a_highincsec.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: November 30, 2011



Item 1. Schedule of Investments:













Putnam High Income Securities Fund

The fund's portfolio
11/30/11 (Unaudited)
CORPORATE BONDS AND NOTES (41.6%)(a)
Principal amount Value
Basic materials (2.9%)
AbitibiBowater, Inc. 144A company guaranty sr. notes 10 1/4s, 2018 (Canada) $25,000 $27,188
Associated Materials, LLC company guaranty sr. notes 9 1/8s, 2017 140,000 118,475
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 165,000 160,463
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany) 55,000 57,475
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 140,000 142,450
Compass Minerals International, Inc. company guaranty sr. unsec. notes 8s, 2019 115,000 121,325
Dynacast International, LLC/Dynacast Finance, Inc. 144A notes 9 1/4s, 2019 35,000 32,638
Edgen Murray Corp. company guaranty sr. notes 12 1/4s, 2015 50,000 44,375
Exopack Holding Corp. 144A sr. notes 10s, 2018 80,000 79,200
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 160,000 159,600
FMG Resources August 2006 Pty, Ltd. 144A company guaranty sr. unsec notes 6 3/8s, 2016 (Australia) 5,000 4,700
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) 95,000 92,388
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) 90,000 86,850
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) 150,000 137,242
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 55,000 43,175
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 90,000 81,225
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 90,000 91,350
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 75,000 76,125
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) 200,000 198,500
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (United Kingdom) EUR 105,000 99,310
Lyondell Chemical Co. company guaranty sr. sec. loans 8s, 2017 $88,000 95,480
Lyondell Chemical Co. sr. notes 11s, 2018 159,712 172,090
Momentive Performance Materials, Inc. notes 9s, 2021 185,000 131,813
NewPage Corp. company guaranty sr. notes 11 3/8s, 2014 (In default)(NON) 65,000 45,338
Nexeo Solutions, LLC/Nexeo Solutions Finance Corp. 144A company guaranty sr. sub. notes 8 3/8s, 2018 35,000 34,213
Norbord, Inc. sr. unsub. plants equip. 7 1/4s, 2012 (Canada) 45,000 44,775
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 195,000 205,725
Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015 120,000 118,200
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 77,226
PE Paper Escrow GmbH 144A sr. notes 12s, 2014 (Austria) $140,000 149,100
Pregis Corp. company guaranty sr. sub. notes 12 3/8s, 2013 70,000 65,100
Sealed Air Corp. 144A sr. unsec. notes 8 3/8s, 2021 25,000 26,688
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland) 100,000 100,500
Smurfit Kappa Treasury company guaranty sr. unsec. unsub. debs 7 1/2s, 2025 (Ireland) 20,000 18,300
Solo Cup Co. company guaranty notes 10 1/2s, 2013 30,000 30,300
Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017 90,000 97,200
Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 165,000 176,138
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016 65,000 66,950
Thompson Creek Metals Co., Inc. 144A company guaranty sr. notes 7 3/8s, 2018 (Canada) 55,000 46,200
TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017 110,000 109,725
Tube City IMS Corp. company guaranty sr. unsec. sub. notes 9 3/4s, 2015 160,000 161,200
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes 8 3/4s, 2019 75,000 48,750
3,875,066
Capital goods (2.7%)
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 185,000 191,938
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 50,000 47,875
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014 60,000 58,200
American Axle & Manufacturing, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 5,000 4,825
American Axle & Manufacturing, Inc. 144A company guaranty sr. notes 9 1/4s, 2017 121,000 127,655
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) EUR 100,000 129,424
BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 $35,000 37,275
Berry Plastics Corp. company guaranty notes FRN 4.222s, 2014 75,000 69,000
Berry Plastics Corp. company guaranty sr. notes 9 1/2s, 2018 80,000 76,500
Berry Plastics Corp. notes 9 3/4s, 2021 85,000 81,175
Berry Plastics Holding Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2016 50,000 46,000
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 100,000 101,000
Crown Americas, LLC/Crown Americas Capital Corp. III company guaranty sr. unsec. notes 6 1/4s, 2021 45,000 46,688
Exide Technologies sr. notes 8 5/8s, 2018 185,000 148,000
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 120,000 121,500
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 215,000 216,613
Kratos Defense & Security Solutions, Inc. 144A company guaranty sr. notes 10s, 2017 10,000 10,075
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) 285,000 348,743
Meritor, Inc. company guaranty sr. unsec. notes 8 1/8s, 2015 35,000 30,975
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 15,000 15,919
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 280,000 270,900
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 75,000 76,875
Reynolds Group DL Escrow, Inc./Reynolds Group Escrow, LLC 144A company guaranty sr. notes 8 3/4s, 2016 115,000 118,738
Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 7 1/8s, 2019 100,000 97,750
Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 120,000 108,000
Ryerson Holding Corp. sr. disc. notes zero %, 2015 45,000 20,025
Ryerson, Inc. company guaranty sr. notes 12s, 2015 225,000 225,563
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 50,000 50,750
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 90,000 90,450
Terex Corp. company guaranty sr. unsec. notes 10 7/8s, 2016 55,000 61,050
Terex Corp. sr. unsec. sub. notes 8s, 2017 200,000 194,500
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 175,000 175,000
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 93,000 98,580
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 145,000 149,350
3,646,911
Communication services (5.3%)
Adelphia Communications Corp. escrow bonds zero %, 2012 20,000 62
Adelphia Communications Corp. escrow bonds zero %, 2012 235,000 729
AMC Networks, Inc. 144A company guaranty sr. unsec notes 7 3/4s, 2021 10,000 10,575
Atlantic Broadband Finance, LLC company guaranty 9 3/8s, 2014 225,000 223,313
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 85,000 85,850
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 180,000 188,100
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 35,000 35,525
CCH II, LLC/CCH II Capital company guaranty sr. unsec. notes 13 1/2s, 2016 49,815 57,412
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 110,000 113,988
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 95,000 91,675
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 70,000 70,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 85,000 85,850
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017 125,000 127,188
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 130,000 115,700
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2017 714,000 414,120
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 120,000 101,400
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 110,000 92,950
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 195,000 153,075
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 115,000 114,713
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 45,000 48,263
CSC Holdings, LLC 144A sr. unsec. unsub. notes 6 3/4s, 2021 65,000 65,325
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 165,000 162,525
EH Holding Corp. 144A sr. notes 6 1/2s, 2019 130,000 127,075
EH Holding Corp. 144A sr. unsec. notes 7 5/8s, 2021 145,000 142,463
Equinix, Inc. sr. unsec. notes 7s, 2021 75,000 76,500
Frontier Communications Corp. sr. unsec. notes 8 1/2s, 2020 110,000 104,500
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017 65,000 63,294
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2014 25,000 25,813
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 35,000 33,294
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 7 1/2s, 2021 (Bermuda) 140,000 133,000
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 322,187 295,607
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) 580,000 533,600
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) 85,000 77,988
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 80,000 80,800
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2014 194,000 197,638
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 8 1/8s, 2019 20,000 18,900
Mediacom Broadband, LLC/Mediacom Broadband Corp. sr. unsec. unsub. notes 8 1/2s, 2015 50,000 51,250
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 55,000 57,338
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 190,000 181,450
Nextel Communications, Inc. company guaranty sr. unsec. notes Ser. D, 7 3/8s, 2015 95,000 83,600
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 90,000 102,150
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 40,000 40,400
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 50,000 54,000
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 160,000 173,200
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 75,000 72,249
Qwest Communications International, Inc. company guaranty 7 1/2s, 2014 $20,000 20,125
Qwest Corp. notes 6 3/4s, 2021 130,000 135,548
Qwest Corp. sr. unsec. notes 7 1/2s, 2014 90,000 98,550
Qwest Corp. sr. unsec. unsub. notes 8 3/8s, 2016 20,000 22,675
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 65,000 66,625
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 55,000 59,194
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016 145,000 155,150
Sprint Capital Corp. company guaranty 6 7/8s, 2028 295,000 205,763
