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:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: August 31, 2015
Date of reporting period: November 30, 2014



Item 1. Schedule of Investments:













Putnam High Income Securities Fund

The fund's portfolio
11/30/14 (Unaudited)
CORPORATE BONDS AND NOTES (39.4%)(a)
Principal amount Value
Basic materials (3.7%)
Ainsworth Lumber Co., Ltd. 144A sr. notes 7 1/2s, 2017 (Canada) $36,000 $37,472
Alcoa, Inc. sr. unsec. unsub. notes 5.4s, 2021 55,000 59,661
Alcoa, Inc. sr. unsec. unsub. notes 5 1/8s, 2024 35,000 36,884
ArcelorMittal SA sr. unsec. bonds 10.35s, 2019 (France) 165,000 200,888
ArcelorMittal SA sr. unsec. unsub. notes 7 1/2s, 2039 (France) 90,000 93,150
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 175,000 183,750
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 85,000 85,425
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 140,000 150,850
Cemex SAB de CV 144A company guaranty sr. notes 5 7/8s, 2019 (Mexico) 320,000 323,200
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 120,000 117,750
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 125,000 131,563
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 35,000 34,573
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 85,000 82,450
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 125,000 120,000
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 25,000 23,125
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 160,000 168,800
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 80,000 92,800
HD Supply, Inc. 144A company guaranty sr. notes 5 1/4s, 2021 135,000 137,869
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 45,000 43,538
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 35,000 28,525
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 100,000 94,500
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 65,000 67,275
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 115,000 119,025
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 160,000 173,600
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 130,000 132,275
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 30,000 30,000
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 160,000 176,000
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 10,000 10,025
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 55,000 59,125
Mercer International, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 65,000 66,138
Momentive Performance Materials, Inc. escrow company guaranty sr. notes 8 7/8s, 2020(F) 5,000 1
Momentive Performance Materials, Inc. company guaranty sr. notes 3.88s, 2021 5,000 4,375
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 (Canada) 65,000 65,325
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 65,000 63,131
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 200,000 205,000
PQ Corp. 144A sr. notes 8 3/4s, 2018 130,000 136,825
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 65,000 66,950
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 155,000 158,100
SBA Communications Corp. 144A sr. unsec. notes 4 7/8s, 2022 145,000 141,013
Sealed Air Corp. 144A company guaranty sr. unsec. notes 8 3/8s, 2021 45,000 50,625
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 30,000 31,238
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 75,000 82,500
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 100,000 102,875
Sealed Air Corp. 144A sr. unsec. notes 5 1/8s, 2024 50,000 50,125
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022 35,000 34,869
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) 60,000 69,600
Steel Dynamics, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 100,000 104,750
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 20,000 21,500
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 25,000 26,688
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 10,000 10,375
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 70,000 73,500
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 20,000 20,750
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium) 75,000 82,219
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 115,000 120,606
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 140,000 145,250
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 20,000 20,600
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 140,000 137,410
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 160,000 169,000
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 85,000 88,188
5,363,624
Capital goods (2.9%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 325,000 341,250
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 315,000 356,738
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 80,000 79,200
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 105,000 103,425
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 25,000 25,219
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 80,000 78,000
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 55,000 55,275
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021 130,000 144,950
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 65,000 66,788
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada) 50,000 54,875
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 150,000 164,625
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 115,000 110,400
Crown Cork & Seal Co., Inc. sr. unsec. bonds 7 3/8s, 2026 65,000 71,988
Gates Global LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 350,000 339,500
Huntington Ingalls Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2021 55,000 55,894
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 185,000 257,451
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 175,000 179,813
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 90,000 86,175
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 50,000 50,875
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 190,000 206,150
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 130,000 133,575
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 95,000 96,188
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 174,000 184,440
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 30,000 30,863
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019 120,000 125,100
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 205,000 213,969
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 100,000 106,500
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 25,000 26,250
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 220,000 223,300
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 85,000 91,163
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2024 25,000 25,500
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020 105,000 103,688
Zebra Technologies Corp. 144A sr. unsec. unsub. notes 7 1/4s, 2022 85,000 90,844
4,279,971
Communication services (5.5%)
Adelphia Communications Corp. escrow bonds zero %, 2015 20,000 150
Adelphia Communications Corp. escrow bonds zero %, 2015 235,000 1,763
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) 400,000 413,500
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 140,000 158,550
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 35,000 40,250
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 40,000 44,400
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 110,000 115,775
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 115,000 114,425
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 125,000 122,500
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 6 5/8s, 2022 35,000 37,231
CCOH Safari, LLC company guaranty sr. unsec. bonds 5 3/4s, 2024 105,000 105,656
CCOH Safari, LLC company guaranty sr. unsec. bonds 5 1/2s, 2022 330,000 333,713
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 110,000 122,100
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 25,000 26,375
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 175,000 178,063
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 55,000 55,069
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 65,000 71,825
CSC Holdings, LLC 144A sr. unsec. notes 5 1/4s, 2024 85,000 84,256
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) 200,000 205,000
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 165,000 168,506
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 70,000 79,975
DISH DBS Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2024 115,000 115,863
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 125,000 140,938
Frontier Communications Corp. sr. unsec. notes 6 7/8s, 2025 10,000 10,050
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 10,000 10,213
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 30,000 31,725
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019 85,000 92,013
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 55,000 61,050
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 50,000 52,125
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 95,000 101,888
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 150,000 156,750
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 490,000 507,763
Level 3 Communications, Inc. 144A sr. unsec. unsub. notes 5 3/4s, 2022 100,000 100,500
Level 3 Escrow II, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 90,000 91,125
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020 85,000 92,438
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020 100,000 106,875
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 40,000 41,700
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. unsub. notes 7 1/4s, 2022 85,000 90,738
NII International Telecom SCA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) (In default)(NON) 55,000 39,875
Numericable Group SA 144A sr. notes 6s, 2022 (France) 200,000 203,440
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 80,000 82,000
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 75,000 69,399
