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, 2016
Date of reporting period: May 31, 2016



Item 1. Schedule of Investments:













Putnam High Income Securities Fund

The fund's portfolio
5/31/16 (Unaudited)
CORPORATE BONDS AND NOTES (42.4%)(a)
Principal amount Value
Basic materials (4.9%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 $120,000 $119,700
ArcelorMittal SA sr. unsec. unsub. bonds 10.85s, 2019 (France) 65,000 76,213
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France) 100,000 97,750
ArcelorMittal SA sr. unsec. unsub. notes 8s, 2039 (France) 10,000 9,450
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 150,000 159,000
Blue Cube Spinco, Inc. 144A company guaranty sr. unsec. notes 9 3/4s, 2023 60,000 69,300
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 130,000 131,625
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2023 150,000 163,125
Builders FirstSource, Inc. 144A sr. notes 7 5/8s, 2021 75,000 78,750
Celanese US Holdings, LLC company guaranty sr. unsec. notes 5 7/8s, 2021 (Germany) 115,000 125,063
Cemex SAB de CV 144A company guaranty sr. notes 5 7/8s, 2019 (Mexico) 320,000 325,600
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7s, 2025 40,000 35,075
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 60,000 53,850
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 120,000 113,400
Coveris Holding Corp. 144A company guaranty sr. unsec. notes 10s, 2018 165,000 167,475
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8s, 2021 55,000 51,975
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 65,000 51,350
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 125,000 100,000
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 45,000 42,188
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 80,000 74,400
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 3.55s, 2022 (Indonesia) 10,000 8,375
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2023 175,000 194,250
HD Supply, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020 160,000 168,800
HD Supply, Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2024 55,000 57,200
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 175,000 145,250
Huntsman International, LLC company guaranty sr. unsec. notes 5 1/8s, 2022 30,000 30,225
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 165,000 168,300
Joseph T Ryerson & Son, Inc. 144A sr. notes 11s, 2022 95,000 97,613
Kraton Polymers LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10 1/2s, 2023 125,000 132,188
Louisiana-Pacific Corp. company guaranty sr. unsec. notes 7 1/2s, 2020 55,000 56,994
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 125,000 125,938
Mercer International, Inc. company guaranty sr. unsec. notes 7s, 2019 (Canada) 60,000 60,000
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 (Canada) 60,000 60,225
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 (Canada) 45,000 42,525
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) 145,000 148,081
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 240,000 249,000
Pactiv, LLC sr. unsec. unsub. bonds 8 3/8s, 2027 15,000 15,300
Pactiv, LLC sr. unsec. unsub. notes 7.95s, 2025 70,000 70,700
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 200,000 200,000
PQ Corp. 144A company guaranty sr. notes 6 3/4s, 2022 30,000 31,200
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 80,000 84,000
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 75,000 85,500
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2023 100,000 103,875
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2024 40,000 41,100
Sealed Air Corp. 144A company guaranty sr. unsec. notes 4 7/8s, 2022 35,000 35,788
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7 1/2s, 2025 (Ireland) 75,000 88,406
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 135,000 141,750
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 80,000 82,216
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 10,000 10,258
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 20,000 20,388
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8 1/2s, 2024 (Canada) 15,000 15,394
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 (Canada) 25,000 25,563
TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7 5/8s, 2021 180,000 126,000
U.S. Concrete, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2024 85,000 85,000
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 85,000 85,672
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 20,000 21,025
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 100,000 106,250
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6s, 2023 140,000 130,200
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 175,000 185,063
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 35,000 36,290
5,617,191
Capital goods (3.7%)
Advanced Disposal Services, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 325,000 334,750
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 105,000 116,813
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2024 80,000 78,400
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5s, 2022 145,000 145,725
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2024 (Ireland) 200,000 204,000
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada) 95,000 97,138
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 85,000 85,850
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 80,000 77,400
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 55,000 56,513
Berry Plastics Corp. company guaranty unsub. notes 5 1/8s, 2023 35,000 34,738
Berry Plastics Corp. 144A company guaranty notes 6s, 2022 45,000 46,238
Bombardier, Inc. 144A sr. unsec. unsub. notes 4 3/4s, 2019 (Canada) 130,000 123,175
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 150,000 164,250
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7 3/8s, 2026 65,000 71,500
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. sub. notes 7 3/4s, 2020 (Luxembourg) 65,000 64,025
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6s, 2022 350,000 306,250
KLX, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 190,000 187,150
Legrand France SA sr. unsec. unsub. notes 8 1/2s, 2025 (France) 160,000 215,342
Manitowoc Foodservice, Inc. 144A sr. unsec. notes 9 1/2s, 2024 165,000 181,500
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 135,000 124,875
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 130,000 132,113
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2025 105,000 107,888
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2022 55,000 56,788
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 205,000 212,954
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 95,000 98,439
Terex Corp. company guaranty sr. unsec. notes 6s, 2021 165,000 163,144
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8 3/4s, 2023 190,000 187,625
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 85,000 90,021
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2024 65,000 66,300
TransDigm, Inc. 144A company guaranty sr. unsec. sub. bonds 6 3/8s, 2026 70,000 70,088
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2025 150,000 150,000
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2022 150,000 150,825
4,201,817
Communication services (5.2%)
Altice SA 144A company guaranty sr. unsec. notes 7 3/4s, 2022 (Luxembourg) 400,000 405,953
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 140,000 148,925
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 35,000 35,613
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 40,000 42,600
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. bonds 5 1/8s, 2023 125,000 128,438
