Item 1: Schedule of Investments
Putnam High Income Securities Fund
| CORPORATE BONDS AND NOTES (42.1%)(a) | |||||
| Principal amount | Value | ||||
|
| |||||
| Advertising and Marketing Services (0.2%) | |||||
| Affinion Group, Inc. 144A company guaranty 10 1/8s, 2013 | $ | 185,000 | $ | 175,288 | |
| Lamar Media Corp. company guaranty 7 1/4s, 2013 | 130,000 | 133,900 | |||
| 309,188 | |||||
|
| |||||
| Automotive (1.8%) | |||||
| Dana Corp. notes 10 1/8s, 2010 | 35,000 | 31,850 | |||
| Dana Corp. notes 9s, 2011 | 226,000 | 185,320 | |||
| Delco Remy International, Inc. company guaranty 11s, 2009 | 4,000 | 1,600 | |||
| Dura Operating Corp. company guaranty Ser. B, 8 5/8s, 2012 | 124,000 | 102,920 | |||
| Ford Motor Co. notes 7.45s, 2031 | 340,000 | 239,700 | |||
| Ford Motor Credit Corp. bonds 7 3/8s, 2011 | 360,000 | 327,078 | |||
| Ford Motor Credit Corp. notes 7 7/8s, 2010 | 910,000 | 852,854 | |||
| General Motors Acceptance Corp. bonds 8s, 2031 | 720,000 | 706,054 | |||
| General Motors Acceptance Corp. notes 5 1/8s, 2008 | 135,000 | 121,035 | |||
| Meritor Automotive, Inc. notes 6.8s, 2009 | 145,000 | 132,675 | |||
| Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014 | 130,000 | 121,388 | |||
| Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, 2013 | 275,000 | 300,428 | |||
| TRW Automotive Inc. sr. notes 9 3/8s, 2013 | 120,000 | 129,300 | |||
| TRW Automotive Inc. sr. sub. notes 11s, 2013 | 185,000 | 206,700 | |||
| 3,458,902 | |||||
|
| |||||
| Basic Materials (4.9%) | |||||
| Abitibi-Consolidated Finance LP company guaranty 7 7/8s, 2009 | 2,000 | 1,985 | |||
| AK Steel Corp. company guaranty 7 7/8s, 2009 | 20,000 | 19,100 | |||
| Almatis Investment Holdings S.a.r.l. sr. notes 11s, 2013 (Luxembourg) (PIK) | 232,772 | 249,648 | |||
| ALROSA Finance SA 144A company guaranty 8 7/8s, 2014 (Luxembourg) | 160,000 | 183,600 | |||
| BCP Crystal US Holdings Corp. sr. sub. notes 9 5/8s, 2014 | 170,000 | 188,488 | |||
| Century Aluminum Co. company guaranty 7 1/2s, 2014 | 80,000 | 77,200 | |||
| Chaparral Steel Co. 144A sr. unsecd. notes 10s, 2013 | 270,000 | 286,875 | |||
| Chesapeake Corp. sr. sub. notes 7s, 2014 | EUR | 245,000 | 282,597 | ||
| Cognis Holding GmbH & Co. 144A sr. notes 9 1/2s, 2014 (Germany) | EUR | 275,000 | 348,159 | ||
| Compass Minerals Group, Inc. company guaranty 10s, 2011 | $185,000 | 199,800 | |||
| Compass Minerals International, Inc. sr. disc. notes stepped-coupon Ser. B, zero % (12s, 6/1/08), 2013 (STP) | 65,000 | 56,225 | |||
| Compass Minerals International, Inc. sr. notes stepped-coupon zero % (12 3/4s, 12/15/07), 2012 (STP) | 310,000 | 275,900 | |||
| Crystal US Holdings, LLC sr. disc. notes stepped-coupon Ser. A, zero % (10s, 10/1/09), 2014 (STP) | 100,000 | 71,000 | |||
| Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 | 352,000 | 383,680 | |||
| Georgia-Pacific Corp. company guaranty 9 3/8s, 2013 | 165,000 | 185,006 | |||
| Georgia-Pacific Corp. company guaranty 8 7/8s, 2010 | 160,000 | 180,000 | |||
| Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 (Canada) | 240,000 | 264,000 | |||
| Gibraltar Industries, Inc. 144A sr. sub. notes 8s, 2015 | 105,000 | 105,788 | |||
| Hercules, Inc. company guaranty 6 3/4s, 2029 | 180,000 | 174,375 | |||
| Huntsman Advanced Materials, LLC sec. FRN 11.82s, 2008 | 13,000 | 13,650 | |||
| Huntsman Advanced Materials, LLC sec. notes 11s, 2010 | 65,000 | 74,263 | |||
| Huntsman, LLC company guaranty 11 5/8s, 2010 | 97,000 | 110,216 | |||
| Huntsman, LLC company guaranty 11 1/2s, 2012 | 53,000 | 60,288 | |||
| Innophos, Inc. 144A sr. sub. notes 9 5/8s, 2014 | 425,000 | 427,125 | |||
| Ispat Inland ULC sec. notes 9 3/4s, 2014 | 300,000 | 338,250 | |||
| Jefferson Smurfit Corp. company guaranty 7 1/2s, 2013 | 150,000 | 138,375 | |||
| JSG Holding PLC 144A sr. notes 11 1/2s, 2015 (Ireland) (PIK) | EUR | 161,715 | 171,567 | ||
| Lyondell Chemical Co. bonds 11 1/8s, 2012 | $20,000 | 22,500 | |||
| Lyondell Chemical Co. company guaranty 10 1/2s, 2013 | 270,000 | 306,788 | |||
| Lyondell Chemical Co. notes Ser. A, 9 5/8s, 2007 | 86,000 | 90,085 | |||
| MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland) | 310,000 | 306,900 | |||
| Metals USA, Inc. 144A sec. notes 11 1/8s, 2015 | 120,000 | 122,700 | |||
| Nalco Co. sr. sub. notes 9s, 2013 | EUR | 190,000 | 242,674 | ||
| Nalco Co. sr. sub. notes 8 7/8s, 2013 | $180,000 | 186,750 | |||
| Nell AF S.a.r.l. 144A sr. notes 8 3/8s, 2015 (Luxembourg) | 160,000 | 156,800 | |||
| Nell AF S.a.r.l. 144A sr. notes 8 3/8s, 2015 (Luxembourg) | EUR | 50,000 | 59,087 | ||
| NewPage Corp. sec. notes 10s, 2012 | $160,000 | 157,600 | |||
| Norske Skog Canada, Ltd. sr. notes 7 3/8s, 2014 (Canada) | 265,000 | 239,825 | |||
| Novelis, Inc. 144A sr. notes 7 1/2s, 2015 | 605,000 | 565,675 | |||
| PCI Chemicals Canada sec. sr. notes 10s, 2008 (Canada) | 148,822 | 156,077 | |||
| PQ Corp. 144A company guaranty 7 1/2s, 2013 | 55,000 | 50,600 | |||
| Pregis Corp. 144A company guaranty 12 3/8s, 2013 | 190,000 | 185,250 | |||
| Rockwood Specialties Group, Inc. company guaranty 7 5/8s, 2014 | 310,000 | 375,660 | |||
| SGL Carbon Luxembourg SA 144A sr. notes 8 1/2s, 2012 (Luxembourg) | EUR | 60,000 | 77,341 | ||
| Steel Dynamics, Inc. company guaranty 9 1/2s, 2009 | $180,000 | 189,675 | |||
| Sterling Chemicals, Inc. sec. notes 10s, 2007 | 17,046 | 16,364 | |||
| Stone Container Corp. sr. notes 9 3/4s, 2011 | 225,000 | 229,500 | |||
| Stone Container Corp. sr. notes 8 3/8s, 2012 | 95,000 | 92,625 | |||
| Stone Container Finance company guaranty 7 3/8s, 2014 (Canada) | 115,000 | 104,938 | |||
| Tembec Industries, Inc. company guaranty 8 5/8s, 2009 (Canada) | 3,000 | 1,980 | |||
| Tembec Industries, Inc. company guaranty 8 1/2s, 2011 (Canada) | 24,000 | 14,400 | |||
| Ucar Finance, Inc. company guaranty 10 1/4s, 2012 | 120,000 | 126,600 | |||
| United States Steel Corp. sr. notes 9 3/4s, 2010 | 279,000 | 303,064 | |||
| Wheeling-Pittsburgh Steel Corp. sr. notes 6s, 2010 (PIK) | 12,646 | 10,117 | |||
| Wheeling-Pittsburgh Steel Corp. sr. notes 5s, 2011 (PIK) | 23,885 | 19,407 | |||
| WHX Corp. sr. notes 10 1/2s, 2005 (In default) (F)(NON)(DEF) | 40,000 | 4 | |||
| 9,278,146 | |||||
|
| |||||
| Building Materials (0.7%) | |||||
| Associated Materials, Inc. company guaranty 9 3/4s, 2012 | 130,000 | 122,200 | |||
| Building Materials Corp. company guaranty 8s, 2008 | 70,000 | 70,263 | |||