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 $115,000 132,510
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 65,000 77,374
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 35,000 36,050
Sprint Capital Corp. company guaranty 6 7/8s, 2028 260,000 243,750
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 80,000 88,300
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 60,000 61,350
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 170,000 196,775
Sprint Corp. company guaranty sr. unsec. notes 7 7/8s, 2023 220,000 230,450
Sprint Corp. company guaranty sr. unsec. notes 7 1/4s, 2021 265,000 270,300
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023 75,000 78,000
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021 45,000 46,238
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 145,000 149,713
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 45,000 46,688
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 165,000 167,475
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 165,000 169,331
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 125,000 127,031
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 40,000 40,600
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 6 7/8s, 2021 (Canada) CAD 75,000 70,390
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) $195,000 200,363
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 180,000 172,125
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 220,000 238,700
Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg) 200,000 192,500
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 65,000 71,703
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 170,000 177,863
Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 55,000 53,075
8,016,204
Consumer cyclicals (8.4%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 185,000 185,463
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 75,000 83,063
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 70,000 71,750
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 40,000 45,370
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 105,000 114,450
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 106,000 106,000
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 35,000 28,700
Boyd Gaming Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 60,000 62,700
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 145,000 153,700
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 85,000 89,488
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 45,000 48,431
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 185,000 185,000
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 9s, 2020 40,000 31,650
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2025 90,000 93,150
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 125,000 129,063
CCM Merger, Inc. 144A company guaranty sr. unsec. notes 9 1/8s, 2019 80,000 85,600
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 60,000 60,300
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 30,000 29,925
Ceridian, LLC 144A sr. notes 8 7/8s, 2019 65,000 72,231
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 200,000 223,000
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 65,000 63,700
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 65,000 61,913
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 15,000 16,031
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 190,000 197,600
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 330,000 344,025
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 95,000 95,950
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 125,000 130,938
Dana Holding Corp. sr. unsec. unsub. notes 5 3/8s, 2021 85,000 88,400
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 135,000 142,763
Entercom Radio, LLC company guaranty sr. unsec. sub. notes 10 1/2s, 2019 100,000 110,375
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 165,000 171,600
First Cash Financial Services, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2021 (Mexico) 60,000 62,400
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 60,000 61,950
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 15,000 15,581
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 30,000 30,150
Garda World Security Corp. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 (Canada) 145,000 146,537
General Motors Co. sr. unsec. unsub. notes 5.2s, 2045 55,000 56,535
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 80,000 77,300
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 140,000 142,450
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 40,000 41,000
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 185,000 191,475
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 170,000 157,295
Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A sr. unsec. notes 7s, 2020 $60,000 48,825
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 170,000 179,350
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 180,000 181,350
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2021 215,000 209,625
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 255,000 250,538
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 65,000 66,463
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020 75,000 79,313
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 90,000 94,275
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 135,000 129,094
Jo-Ann Stores, LLC 144A sr. unsec. notes 9 3/4s, 2019(PIK) 45,000 40,950
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 130,000 146,250
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 50,000 53,938
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 75,000 78,375
Lamar Media Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 45,000 46,463
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 220,000 233,750
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 125,000 120,938
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 125,000 125,000
LIN Television Corp. company guaranty sr. unsec. notes 6 3/8s, 2021 40,000 41,000
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 210,000 219,450
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 140,000 150,150
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 130,000 130,650
Media General Financing Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2022 45,000 45,225
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 110,000 118,525
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 125,000 126,250
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 70,000 79,975
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 90,000 96,300
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 257,907 283,053
Navistar International Corp. sr. notes 8 1/4s, 2021 114,000 117,848
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 140,000 142,100
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 175,000 188,563
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 60,000 63,900
Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 90,000 93,600
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 190,000 194,750
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 140,000 147,350
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 115,000 123,625
Owens Corning company guaranty sr. unsec. notes 9s, 2019 38,000 46,361
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 110,000 103,675
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 160,000 166,000
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 90,000 90,225
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018 75,000 78,281
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 55,000 55,550
PulteGroup, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 140,000 158,900
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 75,000 86,063
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2025 45,000 41,794
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 90,000 85,725
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 80,000 76,800
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 61,000 65,118
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 135,000 141,413
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 60,000 64,800
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 35,000 30,275
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 35,000 25,550
Scientific Games International, Inc. 144A sr. notes 7s, 2022 95,000 95,594
Scientific Games International, Inc. 144A sr. unsec. notes 10s, 2022 185,000 172,975
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 80,000 82,600
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 60,000 60,150
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 30,000 30,900
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 45,000 43,875
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 130,000 134,225
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 205,000 216,275
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 220,000 220,550
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022 5,000 5,325
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 10,000 10,575
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020 55,000 58,094
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 90,000 94,275
Standard Pacific Corp. company guaranty sr. unsec. notes 5 7/8s, 2024 55,000 55,275
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 50,000 47,250
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 21,000 22,444
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 45,000 44,325
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 75,000 75,375
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A sr. notes 7 3/4s, 2020 119,000 127,330
Townsquare Radio, LLC/Townsquare Radio, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 65,000 70,200
Tri Pointe Holdings, Inc. 144A sr. unsec. unsub. notes 5 7/8s, 2024 125,000 127,500