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 5/8s, 2022 35,000 37,135
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 50,000 51,250
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5 1/2s, 2026 65,000 65,650
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2024 160,000 166,400
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5 3/4s, 2026 35,000 35,875
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 5,000 4,875
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 25,000 25,625
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 240,000 229,022
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 15,000 14,325
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024 70,000 63,000
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 50,000 51,375
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 (Jamaica) 200,000 176,000
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 80,000 74,041
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 10,000 9,325
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 30,000 26,625
Frontier Communications Corp. 144A sr. unsec. notes 11s, 2025 110,000 111,925
Frontier Communications Corp. 144A sr. unsec. notes 10 1/2s, 2022 205,000 213,456
Frontier Communications Corp. 144A sr. unsec. notes 8 7/8s, 2020 40,000 42,500
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 80,000 54,400
Intelsat Jackson Holdings SA company guaranty sr. unsec. unsub. bonds 6 5/8s, 2022 (Bermuda) 50,000 33,625
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 25,000 7,438
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8 1/8s, 2023 (Luxembourg) 35,000 10,413
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 100,000 102,250
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 40,000 41,800
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 45,000 45,797
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 90,000 91,350
Numericable-SFR SA 144A company guaranty sr. notes 7 3/8s, 2026 (France) 200,000 201,750
Numericable-SFR SA 144A company guaranty sr. notes 6s, 2022 (France) 200,000 199,525
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 25,000 25,625
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 75,000 59,213
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 $65,000 69,449
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6 7/8s, 2028 260,000 194,025
Sprint Communications, Inc. sr. unsec. notes 7s, 2020 60,000 51,225
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 80,000 82,300
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 115,000 122,331
Sprint Corp. company guaranty sr. unsec. sub. notes 7 7/8s, 2023 275,000 214,500
Sprint Corp. company guaranty sr. unsec. sub. notes 7 1/4s, 2021 265,000 214,650
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 5/8s, 2023 140,000 148,050
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 3/8s, 2025 220,000 230,450
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 165,000 172,838
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6s, 2023 40,000 41,700
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023 25,000 26,500
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021 45,000 47,363
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 45,000 45,759
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 125,000 131,875
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) 195,000 202,800
West Corp. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2022 180,000 163,350
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2019 215,000 223,869
Wind Acquisition Finance SA 144A company guaranty notes 7 3/8s, 2021 (Luxembourg) 200,000 189,250
Windstream Services, LLC company guaranty sr. unsec. notes 7 3/4s, 2021 200,000 174,500
Windstream Services, LLC company guaranty sr. unsec. notes 6 3/8s, 2023 185,000 142,335
5,922,238
Consumer cyclicals (8.3%)
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 70,000 70,700
AMC Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/4s, 2025 65,000 64,513
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5 3/4s, 2023 105,000 109,069
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 145,000 125,606
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 105,000 114,190
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 106,000 90,365
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 100,000 40,500
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 75,000 78,638
Boyd Gaming Corp. 144A company guaranty sr. unsec. unsub. bonds 6 3/8s, 2026 35,000 36,050
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 145,000 147,175
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 85,000 81,069
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2021 140,000 149,975
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2024 55,000 58,025
CCM Merger, Inc. 144A company guaranty sr. unsec. notes 9 1/8s, 2019 80,000 83,800
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 60,000 62,400
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 65,000 66,625
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2023 65,000 64,350
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7 5/8s, 2020 190,000 182,400
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 330,000 331,238
Dollar Tree, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 45,000 47,531
Dollar Tree, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2020 30,000 31,275
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7s, 2023 125,000 130,625
EMI Music Publishing Group North America Holdings, Inc. 144A sr. unsec. notes 7 5/8s, 2024 95,000 97,256
Entercom Radio, LLC company guaranty sr. unsec. notes 10 1/2s, 2019 100,000 105,750
Fiat Chryslet Automobiles NV sr. unsec. unsub. notes 5 1/4s, 2023 (Italy) 200,000 199,000
General Motors Co. sr. unsec. notes 5.2s, 2045 20,000 19,458
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 80,000 42,400
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2020 140,000 146,475
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2026 50,000 52,125
Goodyear Tire & Rubber Co. (The) company guaranty sr. unsec. notes 5s, 2026 35,000 35,394
Gray Television, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020 185,000 194,019
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 170,000 132,554
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4 5/8s, 2024 $70,000 70,000
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 220,000 223,300
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 130,000 102,050
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 95,000 99,156
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 60,000 61,350
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020 20,000 18,500
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 80,000 70,000
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 165,000 160,463
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 95,000 105,806
L Brands, Inc. company guaranty sr. unsec. sub. notes 5 5/8s, 2022 50,000 53,375
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 75,000 78,375
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 45,000 47,138
Lear Corp. company guaranty sr. unsec. notes 5 1/4s, 2025 15,000 15,975
Lear Corp. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 35,000 37,013
Lennar Corp. company guaranty sr. unsec. notes 4 1/2s, 2019 125,000 129,063
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 125,000 124,063
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2021 70,000 71,575
LIN Television Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 30,000 30,338