| Goodman Global Holding Co., Inc. 144A sr. notes 6.41s, 2012 | 120,000 | 118,800 | |||
| Goodman Global Holding Co., Inc. 144A sr. sub. notes 7 7/8s, 2012 | 180,000 | 169,200 | |||
| NTK Holdings, Inc. sr. disc. notes zero %, 2014 | 135,000 | 81,675 | |||
| Texas Industries, Inc. 144A sr. notes 7 1/4s, 2013 | 300,000 | 310,500 | |||
| THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. notes 8 1/2s, 2014 | 460,000 | 441,600 | |||
| 1,314,238 | |||||
|
| |||||
| Capital Goods (3.7%) | |||||
| AEP Industries, Inc. sr. unsub. 7 7/8s, 2013 | 75,000 | 73,019 | |||
| Aero Invest 1 SA 144A company guaranty FRN 10.634s, 2015 (Luxembourg) (PIK) | EUR | 369,826 | 441,400 | ||
| Allied Waste North America, Inc. company guaranty Ser. B, 8 1/2s, 2008 | $ | 293,000 | 307,650 | ||
| Allied Waste North America, Inc. sec. notes Ser. B, 5 3/4s, 2011 | 30,000 | 28,575 | |||
| Amsted Industries, Inc. 144A sr. notes 10 1/4s, 2011 | 420,000 | 454,125 | |||
| Argo-Tech Corp. company guaranty 9 1/4s, 2011 | 165,000 | 170,363 | |||
| BE Aerospace, Inc. sr. notes 8 1/2s, 2010 | 321,000 | 343,470 | |||
| Blount, Inc. sr. sub. notes 8 7/8s, 2012 | 160,000 | 166,000 | |||
| Bombardier, Inc. 144A notes 6 3/4s, 2012 (Canada) | 100,000 | 92,000 | |||
| Browning-Ferris Industries, Inc. debs. 7.4s, 2035 | 65,000 | 57,200 | |||
| Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008 | 140,000 | 139,475 | |||
| Crown Americas, LLC/Crown Americas Capital Corp. 144A sr. notes 7 5/8s, 2013 | 340,000 | 348,500 | |||
| Decrane Aircraft Holdings Co. company guaranty zero %, 2008 (acquired 7/23/04, cost $78,000) (RES) | 238,000 | 114,240 | |||
| Earle M. Jorgensen Co. sec. notes 9 3/4s, 2012 | 329,000 | 350,385 | |||
| Hexcel Corp. sr. sub. notes 6 3/4s, 2015 | 55,000 | 53,075 | |||
| Invensys, PLC notes 9 7/8s, 2011 (United Kingdom) | 15,000 | 14,700 | |||
| Jacuzzi Brands, Inc. sec. notes 9 5/8s, 2010 | 40,000 | 42,600 | |||
| L-3 Communications Corp. company guaranty 7 5/8s, 2012 | 100,000 | 105,000 | |||
| L-3 Communications Corp. company guaranty 6 1/8s, 2013 | 80,000 | 78,200 | |||
| L-3 Communications Corp. 144A sr. sub. notes 6 3/8s, 2015 | 215,000 | 211,775 | |||
| Legrand SA debs. 8 1/2s, 2025 (France) | 405,000 | 486,000 | |||
| Manitowoc Co., Inc. (The) company guaranty 10 1/2s, 2012 | 124,000 | 137,950 | |||
| Manitowoc Co., Inc. (The) company guaranty 10 3/8s, 2011 | EUR | 45,000 | 57,316 | ||
| Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013 | $50,000 | 51,500 | |||
| Milacron Escrow Corp. sec. notes 11 1/2s, 2011 | 320,000 | 275,200 | |||
| Mueller Group, Inc. sr. sub. notes 10s, 2012 | 230,000 | 242,650 | |||
| Mueller Holdings, Inc. disc. notes stepped-coupon zero % (14 3/4s, 4/15/09), 2014 (STP) | 135,000 | 101,588 | |||
| Owens-Brockway Glass company guaranty 8 7/8s, 2009 | 5,000 | 5,250 | |||
| Owens-Brockway Glass company guaranty 8 1/4s, 2013 | 240,000 | 247,800 | |||
| Owens-Brockway Glass company guaranty 7 3/4s, 2011 | 55,000 | 57,200 | |||
| Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012 | 197,000 | 212,760 | |||
| Owens-Illinois, Inc. debs. 7.8s, 2018 | 130,000 | 128,050 | |||
| Polypore, Inc. sr. sub. notes 8 3/4s, 2012 | 145,000 | 129,775 | |||
| Ray Acquisition sr. notes 9 3/8s, 2015 (France) | EUR | 275,000 | 336,651 | ||
| Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom) | $260,000 | 223,600 | |||
| Solo Cup Co. sr. sub. notes 8 1/2s, 2014 | 175,000 | 158,594 | |||
| TD Funding Corp. company guaranty 8 3/8s, 2011 | 185,000 | 191,475 | |||
| Tekni-Plex, Inc. 144A sec. notes 10 7/8s, 2012 | 320,000 | 348,800 | |||
| Terex Corp. company guaranty 9 1/4s, 2011 | 40,000 | 42,800 | |||
| Terex Corp. company guaranty 7 3/8s, 2014 | 24,000 | 23,940 | |||
| Terex Corp. company guaranty Ser. B, 10 3/8s, 2011 | 82,000 | 87,433 | |||
| 7,138,084 | |||||
|
| |||||
| Commercial and Consumer Services (--%) | |||||
| Ashtead Holdings PLC 144A sr. notes 8 5/8s, 2015 (United Kingdom) | 75,000 | 78,188 | |||
|
| |||||
| Communication Services (2.8%) | |||||
| Alamosa Delaware, Inc. company guaranty 12s, 2009 | 49,000 | 53,778 | |||
| Alamosa Delaware, Inc. company guaranty 11s, 2010 | 54,000 | 61,290 | |||
| Alamosa Delaware, Inc. sr. notes 8 1/2s, 2012 | 40,000 | 43,600 | |||
| American Cellular Corp. company guaranty 9 1/2s, 2009 | 45,000 | 48,825 | |||
| American Cellular Corp. sr. notes Ser. B, 10s, 2011 | 420,000 | 454,650 | |||
| American Tower Corp. sr. notes 7 1/2s, 2012 | 90,000 | 93,825 | |||
| American Towers, Inc. company guaranty 7 1/4s, 2011 | 165,000 | 172,013 | |||
| Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) (In default) (NON) | 28,862 | 1,227 | |||
| Centennial Cellular Operating Co., LLC company guaranty 10 1/8s, 2013 | 90,000 | 100,350 | |||
| Cincinnati Bell Telephone Co. company guaranty 6.3s, 2028 | 35,000 | 31,500 | |||
| Cincinnati Bell, Inc. company guaranty 7s, 2015 | 80,000 | 77,200 | |||
| Cincinnati Bell, Inc. sr. sub. notes 8 3/8s, 2014 | 70,000 | 68,600 | |||
| Cincinnati Bell, Inc. sr. sub. notes 7 1/4s, 2023 | 80,000 | 76,600 | |||
| Citizens Communications Co. notes 9 1/4s, 2011 | 240,000 | 262,200 | |||
| Citizens Communications Co. sr. notes 6 1/4s, 2013 | 205,000 | 197,313 | |||
| Dobson Communications Corp. 144A sr. notes FRN 8.4s, 2012 | 75,000 | 73,875 | |||
| Eircom Funding company guaranty Ser. US$, 8 1/4s, 2013 (Ireland) | 60,000 | 64,950 | |||
| Globix Corp. company guaranty 11s, 2008 (PIK) | 25,387 | 24,054 | |||
| Horizon PCS, Inc. company guaranty 11 3/8s, 2012 | 40,000 | 46,100 | |||
| Inmarsat Finance PLC company guaranty 7 5/8s, 2012 (United Kingdom) | 150,000 | 152,625 | |||
| Inmarsat Finance PLC company guaranty stepped-coupon zero % (10 3/8s, 10/15/08), 2012 (United Kingdom) (STP) | 230,000 | 187,450 | |||
| Intelsat Bermuda, Ltd. 144A sr. notes 8 5/8s, 2015 (Bermuda) | 210,000 | 210,525 | |||
| Intelsat Bermuda, Ltd. 144A sr. notes 8 1/4s, 2013 (Bermuda) | 100,000 | 100,000 | |||
| iPCS, Inc. sr. notes 11 1/2s, 2012 | 70,000 | 80,675 | |||
| IWO Holdings, Inc. sec. FRN 7.9s, 2012 | 25,000 | 25,875 | |||
| Madison River Capital Corp. sr. notes 13 1/4s, 2010 | 69,000 | 73,485 | |||
| Nextel Communications, Inc. sr. notes Ser. D, 7 3/8s, 2015 | 170,000 | 178,944 | |||
| Nextel Communications, Inc. sr. notes Ser. E, 6 7/8s, 2013 | 22,000 | 22,883 | |||
| Nextel Partners, Inc. sr. notes 8 1/8s, 2011 | 290,000 | 308,850 | |||