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 30,000 30,225
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 180,000 193,500
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 65,000 70,119
12,157,299
Consumer staples (2.4%)
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 145,000 155,513
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 35,000 38,544
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 45,000 45,450
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 40,000 39,500
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) 230,000 235,750
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 220,000 228,250
CEC Entertainment, Inc. 144A sr. unsec. notes 8s, 2022 70,000 67,900
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 195,000 217,425
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 95,000 94,763
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 105,000 114,713
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 115,000 127,225
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2024 10,000 10,200
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 3 7/8s, 2019 10,000 10,186
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 205,000 198,850
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 25,000 24,625
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 175,000 163,625
HJ Heinz Co. company guaranty notes 4 1/4s, 2020 270,000 273,402
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 40,000 42,600
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 135,000 144,113
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 35,000 37,188
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 35,000 36,225
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 245,000 260,619
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 90,000 88,875
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 165,000 167,063
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 225,000 248,063
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 35,000 37,538
RSC Equipment Rental, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 35,000 38,063
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 30,000 33,150
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 20,000 20,750
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 125,000 132,188
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 55,000 57,475
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 130,000 136,500
3,526,331
Energy (4.5%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 45,000 46,913
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 35,000 37,100
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 240,000 249,000
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 95,000 41,800
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2022 85,000 82,450
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 90,000 88,875
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) 95,000 85,025
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) 100,000 92,000
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 80,000 72,000
California Resources Corp. 144A company guaranty sr. unsec. notes 6s, 2024 85,000 75,809
California Resources Corp. 144A company guaranty sr. unsec. notes 5s, 2020 70,000 63,000
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 65,000 67,275
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 125,000 120,000
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 30,000 31,800
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 60,000 59,400
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield Finance, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2019 115,000 102,925
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 120,000 123,900
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 140,000 138,250
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 50,000 51,000
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) 75,000 37,500
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 140,000 139,650
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 65,000 63,781
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 140,000 128,625
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 75,000 60,750
Exterran Partners LP/EXLP Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022 130,000 115,700
FTS International, Inc. 144A company guaranty sr. notes 6 1/4s, 2022 70,000 57,400
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019 70,000 50,225
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 120,000 122,400
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 60,000 61,200
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 40,000 30,600
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 235,000 180,950
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 90,000 94,050
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 30,000 28,388
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 45,000 41,625
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 135,000 103,950
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 175,000 188,125
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 15,000 14,625
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 260,000 223,600
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 25,000 21,625
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 145,000 130,319
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 150,000 134,156
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada)(F) 45,000 2
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 20,000 18,400
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada) 55,000 48,538
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 120,000 84,000
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 95,000 101,294
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 50,000 46,375
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 225,000 211,500
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 220,000 176,000
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 55,000 38,500
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 55,000 32,313
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 195,000 113,100
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 3/4s, 2022 114,000 127,253
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. notes 5 5/8s, 2022 55,000 53,625
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 125,000 117,500
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 80,000 76,400
Sabine Pass Liquefaction, LLC company guaranty sr. notes 5 5/8s, 2023 230,000 234,600
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 185,000 196,563
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 45,000 46,688
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 245,000 141,488
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 100,000 104,000
Seventy Seven Energy, Inc. 144A sr. unsec. notes 6 1/2s, 2022 105,000 80,325
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 100,000 89,000
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 55,000 56,238
SM Energy Co. sr. unsec. notes 6 1/2s, 2021 50,000 50,875
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 20,000 19,900
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 30,000 25,575
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 144A sr. unsec. notes 6 1/4s, 2022 15,000 15,300
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 144A sr. unsec. notes 5 1/2s, 2019 10,000 10,175
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 55,000 44,825
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 150,000 143,813
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 230,000 223,388
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 71,000 85,193
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 65,000 66,219
6,536,731
Financials (4.7%)
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub., LLC 144A sr. unsec. notes 7 7/8s, 2020 115,000 118,881
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 65,000 65,813
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 175,000 220,063
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2020 60,000 71,100
Ally Financial, Inc. unsec. sub. notes 8s, 2018 65,000 74,263
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 65,000 76,213
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 90,000 97,313
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2058 100,000 137,000
Bank of America Corp. jr. unsec. sub. FRN notes Ser. Z, 6 1/2s, perpetual maturity 50,000 51,438
BBVA International Preferred SAU company guaranty jr. unsec. sub. FRB bonds 5.919s, perpetual maturity (Spain) 105,000 107,363
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 50,000 51,875
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 75,000 76,800
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 80,000 85,000
CIT Group, Inc. sr. unsec. notes 5s, 2023 65,000 66,950
CIT Group, Inc. sr. unsec. notes 5s, 2022 100,000 103,125
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 45,000 45,216
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 135,000 147,150
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 185,000 196,100
Citigroup, Inc. jr. unsec. sub. FRB bonds Ser. B, 5.9s, perpetual maturity 25,000 24,813
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 125,000 87,188
CNO Financial Group, Inc. 144A company guaranty sr. notes 6 3/8s, 2020 65,000 69,225
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 75,000 52,875
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 110,000 114,400
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 160,000 146,800
Dresdner Funding Trust I 144A bonds 8.151s, 2031 240,000 285,600
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 145,000 155,150
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 100,000 101,000
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB bonds 6.15s, 2066 70,000 46,375
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021 130,000 134,875