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 110,000 114,950
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 145,000 141,013
MGM Growth Properties Operating Partnership LP/MGP Escrow Co-Issuer, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 45,000 47,250
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 20,000 20,700
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 70,000 79,275
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 65,000 69,956
Mustang Merger Corp. 144A sr. unsec. notes 8 1/2s, 2021 25,000 26,125
Navistar International Corp. company guaranty sr. unsec. notes 8 1/4s, 2021 94,000 66,740
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 125,000 112,500
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8 3/4s, 2021(PIK) 175,000 122,938
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8s, 2021 60,000 45,300
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2021 (Luxembourg) 190,000 197,600
Nortek, Inc. company guaranty sr. unsec. sub. notes 8 1/2s, 2021 155,000 161,781
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2025 90,000 93,600
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2024 55,000 57,338
Penn National Gaming, Inc. sr. unsec. sub. notes 5 7/8s, 2021 140,000 143,850
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 160,000 164,000
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2026 60,000 59,550
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 90,000 90,000
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 135,000 151,875
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2026 110,000 112,132
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2025 45,000 44,775
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2023 70,000 71,575
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2022 60,000 61,800
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 54,000 55,553
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 160,000 166,400
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 130,000 132,925
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 15,000 14,550
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022 350,000 283,500
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 35,000 21,175
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 95,000 95,950
Sinclair Television Group, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 80,000 84,400
Sinclair Television Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2021 45,000 46,575
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 45,000 46,125
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6s, 2024 70,000 73,763
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 175,000 181,234
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5 3/4s, 2025 65,000 67,925
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2022 5,000 5,331
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2020 10,000 10,488
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2024 110,000 116,325
Standard Industries, Inc. 144A sr. unsec. notes 5 3/8s, 2024 160,000 163,600
Standard Industries, Inc./NJ 144A sr. unsec. notes 5 1/8s, 2021 15,000 15,563
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 180,000 178,200
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 75,000 75,188
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 45,000 44,100
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 60,000 62,100
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 15,000 15,450
TEGNA, Inc. 144A company guaranty sr. unsec. unsub. notes 4 7/8s, 2021 30,000 30,600
Tempur Sealy International, Inc. 144A company guaranty sr. unsec. unsub. bonds 5 1/2s, 2026 55,000 55,275
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2023 35,000 33,688
Tribune Media Co. company guaranty sr. unsec. notes 5 7/8s, 2022 125,000 126,250
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 30,000 29,400
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5 1/8s, 2025 105,000 104,213
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 88,000 91,960
9,372,519
Consumer staples (2.3%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6s, 2022 (Canada) 230,000 238,338
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) 45,000 45,900
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 200,000 202,500
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 45,000 41,738
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 40,000 36,800
BlueLine Rental Finance Corp. 144A notes 7s, 2019 140,000 118,300
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8s, 2022 180,000 169,650
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 195,000 195,488
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 45,000 46,294
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 105,000 106,313
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 115,000 129,806
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 205,000 208,075
Corrections Corp. of America company guaranty sr. unsec. sub. notes 4 1/8s, 2020(R) 25,000 25,813
Dean Foods Co. 144A company guaranty sr. unsec. notes 6 1/2s, 2023 90,000 93,600
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 140,000 105,000
JBS USA, LLC/JBS USA Finance, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 (Brazil) 135,000 139,050
JBS USA, LLC/JBS USA Finance, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 (Brazil) 35,000 36,050
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 40,000 41,600
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 20,000 20,200
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 55,000 55,447
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2024 25,000 26,313
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 90,000 91,125
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5 3/4s, 2021 165,000 165,000
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 150,000 158,625
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 30,000 16,500
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes 5 3/8s, 2022 130,000 138,938
2,652,463
Energy (4.0%)
Anadarko Petroleum Corp. sr. unsec. unsub. notes 5.55s, 2026 60,000 63,941
Antero Resources Corp. company guaranty sr. unsec. notes 5 5/8s, 2023 50,000 48,750
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5 1/8s, 2022 60,000 57,450
Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2021 90,000 87,750
Archrock Partners LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2022 160,000 137,600
Archrock Partners LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2021 70,000 60,550
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 (Canada) 85,000 65,875
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 1/8s, 2021 (Canada) 15,000 12,150
California Resources Corp. 144A company guaranty notes 8s, 2022 205,000 149,650
Chesapeake Energy Corp. 144A company guaranty notes 8s, 2022 143,000 115,115
Concho Resources, Inc. company guaranty sr. unsec. notes 5 1/2s, 2023 140,000 140,000
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 50,000 50,000
Continental Resources, Inc. company guaranty sr. unsec. notes 3.8s, 2024 25,000 21,813
Continental Resources, Inc. company guaranty sr. unsec. sub. notes 5s, 2022 90,000 85,050
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 80,000 72,850
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 25,000 17,781
Denbury Resources, Inc. 144A company guaranty notes 9s, 2021 132,000 129,855
Devon Financing Company, LLC company guaranty sr. unsec. unsub. bonds 7 7/8s, 2031 60,000 64,234
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 6 3/8s, 2023 50,000 25,500
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9 3/8s, 2020 235,000 150,988