| Qwest Communications International, Inc. company guaranty 8s, 2014 | 540,000 | 545,400 | |||
| Qwest Corp. notes 8 7/8s, 2012 | 430,000 | 482,675 | |||
| Qwest Corp. 144A sr. notes 7 5/8s, 2015 | 150,000 | 159,563 | |||
| Rogers Cantel, Inc. debs. 9 3/4s, 2016 (Canada) | 30,000 | 36,038 | |||
| Rogers Wireless Communications, Inc. sec. notes 9 5/8s, 2011 (Canada) | 265,000 | 304,750 | |||
| Rural Cellular Corp. sr. notes 9 7/8s, 2010 | 150,000 | 156,938 | |||
| Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010 | 70,000 | 70,000 | |||
| Rural Cellular Corp. 144A sr. sub. notes FRN 10.041s, 2012 | 50,000 | 49,500 | |||
| SBA Communications Corp. sr. notes 8 1/2s, 2012 | 48,000 | 53,280 | |||
| SBA Telecommunications, Inc./SBA Communications Corp. sr. disc. notes stepped-coupon zero % (9 3/4s, 12/15/07), 2011 (STP) | 49,000 | 44,835 | |||
| Syniverse Technologies, Inc. 144A sr. sub. notes 7 3/4s, 2013 | 80,000 | 81,300 | |||
| U S West, Inc. debs. 7 1/4s, 2025 | 65,000 | 64,513 | |||
| Valor Telecommunications Enterprises LLC/Finance Corp. company guaranty 7 3/4s, 2015 | 75,000 | 73,500 | |||
| 5,415,554 | |||||
|
| |||||
| Consumer (0.5%) | |||||
| Jostens IH Corp. company guaranty 7 5/8s, 2012 | 500,000 | 496,250 | |||
| Samsonite Corp. sr. sub. notes 8 7/8s, 2011 | 335,000 | 342,538 | |||
| 838,788 | |||||
|
| |||||
| Consumer Staples (7.0%) | |||||
| Adelphia Communications Corp. sr. notes 10 7/8s, 2010 (In default) (NON) | 20,000 | 11,900 | |||
| Adelphia Communications Corp. sr. notes Ser. B, 9 7/8s, 2007 (In default) (NON) | 235,000 | 142,175 | |||
| Affinity Group, Inc. sr. sub. notes 9s, 2012 | 360,000 | 359,100 | |||
| AMC Entertainment, Inc. sr. sub. notes 9 7/8s, 2012 | 35,000 | 34,388 | |||
| AMC Entertainment, Inc. sr. sub. notes 8s, 2014 | 29,000 | 25,955 | |||
| Atlantic Broadband Finance, LLC company guaranty 9 3/8s, 2014 | 285,000 | 257,925 | |||
| Brand Services, Inc. company guaranty 12s, 2012 | 559,000 | 586,950 | |||
| Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012 | 250,000 | 238,750 | |||
| CCH I Holdings LLC 144A company guaranty 11 1/8s, 2014 | 363,000 | 230,505 | |||
| CCH I Holdings LLC 144A company guaranty 10s, 2014 | 65,000 | 39,975 | |||
| CCH I Holdings LLC 144A company guaranty stepped-coupon zero % (11 3/4s, 5/15/06), 2014 (STP) | 14,000 | 8,470 | |||
| CCH I LLC 144A secd. notes 11s, 2015 | 692,000 | 593,390 | |||
| Church & Dwight Co., Inc. company guaranty 6s, 2012 | 130,000 | 128,050 |
| Cinemark USA, Inc. sr. sub. notes 9s, 2013 | 130,000 | 136,825 |
| Cinemark, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s, 3/15/07), 2014 (STP) | 325,000 | 239,688 |
| Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008 | 115,000 | 120,175 |
| Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012 | 10,000 | 10,400 |
| CSC Holdings, Inc. debs. 7 5/8s, 2018 | 60,000 | 57,000 |
| CSC Holdings, Inc. debs. Ser. B, 8 1/8s, 2009 | 3,000 | 3,038 |
| CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011 | 105,000 | 104,475 |
| CSC Holdings, Inc. sr. sub. debs. 10 1/2s, 2016 | 130,000 | 138,775 |
| CSC Holdings, Inc. 144A sr. notes 6 3/4s, 2012 | 205,000 | 194,750 |
| Dean Foods Co. sr. notes 6 5/8s, 2009 | 440,000 | 446,600 |
| Del Monte Corp. sr. sub. notes 8 5/8s, 2012 | 270,000 | 283,500 |
| Del Monte Corp. 144A sr. sub. notes 6 3/4s, 2015 | 105,000 | 100,275 |
| DirecTV Holdings, LLC company guaranty 6 3/8s, 2015 | 690,000 | 677,063 |
| DirecTV Holdings, LLC sr. notes 8 3/8s, 2013 | 185,000 | 200,725 |
| Diva Systems Corp. sr. disc. notes Ser. B, 12 5/8s, 2008 (In default) (NON) | 271,000 | 339 |
| Doane Pet Care Co. 144A sr. sub. notes 10 5/8s, 2015 | 350,000 | 355,688 |
| Domino's, Inc. sr. sub. notes 8 1/4s, 2011 | 106,000 | 109,710 |
| Echostar DBS Corp. company guaranty 6 5/8s, 2014 | 210,000 | 202,650 |
| Echostar DBS Corp. sr. notes 6 3/8s, 2011 | 500,000 | 483,750 |
| Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014 | 155,000 | 155,388 |
| Emmis Communications Corp. sr. notes FRN 9.745s, 2012 | 125,000 | 125,156 |
| Granite Broadcasting Corp. sec. notes 9 3/4s, 2010 | 335,000 | 311,550 |
| Gray Television, Inc. company guaranty 9 1/4s, 2011 | 87,000 | 93,199 |
| Jean Coutu Group, Inc. sr. notes 7 5/8s, 2012 (Canada) | 150,000 | 147,000 |
| Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014 (Canada) | 75,000 | 69,563 |
| Kabel Deutscheland GmbH 144A company guaranty 10 5/8s, 2014 (Germany) | 320,000 | 344,000 |
| LIN Television Corp. sr. sub. notes 6 1/2s, 2013 | 165,000 | 157,988 |
| LIN Television Corp. 144A sr. sub. notes 6 1/2s, 2013 | 205,000 | 196,288 |
| Loews Cineplex Entertainment Corp. company guaranty 9s, 2014 | 175,000 | 175,219 |
| Marquee Holdings, Inc. sr. disc. notes stepped-coupon zero % (12s, 8/15/09) 2014 (STP) | 225,000 | 139,500 |
| Paxson Communications Corp. company guaranty 10 3/4s, 2008 | 420,000 | 431,550 |
| Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s, 2013 | 375,000 | 361,875 |
| Playtex Products, Inc. company guaranty 9 3/8s, 2011 | 248,000 | 261,330 |
| Playtex Products, Inc. sec. notes 8s, 2011 | 180,000 | 190,800 |
| Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012 | 342,000 | 336,870 |
| Quebecor Media, Inc. sr. disc. notes stepped-coupon zero % (13 3/4s, 7/15/06), 2011 (Canada) (STP) | 60,000 | 61,500 |
| Quebecor Media, Inc. sr. notes 11 1/8s, 2011 (Canada) | 317,000 | 343,153 |
| Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012 | 205,000 | 216,275 |
| Rainbow National Services, LLC 144A sr. sub. debs. 10 3/8s, 2014 | 200,000 | 218,000 |
| Remington Arms Co., Inc. company guaranty 10 1/2s, 2011 | 275,000 | 239,250 |
| Rite Aid Corp. company guaranty 9 1/2s, 2011 | 130,000 | 134,550 |
| Rite Aid Corp. company guaranty 7 1/2s, 2015 | 105,000 | 97,125 |
| Rite Aid Corp. debs. 6 7/8s, 2013 | 215,000 | 172,000 |
| Sbarro, Inc. company guaranty 11s, 2009 | 210,000 | 207,900 |
| Scotts Co. (The) sr. sub. notes 6 5/8s, 2013 | 55,000 | 55,550 |
| Sinclair Broadcast Group, Inc. company guaranty 8 3/4s, 2011 | 125,000 | 132,188 |
| Sirius Satellite Radio, Inc. 144A sr. notes 9 5/8s, 2013 | 180,000 | 175,950 |
| Six Flags, Inc. sr. notes 8 7/8s, 2010 | 138,000 | 136,965 |
| Spectrum Brands, Inc. company guaranty 7 3/8s, 2015 | 445,000 | 384,925 |
| Spectrum Brands, Inc. sr. sub. notes 8 1/2s, 2013 | 70,000 | 63,438 |