Hub Holdings LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019(PIK) 70,000 69,825
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020 215,000 223,858
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 125,000 127,500
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 80,000 87,600
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 60,000 64,800
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 70,000 74,375
iStar Financial, Inc. sr. unsec. notes 5s, 2019(R) 5,000 4,900
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 75,000 87,938
Lloyds Bank PLC jr. unsec. sub. FRN notes Ser. EMTN, 13s, perpetual maturity (United Kingdom) GBP 100,000 260,977
Lloyds Banking Group PLC jr. unsec. sub. FRB bonds 7 1/2s, perpetual maturity (United Kingdom) $249,000 255,848
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 50,000 53,500
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 125,000 133,750
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 100,000 96,250
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 85,000 78,413
Navient, LLC sr. unsec. unsub. notes Ser. A, MTN, 8.45s, 2018 105,000 118,650
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 85,000 89,888
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 5/8s, 2020 50,000 52,250
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2019 135,000 127,913
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 75,000 77,625
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 140,000 131,250
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 120,000 118,950
Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/8s, 2019 60,000 63,600
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN notes Ser. U, 7.64s, perpetual maturity (United Kingdom) 100,000 105,750
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds 7.648s, perpetual maturity (United Kingdom) 265,000 310,713
Royal Bank of Scotland Group PLC unsec. sub. notes 6s, 2023 (United Kingdom) 65,000 70,598
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes Ser. MTN, 6.9s, 2017 145,000 158,413
Springleaf Finance Corp. sr. unsec. notes 5 1/4s, 2019 100,000 100,250
Springleaf Finance Corp. sr. unsec. unsub. notes 7 3/4s, 2021 30,000 33,750
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 85,000 87,763
Stearns Holdings, Inc. 144A company guaranty sr. notes 9 3/8s, 2020 90,000 92,250
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 170,000 163,200
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 155,000 156,938
Walter Investment Management Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2021 90,000 81,000
6,770,249
Health care (3.6%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 60,000 62,400
Acadia Healthcare Co., Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 75,000 75,188
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 7 3/4s, 2019 95,000 99,750
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 6s, 2021 105,000 111,825
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) 95,000 96,188
Catamaran Corp. company guaranty sr. unsec. bonds 4 3/4s, 2021 150,000 149,813
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 80,000 80,800
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 150,000 154,125
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 40,000 41,000
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 25,000 26,469
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 165,000 153,863
DaVita HealthCare Partners, Inc. company guaranty sr. unsec. notes 5 1/8s, 2024 180,000 184,613
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 170,000 172,550
Endo Finance, LLC & Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 100,000 97,625
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 95,000 102,125
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 4 3/4s, 2024 40,000 40,100
Halyard Health, Inc. 144A sr. unsec. notes 6 1/4s, 2022 125,000 126,875
HCA, Inc. company guaranty sr. notes 3 3/4s, 2019 65,000 64,675
HCA, Inc. sr. notes 6 1/2s, 2020 430,000 476,225
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 30,000 34,350
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 100,000 105,000
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 40,000 41,100
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 120,000 122,400
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019 80,000 86,000
JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 155,000 159,650
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 180,000 199,350
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 70,000 74,375
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024(R) 85,000 87,083
Omnicare, Inc. sr. unsec. notes 5s, 2024 20,000 20,400
Omnicare, Inc. sr. unsec. notes 4 3/4s, 2022 105,000 106,838
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 150,000 157,875
Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6s, 2021 40,000 40,800
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2024 185,000 190,550
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 125,000 129,063
Service Corporation International sr. unsec. notes 7s, 2017 65,000 70,688
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 85,000 89,038
Teleflex, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2024 25,000 25,125
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 55,000 54,038
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 80,000 78,200
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 225,000 243,844
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 140,000 148,925
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 25,000 25,313
United Surgical Partners International, Inc. company guaranty sr. unsec. unsub. notes 9s, 2020 80,000 86,000
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 7s, 2020 20,000 21,000
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 45,000 46,631
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 150,000 156,000
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 10,000 10,100
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 6 3/4s, 2018 80,000 85,500
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 160,000 164,800
5,176,245
Technology (1.3%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 75,000 79,313
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 90,000 78,525
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 285,000 278,588
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021 85,000 101,150
First Data Corp. company guaranty sr. unsec. notes 11 1/4s, 2021 8,000 9,120
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 109,000 126,168
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 320,000 342,400
First Data Holdings, Inc. 144A sr. unsec. notes 14 1/2s, 2019(PIK) 11,581 12,001
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 19,000 20,900
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 5s, 2021 60,000 59,100
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 70,000 72,275
Iron Mountain, Inc. company guaranty sr. sub. notes 7 3/4s, 2019(R) 45,000 48,263
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023(R) 105,000 109,988
Micron Technology, Inc. 144A sr. unsec. notes 5 7/8s, 2022 105,000 111,038
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 200,000 199,500
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019 70,000 71,400
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 140,000 146,300
1,866,029
Transportation (0.3%)
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018 149,000 156,078
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 90,000 90,900
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 155,000 157,713
404,691
Utilities and power (2.1%)
AES Corp./Virginia (The) sr. unsec. notes 8s, 2020 85,000 98,813
AES Corp./Virginia (The) sr. unsec. unsub. notes 8s, 2017 85,000 96,475
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 145,000 166,025
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 45,000 45,113
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 225,000 228,938
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 30,000 32,025
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 25,000 26,719
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037 95,000 109,177
DPL, Inc. sr. unsec. notes 6 1/2s, 2016 28,000 29,680
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 7 5/8s, 2024 80,000 84,600
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 7 3/8s, 2022 10,000 10,525
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 6 3/4s, 2019 145,000 150,800
Dynegy Holdings, LLC escrow bonds 7 3/4s, 2019 175,000 219
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 40,000 51,662
El Paso, LLC sr. unsec. notes Ser. GMTN, 7.8s, 2031 100,000 125,890
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 107,000 122,783
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 75,000 77,719
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 35,000 35,700
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 155,000 168,369
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 100,000 92,500
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 125,000 129,375
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 25,000 26,000
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 125,000 131,875
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 325,000 351,813
NRG Yield Operating LLC 144A company guaranty sr. unsec. notes 5 3/8s, 2024 90,000 91,350
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 140,000 144,200
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 75,000 75,000
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 55,000 53,900
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 95,000 89,300
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 130,000 130,000
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 15,000 18,409
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 60,000 47,850
3,042,804
Total corporate bonds and notes (cost $56,556,255) $57,140,178