Halcon Resources Corp. company guaranty sr. unsec. notes 9 3/4s, 2020 40,000 7,900
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 235,000 46,413
Halcon Resources Corp. 144A company guaranty notes 8 5/8s, 2020 60,000 56,400
Hess Corp. sr. unsec. unsub. notes 7.3s, 2031 65,000 70,339
Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2020 90,000 93,920
Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 30,000 29,250
Key Energy Services, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2021 135,000 32,738
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 175,000 176,094
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 115,000 4,600
Linn Energy, LLC/Linn Energy Finance Corp. 144A company guaranty notes 12s, 2020 (In default)(NON) 134,000 36,850
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada)(F) 45,000 2
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7s, 2024 (Canada) 80,000 61,600
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) 75,000 59,063
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2017 (In default)(NON) 120,000 39,600
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/4s, 2022 210,000 211,050
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 65,000 63,395
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 50,000 45,250
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 225,000 207,000
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2023 50,000 41,500
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2022 25,000 21,563
Sabine Pass Liquefaction, LLC sr. notes 5 5/8s, 2023 230,000 232,300
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 130,000 132,925
Sabine Pass LNG LP company guaranty sr. sub. notes 6 1/2s, 2020 45,000 46,969
Samson Investment Co. company guaranty sr. unsec. notes 9 3/4s, 2020 (In default)(NON) 245,000 3,675
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 (In default)(NON) 130,000 51,350
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6 3/4s, 2023 (Canada) 65,000 65,813
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8 1/4s, 2020 (Canada) 120,000 125,250
Seventy Seven Energy, Inc. sr. unsec. sub. notes 6 1/2s, 2022 (In default)(NON) 105,000 5,775
Seventy Seven Operating, LLC company guaranty sr. unsec. unsub. notes 6 5/8s, 2019 (In default)(NON) 115,000 52,613
SM Energy Co. sr. unsec. notes 6 1/2s, 2021 50,000 46,750
SM Energy Co. sr. unsec. sub. notes 5s, 2024 65,000 55,582
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 85,000 77,775
SM Energy Co. sr. unsec. unsub. notes 6 1/8s, 2022 80,000 73,200
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) (In default)(NON) 30,000 5,850
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2022 55,000 11,825
Unit Corp. company guaranty sr. unsec. sub. notes 6 5/8s, 2021 30,000 21,750
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 20,000 16,950
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5s, 2019 95,000 85,500
Williams Cos., Inc. (The) sr. unsec. sub. notes 4.55s, 2024 15,000 13,088
Williams Cos., Inc. (The) sr. unsec. unsub. notes 7 7/8s, 2021 71,000 74,905
Williams Cos., Inc. (The) sr. unsec. unsub. notes 3.7s, 2023 10,000 8,425
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 35,000 34,304
Williams Partners LP/ACMP Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2023 195,000 177,450
WPX Energy, Inc. sr. unsec. notes 7 1/2s, 2020 40,000 39,200
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 245,000 220,500
4,541,153
Financials (5.3%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 160,000 155,200
Ally Financial, Inc. company guaranty sr. unsec. notes 8s, 2031 175,000 205,625
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2020 60,000 68,400
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 50,000 56,750
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2017 90,000 93,600
Ally Financial, Inc. sub. unsec. notes 5 3/4s, 2025 120,000 121,500
Ally Financial, Inc. unsec. sub. notes 8s, 2018 65,000 70,931
American International Group, Inc. jr. unsec. sub. FRB 8.175s, 2058 100,000 124,000
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.1s, perpetual maturity 55,000 56,100
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6 1/2s, perpetual maturity 50,000 52,750
BBVA International Preferred SAU company guaranty jr. unsec. sub. FRB 5.919s, perpetual maturity (Spain) 105,000 105,525
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 50,000 52,001
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 75,000 76,946
CIT Group, Inc. sr. unsec. notes 3 7/8s, 2019 45,000 45,211
CIT Group, Inc. sr. unsec. sub. notes 5s, 2023 65,000 66,138
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 80,000 83,800
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2022 100,000 102,375
CIT Group, Inc. 144A sr. unsec. notes 5 1/2s, 2019 185,000 193,325
Citigroup, Inc. jr. unsec. sub. FRN Ser. Q, 5.95s, perpetual maturity 25,000 24,406
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 125,000 64,688
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025 90,000 92,700
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 65,000 67,113
Credit Acceptance Corp. company guaranty sr. unsec. notes 7 3/8s, 2023 50,000 48,125
Credit Acceptance Corp. company guaranty sr. unsec. notes 6 1/8s, 2021 110,000 106,150
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 160,000 100,400
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151s, 2031 110,000 129,789
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 90,000 94,050
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 105,000 106,313
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2025(R) 60,000 58,200
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRN 6.15s, 2066 50,000 16,500
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8 1/8s, 2019(PIK) 70,000 65,800
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 155,000 151,900
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020 215,000 208,081
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 95,000 87,400
International Lease Finance Corp. sr. unsec. unsub. notes 6 1/4s, 2019 80,000 86,400
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 60,000 65,250
iStar, Inc. sr. unsec. notes 5s, 2019(R) 5,000 4,750
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 75,000 82,875
Lloyds Bank PLC jr. unsec. sub. FRN Ser. EMTN, 13s, perpetual maturity (United Kingdom) GBP 100,000 240,716
Lloyds Banking Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom) $249,000 249,623
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 3/8s, 2024(R) 50,000 53,500
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 3/8s, 2022(R) 125,000 130,781
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2021(R) 50,000 51,914
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2020 100,000 94,750
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 85,000 73,578
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 110,000 114,538
Ocwen Financial Corp. sr. unsec. notes 6 5/8s, 2019 50,000 35,875
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6 3/4s, 2019 135,000 136,350
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 90,000 90,900
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 70,000 61,250
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 155,000 147,250
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648s, perpetual maturity (United Kingdom) 265,000 312,700
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 8 1/4s, 2020 35,000 36,400
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 30,000 29,700
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6s, 2020 125,000 121,563