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 185,000 158,638
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 80,000 63,800
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 115,000 116,150
Videotron Ltee sr. notes 6 7/8s, 2021 (Canada) CAD 75,000 72,533
Virgin Media Finance PLC company guaranty sr. notes Ser. 1, 9 1/2s, 2016 (United Kingdom) $175,000 191,625
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Netherlands) 80,000 69,800
Wind Acquisition Finance SA 144A sr. notes 11 3/4s, 2017 (Netherlands) 110,000 94,875
Wind Acquisition Holdings Finance SA 144A company guaranty sr. notes 12 1/4s, 2017 (Italy)(PIK) 120,671 92,917
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 35,000 35,700
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2013 95,000 100,463
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 125,000 130,625
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 75,000 73,875
7,049,078
Consumer cyclicals (9.2%)
Academy Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 15,000 14,550
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 105,000 87,675
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 135,000 112,388
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 125,000 108,750
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 165,000 150,150
American Casino & Entertainment Properties LLC sr. notes 11s, 2014 177,000 177,000
American Media, Inc. 144A notes 13 1/2s, 2018 18,955 14,690
ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016(PIK) 50,000 50,750
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 40,000 41,500
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 6 7/8s, 2015 65,000 46,800
Beazer Homes USA, Inc. company guaranty sr. unsec. unsub. notes 9 1/8s, 2018 65,000 42,900
Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019 40,000 26,100
Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014 175,000 112,438
Brickman Group Holdings, Inc. 144A sr. notes 9 1/8s, 2018 30,000 26,400
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 100,000 106,000
Building Materials Corp. 144A sr. notes 7s, 2020 45,000 46,575
Building Materials Corp. 144A sr. notes 6 7/8s, 2018 50,000 50,250
Building Materials Corp. 144A sr. notes 6 3/4s, 2021 40,000 39,800
Burlington Coat Factory Warehouse Corp. 144A company guaranty sr. unsec. notes 10s, 2019 90,000 86,625
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 447,000 286,080
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2015 30,000 26,700
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 220,000 228,800
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 20,000 21,750
Cengage Learning Acquisitions, Inc. 144A sr. notes 10 1/2s, 2015 80,000 58,000
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 125,000 106,563
Cenveo Corp. 144A company guaranty sr. unsec. notes 10 1/2s, 2016 40,000 33,800
Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company guaranty sr. notes 8 1/4s, 2021 200,000 169,500
Cinemark USA, Inc. company guaranty sr. unsec. notes 8 5/8s, 2019 85,000 91,375
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 25,000 24,938
CityCenter Holdings LLC/CityCenter Finance Corp. 144A company guaranty sr. notes 10 3/4s, 2017(PIK) 163,615 161,979
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 120,000 99,000
Clear Channel Communications, Inc. company guaranty unsec. unsub. notes 10 3/4s, 2016 260,000 163,800
Clear Channel Communications, Inc. sr. unsec. notes 5 1/2s, 2014 100,000 67,500
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2017 20,000 20,950
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017 160,000 168,400
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015 205,000 209,100
Cumulus Media, Inc. 144A sr. notes 7 3/4s, 2019 125,000 108,125
DISH DBS Corp. company guaranty 7 1/8s, 2016 60,000 61,650
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 135,000 143,100
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 100,000 97,500
Entercom Radio, LLC 144A company guaranty sr. sub. notes 10 1/2s, 2019 110,000 106,150
FelCor Lodging LP company guaranty sr. notes 10s, 2014(R) 151,000 161,570
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 165,000 153,450
Ford Motor Credit Co., LLC sr. unsec. notes 8 1/8s, 2020 315,000 371,700
Ford Motor Credit Co., LLC sr. unsec. notes 7s, 2015 110,000 118,414
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 3/4s, 2021 200,000 203,975
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015 130,000 120,900
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 85,000 84,044
Hanesbrands, Inc. sr. unsec. notes 8s, 2016 75,000 80,813
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 240,000 256,800
Isle of Capri Casinos, Inc. company guaranty 7s, 2014 195,000 180,375
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 90,000 82,800
Jarden Corp. company guaranty sr. unsec. notes 8s, 2016 50,000 54,000
Jarden Corp. company guaranty sr. unsec. sub. notes 7 1/2s, 2017 280,000 296,800
Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017 110,000 114,400
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 10,000 10,925
Lamar Media Corp. company guaranty sr. sub. notes 7 7/8s, 2018 40,000 41,300
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 145,000 141,375
Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016 80,000 82,400
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 100,000 103,750
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 180,000 157,950
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 160,000 176,835
Macy's Retail Holdings, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2015 75,000 86,518
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) 200,000 9,000
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 125,000 117,500
MGM Resorts International company guaranty sr. notes 9s, 2020 25,000 27,250
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 40,000 36,500
MGM Resorts International company guaranty sr. unsec. notes 6 5/8s, 2015 50,000 47,250
MGM Resorts International sr. notes 10 3/8s, 2014 20,000 22,400
MGM Resorts International sr. notes 6 3/4s, 2012 2,000 2,010
Michaels Stores, Inc. company guaranty 11 3/8s, 2016 225,000 236,250
MTR Gaming Group, Inc. 144A notes 11 1/2s, 2019 290,000 241,425
Navistar International Corp. sr. notes 8 1/4s, 2021 204,000 212,160
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 125,000 115,000
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc. company guaranty sr. notes 8 7/8s, 2017 105,000 106,050
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 205,000 216,788
Nortek, Inc. 144A company guaranty sr. notes 8 1/2s, 2021 45,000 37,013
Nortek, Inc. 144A company guaranty sr. unsec. notes 10s, 2018 125,000 116,250
Owens Corning company guaranty sr. unsec. notes 9s, 2019 225,000 265,500
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 30,000 32,250
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016 150,000 152,250
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 65,000 68,250
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 60,000 61,800
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 35,000 36,750
Pinnacle Entertainment, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2015 180,000 174,600
Pulte Group, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 105,000 101,063
Pulte Group, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 80,000 64,600
QVC Inc. 144A sr. notes 7 1/2s, 2019 90,000 95,625
QVC Inc. 144A sr. notes 7 3/8s, 2020 65,000 69,063
Realogy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 90,000 77,513
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 35,000 30,100
Regal Entertainment Group company guaranty sr. unsec. notes 9 1/8s, 2018 160,000 167,200
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 100,000 105,000
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A sr. notes 8 5/8s, 2017 155,000 153,063
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 200,000 156,000
Scotts Miracle-Gro Co. (The) 144A sr. notes 6 5/8s, 2020 90,000 90,900
Sealy Mattress Co. 144A company guaranty sr. sec. notes 10 7/8s, 2016 101,000 110,090
Sears Holdings Corp. company guaranty 6 5/8s, 2018 85,000 67,256
Standard Pacific Corp. company guaranty sr. unsec. unsub. notes 7s, 2015 25,000 23,750
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016 40,000 41,000
Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016 30,000 29,700
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 110,000 112,475
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 145,000 156,238
Travelport, LLC company guaranty 11 7/8s, 2016 120,000 39,000
Travelport, LLC company guaranty 9 7/8s, 2014 125,000 75,625
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 75,000 42,844
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014 EUR 60,000 81,527
TRW Automotive, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2014 EUR 80,000 108,703
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 $100,000 82,500
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 115,000 108,675
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty 1st mtge. notes 7 3/4s, 2020 70,000 75,425
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013 145,000 163,850
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 130,000 133,900
Yankee Candle Co. company guaranty sr. notes Ser. B, 8 1/2s, 2015 190,000 189,525
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) 95,000 83,125
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 210,000 212,625
12,259,401
Consumer staples (3.6%)
ACCO Brands Corp. company guaranty sr. notes 10 5/8s, 2015 80,000 88,600
AE Escrow Corp. 144A sr. unsec. notes 9 3/4s, 2020 35,000 35,000
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 30,000 30,225
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 150,000 149,250
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 75,000 81,844