CONVERTIBLE BONDS AND NOTES (36.7%)(a)
Principal amount Value
Basic materials (0.9%)
AK Steel Corp. cv. company guaranty sr. unsec. unsub. notes 5s, 2019 $635,000 $851,694
Cemex SAB de CV cv. unsec. sub. notes 3 3/4s, 2018 (Mexico) 355,000 500,106
1,351,800
Capital goods (1.0%)
General Cable Corp. cv. unsec. sub. notes stepped-coupon 4 1/2s (2 1/4s, 11/15/19) 2029(STP) 595,000 402,741
Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s, 2036 685,000 993,678
1,396,419
Communication services (1.4%)
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A cv. company guaranty sr. unsec. notes 8 1/4s, 2040 199,000 218,900
Level 3 Communications, Inc. cv. sr. unsec. unsub. notes Ser. B, 7s, 2015 435,000 797,953
Powerwave Technologies, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2027 (In default)(F)(NON) 1,160,000 116
TeleCommunication Systems, Inc. cv. sr. unsec. notes 7 3/4s, 2018 1,075,000 1,015,811
2,032,780
Communications equipment (0.5%)
Ciena Corp. cv. sr. unsec. notes 4s, 2020 618,000 719,198
719,198
Computers (1.6%)
SanDisk Corp. cv. sr. unsec. notes 1 1/2s, 2017 939,000 1,904,409
ServiceNow, Inc. cv. sr. unsec. unsub. bonds zero %, 2018 405,000 447,525
2,351,934
Consumer cyclicals (7.4%)
Callaway Golf Co. cv. sr. unsec. bonds 3 3/4s, 2019 453,000 502,830
CBIZ, Inc. 144A cv. sr. sub. notes 4 7/8s, 2015 397,000 489,551
Forestar Group, Inc. cv. sr. unsec. unsub. notes 3 3/4s, 2020 60,000 58,800
Host Hotels & Resorts LP 144A cv. company guaranty sr. unsec. notes 2 1/2s, 2029(R) 391,000 700,379
Lennar Corp. 144A cv. sr. notes 2 3/4s, 2020 344,000 734,440
Liberty Interactive, LLC cv. sr. unsec. unsub. bonds 3/4s, 2043 833,000 1,171,406
Liberty Interactive, LLC cv. sr. unsec. unsub. notes 3 1/2s, 2031 1,250,000 686,719
Liberty Interactive, LLC 144A cv. sr. unsec. notes 1s, 2043 575,000 631,781
MGM Resorts International Co. cv. company guaranty sr. unsec. notes 4 1/4s, 2015 1,350,000 1,695,094
Navistar International Corp. 144A cv. sr. unsec. unsub. notes 4 3/4s, 2019 644,000 642,390
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 1s, 2018 320,000 431,400
Ryland Group, Inc. (The) cv. company guaranty sr. unsub. notes 1 5/8s, 2018 480,000 658,200
Sirius XM Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014 527,000 1,039,178
Standard Pacific Corp. cv. company guaranty sr. unsec. unsub. notes 1 1/4s, 2032 710,000 816,944
TiVo, Inc. 144A cv. sr. unsec. notes 4s, 2016 385,000 468,016
10,727,128
Consumer staples (1.1%)
Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015 345,000 740,241
Vector Group, Ltd. cv. sr. unsec. FRN notes 2 1/2s, 2019 585,000 827,193
1,567,434
Electronics (4.6%)
Jazz Technologies, Inc. 144A cv. company guaranty sr. unsec. notes 8s, 2018 223,000 307,879
Micron Technology, Inc. cv. sr. unsec. bonds Ser. E, 1 5/8s, 2033 1,590,000 5,211,225
Vishay Intertechnology, Inc. 144A cv. sr. unsec. notes 2 1/4s, 2041 745,000 663,516
Xilinx, Inc. cv. sr. unsec. notes 2 5/8s, 2017 345,000 546,394
6,729,014
Energy (3.8%)
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 2 1/4s, 2038 2,230,000 2,117,106
Cobalt International Energy, Inc. cv. sr. unsec. unsub. notes 2 5/8s, 2019 1,075,000 758,547
Energy XXI, Ltd. 144A cv. sr. unsec. notes 3s, 2018 451,000 293,150
Goodrich Petroleum Corp. cv. company guaranty sr. unsub. notes 5s, 2032 569,000 369,736
Hornbeck Offshore Services, Inc. cv. company guaranty sr. unsec. notes 1 1/2s, 2019 377,000 340,007
Peabody Energy Corp. cv. jr. unsec. sub. debs. 4 3/4s, 2041 655,000 404,872
SEACOR Holdings, Inc. cv. sr. unsec. bonds 3s, 2028 621,000 575,201
Trico Marine Services, Inc. cv. sr. unsec. debs. 3s, 2027 (In default)(NON) 500,000 16,875
Vantage Drilling Co. cv. sr. unsec. unsub. notes 7 7/8s, 2042 615,000 591,938
5,467,432
Financials (5.7%)
Ares Capital Corp. cv. sr. unsec. notes 5 3/4s, 2016 790,000 819,625
Blackstone Mortgage Trust, Inc. cv. sr. unsec. unsub. notes 5 1/4s, 2018(R) 626,000 652,996
Brookdale Senior Living, Inc. cv. sr. unsec. unsub. notes 2 3/4s, 2018 720,000 961,650
Cowen Group, Inc. 144A cv. sr. unsec. notes 3s, 2019 458,000 469,450
Empire State Realty OP LP 144A cv. sr. unsec. notes 2 5/8s, 2019(R) 442,000 436,740
Forest City Enterprises, Inc. cv. sr. unsec. notes 4 1/4s, 2018 816,000 934,320
Hercules Technology Growth Capital, Inc. cv. sr. unsec. notes 6s, 2016 453,000 616,929
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) 330,000 429,825
Radian Group, Inc. cv. sr. unsec. unsub. notes 3s, 2017 430,000 672,144
Spirit Realty Capital, Inc. cv. sr. unsec. notes 2 7/8s, 2019(R) 561,000 546,975
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4s, 2019(R) 631,000 707,903
TCP Capital Corp. 144A cv. sr. unsec. notes 5 1/4s, 2019 827,000 824,933
Walter Investment Management Corp. cv. sr. unsec. sub. notes 4 1/2s, 2019 312,000 241,995
8,315,485
Health care (4.3%)
Accuray, Inc. cv. sr. unsec. notes 3 3/4s, 2016 694,000 708,314
Alere, Inc. cv. sr. unsec. sub. notes 3s, 2016 430,000 458,488
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4s, 2016 (China) (In default)(F)(NON) 763,000 61,040
China Medical Technologies, Inc. 144A cv. sr. unsec. notes 6 1/4s, 2016 (China) (In default)(F)(NON) 445,000 31,150
Cubist Pharmaceuticals, Inc. cv. sr. unsec. bonds 1 1/8s, 2018 465,000 541,144
Gilead Sciences, Inc. cv. sr. unsec. notes 1 5/8s, 2016 225,000 991,266
HealthSouth Corp. cv. sr. unsec. sub. notes 2s, 2043 709,000 821,997
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2s (zero %, 3/1/18) 2042(STP) 880,000 977,350
Jazz Investments I, Ltd. 144A cv. company guaranty sr. unsec. notes 1 7/8s, 2021 (Ireland) 722,000 847,448
Medidata Solutions, Inc. cv. sr. unsec. notes 1s, 2018 370,000 388,038
PDL BioPharma, Inc. cv. sr. unsec. unsub. notes 4s, 2018 335,000 336,466
6,162,701
Semiconductor (0.6%)
Novellus Systems, Inc. cv. sr. unsec. notes 2 5/8s, 2041 370,000 879,444
879,444
Software (0.8%)
Safeguard Scientifics, Inc. cv. sr. unsec. bonds 5 1/4s, 2018 970,000 1,222,782
1,222,782
Technology (0.4%)
ON Semiconductor Corp. cv. company guaranty sr. unsec. sub. notes Ser. B, 2 5/8s, 2026 442,000 501,394
501,394
Technology services (1.9%)
j2 Global, Inc. cv. sr. unsec. notes 3 1/4s, 2029 570,000 594,581
Salesforce.com, Inc. cv. sr. unsec. unsub. notes 1/4s, 2018 600,000 685,125
Web.com Group, Inc. cv. sr. unsec. unsub. notes 1s, 2018 646,000 573,325
Yahoo!, Inc. 144A cv. sr. unsec. notes zero %, 2018 775,000 889,797
2,742,828
Transportation (0.7%)
Scorpio Tankers, Inc. 144A cv. sr. unsec. notes 2 3/8s, 2019 1,072,000 1,015,720
1,015,720
Total convertible bonds and notes (cost $48,059,743) $53,183,493