| United Rentals NA, Inc. company guaranty 6 1/2s, 2012 | 55,000 | 52,938 |
| United Rentals NA, Inc. sr. sub. notes 7 3/4s, 2013 | 24,000 | 23,100 |
| Universal City Florida Holding Co. sr. notes 8 3/8s, 2010 | 70,000 | 68,950 |
| Universal City Florida Holding Co. sr. notes FRN 9s, 2010 | 107,000 | 108,338 |
| Warner Music Group sr. sub. notes 7 3/8s, 2014 | 125,000 | 121,250 |
| Young Broadcasting, Inc. company guaranty 10s, 2011 | 374,000 | 351,560 |
| Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014 | 85,000 | 74,588 |
| 13,459,728 | ||
|
| ||
| Energy (3.8%) | ||
| Arch Western Finance, LLC sr. notes 6 3/4s, 2013 | 340,000 | 343,400 |
| Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012 (Cayman Islands) | 92,000 | 98,210 |
| Chaparral Energy, Inc. 144A sr. notes 8 1/2s, 2015 | 145,000 | 147,900 |
| CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014 (Canada) | 240,000 | 241,800 |
| Chesapeake Energy Corp. company guaranty 7 3/4s, 2015 | 60,000 | 63,450 |
| Chesapeake Energy Corp. sr. notes 7 1/2s, 2013 | 190,000 | 200,450 |
| Chesapeake Energy Corp. sr. notes 7s, 2014 | 250,000 | 258,750 |
| Compton Petroleum Corp. 144A sr. notes 7 5/8s, 2013 (Canada) | 195,000 | 197,925 |
| Comstock Resources, Inc. sr. notes 6 7/8s, 2012 | 120,000 | 118,800 |
| Delta Petroleum Corp. company guaranty 7s, 2015 | 485,000 | 451,050 |
| Dresser-Rand Group, Inc. 144A sr. sub. notes 7 5/8s, 2014 | 27,000 | 27,608 |
| Encore Acquisition Co. sr. sub. notes 6 1/4s, 2014 | 60,000 | 57,150 |
| Encore Acquisition Co. sr. sub. notes 6s, 2015 | 213,000 | 195,960 |
| Exco Resources, Inc. company guaranty 7 1/4s, 2011 | 235,000 | 237,938 |
| Forest Oil Corp. company guaranty 7 3/4s, 2014 | 100,000 | 105,000 |
| Forest Oil Corp. sr. notes 8s, 2011 | 135,000 | 148,500 |
| Forest Oil Corp. sr. notes 8s, 2008 | 94,000 | 98,700 |
| Hanover Compressor Co. sr. notes 9s, 2014 | 90,000 | 97,650 |
| Hanover Compressor Co. sr. notes 8 5/8s, 2010 | 60,000 | 63,150 |
| Hanover Compressor Co. sub. notes zero %, 2007 | 125,000 | 111,250 |
| Hanover Equipment Trust sec. notes Ser. B, 8 3/4s, 2011 | 40,000 | 42,200 |
| Harvest Operations Corp. sr. notes 7 7/8s, 2011 (Canada) | 365,000 | 363,175 |
| Inergy LP/Inergy Finance Corp. sr. notes 6 7/8s, 2014 | 365,000 | 344,925 |
| KCS Energy, Inc. sr. notes 7 1/8s, 2012 | 85,000 | 85,000 |
| Massey Energy Co. sr. notes 6 5/8s, 2010 | 335,000 | 336,256 |
| Newfield Exploration Co. sr. notes 7 5/8s, 2011 | 150,000 | 159,750 |
| Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014 | 210,000 | 212,100 |
| Pacific Energy Partners/Pacific Energy Finance Corp. sr. notes 7 1/8s, 2014 | 95,000 | 98,800 |
| Peabody Energy Corp. sr. notes 5 7/8s, 2016 | 180,000 | 174,600 |
| Petroleum Geo-Services notes 10s, 2010 (Norway) | 179,543 | 203,332 |
| Plains Exploration & Production Co. sr. notes 7 1/8s, 2014 | 205,000 | 210,125 |
| Plains Exploration & Production Co. sr. sub. notes 8 3/4s, 2012 | 190,000 | 203,775 |
| Pogo Producing Co. 144A sr. sub. notes 6 7/8s, 2017 | 185,000 | 180,375 |
| Pride International, Inc. sr. notes 7 3/8s, 2014 | 400,000 | 431,000 |
| Seabulk International, Inc. company guaranty 9 1/2s, 2013 | 130,000 | 145,925 |
| Star Gas Partners LP/Star Gas Finance Co. sr. notes 10 1/4s, 2013 | 35,000 | 28,525 |
| Stone Energy Corp. sr. sub. notes 6 3/4s, 2014 | 210,000 | 195,825 |
| Vintage Petroleum, Inc. sr. notes 8 1/4s, 2012 | 7,000 | 7,525 |
| Vintage Petroleum, Inc. sr. sub. notes 7 7/8s, 2011 | 40,000 | 42,000 |
| Whiting Petroleum Corp. 144A sr. sub. notes 7s, 2014 | 575,000 | 579,313 |
| 7,309,167 | ||
|
| ||
| Financial (0.4%) | ||
| Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R) | 60,000 | 60,600 |
| E*Trade Finance Corp. sr. notes 8s, 2011 | 230,000 | 235,175 |
| Finova Group, Inc. notes 7 1/2s, 2009 | 239,400 | 86,184 |
| Western Financial Bank sub. debs. 9 5/8s, 2012 | 320,000 | 358,400 |
| 740,359 | ||
|
| ||
| Gaming & Lottery (1.7%) | ||
| Ameristar Casinos, Inc. company guaranty 10 3/4s, 2009 | 100,000 | 106,250 |
| Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012 | 30,000 | 32,325 |
| Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012 | 25,000 | 26,188 |
| Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014 | 290,000 | 287,825 |
| MGM Mirage, Inc. company guaranty 8 1/2s, 2010 | 95,000 | 102,838 |
| MGM Mirage, Inc. company guaranty 6s, 2009 | 280,000 | 277,900 |
| MGM Mirage, Inc. sr. notes 6 3/4s, 2012 | 2,000 | 2,015 |
| Mirage Resorts, Inc. debs. 7 1/4s, 2017 | 55,000 | 56,100 |
| Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 | 30,000 | 32,100 |
| Park Place Entertainment Corp. sr. notes 7s, 2013 | 165,000 | 175,253 |
| Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008 | 278,000 | 300,240 |
| Penn National Gaming, Inc. sr. sub. notes 8 7/8s, 2010 | 200,000 | 209,500 |
| Penn National Gaming, Inc. sr. sub. notes 6 3/4s, 2015 | 65,000 | 62,888 |
| Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012 | 175,000 | 178,500 |
| Resorts International Hotel and Casino, Inc. company guaranty 11 1/2s, 2009 | 158,000 | 174,985 |
| Scientific Games Corp. company guaranty 6 1/4s, 2012 | 175,000 | 172,375 |
| Station Casinos, Inc. sr. notes 6s, 2012 | 193,000 | 192,518 |
| Station Casinos, Inc. sr. sub. notes 6 7/8s, 2016 | 120,000 | 121,800 |
| Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, 2015 | 345,000 | 334,650 |
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st mtge. 6 5/8s, 2014 | 365,000 | 352,681 |
| 3,198,931 | ||
|
| ||
| Health Care (2.5%) | ||
| Community Health Systems, Inc. sr. sub. notes 6 1/2s, 2012 | 408,000 | 402,390 |
| DaVita, Inc. company guaranty 7 1/4s, 2015 | 290,000 | 296,163 |
| DaVita, Inc. company guaranty 6 5/8s, 2013 | 55,000 | 56,375 |
| Elan Finance PLC/Elan Finance Corp, company guaranty 7 3/4s, 2011 (Ireland) | 195,000 | 178,913 |
| HCA, Inc. debs. 7.19s, 2015 | 82,000 | 85,495 |
| HCA, Inc. notes 6 3/8s, 2015 | 65,000 | 64,583 |
| HCA, Inc. notes 5 3/4s, 2014 | 75,000 | 73,125 |
| HCA, Inc. sr. notes 6.95s, 2012 | 70,000 | 71,925 |
| Healthsouth Corp. notes 7 5/8s, 2012 | 352,000 | 326,480 |
| MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012 | 36,000 | 36,090 |
| MQ Associates, Inc. sr. disc. notes stepped-coupon zero % (12 1/4s, 8/15/08), 2012 (STP) | 240,000 | 134,400 |
| Omnicare, Inc. sr. sub. notes 6 1/8s, 2013 | 155,000 | 148,800 |
| Owens & Minor, Inc. company guaranty 8 1/2s, 2011 | 110,000 | 115,775 |