Springleaf Finance Corp. sr. unsec. unsub. notes 5 1/4s, 2019 30,000 28,650
Stearns Holdings, Inc. 144A company guaranty sr. notes 9 3/8s, 2020 90,000 84,825
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8 1/2s, 2018 170,000 130,900
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 125,000 124,688
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 125,000 124,375
VEREIT Operating Partnership LP company guaranty sr. unsec. unsub. bonds 4 7/8s, 2026(R) 15,000 15,384
Walter Investment Management Corp. company guaranty sr. unsec. notes 7 7/8s, 2021 50,000 28,750
Wayne Merger Sub, LLC 144A sr. unsec. notes 8 1/4s, 2023 120,000 119,100
6,029,127
Health care (4.3%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 6 1/8s, 2021 155,000 159,263
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 5 1/8s, 2022 75,000 75,375
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 210,000 184,800
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 110,000 113,025
Centene Escrow Corp. 144A sr. unsec. notes 6 1/8s, 2024 110,000 115,844
Centene Escrow Corp. 144A sr. unsec. notes 5 5/8s, 2021 35,000 36,400
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 150,000 149,813
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 120,000 103,127
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada) 175,000 163,188
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 165,000 134,681
DPx Holdings BV 144A sr. unsec. sub. notes 7 1/2s, 2022 (Netherlands) 135,000 138,375
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2023 100,000 87,000
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6s, 2023 (Ireland) 210,000 185,063
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 125,000 121,563
HCA, Inc. company guaranty sr. bonds 5 1/4s, 2026 100,000 102,750
HCA, Inc. company guaranty sr. notes 6 1/2s, 2020 275,000 302,500
HCA, Inc. company guaranty sr. sub. notes 3 3/4s, 2019 65,000 66,950
HCA, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2022 30,000 34,013
HCA, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2025 35,000 35,525
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023 135,000 137,835
JLL/Delta Dutch Pledgeco BV 144A sr. unsec. notes 8 3/4s, 2020 (Netherlands)(PIK) 125,000 124,688
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sub. notes 10 1/2s, 2018 165,000 165,000
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sr. notes 7 7/8s, 2021 90,000 96,550
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg) 125,000 112,813
MEDNAX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 45,000 46,041
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 75,000 74,909
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95s, 2024(R) 85,000 86,425
Service Corp. International/US sr. unsec. notes 5 3/8s, 2022 110,000 114,813
Service Corp. International/US sr. unsec. unsub. notes 5 3/8s, 2024 255,000 263,925
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023 110,000 111,925
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 40,000 40,250
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 60,000 59,550
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 225,000 237,375
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 25,000 25,578
Tenet Healthcare Corp. company guaranty sr. sub. notes 6s, 2020 140,000 147,350
Tenet Healthcare Corp. 144A company guaranty sr. FRN 4.134s, 2020 110,000 109,450
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 7s, 2020 20,000 18,050
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 115,000 102,350
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2025 100,000 83,625
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2023 110,000 92,675
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 10,000 8,450
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 55,000 45,650
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2020 80,000 70,600
WellCare Health Plans, Inc. sr. unsec. sub. notes 5 3/4s, 2020 210,000 217,613
4,902,745
Technology (1.8%)
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 150,000 42,375
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 285,000 206,625
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025 75,000 76,313
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35s, 2046 25,000 25,450
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45s, 2023 130,000 132,190
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7s, 2023 165,000 167,269
First Data Corp. 144A notes 5 3/4s, 2024 120,000 120,000
First Data Corp. 144A sr. notes 5 3/8s, 2023 105,000 107,625
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 6s, 2022 70,000 74,249
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 5s, 2021 60,000 62,337
Infor US, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 250,000 229,375
Infor US, Inc. 144A company guaranty sr. notes 5 3/4s, 2020 60,000 62,843
Iron Mountain, Inc. company guaranty sr. unsec. notes 6s, 2023(R) 105,000 109,463
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6s, 2020(R) 45,000 47,475
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 105,000 95,550
Micron Technology, Inc. 144A sr. notes 7 1/2s, 2023 60,000 63,000
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 170,000 169,150
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 140,000 68,600
Zebra Technologies Corp. sr. unsec. unsub. bonds 7 1/4s, 2022 145,000 154,606
2,014,495
Transportation (0.3%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 135,000 131,288
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 250,000 248,750
380,038
Utilities and power (2.3%)
AES Corp./Virginia (The) sr. unsec. notes 8s, 2020 45,000 52,538
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 270,000 270,000
AES Corp./Virginia (The) sr. unsec. notes 4 7/8s, 2023 45,000 44,438
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 145,000 165,663
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. bonds 5.95s, 2026 40,000 40,106
Calpine Corp. sr. unsec. sub. notes 5 3/4s, 2025 225,000 217,688
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 30,000 31,425
Calpine Corp. 144A company guaranty sr. sub. notes 5 7/8s, 2024 25,000 26,188
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85s, 2037 95,000 91,896
DPL, Inc. sr. unsec. sub. notes 6 1/2s, 2016 12,000 12,180
Dynegy, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 10,000 9,650
Dynegy, Inc. company guaranty sr. unsec. notes 6 3/4s, 2019 180,000 180,450
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 80,000 76,800
El Paso Natural Gas Co., LLC company guaranty sr. unsec. notes 8 5/8s, 2022 40,000 45,792
Energy Transfer Equity LP company guaranty sr. notes 7 1/2s, 2020 107,000 109,140
Energy Transfer Equity LP sr. sub. notes 5 7/8s, 2024 45,000 41,738
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 100,000 70,500
GenOn Americas Generation, LLC sr. unsec. notes 8 1/2s, 2021 145,000 108,750
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 25,000 19,688
GenOn Energy, Inc. sr. unsec. sub. notes 9 7/8s, 2020 125,000 89,688
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7 7/8s, 2021 325,000 337,188
NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2026 105,000 104,738
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5s, 2022 55,000 53,991
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 140,000 142,903
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 75,000 73,359
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 80,000 75,254
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 130,000 124,800
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 60,000 18,600
2,635,151
Total corporate bonds and notes (cost $50,662,123) $48,268,937