CONVERTIBLE PREFERRED STOCKS (20.3%)(a)
Shares Value
Basic materials (1.3%)
Alcoa, Inc. Ser. 1, $2.688 cv. pfd.(NON) 12,347 $658,095
Smurfit-Stone Container Corp. (Escrow) zero % cv. pfd.(F) 65,720 657
Weyerhaeuser Co. Ser. A, $3.188 cv. pfd.(R) 19,725 1,156,378
1,815,130
Capital goods (1.2%)
United Technologies Corp. $3.75 cv. pfd. 28,240 1,696,942
1,696,942
Communication services (3.1%)
American Tower Corp. Ser. A, $5.25 cv. pfd.(R) 13,510 1,540,140
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 28,570 1,394,573
Crown Castle International Corp. Ser. A, Class A, $4.50 cv. pfd.(R) 7,809 827,754
Iridium Communications, Inc. Ser. B, 6.75% cv. pfd. 680 241,767
Iridium Communications, Inc. 144A $7.00 cv. pfd. 4,095 472,205
4,476,439
Consumer cyclicals (1.7%)
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) 45,325 1,206,071
Stanley Black & Decker, Inc. $6.25 cv. pfd. 10,485 1,209,864
2,415,935
Consumer staples (0.9%)
Post Holdings, Inc. 144A $3.75 cv. pfd. 3,258 307,099
Tyson Foods, Inc. $2.375 cv. pfd. 18,767 980,200
1,287,299
Energy (1.7%)
Chesapeake Energy Corp. 144A 5.75% cv. pfd. 1,848 1,962,345
Halcon Resources Corp. Ser. A, 5.75% cv. pfd. 610 335,500
McDermott International, Inc. $1.563 cv. pfd. 15,461 226,813
2,524,658
Financials (6.8%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd.(R) 32,805 911,877
AMG Capital Trust II $2.575 cv. pfd. 21,285 1,303,706
Banc of California, Inc. 4.00% cv. pfd. 8,217 445,115
Bank of America Corp. Ser. L, 7.25% cv. pfd. 2,843 3,340,525
EPR Properties Ser. C, $1.44 cv. pfd.(R) 44,170 1,024,192
Health Care REIT, Inc. Ser. I, $3.25 cv. pfd.(R) 14,532 949,576
Maiden Holdings, Ltd. Ser. B, $3.625 cv. pfd. (Bermuda) 15,345 759,578
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 925 1,128,500
9,863,069
Health care (0.5%)
Alere, Inc. Ser. B, 3.00% cv. pfd. 1,410 465,300
AmSurg Corp. Ser. A-1, $5.25 cv. pfd. 3,013 326,911
792,211
Transportation (0.5%)
Genesee & Wyoming, Inc. $5.00 cv. pfd. 5,548 704,208
704,208
Utilities and power (2.6%)
Dominion Resources, Inc./VA $3.188 cv. pfd. 21,883 1,132,445
Dynegy, Inc. Ser. A, $5.375 cv. pfd.(NON) 4,686 500,418
El Paso Energy Capital Trust I $2.375 cv. pfd. 1,069 64,140
Exelon Corp. $3.25 cv. pfd. 15,998 834,936
NextEra Energy, Inc. $2.90 cv. pfd. 22,625 1,272,656
3,804,595
Total convertible preferred stocks (cost $26,637,982) $29,380,486