Central Garden & Pet Co. company guaranty sr. sub. notes 8 1/4s, 2018 65,000 63,050
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016(PIK) 63,393 58,955
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 80,000 58,400
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 145,000 158,775
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 150,000 162,375
Dave & Buster's, Inc. company guaranty sr. unsec. unsub. notes 11s, 2018 130,000 133,250
Dean Foods Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2018 30,000 31,500
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 95,000 92,150
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 175,000 181,125
Dole Food Co. sr. notes 13 7/8s, 2014 94,000 108,805
Dole Food Co. 144A sr. notes 8s, 2016 35,000 36,050
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 105,000 109,463
Hertz Corp. company guaranty sr. unsec. notes 7 1/2s, 2018 45,000 45,113
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 110,000 148,826
JBS USA, LLC/JBS USA Finance, Inc. company guaranty sr. unsec. notes 11 5/8s, 2014 $60,000 66,750
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 335,000 304,850
Landry's Acquisition Co. 144A company guaranty notes 11 5/8s, 2015 30,000 30,750
Landry's Restaurants, Inc. company guaranty sr. notes 11 5/8s, 2015 20,000 20,850
Landry's Restaurants, Inc. 144A company guaranty sr. notes 11 5/8s, 2015 45,000 46,913
Libbey Glass, Inc. sr. notes 10s, 2015 72,000 76,680
Michael Foods, Inc. company guaranty sr. unsec notes 9 3/4s, 2018 55,000 56,650
Pinnacle Foods Finance, LLC/Pinnacle Foods Finance Corp. company guaranty sr. unsec. notes 9 1/4s, 2015 45,000 46,013
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 135,000 137,025
Reddy Ice Corp. company guaranty sr. notes 11 1/4s, 2015 125,000 115,000
Revlon Consumer Products Corp. company guaranty notes 9 3/4s, 2015 80,000 85,200
Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019 40,000 43,200
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 65,000 63,700
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 250,000 218,750
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 35,000 37,800
Roadhouse Financing, Inc. notes 10 3/4s, 2017 75,000 74,250
Service Corporation International sr. notes 7s, 2019 50,000 51,875
Service Corporation International sr. notes 7s, 2017 65,000 69,550
Service Corporation International sr. unsec. 7 3/8s, 2014 125,000 135,625
Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014 130,000 148,850
Spectrum Brands, Inc. sr. notes 9 1/2s, 2018 95,000 103,313
Spectrum Brands, Inc. sr. unsec. sub. bonds 12s, 2019 117,016 126,816
Spectrum Brands, Inc. 144A company guaranty notes 9 1/2s, 2018 50,000 54,375
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 85,000 82,663
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014 305,000 351,513
United Rentals North America, Inc. company guaranty sr. unsec. sub. notes 8 3/8s, 2020 45,000 43,875
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2019 80,000 86,400
Wendy's Co. (The) company guaranty sr. unsec. unsub. notes 10s, 2016 225,000 246,375
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 55,000 54,863
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 65,000 65,000
4,818,230
Energy (5.8%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 80,000 76,000
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 85,000 81,175
Anadarko Finance Co. company guaranty sr. unsec. unsub. notes Ser. B, 7 1/2s, 2031 210,000 252,845
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 75,000 83,615
Anadarko Petroleum Corp. sr. unsec. notes 6 3/8s, 2017 15,000 17,192
Anadarko Petroleum Corp. sr. unsec. notes 6.2s, 2040 50,000 54,666
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 105,000 102,900
Arch Coal, Inc. 144A company guaranty sr. unsec. notes 7s, 2019 110,000 107,250
Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013 45,000 45,000
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015 50,000 33,000
Brigham Exploration Co. company guaranty sr. unsec. notes 8 3/4s, 2018 59,000 71,685
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 235,000 233,238
Carrizo Oil & Gas, Inc. 144A company guaranty sr. unsec notes 8 5/8s, 2018 30,000 29,550
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 85,000 90,950
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 7/8s, 2017 155,000 158,100
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 45,000 44,325
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 35,000 39,375
Chesapeake Midstream Partners LP/CHKM Finance Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 45,000 43,650
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2019 115,000 113,419
Complete Production Services, Inc. company guaranty 8s, 2016 100,000 104,000
Comstock Resources, Inc. company guaranty sr. unsub. notes 8 3/8s, 2017 110,000 107,800
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 120,000 121,500
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 215,000 231,125
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 130,000 138,450
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2021 20,000 19,700
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 230,000 244,950
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 65,650
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 250,000 230,000
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 9 1/8s, 2017 75,000 77,250
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 85,000 72,888
Forbes Energy Services Ltd. company guaranty sr. unsec notes 9s, 2019 80,000 74,400
Frac Tech Services, LLC/Frac Tech Finance, Inc. 144A company guaranty sr. notes 7 5/8s, 2018 115,000 115,863
Goodrich Petroleum Corp. 144A sr. notes 8 7/8s, 2019 185,000 181,300
Helix Energy Solutions Group, Inc. 144A sr. unsec. notes 9 1/2s, 2016 345,000 358,800
Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017 60,000 57,600
Inergy LP/Inergy Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021 135,000 128,250
James River Coal Co. company guaranty sr. unsec. unsub. notes 7 7/8s, 2019 45,000 34,200
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 80,000 79,000
Kodiak Oil & Gas Corp. 144A sr. notes 8 1/8s, 2019 125,000 126,875
Laredo Petroleum, Inc. 144A sr. notes 9 1/2s, 2019 160,000 165,800
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 90,000 90,450
Milagro Oil & Gas 144A notes 10 1/2s, 2016 120,000 85,200
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 50,000 52,500
Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s, 2018 90,000 94,500
Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, 2014 210,000 212,100
Offshore Group Investments, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 120,000 128,700
OPTI Canada, Inc. company guaranty sr. sec. notes 8 1/4s, 2014 (Canada) (In default)(NON) 15,000 10,069
OPTI Canada, Inc. company guaranty sr. sec. notes 7 7/8s, 2014 (Canada) (In default)(NON) 105,000 70,350
Peabody Energy Corp. company guaranty 7 3/8s, 2016 185,000 200,263
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 10,000 10,100
Peabody Energy Corp. 144A sr. unsec. notes 6s, 2018 245,000 244,694
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 135,000 150,356
Petroleum Development Corp. company guaranty sr. unsec. notes 12s, 2018 265,000 283,550
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 3/4s, 2022 175,000 178,500
Quicksilver Resources, Inc. company guaranty sr. unsec. notes 8 1/4s, 2015 50,000 51,000
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 70,000 78,750
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 50,000 54,750
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 135,000 144,788
Sabine Pass LNG LP sec. notes 7 1/2s, 2016 185,000 183,381
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 25,000 22,875
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 230,000 220,800
SandRidge Energy, Inc. 144A sr. unsec. notes 9 7/8s, 2016 55,000 56,650
SM Energy Co. 144A sr. unsec. notes 6 5/8s, 2019 55,000 55,550
SM Energy Co. 144A sr. unsec. notes 6 1/2s, 2021 50,000 50,000
Trinidad Drilling, Ltd. 144A sr. unsec. notes 7 7/8s, 2019 (Canada) 25,000 25,500
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 30,000 29,580
Whiting Petroleum Corp. company guaranty 7s, 2014 90,000 95,400
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 115,000 145,113
WPX Energy, Inc. 144A sr. unsec. notes 6s, 2022 70,000 68,775
WPX Energy, Inc. 144A sr. unsec. notes 5 1/4s, 2017 145,000 142,463
7,752,643
Financials (4.3%)
ABN Amro North American Holding Preferred Capital Repackage Trust I 144A jr. sub. bonds FRB 6.523s, perpetual maturity 195,000 143,325
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 90,000 81,900
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 90,000 82,700
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, 2020 60,000 59,175
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 65,000 62,806
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.526s, 2014 65,000 56,580
Ally Financial, Inc. unsec. sub. notes 8s, 2018 65,000 60,288
American International Group, Inc. jr. sub. bonds FRB 8.175s, 2058 140,000 123,550
BAC Capital Trust VI bank guaranty jr. unsec. sub. notes 5 5/8s, 2035 85,000 68,763
BankAmerica Capital II bank guaranty jr. unsec. sub. notes 8s, 2026 30,000 27,900
Capital One Capital IV company guaranty jr. unsec. sub. notes FRN 6.745s, 2037 105,000 103,556
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 35,000 35,263
CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub. notes 11 5/8s, 2017 170,000 194,225
CIT Group, Inc. sr. bonds 7s, 2017 354 350
CIT Group, Inc. sr. bonds 7s, 2016 538 532
CIT Group, Inc. 144A bonds 7s, 2017 556,000 547,605
CIT Group, Inc. 144A bonds 7s, 2016 289,000 285,388
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 135,000 136,688
CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018 105,000 110,250
