393
1,825,135
Financials (9.2%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd.(R) 28,010 717,756
AMG Capital Trust II $2.575 cv. pfd. 31,375 1,311,867
Bank of America Corp. Ser. L, 7.25% cv. pfd. 2,448 2,279,700
Citigroup, Inc. $7.50 cv. pfd. 24,615 2,067,660
Entertainment Properties Trust Ser. C, $1.438 cum. cv. pfd.(R) 41,435 786,747
Hartford Financial Services Group, Inc. (The) Ser. F, $1.182 cv. pfd. 30,825 593,381
Health Care REIT, Inc. Ser. I, $3.25 cv. pfd.(R) 20,775 1,108,762
Huntington Bancshares Ser. A, 8.50% cv. pfd. 844 978,196
MetLife, Inc. $3.75 cv. pfd. 14,125 828,573
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 1,710 1,889,550
12,562,192
Technology (0.7%)
Lucent Technologies Capital Trust I 7.75% cv. pfd. 1,420 937,200
937,200
Transportation (0.7%)
Swift Mandatory Common Exchange Security Trust 144A 6.00% cv. pfd. 89,905 918,487
918,487
Utilities and power (2.4%)
AES Trust III $3.375 cv. pfd. 30,565 1,512,968
El Paso Energy Capital Trust I $2.375 cv. pfd. 1,069 50,222
Great Plains Energy, Inc. $6.00 cv. pfd. 13,955 831,578
PPL Corp. $4.375 cv. pfd. 16,855 882,359
3,277,127
Total convertible preferred stocks (cost $33,164,960) $31,106,124

UNITS (0.9%)(a)UnitsValue
Ashland, Inc. cv. jr. unsec. sub. debs. units 6 1/2s, 2029 1,540,000 $1,232,000
Total units (cost $1,262,210) $1,232,000

COMMON STOCKS (0.7%)(a)
Shares Value
Avis Budget Group, Inc.(NON) 3,210 $47,669
Bohai Bay Litigation, LLC (Escrow)(F) 406 1,267
Chesapeake Energy Corp. 2,190 37,011
CIT Group, Inc.(NON) 936 32,002
Compton Petroleum Corp. (Canada)(NON) 5,645 7,350
Deepocean Group (Shell) (acquired 6/9/11, cost $131,921) (Norway)(RES) 9,082 145,312
DISH Network Corp. Class A 2,080 58,323
FelCor Lodging Trust, Inc.(NON)(R) 8,485 35,213
Freeport-McMoRan Copper & Gold, Inc. Class B (Indonesia) 1,770 56,711
General Motors Co.(NON) 2,830 62,826
Harry & David Holdings, Inc.(F)(NON) 124 11,780
Interpublic Group of Companies, Inc. (The) 6,010 62,444
LyondellBasell Industries NV Class A (Netherlands) 1,400 55,244
Magellan Health Services, Inc.(NON) 7 295
Newfield Exploration Co.(NON) 1,350 40,446
NII Holdings, Inc.(NON) 2,425 27,936
Quicksilver Resources, Inc.(NON) 4,455 19,914
Spectrum Brands Holdings, Inc.(NON) 2,829 97,657
Stallion Oilfield Holdings, Ltd. 693 24,948
Terex Corp.(NON) 2,105 35,006
Trump Entertainment Resorts, Inc.(NON) 152 456
Vantage Drilling Co.(NON) 46,730 70,095
Vertis Holdings, Inc.(F) 481 5
Total common stocks (cost $1,295,388) $929,910

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 111 $95,176
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 6,800 155,856
Total preferred stocks (cost $260,815) $251,032

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Smurfit Kappa Group PLC 144A (Ireland)(F) 10/1/13 EUR 0.001 119 $3,887
Tower Semiconductor, Ltd. 144A (Israel)(F) 6/30/15 $0.01 168,777 40,506
Total warrants (cost $38,280) $44,393

SENIOR LOANS (—%)(a)(c)
Principal amount Value
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.24s, 2014 $54,057 $16,645
GateHouse Media, Inc. bank term loan FRN Ser. DD, 2.24s, 2014 20,170 6,211
Total senior loans (cost $72,162) $22,856

SHORT-TERM INVESTMENTS (4.9%)(a)
Shares Value
Putnam Money Market Liquidity Fund 0.12%(e) 6,752,334 $6,752,334
Total short-term investments (cost $6,752,334) $6,752,334

TOTAL INVESTMENTS
Total investments (cost $137,581,712)(b) $135,633,498













FORWARD CURRENCY CONTRACTS at 5/31/12 (aggregate face value $850,031) (Unaudited)


Contract Delivery Aggregate Unrealized
Counterparty Currency type date Value face value appreciation
Bank of America, N.A.
Canadian Dollar Sell 6/20/12 $33,873 $35,359 $1,486
Credit Suisse AG
Euro Sell 6/20/12 57,502 61,598 4,096
Deutsche Bank AG
Euro Sell 6/20/12 117,476 125,904 8,428
JPMorgan Chase Bank, N.A.
Canadian Dollar Sell 6/20/12 39,680 41,460 1,780
Westpac Banking Corp.
Canadian Dollar Sell 6/20/12 71,714 74,906 3,192
Euro Sell 6/20/12 476,828 510,804 33,976
Total $52,958












Key to holding's currency abbreviations
CAD Canadian Dollar
EUR Euro
USD / $ United States Dollar
Key to holding's abbreviations
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
GMTN Global Medium Term Notes
MTN Medium Term Notes
MTNI Medium Term Notes Class I
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, 2011 through May 31, 2012 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures and references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC.
(a) Percentages indicated are based on net assets of $136,422,797.
(b) The aggregate identified cost on a tax basis is $137,633,950, resulting in gross unrealized appreciation and depreciation of $7,595,311 and $9,595,763, respectively, or net unrealized depreciation of $2,000,452.
(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 $145,312, or 0.1% of net assets.
(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 Management. 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 $2,880 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $16,864,556 and $13,358,317, 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 ASC 820 based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities. If no sales are reported — as in the case of some securities traded over-the-counter — a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in other open-end investment companies (excluding exchange traded funds), which are classified as Level 1 securities, are based on their net asset value. The net asset value of an investment company equals the total value of its assets less its liabilities and divided by the number of its outstanding shares. Shares are only valued as of the close of regular trading on the New York Stock Exchange each day that the exchange is open.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which 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. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
The fund had an average contract amount of approximately $1,400,000 on forward currency contracts for the reporting period.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund did not have a net liability position on derivative contracts subject to the Master 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 $111,955 $— $—
    Capital goods 35,006 — —
    Communication services 86,259 — —
    Consumer cyclicals 160,483 456 5
    Consumer staples 145,326 — 11,780
    Energy 174,816 170,260 1,267
    Financials 32,002 — —
    Health care 295 — —
Total common stocks 746,142 170,716 13,052
Convertible bonds and notes — 38,256,374 —
Convertible preferred stocks — 31,105,467 657
Corporate bonds and notes — 57,038,474 1
Preferred stocks — 251,032 —
Senior loans — 22,856 —
Units — 1,232,000 —
Warrants — — 44,393
Short-term investments 6,752,334 — —
Totals by level $7,498,476 $128,076,919 $58,103



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


Forward currency contracts $— $52,958 $—
Totals by level $— $52,958 $—


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 $52,958 $—
Equity contracts 44,393 —
Total $97,351 $—


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



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

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

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

Putnam High Income Securities Fund
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: July 27, 2012

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: July 27, 2012

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: July 27, 2012