COMMON STOCKS (1.3%)(a)
Shares Value
Ally Financial, Inc.(F)(NON) 4,650 $110,577
Axalta Coating Systems, Ltd.(NON) 2,727 64,903
Berry Plastics Group, Inc.(NON) 1,240 35,886
CIT Group, Inc. 1,606 78,373
Dana Holding Corp. 2,995 63,494
DISH Network Corp. Class A(NON) 1,525 121,100
EP Energy Corp. Class A(NON) 5,301 56,668
Ford Motor Co. 44,457 699,309
General Motors Co. 2,615 87,419
Huntsman Corp. 4,550 116,116
Level 3 Communications, Inc.(NON) 1,515 75,750
Live Nation Entertainment, Inc.(NON) 1,215 32,562
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 5,612 224
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 5,612 224
MeadWestvaco Corp. 3,045 136,416
Penn National Gaming, Inc.(NON) 8,065 114,523
Rite Aid Corp.(NON) 16,945 92,859
Seventy Seven Energy, Inc.(NON) 2,750 21,395
Vantage Drilling Co.(NON) 36,191 27,867
Total common stocks (cost $1,741,967) $1,935,665

PREFERRED STOCKS (0.3%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 176 $176,666
Citigroup, Inc. Ser. K, $1.719 pfd. 1,200 31,764
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 4,695 124,136
M/I Homes, Inc. Ser. A, $2.438 pfd. 2,305 58,547
Total preferred stocks (cost $352,809) $391,113