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019 110,000 108,075
Dresdner Funding Trust I 144A bonds 8.151s, 2031 140,000 89,600
E*Trade Financial Corp. sr. notes 6 3/4s, 2016 80,000 78,000
E*Trade Financial Corp. sr. unsec. unsub. notes 12 1/2s, 2017 82,000 92,660
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB 6.071s, perpetual maturity (Jersey) 175,000 106,750
HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018 (United Kingdom) 135,000 107,797
HBOS PLC 144A unsec. sub. bonds 6s, 2033 (United Kingdom) 60,000 37,300
HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015 180,000 174,150
HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014 115,000 112,988
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 240,000 244,800
ING Groep NV jr. unsec. sub. notes 5.775s, perpetual maturity (Netherlands) 40,000 26,800
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 15,000 13,425
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 168,000 169,680
Liberty Mutual Group, Inc. 144A company guaranty jr. sub. notes FRB 10 3/4s, 2058 25,000 30,125
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 50,000 43,250
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. notes FRN 7s, 2037 30,000 24,900
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec notes 6 7/8s, 2021(R) 50,000 49,500
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) 190,000 201,875
NB Capital Trust IV jr. unsec. sub. notes 8 1/4s, 2027 30,000 27,900
Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015 145,000 138,475
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) 125,000 123,125
Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/4s, 2017 135,000 128,250
Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/8s, 2019 60,000 48,600
Regions Financing Trust II company guaranty jr. unsec. sub. bonds FRB 6 5/8s, 2047 210,000 168,000
Residential Capital LLC company guaranty jr. notes 9 5/8s, 2015 225,000 135,563
Royal Bank of Scotland Group PLC jr. unsec. sub. bonds FRB 7.648s, perpetual maturity (United Kingdom) 265,000 182,188
SLM Corp. sr. notes Ser. MTN, 8s, 2020 45,000 43,988
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 290,000 289,125
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 295,000 198,388
Springleaf Finance Corp. sr. unsec. notes Ser. MTNI, 5.85s, 2013 65,000 55,088
Springleaf Finance Corp. sr. unsec. notes Ser. MTNI, 4 7/8s, 2012 120,000 113,474
Ventas Realty LP/Capital Corp. company guaranty 9s, 2012(R) 100,000 102,392
5,712,888
Health care (2.8%)
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 95,000 89,775
Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017 90,000 96,975
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 130,000 128,538
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. notes 8s, 2019 40,000 38,800
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) 200,000 180,500
DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 30,000 29,475
DaVita, Inc. company guaranty sr. unsec. notes 6 3/8s, 2018 90,000 88,425
Elan Finance PLC/Elan Finance Corp. company guaranty sr. unsec. notes 8 3/4s, 2016 (Ireland) 160,000 170,400
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 100,000 98,250
Endo Pharmaceuticals Holdings, Inc. 144A company guaranty sr. unsec. notes 7s, 2019 70,000 71,750
Grifols, Inc. 144A company guaranty sr. notes 8 1/4s, 2018 170,000 175,100
HCA, Inc. company guaranty sr. notes 9 7/8s, 2017 29,000 31,320
HCA, Inc. company guaranty sr. notes 8 1/2s, 2019 215,000 232,200
HCA, Inc. sr. notes 6.95s, 2012 70,000 70,700
HCA, Inc. sr. notes 6 1/2s, 2020 385,000 382,113
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 110,000 107,800
Health Management Associates, Inc. sr. notes 6 1/8s, 2016 245,000 249,288
IASIS Healthcare, LLC/IASIS Capital Corp. 144A sr. notes 8 3/8s, 2019 205,000 170,663
Jaguar Holding Co.II/ Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019(FWC) 120,000 120,600
Kinetics Concept/KCI USA 144A company guaranty notes 10 1/2s, 2018 165,000 158,400
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 95,000 94,763
Select Medical Corp. company guaranty 7 5/8s, 2015 37,000 34,318
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 80,000 76,800
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015(PIK) 131,119 129,808
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 85,000 85,956
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 15,000 16,875
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 55,000 59,950
Tenet Healthcare Corp. 144A company guaranty notes 6 1/4s, 2018 135,000 132,975
United Surgical Partners International, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2017 265,000 263,013
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 20,000 18,825
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 45,000 43,425
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 120,000 115,500
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016 4,000 2,560
3,765,840
Technology (2.3%)
Advanced Micro Devices, Inc. sr. unsec. notes 8 1/8s, 2017 55,000 55,963
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 105,000 105,525
Alcatel-Lucent USA, Inc. unsec. debs. 6.45s, 2029 25,000 18,000
Avaya, Inc. company guaranty sr. unsec. notes 10 1/8s, 2015 70,000 55,300
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 235,000 183,888
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 55,000 49,225
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 227,350 177,901
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 55,000 41,938
Eagle Parent Inc. 144A sr. notes 8 5/8s, 2019 130,000 120,575
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 35,000 37,100
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 65,000 68,900
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015 150,116 136,606
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 190,000 154,850
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 140,000 121,100
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 55,000 51,700
First Data Corp. 144A sr. bonds 12 5/8s, 2021 200,000 165,000
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 114,000 116,850
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 49,000 52,185
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 115,000 119,888
Iron Mountain, Inc. company guaranty 8 3/4s, 2018 55,000 56,650
Iron Mountain, Inc. company guaranty sr. sub. notes 7 3/4s, 2019 45,000 46,463
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 25,000 26,250
Jazz Technologies, Inc. company guaranty sr. unsec. notes 8s, 2015(F) 446,000 439,309
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands) 150,000 163,125
Seagate HDD Cayman 144A company guaranty sr. unsec. notes 7 3/4s, 2018 (Cayman Islands) 85,000 87,550
SunGard Data Systems, Inc. company guaranty 10 1/4s, 2015 116,000 119,480
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 95,000 94,050
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 120,000 123,000
2,988,371
Transportation (0.5%)
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg) 200,000 190,000
AMGH Merger Sub, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 125,000 123,750
CHC Helicopter SA 144A company guaranty sr. notes 9 1/4s, 2020 (Luxembourg) 100,000 86,000
Kansas City Southern de Mexico SA de CV sr. unsec. unsub. notes 8s, 2018 (Mexico) 15,000 16,388
Kansas City Southern de Mexico SA de CV sr. unsec. unsub. notes 6 1/8s, 2021 (Mexico) 25,000 25,940
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 140,000 145,600
Western Express, Inc. 144A sr. notes 12 1/2s, 2015 130,000 48,100
635,778
Utilities and power (2.2%)
AES Corp. (The) sr. unsec. notes 8s, 2020 55,000 59,469
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 85,000 91,375
AES Corp. (The) 144A sr. notes 7 3/8s, 2021 75,000 78,188
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 100,000 104,000
Calpine Corp. 144A sr. notes 7 1/4s, 2017 185,000 188,700
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada) 95,000 102,324
Dolphin Subsidiary II, Inc. 144A sr. unsec. notes 7 1/4s, 2021 70,000 73,675
Dolphin Subsidiary II, Inc. 144A sr. unsec. notes 6 1/2s, 2016 155,000 160,813
Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019 (In default)(NON) 215,000 149,425
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 75,000 52,125
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 20,000 18,800
Edison Mission Energy sr. unsec. notes 7.2s, 2019 85,000 50,150
Edison Mission Energy sr. unsec. notes 7s, 2017 40,000 25,100
El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031 100,000 115,000
El Paso Natural Gas Co. debs. 8 5/8s, 2022 40,000 49,875
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 45,000 46,125
Energy Future Intermediate Holding Co., LLC sr. notes 9 3/4s, 2019 256,000 252,800
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 62,000 63,860
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 155,000 160,425
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 190,000 188,575
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 25,000 25,250
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 25,000 26,250
NRG Energy, Inc. company guaranty 7 3/8s, 2017 100,000 104,000
NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2021 325,000 308,750
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 70,000 71,750
PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015 84,000 93,030
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s, 2028 15,000 17,108
Texas Competitive/Texas Competitive Electric Holdings Co., LLC company guaranty notes 15s, 2021 75,000 44,250
Texas Competitive/Texas Competitive Electric Holdings Co., LLC company guaranty sr. unsec. notes 10 1/2s, 2016(PIK) 199,151 77,669
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 85,000 70,550
2,869,411
Total corporate bonds and notes (cost $57,029,590) $55,373,617