CONVERTIBLE BONDS AND NOTES (29.2%)(a)
Principal amount Value
Basic materials (0.3%)
Cemex SAB de CV cv. unsec. sub. notes 3 3/4s, 2018 (Mexico) $355,000 $366,538
366,538
Capital goods (0.5%)
General Cable Corp. cv. unsec. sub. notes stepped-coupon 4 1/2s (2 1/4s, 11/15/19) 2029(STP) 985,000 591,000
591,000
Communication services (0.2%)
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A cv. company guaranty sr. unsec. notes 8 1/4s, 2040 199,000 201,736
Powerwave Technologies, Inc. cv. unsec. sub. notes 3 7/8s, 2027 (In default)(F)(NON) 1,160,000 116
201,852
Communications equipment (0.8%)
Ciena Corp. cv. sr. unsec. notes 4s, 2020 618,000 753,574
Novatel Wireless, Inc. 144A cv. sr. unsec. unsub. notes 5 1/2s, 2020 169,000 105,836
859,410
Computers (0.9%)
Avid Technology, Inc. 144A cv. sr. unsec. notes 2s, 2020 274,000 183,409
Brocade Communications Systems, Inc. cv. company guaranty sr. unsec. notes 1 3/8s, 2020 365,000 352,909
Citrix Systems, Inc. cv. sr. unsec. notes 1/2s, 2019 435,000 502,153
1,038,471
Consumer cyclicals (7.2%)
CalAtlantic Group, Inc. cv. company guaranty sr. unsec. unsub. notes 1 5/8s, 2018 480,000 618,900
CalAtlantic Group, Inc. cv. company guaranty sr. unsec. unsub. notes 1 1/4s, 2032 365,000 396,025
Jarden Corp. cv. company guaranty sr. unsec. sub. bonds 1 1/8s, 2034 710,000 952,536
Lennar Corp. 144A cv. company guaranty sr. unsec. notes 2 3/4s, 2020 344,000 705,415
Liberty Interactive, LLC cv. sr. unsec. notes 3 1/2s, 2031 890,000 463,913
Liberty Interactive, LLC cv. sr. unsec. unsub. bonds 3/4s, 2043 833,000 1,418,802
Macquarie Infrastructure Corp. cv. sr. unsec. sub. notes 2 7/8s, 2019 815,000 934,703
Navistar International Corp. cv. sr. unsec. sub. bonds 4 3/4s, 2019 644,000 353,395
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 1s, 2018 570,000 800,494
Tesla Motors, Inc. cv. sr. unsec. sub. notes 1 1/4s, 2021 1,570,000 1,444,400
8,088,583
Consumer staples (0.7%)
Vector Group, Ltd. cv. sr. unsec. sub. FRN 2 1/2s, 2019 585,000 818,056
818,056
Electronics (4.6%)
Microchip Technology, Inc. cv. sr. unsec. sub. bonds 1 5/8s, 2025 560,000 623,336
Micron Technology, Inc. cv. sr. unsec. bonds 3s, 2043 890,000 647,475
Micron Technology, Inc. cv. sr. unsec. bonds Ser. E, 1 5/8s, 2033 765,000 1,011,713
NVIDIA Corp. cv. sr. unsec. bonds 1s, 2018 750,000 1,743,281
ON Semiconductor Corp. cv. company guaranty sr. unsec. sub. notes Ser. B, 2 5/8s, 2026 442,000 474,321
SanDisk Corp. cv. sr. unsec. notes 1 1/2s, 2017 209,000 339,639
TTM Technologies, Inc. cv. sr. unsec. notes 1 3/4s, 2020 398,000 394,269
5,234,034
Energy (1.8%)
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 2 1/4s, 2038 1,255,000 928,700
Energy XXI, Ltd. cv. sr. unsec. bonds 3s, 2018 (acquired various dates from 11/19/13 to 1/24/14 cost $446,469) (In default)(NON)(RES) 451,000 2,255
SEACOR Holdings, Inc. cv. sr. unsec. bonds 3s, 2028 621,000 509,996
Stone Energy Corp. cv. company guaranty sr. unsec. sub. notes 1 3/4s, 2017 (In default)(NON) 840,000 223,125
Trico Marine Services, Inc. cv. sr. unsec. notes 3s, 2027 (In default)(F)(NON) 500,000 13,750
Whiting Petroleum Corp. 144A cv. company guaranty sr. unsec. unsub. notes 1 1/4s, 2020 500,000 380,000
2,057,826
Financials (2.2%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. unsub. notes 5 1/4s, 2018(R) 511,000 545,812
Radian Group, Inc. cv. sr. unsec. notes 2 1/4s, 2019 410,000 506,350
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4s, 2019(R) 631,000 661,761
TCP Capital Corp. cv. sr. unsec. bonds 5 1/4s, 2019 827,000 848,709
2,562,632
Health care (4.3%)
Accuray, Inc. cv. sr. unsec. notes 3 3/4s, 2016 694,000 685,325
Brookdale Senior Living, Inc. cv. sr. unsec. unsub. notes 2 3/4s, 2018 720,000 711,000
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
HealthSouth Corp. cv. sr. unsec. sub. notes 2s, 2043 709,000 840,608
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2s (zero %, 3/1/18) 2042(STP) 880,000 1,131,900
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1 7/8s, 2021 (Ireland) 951,000 1,063,337
Medidata Solutions, Inc. cv. sr. unsec. notes 1s, 2018 370,000 398,906
4,923,266
Semiconductor (1.1%)
Jazz US Holdings, Inc. cv. company guaranty sr. unsec. notes 8s, 2018 223,000 336,869
Novellus Systems, Inc. cv. company guaranty sr. unsec. notes 2 5/8s, 2041 370,000 901,644
1,238,513
Software (0.9%)
Safeguard Scientifics, Inc. cv. sr. unsec. bonds 5 1/4s, 2018 970,000 983,338
983,338
Technology services (2.6%)
j2 Global, Inc. cv. sr. unsec. notes 3 1/4s, 2029 570,000 659,775
salesforce.com, Inc. cv. sr. unsec. unsub. notes 1/4s, 2018 650,000 878,313
Twitter, Inc. cv. sr. unsec. unsub. bonds 1s, 2021 405,000 339,694
Yahoo!, Inc. cv. sr. unsec. bonds zero %, 2018 1,130,000 1,136,356
3,014,138
Transportation (1.1%)
Atlas Air Worldwide Holdings, Inc. cv. sr. unsec. bonds 2 1/4s, 2022 319,000 312,620
Echo Global Logistics, Inc. cv. sr. unsec. notes 2 1/2s, 2020 385,000 364,788
Scorpio Tankers, Inc. 144A cv. sr. unsec. sub. notes 2 3/8s, 2019 747,000 624,679
1,302,087
Total convertible bonds and notes (cost $35,258,122) $33,279,744