SENIOR LOANS (0.1%)(a)(c)
Principal amount Value
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 6.985s, 2017 $203,234 $184,639
Total senior loans (cost $193,367) $184,639

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 (1.7%)(a)
Shares Value
Putnam Short Term Investment Fund 0.09%(AFF) 2,439,196 $2,439,196
Total short-term investments (cost $2,439,196) $2,439,196

TOTAL INVESTMENTS
Total investments (cost $136,015,074)(b) $144,654,771













FORWARD CURRENCY CONTRACTS at 11/30/14 (aggregate face value $532,978) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Canadian Dollar Sell 1/21/15 $30,572 $31,221 $649
Barclays Bank PLC
British Pound Sell 12/17/14 233,344 246,510 13,166
JPMorgan Chase Bank N.A.
Canadian Dollar Sell 1/21/15 35,813 36,597 784
State Street Bank and Trust Co.
Canadian Dollar Sell 1/21/15 149,541 152,533 2,992
WestPac Banking Corp.
Canadian Dollar Sell 1/21/15 64,725 66,117 1,392
Total $18,983












Key to holding's currency abbreviations
CAD Canadian Dollar
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, 2014 through November 30, 2014 (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 $144,970,794.
(b) The aggregate identified cost on a tax basis is $136,552,369, resulting in gross unrealized appreciation and depreciation of $14,577,748 and $6,475,346, respectively, or net unrealized appreciation of $8,102,402.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund * $673,606 $8,810,820 $7,045,230 $520 $2,439,196
* 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) Security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Board has formed a Pricing Committee to oversee the implementation of these procedures and has delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value and are classified as Level 2 securities.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used 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 fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, is presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund did not have a net liability position on open 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 $317,435 $— $—
    Capital goods 35,886 — —
    Communication services 196,850 — —
    Consumer cyclicals 997,307 — —
    Consumer staples 92,859 — —
    Energy 105,930 — 448
    Financials 78,373 110,577 —
Total common stocks 1,824,640 110,577 448
Convertible bonds and notes — 53,091,187 92,306
Convertible preferred stocks 465,300 28,914,529 657
Corporate bonds and notes — 57,140,175 3
Preferred stocks 155,900 235,213 —
Senior loans — 184,639 —
Warrants — 1 —
Short-term investments 2,439,196 — —
Totals by level $4,885,036 $139,676,321 $93,414



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $18,983 $—
Totals by level $— $18,983 $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
Transfers from level 1 to level 2, totaling $2,412,496, are the result of changing to a pricing service as the source for the securities prices. Transfers are accounted for using the end of period pricing valuation method.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Foreign exchange contracts $18,983 $—
Equity contracts 1 —
Total $18,984 $—


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Forward currency contracts (contract amount)$820,000
Warrants (number of warrants)168,777
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
                   
      Bank of America N.A. Barclays Bank PLC JPMorgan Chase Bank N.A. State Street Bank and Trust Co. WestPac Banking Corp.   Total
                   
  Assets:                
  Forward currency contracts#    $649  $13,166  $784  $2,992  $1,392    $18,983
                   
  Total Assets  $649  $13,166  $784  $2,992  $1,392  $18,983
                   
  Liabilities:                
  Forward currency contracts#    $–  $–  $–  $–  $–    $–
                   
  Total Liabilities  $–  $–  $–  $–  $–  $–
                   
  Total Financial and Derivative Net Assets    $649  $13,166  $784  $2,992  $1,392    $18,983
  Total collateral received (pledged)##†    $–  $–  $–  $–  $–    
  Net amount    $649  $13,166  $784  $2,992  $1,392    
                   
†  Additional collateral may be required from certain brokers based on individual agreements.
                   
# Covered by master netting agreement.
                   
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.

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



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

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

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

Putnam High Income Securities Fund
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: January 28, 2015

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: January 28, 2015

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: January 28, 2015