CONVERTIBLE BONDS AND NOTES (27.1%)(a)
Principal amount Value
Basic materials (1.1%)
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 $535,000 $579,138
U.S. Steel Corp. cv. sr. unsec. notes 4s, 2014 520,000 575,432
USEC, Inc. cv. sr. unsec. notes 3s, 2014 600,000 308,250
1,462,820
Capital goods (2.3%)
General Cable Corp. cv. unsec. sub. notes stepped-coupon 4 1/2s (2 1/4s, 11/15/19) 2029(STP) 1,160,000 1,135,350
Icahn Enterprises LP 144A cv. sr. unsec. notes FRN 4s, 2013 630,000 592,200
Meritor, Inc. cv. company guaranty sr. unsec. notes stepped-coupon 4 5/8s (zero %, 3/1/16) 2026(STP) 965,000 717,719
Owens-Brockway Glass Container, Inc. 144A cv. company guaranty sr. unsec. notes 3s, 2015 655,000 603,419
3,048,688
Communication services (4.1%)
Cogent Communication Group, Inc. cv. sr. unsec. notes 1s, 2027 733,000 652,370
Equinix, Inc. cv. sr. unsec. sub. notes 4 3/4s, 2016 830,000 1,153,700
Leap Wireless International, Inc. cv. sr. unsec. notes 4 1/2s, 2014 1,280,000 1,113,600
Level 3 Communications, Inc. cv. sr. unsec. unsub. notes 6 1/2s, 2016 645,000 879,619
Powerwave Technologies, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2027 1,160,000 626,458
Virgin Media, Inc. cv. sr. unsec. notes 6 1/2s, 2016 (United Kingdom) 750,000 1,055,625
5,481,372
Consumer cyclicals (5.1%)
CBIZ, Inc. 144A cv. sr. sub. notes 4 7/8s, 2015 397,000 426,775
Charming Shoppes, Inc. cv. sr. unsec. notes 1 1/8s, 2014 1,270,000 1,130,300
Digital River, Inc. 144A cv. sr. unsec. notes 2s, 2030 790,000 645,825
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 631,000 894,443
Liberty Media, LLC cv. sr. unsec. unsub. notes 3 1/2s, 2031 1,900,000 1,047,375
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2 7/8s, 2027 1,070,000 956,313
MGM Resorts International Co. cv. company guaranty sr. unsec. notes 4 1/4s, 2015 1,020,000 946,050
XM Satellite Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014 622,000 803,935
6,851,016
Consumer staples (0.8%)
Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015 470,000 493,500
Spartan Stores, Inc. cv. sr. unsec. notes 3 3/8s, 2027 618,000 571,650
1,065,150
Energy (2.5%)
Alpha Natural Resources, Inc. cv. sr. unsec. notes 2 3/8s, 2015 570,000 531,525
Endeavour International Corp. 144A cv. company guaranty sr. unsec. notes 5 1/2s, 2016 643,000 485,722
Goodrich Petroleum Corp. cv. sr. unsec. unsub. notes 5s, 2029 494,000 461,890
Helix Energy Solutions Group, Inc. cv. sr. unsec. unsub. notes 3 1/4s, 2025 690,000 699,488
James River Coal Co. 144A cv. sr. unsec. notes 3 1/8s, 2018 689,000 422,013
Peabody Energy Corp. cv. jr. unsec. sub. debs. 4 3/4s, 2041 670,000 703,835
Trico Marine Services, Inc. cv. sr. unsec. debs. 3s, 2027 (In default)(NON) 500,000 5,000
3,309,473
Financials (2.9%)
Ares Capital Corp. 144A cv. sr. unsec. notes 5 3/4s, 2016 785,000 748,812
Digital Realty Trust LP 144A cv. sr. unsec. notes 5 1/2s, 2029(R) 545,000 857,013
iStar Financial, Inc. cv. sr. unsec. unsub. notes FRN 0.872s, 2012(R) 820,000 749,316
KKR Financial Holdings, LLC cv. sr. unsec. notes 7 1/2s, 2017 598,000 779,643
Morgans Hotel Group Co. cv. sr. sub. notes 2 3/8s, 2014 920,000 747,500
3,882,284
Health care (3.6%)
Brookdale Senior Living, Inc. cv. sr. unsec. unsub. notes 2 3/4s, 2018 940,000 769,625
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4s, 2013 (China) 763,000 488,320
China Medical Technologies, Inc. 144A cv. sr. unsec. notes 6 1/4s, 2016 (China) 445,000 186,544
Dendreon Corp. cv. sr. unsec. notes 2 7/8s, 2016 500,000 351,250
Hologic, Inc. cv. sr. unsec. notes stepped-coupon 2s (zero %, 12/15/16) 2037(STP) 365,000 404,238
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2s (zero %, 12/15/13) 2037(STP) 1,010,000 954,450
LifePoint Hospitals, Inc. cv. sr. sub. notes 3 1/2s, 2014 485,000 502,581
Providence Service Corp. (The) cv. sr. unsec. sub. notes 6 1/2s, 2014 302,000 295,205
Teleflex, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2017 700,000 831,250
4,783,463
Technology (4.3%)
Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s, 2015 1,414,000 1,382,185
Quantum Corp. cv. sr. unsec. sub. notes 3 1/2s, 2015 538,000 519,843
Safeguard Scientifics, Inc. cv. sr. unsec. sub. notes 10 1/8s, 2014 1,800,000 2,463,750
TeleCommunication Systems, Inc. 144A cv. sr. unsec. notes 4 1/2s, 2014 875,000 733,906
TTM Technologies, Inc. cv. sr. unsec. notes 3 1/4s, 2015 545,000 572,931
5,672,615
Transportation (0.4%)
Genco Shipping & Trading, Ltd. cv. sr. unsec. notes 5s, 2015 670,000 462,300
462,300
Total convertible bonds and notes (cost $35,634,616) $36,019,181