| Psychiatric Solutions, Inc. company guaranty 7 3/4s, 2015 | 360,000 | 372,600 |
| Service Corp. International notes 6 1/2s, 2008 | 35,000 | 35,438 |
| Service Corp. International notes Ser. *, 7.7s, 2009 | 41,000 | 43,153 |
| Service Corp. International 144A sr. notes 7s, 2017 | 65,000 | 64,269 |
| Service Corp. International 144A sr. notes 6 3/4s, 2016 | 180,000 | 176,400 |
| Stewart Enterprises, Inc. 144A sr. notes 7 1/4s, 2013 | 340,000 | 325,550 |
| Tenet Healthcare Corp. notes 7 3/8s, 2013 | 265,000 | 241,150 |
| Tenet Healthcare Corp. sr. notes 9 7/8s, 2014 | 245,000 | 245,613 |
| Triad Hospitals, Inc. sr. notes 7s, 2012 | 165,000 | 167,063 |
| Triad Hospitals, Inc. sr. sub. notes 7s, 2013 | 300,000 | 300,000 |
| Universal Hospital Services, Inc. sr. notes 10 1/8s, 2011 (Canada) | 120,000 | 123,000 |
| US Oncology, Inc. company guaranty 9s, 2012 | 160,000 | 170,800 |
| Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014 | 325,000 | 342,875 |
| Ventas Realty LP/Capital Corp. company guaranty 9s, 2012 (R) | 65,000 | 73,450 |
| Ventas Realty LP/Capital Corp. company guaranty 6 3/4s, 2010 (R) | 75,000 | 76,125 |
| Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 (R) | 50,000 | 50,625 |
| 4,798,625 | ||
|
| ||
| Homebuilding (1.2%) | ||
| Beazer Homes USA, Inc. company guaranty 8 5/8s, 2011 | 95,000 | 98,444 |
| D.R. Horton, Inc. company guaranty 8s, 2009 | 30,000 | 31,998 |
| D.R. Horton, Inc. sr. notes 7 7/8s, 2011 | 50,000 | 54,188 |
| D.R. Horton, Inc. sr. notes 6 7/8s, 2013 | 35,000 | 36,225 |
| D.R. Horton, Inc. sr. notes 5 7/8s, 2013 | 215,000 | 205,654 |
| K. Hovnanian Enterprises, Inc. company guaranty 8 7/8s, 2012 | 130,000 | 133,575 |
| K. Hovnanian Enterprises, Inc. company guaranty 6 3/8s, 2014 | 90,000 | 82,900 |
| K. Hovnanian Enterprises, Inc. sr. notes 6 1/2s, 2014 | 60,000 | 56,058 |
| KB Home sr. notes 5 3/4s, 2014 | 360,000 | 333,451 |
| KB Home sr. sub. notes 9 1/2s, 2011 | 2,000 | 2,106 |
| Meritage Homes Corp. company guaranty 6 1/4s, 2015 | 75,000 | 67,875 |
| Schuler Homes, Inc. company guaranty 10 1/2s, 2011 | 104,000 | 112,060 |
| Standard Pacific Corp. sr. notes 7s, 2015 | 375,000 | 343,125 |
| Standard Pacific Corp. sr. notes 6 7/8s, 2011 | 15,000 | 14,363 |
| Technical Olympic USA, Inc. company guaranty 10 3/8s, 2012 | 75,000 | 73,875 |
| Technical Olympic USA, Inc. sr. sub. notes 7 1/2s, 2015 | 365,000 | 304,775 |
| WCI Communities, Inc. company guaranty 10 5/8s, 2011 | 37,000 | 39,035 |
| WCI Communities, Inc. company guaranty 9 1/8s, 2012 | 356,000 | 356,000 |
| 2,345,707 | ||
|
| ||
| Household Furniture and Appliances (0.1%) | ||
| Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014 | 260,000 | 265,200 |
|
| ||
| Lodging/Tourism (0.5%) | ||
| FelCor Lodging LP company guaranty 9s, 2008 (R) | 100,000 | 109,500 |
| HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 (R) | 35,000 | 35,525 |
| Host Marriott LP company guaranty Ser. G, 9 1/4s, 2007 (R) | 60,000 | 63,600 |
| Host Marriott LP sr. notes Ser. M, 7s, 2012 (R) | 215,000 | 221,719 |
| MeriStar Hospitality Corp. company guaranty 9 1/8s, 2011 (R) | 125,000 | 138,750 |
| MeriStar Hospitality Corp. company guaranty 9s, 2008 (R) | 75,000 | 77,813 |
| Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7 7/8s, 2012 | 95,000 | 104,025 |
| Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7 3/8s, 2007 | 121,000 | 124,176 |
| Starwood Hotels & Resorts Worldwide, Inc. debs. 7 3/8s, 2015 | 120,000 | 128,700 |
| 1,003,808 | ||
|
| ||
| Other (1.0%) | ||
| Lehman Brothers 144A HYTRAINS (Targeted Return Index Securities) sec. FRN Ser. 2005-1, 7.651s, 2015 | 1,780,488 | 1,813,872 |
|
| ||
| Publishing (2.1%) | ||
| American Media, Inc. company guaranty Ser. B, 10 1/4s, 2009 | 335,000 | 308,200 |
| CanWest Media, Inc. company guaranty 8s, 2012 (Canada) | 356,394 | 365,304 |
| Cenveo Corp, sr. sub. notes 7 7/8s, 2013 | 235,000 | 225,600 |
| Dex Media West, LLC/Dex Media Finance Co. sr. notes Ser. B, 8 1/2s, 2010 | 245,000 | 258,475 |
| Dex Media, Inc. disc. notes stepped-coupon zero % (9s, 11/15/08), 2013 (STP) | 115,000 | 91,138 |
| Dex Media, Inc. notes 8s, 2013 | 210,000 | 214,200 |
| Houghton Mifflin Co. sr. sub. notes 9 7/8s, 2013 | 405,000 | 430,313 |
| Mail-Well I Corp. company guaranty 9 5/8s, 2012 | 180,000 | 193,950 |
| MediaNews Group, Inc. sr. sub. notes 6 7/8s, 2013 | 225,000 | 219,375 |
| PRIMEDIA, Inc. sr. notes 8s, 2013 | 330,000 | 291,225 |
| R.H. Donnelley Corp. sr. notes 6 7/8s, 2013 | 105,000 | 96,075 |
| R.H. Donnelley Finance Corp. I 144A company guaranty 8 7/8s, 2010 | 223,000 | 239,725 |
| R.H. Donnelley Finance Corp. I 144A sr. sub. notes 10 7/8s, 2012 | 129,000 | 146,093 |
| R.H. Donnelley, Inc. company guaranty 8 7/8s, 2010 | 25,000 | 26,875 |
| Reader's Digest Association, Inc. (The) sr. notes 6 1/2s, 2011 | 440,000 | 429,000 |
| Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009 | 446,000 | 433,735 |
| Vertis, Inc. 144A sub. notes 13 1/2s, 2009 | 160,000 | 124,800 |
| 4,094,083 | ||
|
| ||
| Retail (1.1%) | ||
| Asbury Automotive Group, Inc. sr. sub. notes 8s, 2014 | 105,000 | 98,438 |
| Autonation, Inc. company guaranty 9s, 2008 | 260,000 | 278,850 |
| Bear Creek Corp. 144A sr. notes 9s, 2013 | 75,000 | 73,875 |
| GSC Holdings Corp. 144A company guaranty 8s, 2012 | 185,000 | 178,525 |
| JC Penney Co., Inc. debs. 7.95s, 2017 | 150,000 | 171,136 |
| JC Penney Co., Inc. debs. 7 1/8s, 2023 | 220,000 | 236,324 |
| JC Penney Co., Inc. notes 9s, 2012 | 130,000 | 151,613 |
| JC Penney Co., Inc. notes 8s, 2010 | 10,000 | 10,883 |
| Movie Gallery, Inc. sr. unsecd. notes 11s, 2012 | 175,000 | 132,125 |
| Neiman-Marcus Group, Inc. 144A sr. notes 9s, 2015 | 450,000 | 457,875 |
| United Auto Group, Inc. company guaranty 9 5/8s, 2012 | 275,000 | 284,625 |
| 2,074,269 | ||
|
| ||
| Technology (2.0%) | ||
| Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012 | 260,000 | 261,950 |
| Amkor Technologies, Inc. sr. notes 7 3/4s, 2013 | 24,000 | 20,640 |
| Celestica, Inc. sr. sub. notes 7 7/8s, 2011 (Canada) | 85,000 | 85,213 |
| Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada) | 180,000 | 175,500 |
| Freescale Semiconductor, Inc. sr. notes Ser. B, 7 1/8s, 2014 | 210,000 | 221,550 |
| Iron Mountain, Inc. company guaranty 8 5/8s, 2013 | 355,000 | 370,975 |
| Iron Mountain, Inc. company guaranty 6 5/8s, 2016 | 390,000 | 362,700 |