CONVERTIBLE PREFERRED STOCKS (22.3%)(a)
Shares Value
Basic materials (1.3%)
Alcoa, Inc. Ser. 1, $2.688 cv. pfd. 20,158 $661,434
Smurfit-Stone Container Corp. escrow zero % cv. pfd.(F) 65,720 657
Weyerhaeuser Co. Ser. A, $3.188 cv. pfd.(R) 15,650 793,259
1,455,350
Capital goods (0.3%)
Stericycle, Inc. $5.25 cv. pfd. 4,911 388,902
388,902
Communication services (4.6%)
American Tower Corp. $5.50 cv. pfd.(R) 13,085 1,382,103
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 21,872 1,068,994
Crown Castle International Corp. Ser. A, $4.50 cv. pfd.(R) 7,164 781,736
Frontier Communications Corp. Ser. A, $11.125 cum. cv. pfd. 7,485 735,401
T-Mobile US, Inc. Ser. A, $2.75 cv. pfd. 17,339 1,254,303
5,222,537
Consumer cyclicals (2.6%)
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) 37,550 945,791
Fiat Chrysler Automobiles NV Ser. FCAU, $7.875 cv. pfd. (Italy) 15,943 1,052,238
Stanley Black & Decker, Inc. $6.25 cv. pfd. 8,385 989,682
2,987,711
Consumer staples (1.0%)
Tyson Foods, Inc. $2.375 cv. pfd. 16,257 1,150,183
1,150,183
Energy (0.9%)
Halcon Resources Corp. Ser. A, 5.75% cv. pfd. 610 28,060
Hess Corp. $2.00 cv. pfd. 8,160 620,731
Southwestern Energy Co. Ser. B, $3.125 cv. pfd. 11,845 382,001
1,030,792
Financials (7.2%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd.(R) 22,100 724,120
AMG Capital Trust II $2.575 cv. pfd. 14,140 843,098
Banc of California, Inc. $4.00 cv. pfd. 8,217 739,530
Bank of America Corp. Ser. L, 7.25% cv. pfd. 1,718 1,990,733
EPR Properties Ser. C, $1.438 cv. pfd.(R) 37,670 1,046,932
iStar, Inc. $2.25 cv. pfd.(R) 7,445 336,514
Maiden Holdings, Ltd. Ser. B, $3.625 cv. pfd. (Bermuda) 12,175 592,557
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 960 1,180,200
Welltower, Inc. Ser. I, $3.25 cv. pfd.(R) 12,177 763,727
8,217,411
Health care (2.7%)
Allergan PLC Ser. A, 5.50% cv. pfd. 1,985 1,676,650
Anthem, Inc. $2.63 cv. pfd. 12,115 538,633
Teva Pharmaceutical Industries, Ltd. 7.00% cv. pfd. (Israel) 1,012 860,099
3,075,382
Utilities and power (1.7%)
Dominion Resources, Inc./VA $3.188 cv. pfd. 14,543 729,331
Dynegy, Inc. Ser. A, $5.375 cv. pfd. 3,886 262,732
El Paso Energy Capital Trust I $2.375 cv. pfd. 1,069 52,114
Exelon Corp. $3.25 cv. pfd. 18,828 889,058
1,933,235
Total convertible preferred stocks (cost $24,768,195) $25,461,503