CONVERTIBLE PREFERRED STOCKS (25.4%)(a)
Shares Value
Basic materials (1.0%)
Smurfit-Stone Container Corp. (Escrow) zero % cv. pfd.(F) 65,720 $657
Vale Capital II $3.375 cv. pfd. (Cayman Islands) 19,570 1,273,273
1,273,930
Communication services (1.9%)
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 28,570 1,135,658
Crown Castle International Corp. $3.125 cum. cv. pfd. 22,708 1,342,724
2,478,382
Consumer cyclicals (5.6%)
Callaway Golf Co. Ser. B, 7.50% cv. pfd. 6,030 580,388
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) 62,060 1,320,711
General Motors Co. Ser. B, $2.375 cv. pfd. 67,775 2,312,822
Interpublic Group of Cos, Inc. (The) Ser. B, 5.25% cv. pfd. 1,170 1,116,692
Nielsen Holdings NV $3.125 cv. pfd. 21,515 1,196,772
Stanley Black & Decker, Inc. $4.75 cv. pfd. 8,247 937,436
7,464,821
Consumer staples (1.7%)
Bunge, Ltd. $4.875 cv. pfd. 11,750 1,135,344
Dole Food Automatic Exchange 144A 7.00% cv. pfd. 45,742 380,116
Newell Financial Trust I $2.625 cum. cv. pfd. 18,460 800,703
2,316,163
Energy (2.1%)
Apache Corp. Ser. D, $3.00 cv. pfd. 24,370 1,379,951
Chesapeake Energy Corp. 144A 5.75% cv. pfd. 1,292 1,403,435
2,783,386
Financials (8.5%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd. 28,010 662,997
AMG Capital Trust II $2.575 cv. pfd. 31,375 1,255,000
Assured Guaranty, Ltd. $4.25 cv. pfd. (Bermuda) 5,265 217,550
Bank of America Corp. Ser. L, 7.25% cv. pfd. 1,802 1,394,298
Citigroup, Inc. $7.50 cv. pfd. 20,240 1,709,066
Entertainment Properties Trust Ser. C, $1.438 cum. cv. pfd. 41,435 799,439
Hartford Financial Services Group, Inc. (The) $1.182 cv. pfd. 30,825 602,629
Health Care REIT, Inc. Ser. I, $3.25 cv. pfd. 20,775 1,017,975
Huntington Bancshares Ser. A, 8.50% cv. pfd. 844 884,512
MetLife, Inc. $3.75 cv. pfd. 18,970 1,153,186
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 1,575 1,660,050
11,356,702
Technology (1.0%)
Lucent Technologies Capital Trust I 7.75% cv. pfd. 1,255 801,631
Unisys Corp. Ser. A, 6.25% cv. pfd. 7,597 530,840
1,332,471
Transportation (0.5%)
Swift Mandatory Common Exchange Security Trust 144A 6.00% cv. pfd. 76,740 710,137
710,137
Utilities and power (3.1%)
AES Trust III $3.375 cv. pfd. 30,565 1,497,685
El Paso Energy Capital Trust I $2.375 cv. pfd. 1,069 49,195
Great Plains Energy, Inc. $6.00 cv. pfd. 19,895 1,260,149
PPL Corp. $4.375 cv. pfd. 24,135 1,323,081
4,130,110
Total convertible preferred stocks (cost $36,714,630) $33,846,102