| Lucent Technologies, Inc. debs. 6.45s, 2029 | 225,000 | 194,063 |
| New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011 (Cayman Islands) | 90,000 | 62,325 |
| SCG Holding Corp. 144A notes zero %, 2011 | 75,000 | 75,000 |
| SunGard Data Systems, Inc. 144A sr. sub. notes 10 1/4s, 2015 | 180,000 | 181,800 |
| SunGard Data Systems, Inc. 144A sr. unsecd. notes 9 1/8s, 2013 | 426,000 | 440,910 |
| UGS Corp. company guaranty 10s, 2012 | 350,000 | 381,500 |
| Unisys Corp. sr. notes 8s, 2012 | 190,000 | 171,950 |
| Xerox Capital Trust I company guaranty 8s, 2027 | 175,000 | 179,375 |
| Xerox Corp. company guaranty 9 3/4s, 2009 | 3,000 | 3,323 |
| Xerox Corp. notes Ser. MTN, 7.2s, 2016 | 110,000 | 115,775 |
| Xerox Corp. sr. notes 7 5/8s, 2013 | 211,000 | 222,078 |
| Xerox Corp. sr. notes 6 7/8s, 2011 | 185,000 | 191,706 |
| 3,718,333 | ||
|
| ||
| Textiles (0.4%) | ||
| Levi Strauss & Co. sr. notes 12 1/4s, 2012 | 281,000 | 314,018 |
| Levi Strauss & Co. sr. notes 9 3/4s, 2015 | 253,000 | 261,855 |
| Oxford Industries, Inc. sr. notes 8 7/8s, 2011 | 100,000 | 102,000 |
| Tommy Hilfiger USA, Inc. company guaranty 6.85s, 2008 | 100,000 | 99,250 |
| 777,123 | ||
|
| ||
| Tire & Rubber (0.3%) | ||
| Goodyear Tire & Rubber Co. (The) notes 8 1/2s, 2007 | 60,000 | 61,950 |
| Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011 | 435,000 | 419,775 |
| Goodyear Tire & Rubber Co. (The) 144A sr. notes 9s, 2015 | 85,000 | 83,088 |
| 564,813 | ||
|
| ||
| Transportation (0.5%) | ||
| Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008 | 230,000 | 185,725 |
| Greenbrier Companies, Inc. 144A sr. notes 8 3/8s, 2015 | 95,000 | 96,306 |
| Kansas City Southern Railway Co. company guaranty 9 1/2s, 2008 | 300,000 | 324,750 |
| Kansas City Southern Railway Co. company guaranty 7 1/2s, 2009 | 40,000 | 41,400 |
| Navistar International Corp. company guaranty 6 1/4s, 2012 | 110,000 | 99,000 |
| Navistar International Corp. company guaranty Ser. B, 9 3/8s, 2006 | 157,000 | 159,355 |
| 906,536 | ||
|
| ||
| Utilities & Power (2.9%) | ||
| AES Corp. (The) sr. notes 8 7/8s, 2011 | 22,000 | 23,760 |
| AES Corp. (The) sr. notes 8 3/4s, 2008 | 14,000 | 14,630 |
| AES Corp. (The) 144A sec. notes 9s, 2015 | 175,000 | 191,625 |
| AES Corp. (The) 144A sec. notes 8 3/4s, 2013 | 240,000 | 260,400 |
| ANR Pipeline Co. debs. 9 5/8s, 2021 | 180,000 | 216,071 |
| CMS Energy Corp. sr. notes 8.9s, 2008 | 60,000 | 63,600 |
| CMS Energy Corp. sr. notes 8 1/2s, 2011 | 70,000 | 75,425 |
| CMS Energy Corp. sr. notes 7 3/4s, 2010 | 40,000 | 41,600 |
| Colorado Interstate Gas Co. debs. 6.85s, 2037 | 95,000 | 96,690 |
| Colorado Interstate Gas Co. sr. notes 5.95s, 2015 | 30,000 | 28,764 |
| Dynegy Holdings, Inc. 144A sec. notes 10 1/8s, 2013 | 315,000 | 352,800 |
| Dynegy-Roseton Danskamme company guaranty Ser. A, 7.27s, 2010 | 90,000 | 90,450 |
| Dynegy-Roseton Danskamme company guaranty Ser. B, 7.67s, 2016 | 125,000 | 125,313 |
| El Paso Corp. sr. notes 8.05s, 2030 | 115,000 | 115,000 |
| El Paso Corp. sr. notes 7 3/8s, 2012 | 90,000 | 89,100 |
| El Paso Corp. sr. notes Ser. MTN, 7.8s, 2031 | 85,000 | 83,513 |
| El Paso Natural Gas Co. debs. 8 5/8s, 2022 | 40,000 | 44,554 |
| El Paso Production Holding Co. company guaranty 7 3/4s, 2013 | 360,000 | 369,000 |
| Ferrellgas Partners LP/Ferrellgas Partners Finance sr. notes 6 3/4s, 2014 | 155,000 | 145,313 |
| Midwest Generation, LLC sec. sr. notes 8 3/4s, 2034 | 280,000 | 308,700 |
| Mission Energy Holding Co. sec. notes 13 1/2s, 2008 | 155,000 | 180,188 |
| Monongahela Power Co. 1st mtge. 6.7s, 2014 | 90,000 | 98,426 |
| National Power Corp. 144A foreign government guaranty FRN 8.63s, 2011 (Philippines) | 85,000 | 89,569 |
| Nevada Power Co. 2nd mtge. 9s, 2013 | 62,000 | 68,299 |
| Northwestern Corp. sec. notes 5 7/8s, 2014 | 360,000 | 358,179 |
| NRG Energy, Inc. company guaranty 8s, 2013 | 211,000 | 231,573 |
| Orion Power Holdings, Inc. sr. notes 12s, 2010 | 125,000 | 142,500 |
| PSEG Energy Holdings, Inc. notes 7 3/4s, 2007 | 135,000 | 137,700 |
| SEMCO Energy, Inc. sr. notes 7 3/4s, 2013 | 110,000 | 114,407 |
| SEMCO Energy, Inc. 144A sr. notes 7 3/4s, 2013 | 145,000 | 151,525 |
| Sierra Pacific Power Co. general ref. mtge. 6 1/4s, 2012 | 35,000 | 35,438 |
| Sierra Pacific Resources sr. notes 8 5/8s, 2014 | 165,000 | 180,263 |
| Teco Energy, Inc. notes 7.2s, 2011 | 35,000 | 36,838 |
| Teco Energy, Inc. notes 7s, 2012 | 60,000 | 62,850 |
| Teco Energy, Inc. sr. notes 6 3/4s, 2015 | 10,000 | 10,350 |
| Tennessee Gas Pipeline Co. debs. 7s, 2028 | 15,000 | 14,498 |
| Tennessee Gas Pipeline Co. unsecd. notes 7 1/2s, 2017 | 40,000 | 42,026 |
| Texas Genco LLC/Texas Genco Financing Corp. 144A sr. notes 6 7/8s, 2014 | 185,000 | 197,950 |
| Transcontinental Gas Pipeline Corp. debs. 7 1/4s, 2026 | 150,000 | 160,875 |
| Utilicorp Canada Finance Corp. company guaranty 7 3/4s, 2011 (Canada) | 140,000 | 143,500 |
| Utilicorp United, Inc. sr. notes 9.95s, 2011 | 95,000 | 104,975 |
| Williams Cos., Inc. (The) notes 8 3/4s, 2032 | 30,000 | 34,050 |
| Williams Cos., Inc. (The) notes 8 1/8s, 2012 | 35,000 | 37,713 |
| Williams Cos., Inc. (The) notes 7 5/8s, 2019 | 50,000 | 52,250 |
| Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010 | 65,000 | 64,350 |
| 5,486,600 | ||
|
| ||
| Total corporate bonds and notes (cost $81,300,957) | $80,388,242 | |
| CONVERTIBLE PREFERRED STOCKS (36.8%)(a) | ||
| Shares | Value | |
|
| ||
| Banking (1.0%) | ||
| Washington Mutual Capital Trust I $2.688 cum. cv. pfd. | 38,400 | $2,018,842 |
|
| ||
| Basic Materials (2.9%) | ||
| Freeport-McMoRan Copper & Gold, Inc. 5.50% cv. pfd. | 160 | 181,180 |
| Freeport-McMoRan Copper & Gold, Inc. 144A 5.50% cv. pfd. | 2,210 | 2,502,549 |
| Huntsman Corp. $2.50 cv. pfd. | 25,500 | 1,096,500 |
| Smurfit-Stone Container Corp. Ser. A, $1.75 cum. cv. pfd. | 85,120 | 1,755,600 |
| 5,535,829 | ||
|
| ||
| Capital Goods (3.8%) | ||
| Allied Waste Industries Ser. D, 6.25% cv. pfd. | 4,060 | 1,025,658 |
| Northrop Grumman Corp. Ser. B, $7.00 cum. cv. pfd. | 31,900 | 3,967,563 |
| Owens-Illinois, Inc. $2.375 cv. pfd. | 63,770 | 2,319,634 |
| 7,312,855 | ||
|
| ||
| Communication Services (1.9%) | ||
| Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. (S) | 35,300 | 1,403,175 |
| Crown Castle International Corp. $3.125 cum. cv. pfd. | 42,014 | 2,279,260 |
| 3,682,435 | ||
|
| ||
| Consumer Cyclicals (3.9%) | ||