COMMON STOCKS (1.0%)(a)
Shares Value
Ally Financial, Inc.(NON) 6,580 $118,045
Berry Plastics Group, Inc.(NON) 3,195 125,148
Boise Cascade Co.(NON) 2,900 66,584
CIT Group, Inc. 1,606 55,022
DISH Network Corp. Class A(NON) 1,525 76,098
Eldorado Resorts, Inc.(NON) 4,445 66,231
Gaming and Leisure Properties, Inc.(R) 2,520 82,933
General Motors Co. 1,650 51,612
Gulfport Energy Corp.(NON) 5,875 180,598
Hilton Worldwide Holdings, Inc. 2,130 44,261
Live Nation Entertainment, Inc.(NON) 3,615 87,302
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 5,612 56
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 5,612 56
Penn National Gaming, Inc.(NON) 6,025 94,412
Service Corp. International/US 3,110 85,214
Total common stocks (cost $1,051,266) $1,133,572

SENIOR LOANS (0.2%)(a)(c)
Principal amount Value
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11 1/4s, 2017 $203,234 $203,489
Jeld-Wen, Inc. bank term loan FRN Ser. B, 4 3/4s, 2022 44,775 44,812
Total senior loans (cost $244,375) $248,301

SHORT-TERM INVESTMENTS (5.5%)(a)
Shares Value
Putnam Short Term Investment Fund 0.41%(AFF) 6,230,756 $6,230,756
Total short-term investments (cost $6,230,756) $6,230,756

TOTAL INVESTMENTS
Total investments (cost $118,214,837)(b) $114,622,813










FORWARD CURRENCY CONTRACTS at 5/31/16 (aggregate face value $391,993) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
JPMorgan Chase Bank N.A.
British Pound Sell 6/15/16 $216,400 $210,156 $(6,244)
State Street Bank and Trust Co.
Canadian Dollar Sell 7/21/16 130,553 130,561 8
WestPac Banking Corp.
Canadian Dollar Sell 7/21/16 51,245 51,276 31
Total $(6,205)












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 or yield at the close of the reporting period
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, 2015 through May 31, 2016 (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 $113,968,628.
(b) The aggregate identified cost on a tax basis is $118,725,490, resulting in gross unrealized appreciation and depreciation of $7,465,864 and $11,568,541, respectively, or net unrealized depreciation of $4,102,677.
(NON) This security is non-income-producing.
(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) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $2,255, or less than 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
Name of affiliate 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 * $3,016,424 $16,024,565 $12,810,233 $10,568 $6,230,756
* 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) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $7,723 to cover certain derivative 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 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 Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have 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 (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled 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 scheduled 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 for hedging currency exposures and to gain exposure to currencies.
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 had a net liability position of $6,244 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund at period end for these agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Basic materials $66,584 $— $—
    Capital goods 125,148 — —
    Communication services 76,098 — —
    Consumer cyclicals 343,818 — —
    Energy 180,598 — 112
    Financials 256,000 — —
    Health care 85,214 — —
Total common stocks 1,133,460 — 112
Convertible bonds and notes — 33,173,688 106,056
Convertible preferred stocks 1,002,732 24,458,114 657
Corporate bonds and notes — 48,268,935 2
Senior loans — 248,301 —
Short-term investments 6,230,756 — —
Totals by level $8,366,948 $106,149,038 $106,827



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(6,205) $—
Totals by level $— $(6,205) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
Transfers between Level 1 and Level 2 during the reporting period, totaling $1,792,936, 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 $39 $6,244
Total $39 $6,244


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 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)$410,000
   
  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.
   
      JPMorgan Chase Bank N.A. State Street Bank and Trust Co. WestPac Banking Corp.   Total
               
  Assets:            
  Forward currency contracts#   $—  $8  $31    $39 
               
  Total Assets   $—  $8  $31    $39 
               
  Liabilities:            
  Forward currency contracts#   $6,244  $—  $—    $6,244 
               
  Total Liabilities   $6,244  $—  $—    $6,244 
               
  Total Financial and Derivative Net Assets   $(6,244) $8  $31    $(6,205)
  Total collateral received (pledged)##†   $—  $—  $—     
  Net amount   $(6,244) $8  $31     
               
†  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: July 28, 2016

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: July 28, 2016

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: July 28, 2016