COMMON STOCKS (2.0%)(a)
Shares Value
Alliance HealthCare Services, Inc.(NON) 4,248 $5,183
Alpha Natural Resources, Inc.(NON) 1,380 33,120
Avis Budget Group, Inc.(NON) 3,210 37,878
Bohai Bay Litigation, LLC (Escrow)(F) 406 1,267
Chesapeake Energy Corp. 2,190 55,495
Cincinnati Bell, Inc.(NON) 31,355 92,184
CIT Group, Inc.(NON) 936 31,693
Compton Petroleum Corp. (Canada)(NON) 5,645 29,806
CONSOL Energy, Inc. 1,500 62,460
Deepocean Group (Shell) (acquired 6/9/11, cost $131,921) (Norway)(RES) 9,098 122,823
El Paso Corp. 58,196 1,455,482
FelCor Lodging Trust, Inc.(NON)(R) 8,485 22,316
Fortescue Metals Group, Ltd. (Australia) 9,200 45,325
Freeport-McMoRan Copper & Gold, Inc. Class B (Indonesia) 1,770 70,092
General Motors Co.(NON) 2,830 60,251
Harry & David Holdings, Inc.(F) 124 9,300
Interpublic Group of Companies, Inc. (The) 6,010 56,374
Jarden Corp. 1,855 57,765
L-3 Communications Holdings, Inc. 965 63,980
Newfield Exploration Co.(NON) 1,895 86,791
NII Holdings, Inc.(NON) 2,425 55,799
Quicksilver Resources, Inc.(NON) 4,455 36,086
Spectrum Brands Holdings, Inc.(NON) 3,329 93,279
Stallion Oilfield Holdings, Ltd. 693 21,830
Terex Corp.(NON) 2,105 32,480
Trump Entertainment Resorts, Inc.(F) 152 646
TRW Automotive Holdings Corp.(NON) 790 25,801
Vantage Drilling Co.(NON) 38,638 46,366
Vertis Holdings, Inc.(F) 481 2,083
Total common stocks (cost $2,428,160) $2,713,955