| Ford Motor Company Capital Trust II $3.25 cum. cv. pfd. | 66,700 | 2,059,363 |
| General Motors Corp. Ser. A, $1.13 cv. pfd. | 141,300 | 3,073,275 |
| Interpublic Group of Companies, Inc. 144A Ser. B, 5.25% cum. cv. pfd | 1,018 | 929,689 |
| TXI Capital Trust I $2.75 cv. pfd. | 26,600 | 1,383,200 |
| 7,445,527 | ||
|
| ||
| Consumer Staples (2.6%) | ||
| Albertson's, Inc. $1.813 cv. pfd. | 40,800 | 953,700 |
| Constellation Brands, Inc. Ser. A, $1.438 cv. pfd. | 32,687 | 1,152,217 |
| Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd. | 24,100 | 1,048,350 |
| Rite Aid Corp. $1.375 cum. cv. pfd. | 20,800 | 453,086 |
| Six Flags, Inc. $1.813 cum. cv. pfd. | 63,200 | 1,445,700 |
| 5,053,053 | ||
|
| ||
| Energy (2.4%) | ||
| Amerada Hess Corp. $3.50 cv. pfd. | 20,800 | 2,152,800 |
| Chesapeake Energy Corp. Ser. *, $4.50 cum. cv. pfd | 9,700 | 868,150 |
| Hanover Compressor Capital Trust $3.625 cum. cv. pfd. | 32,000 | 1,548,000 |
| 4,568,950 | ||
|
| ||
| Financial (0.9%) | ||
| Fannie Mae Ser. 04-1, 5.375% cv. pfd. | 20 | 1,841,195 |
|
| ||
| Health Care (1.5%) | ||
| Schering-Plough Corp. $3.00 cv. pfd. | 55,300 | 2,813,388 |
|
| ||
| Insurance (5.9%) | ||
| Chubb Corp. (The) $1.75 cv. pfd. | 55,500 | 1,942,500 |
| Citigroup Funding, Inc. Ser. GNW, zero % cv. pfd. | 54,090 | 1,771,339 |
| Conseco, Inc. $1.38 cum. cv. pfd. | 58,300 | 1,581,388 |
| Fortis Insurance NV 144A 7.75% cv. pfd. (Netherlands) | 2,079 | 2,540,538 |
| IPC Holdings, Ltd. 7.25% cv. pfd. (Bermuda) | 18,500 | 522,625 |
| MetLife, Inc. Ser. B, $1.594 cv. pfd. | 56,400 | 1,607,400 |
| Platinum Underwriters Holdings, Ltd. Ser. A, 6.00% cv. pfd. (Bermuda) | 10,700 | 335,603 |
| XL Capital, Ltd. $1.625 cv. pfd. (Bermuda) | 41,600 | 923,520 |
| 11,224,913 | ||
|
| ||
| Investment Banking/Brokerage (1.2%) | ||
| Lehman Brothers Holdings, Inc. $1.563 cv. pfd. | 40,190 | 1,044,940 |
| Merrill Lynch & Co. Ser. JNC, 6.75% cv. pfd. | 30,260 | 1,179,414 |
| 2,224,354 | ||
|
| ||
| Real Estate (2.7%) | ||
| FelCor Lodging Trust, Inc. Ser. A, $1.95 cum. cv. pfd. (R) | 99,200 | 2,380,800 |
| Host Marriott Financial Trust $3.375 cv. pfd. (R) | 46,720 | 2,727,280 |
| 5,108,080 | ||
|
| ||
| Technology (2.2%) | ||
| Lucent Technologies Capital Trust I 7.75% cum. cv. pfd. | 2,100 | 2,024,138 |
| Xerox Corp. 6.25% cv. pfd. | 17,600 | 2,118,600 |
| 4,142,738 | ||
|
| ||
| Utilities & Power (3.9%) | ||
| El Paso Corp. 144A 4.99% cv. pfd. | 1,300 | 1,340,788 |
| El Paso Energy Capital Trust I $2.375 cv. pfd. (S) | 38,950 | 1,372,988 |
| Great Plains Energy, Inc. $2.00 cum. cv. pfd. | 80,000 | 2,070,000 |
| ONEOK, Inc. $2.125 units cv. pfd. | 34,000 | 1,130,500 |
| Southern Union Co. $2.50 cv. pfd. (S) | 30,700 | 1,504,300 |
| 7,418,576 | ||
|
| ||
| Total convertible preferred stocks (cost $65,176,317) | $70,390,735 | |
| CONVERTIBLE BONDS AND NOTES (14.4%)(a) | ||
| Principal amount | Value | |
|
| ||
| Capital Goods (0.5%) | ||
| Titan International, Inc. 144A cv. sr. notes 5 1/4s, 2009 | $700,000 | $1,017,625 |
|
| ||
| Communication Services (0.5%) | ||
| Charter Communications, Inc. 144A cv. sr. notes 5 7/8s, 2009 | 1,300,000 | 960,375 |
| Cybernet Internet Services International, Inc. 144A cv. sr. disc. notes 13s, 2009 (Canada) (In default) (NON) | 780,000 | 8 |
| 960,383 | ||
|
| ||
| Conglomerates (1.2%) | ||
| GenCorp, Inc. cv. sub. notes 5 3/4s, 2007 | 2,030,000 | 2,217,775 |
|
| ||
| Consumer Cyclicals (0.5%) | ||
| Mediacom Communications Corp. cv. sr. notes 5 1/4s, 2006 | 1,050,000 | 1,039,500 |
|
| ||
| Consumer Staples (1.9%) | ||
| Rite Aid Corp. cv. notes 4 3/4s, 2006 | 1,660,000 | 1,616,425 |
| Rite Aid Corp. 144A cv. notes 4 3/4s, 2006 | 264,000 | 257,070 |
| Sinclair Broadcast Group, Inc. cv. bonds 6s, 2012 | 2,055,000 | 1,798,125 |
| 3,671,620 | ||
|
| ||
| Energy (0.3%) | ||
| McMoran Exploration Co. cv. sr. notes 6s, 2008 | 400,000 | 550,000 |
|
| ||
| Financial (0.5%) | ||
| Rewards Network, Inc. cv. sub. debs. 3 1/4s, 2023 | 1,300,000 | 1,002,625 |
|
| ||
| Health Care (--%) | ||
| Manor Care, Inc. 144A cv. sr. notes 2 1/8s, 2035 | 30,000 | 30,600 |
|
| ||
| Homebuilding (0.6%) | ||
| WCI Communities, Inc. cv. sr. sub. notes 4s, 2023 | 980,000 | 1,066,975 |
|
| ||
| Lodging/Tourism (1.1%) | ||
| MeriStar Hospitality Corp. cv. sr. sub. notes 9 1/2s, 2010 (R) | 1,730,000 | 2,104,113 |
|
| ||
| Technology (4.8%) | ||
| Agere Systems, Inc. cv. sub. notes 6 1/2s, 2009 | 980,000 | 968,975 |
| Amkor Technologies, Inc. cv. sub. notes 5 3/4s, 2006 | 1,400,000 | 1,377,250 |
| Cray, Inc. cv. sr. sub. notes 3s, 2024 | 840,000 | 533,400 |
| Fairchild Semiconductor International, Inc. cv. company guaranty 5s, 2008 | 980,000 | 950,600 |
| Kulicke & Soffa Industries, Inc. cv. sub. notes 1/2s, 2008 | 2,050,000 | 1,550,313 |
| Lucent Technologies, Inc. cv. debs. Ser. B, 2 3/4s, 2025 | 450,000 | 478,688 |
| ON Semiconductor Corp. 144A cv. bonds zero %, 2024 | 1,500,000 | 1,190,625 |
| Safeguard Scientifics, Inc. cv. sr. notes 2 5/8s, 2024 | 200,000 | 137,750 |
| Safeguard Scientifics, Inc. 144A cv. sr. notes 2 5/8s, 2024 | 2,800,000 | 1,928,500 |
| 9,116,101 | ||
|
| ||
| Transportation (1.9%) | ||
| AMR Corp. cv. company guaranty 4 1/4s, 2023 | 1,270,000 | 1,417,638 |
| Continental Airlines, Inc. cv. sr. unsub. notes 4 1/2s, 2007 | 1,200,000 | 1,098,000 |
| Pinnacle Airlines Corp. cv. sr. notes 3 1/4s, 2025 | 1,500,000 | 1,104,375 |
| 3,620,013 | ||
|
| ||
| Utilities & Power (0.6%) | ||
| XCEL Energy, Inc. 144A cv. notes 7 1/2s, 2007 | 720,000 | 1,103,400 |
|
| ||
| Total convertible bonds and notes (cost $26,759,403) | $27,500,730 | |
| UNITS (0.9%)(a) | ||
| Units | Value | |
| Hercules, Inc. Units | 2,020 | $1,484,700 |
| XCL Equity Units (F) | 406 | 276,866 |
|
| ||
| Total units (cost $2,202,387) | $1,761,566 | |
| COMMON STOCKS (0.4%)(a) | ||
| Shares | Value | |
| AMRESCO Creditor Trust (acquired various dates from 9/20/00 to 10/16/02, cost $43,601) (F)(RES)(NON)(R) | 140,000 | $140 |
| Birch Telecom, Inc. (F)(NON) | 293 | 1 |
| Coinmach Service Corp. IDS (Income Deposit Securities) | 25,623 | 385,626 |
| Compass Minerals International, Inc. | 147 | 3,540 |
| Contifinancial Corp. Liquidating Trust Units | 574,207 | 1 |
| Crown Castle International Corp. (NON) | 309 | 8,467 |
| Dobson Communications Corp. (NON) | 338 | 2,491 |
| iPCS, Inc. (NON) | 3,463 | 145,792 |
| Knology, Inc. (NON) | 32 | 63 |
| Samsonite Corp. (NON) (S) | 201,560 | 133,030 |
| Sterling Chemicals, Inc. (NON) | 50 | 900 |
| Sun Healthcare Group, Inc. (NON) | 202 | 1,479 |
| USA Mobility, Inc. | 56 | 1,529 |
| VS Holdings, Inc. (F)(NON) | 28,292 | 1 |
| WHX Corp. (NON) | 3,964 | 41,622 |
|
| ||
| Total common stocks (cost $1,894,971) | $724,682 | |
| PREFERRED STOCKS (0.1%)(a) | ||
| Shares | Value | ||||
| Dobson Communications Corp. 13.00% pfd. | 1 | $1,355 | |||
| Paxson Communications Corp. 14.25% cum. pfd. (PIK) | 16 | 135,200 | |||
| Rural Cellular Corp. Ser. B, 11.375% cum. pfd. | 43 | 49,235 | |||
|
| |||||
| Total preferred stocks (cost $191,768) | $185,790 | ||||
| FOREIGN GOVERNMENT BONDS AND NOTES (--%)(a) (cost $86,759) | |||||
| Principal amount | Value | ||||
| Philippines (Republic of) bonds 9 1/2s, 2024 | $80,000 | $90,400 | |||
|
| |||||
| WARRANTS (--%)(a) (NON) | |||||
| Expiration date | Strike price | Warrants | Value | ||
| Dayton Superior Corp. 144A | 6/15/09 | $0.01 | 270 | $1 | |
| MDP Acquisitions PLC 144A (Ireland) | 10/1/13 | EUR | 0.01 | 119 | 3,332 |
| Pliant Corp. 144A | 6/1/10 | $0.01 | 120 | 1 | |
| TravelCenters of America, Inc. | 5/1/09 | 0.001 | 420 | 525 | |
| Ubiquitel, Inc. 144A | 4/15/10 | 22.74 | 420 | 4 | |
|
| |||||
| Total warrants (cost $33,351) | $3,863 | ||||
| SHORT-TERM INVESTMENTS (7.3%)(a) | |||||
| Principal | |||||
| amount/Shares | Value | ||||
| Putnam Prime Money Market Fund (e) | 10,901,671 | $10,901,671 | |||
| Short-term investments held as collateral for loaned securities with yields ranging from 4.00% to 4.29% and due dates ranging from | |||||
| December 1, 2005 to January 27, 2006 (d) | $3,147,915 | 3,143,500 | |||
|
| |||||
| Total short-term investments (cost $14,045,171) | $14,045,171 | ||||
| TOTAL INVESTMENTS | |||||
| Total investments (cost $191,691,084) (b) | $195,091,179 | ||||
FORWARD CURRENCY CONTRACTS TO SELL at 11/30/05 (aggregate face value $2,534,306) (Unaudited)
| Aggregate | Delivery | Unrealized | ||
| Value | face value | date | appreciation | |
| Euro | $2,374,964 | $2,534,306 | 12/21/05 | $159,342 |
| CREDIT DEFAULT CONTRACTS OUTSTANDING at 11/30/05 (Unaudited) | ||
| Notional | Unrealized | |
| amount | appreciation | |
| Agreement with Goldman Sachs International on September 2, 2004, terminating on the date on | ||
| which the notional amount is reduced to zero or the date on which the assets securing the | ||
| reference obligation are liquidated, the fund receives a payment of the outstanding notional amount | ||
| times 2.461% and the fund pays in the event of a credit default in one of the underlying securities | ||
| in the basket of BB CMBS securities. | $108,000 | $1,513 |
| Agreement with JPMorgan Chase Bank, N.A. on September 1, 2005, maturing on September 20, | ||
| 2010, to pay quarterly 460 basis points times the notional amount. Upon a credit default event of | ||
| General Motors Acceptance Corp., the fund receives a payment of the proportional notional | ||
| amount times the difference between the par value and the then market value of General Motors | ||
| Acceptance Corp. | 190,000 | 2,519 |
|
| ||
| Total | $4,032 | |
NOTES
(a) Percentages indicated are based on net assets of $191,135,687.
(b) The aggregate identified cost on a tax basis is $191,730,490, resulting in gross unrealized appreciation and depreciation of $12,407,800 and $9,047,111, respectively, or net unrealized appreciation of $3,360,689.
(DEF) Security is in default of principal and interest.
(NON) Non-income-producing security.
(S) Securities on loan, in part or in entirety, at November 30, 2005.
(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 November 30, 2005 was $114,380 or 0.01% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(R) Real Estate Investment Trust.
(d) The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the statement of operations. At November 30, 2005, the value of securities loaned amounted to $3,046,805. The fund received cash collateral of $3,143,500 which is pooled with collateral of other Putnam funds into 25 issues of high-grade, short-term investments.
(e) Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market 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, LLC. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $62,866 for the period ended November 30, 2005. During the period ended November 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $23,174,471 and $17,832,270, respectively.
(F) Security is valued at fair value following procedures approved by the Trustees.
At November 30, 2005, liquid assets totaling $298,000 have been designated as collateral for open swap contracts.
144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The rates shown on Floating Rate Notes (FRN) are the current interest rates at November 30, 2005.
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. 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. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees. 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. 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 securities taking into account multiple factors, including movements in the U.S. securities markets. 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.
Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.
Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.
Forward currency contracts The fund may buy and sell 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 protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments). 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. When the contract is closed, 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. 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. Risks may exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts recognized on the statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund’s portfolio.
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:
A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 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.
NAME OF REGISTRANT
By (Signature and Title):
/s/ Michael T. Healy
Michael T. Healy
Principal Accounting
Officer
Date: January 27, 2006
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/ Charles E. Porter
Charles E. Porter
Principal Executive
Officer
Date: January 27, 2006
By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial
Officer
Date: January 27, 2006