UNITS (0.8%)(a)
Units Value
Ashland, Inc. cv. jr. unsec. sub. debs. units 6 1/2s, 2029 1,540,000 $1,078,000
Total units (cost $1,258,835) $1,078,000

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A Ser. G, 7.00% cum. pfd. 111 $77,762
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. 6,800 129,200
Total preferred stocks (cost $260,815) $206,962

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Smurfit Kappa Group PLC 144A (Ireland)(F) 10/1/13 EUR 0.001 119 $3,735
Tower Semiconductor, Ltd. 144A (Israel)(F) 6/30/15 $0.01 168,777 40,506
Total warrants (cost $38,280) $44,241

SENIOR LOANS (—%)(a)(c)
Principal amount Value
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.24s, 2014 $54,268 $11,973
GateHouse Media, Inc. bank term loan FRN Ser. DD, 2.24s, 2014 20,249 4,468
Total senior loans (cost $72,000) $16,441

SHORT-TERM INVESTMENTS (2.2%)(a)
Shares Value
Putnam Money Market Liquidity Fund 0.10%(e) 2,985,480 $2,985,480
Total short-term investments (cost $2,985,480) $2,985,480

TOTAL INVESTMENTS
Total investments (cost $136,422,406)(b) $132,283,979













FORWARD CURRENCY CONTRACTS at 11/30/11 (aggregate face value $1,604,285) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America, N.A.
Canadian Dollar Sell 12/21/11 $34,303 $34,455 $152
Euro Sell 12/21/11 44,348 45,124 776
Citibank, N.A.
Euro Buy 12/21/11 22,443 22,822 (379)
Credit Suisse AG
Euro Buy 12/21/11 20,696 21,063 (367)
Deutsche Bank AG
Euro Sell 12/21/11 127,667 129,960 2,293
Goldman Sachs International
Euro Sell 12/21/11 121,889 124,083 2,194
HSBC Bank USA, National Association
Euro Sell 12/21/11 51,067 51,976 909
JPMorgan Chase Bank, N.A.
Canadian Dollar Sell 12/21/11 40,184 40,340 156
Euro Buy 12/21/11 226,979 230,952 (3,973)
Royal Bank of Scotland PLC (The)
Euro Buy 12/21/11 75,794 77,139 (1,345)
State Street Bank and Trust Co.
Euro Sell 12/21/11 44,348 45,119 771
UBS AG
Euro Sell 12/21/11 1,613 1,641 28
Westpac Banking Corp.
Australian Dollar Sell 12/21/11 63,896 64,220 324
Canadian Dollar Sell 12/21/11 72,625 72,983 358
Euro Sell 12/21/11 631,080 642,408 11,328
Total $13,225












Key to holding's currency abbreviations
CAD Canadian Dollar
EUR Euro
USD / $ United States Dollar
Key to holding's abbreviations
FRB Floating Rate Bonds
FRN Floating Rate Notes
GMTN Global Medium Term Notes
MTN Medium Term Notes
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 November 30, 2011 (the reporting period).
(a) Percentages indicated are based on net assets of $133,082,651.
(b) The aggregate identified cost on a tax basis is $136,474,644, resulting in gross unrealized appreciation and depreciation of $6,996,255 and $11,186,920, respectively, or net unrealized depreciation of $4,190,665.
(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) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at the close of the reporting period was $122,823, or 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC (Putnam Management), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $549 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $5,486,615 and $5,747,230, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (ASC 820) based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $38,885 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The rates shown on FRB and FRN are the current interest rates at the close of the reporting period.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities. If no sales are reported — as in the case of some securities traded over-the-counter — a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Market quotations are not considered to be readily available for certain debt obligations 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 are 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. Outstanding forward currency contracts at the close of the reporting period are indicative of the volume of activity during the reporting period.
Master agreements: The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $5,908 on derivative contracts subject to the Master Agreements. There was no collateral posted by the fund.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks:
    Basic materials $70,092 $45,325 $—
    Capital goods 32,480 — —
    Communication services 147,983 — —
    Consumer cyclicals 222,507 — 2,729
    Consumer staples 131,157 — 9,300
    Energy 350,124 144,653 1,267
    Financials 31,693 — —
    Health care 5,183 — —
    Technology 63,980 — —
    Utilities and power 1,455,482 — —
Total common stocks 2,510,681 189,978 13,296
Convertible bonds and notes — 36,019,181 —
Convertible preferred stocks — 33,845,445 657
Corporate bonds and notes — 54,934,307 439,310
Preferred stocks — 206,962 —
Senior loans — 16,441 —
Units — 1,078,000 —
Warrants — — 44,241
Short-term investments 2,985,480 — —
Totals by level $5,496,161 $126,290,314 $497,504



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


Forward currency contracts $— $13,225 $—
Totals by level $— $13,225 $—


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 $19,289 $6,064
Equity contracts 44,241 —
Total $63,530 $6,064


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: During the period, State Street Bank and Trust Company, which provides certain administrative, pricing and bookkeeping services for the Putnam funds pursuant to an agreement with Putnam Investment Management, LLC, began utilizing different accounting systems and systems support in providing services for the fund.

Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

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

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

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