| 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: | Beth S. Mazor, Vice President | ||
| One Post Office Square | |||
| Boston, Massachusetts 02109 | |||
| Copy to: | John W. Gerstmayr, Esq. | ||
| Ropes & Gray LLP | |||
| One International Place | |||
| Boston, Massachusetts 02110 | |||
| Registrant’s telephone number, including area code: | (617) 292-1000 | ||
| Date of fiscal year end: August 31, 2009 | |||
| Date of reporting period: November 30, 2008 | |||
Item 1. Schedule of Investments:
Putnam High Income Securities Fund
The fund's portfolio
11/30/08 (Unaudited)
| CORPORATE BONDS AND NOTES (43.4%)(a) | |||
| Principal | |||
| amount | Value | ||
|
| |||
| Basic materials (4.8%) | |||
| Airgas, Inc. 144A company guaranty sr. sub. notes | |||
| 7 1/8s, 2018 | $185,000 | $148,000 | |
| AK Steel Corp. company guaranty 7 3/4s, 2012 | 305,000 | 214,263 | |
| Aleris International, Inc. company guaranty 10s, 2016 | 45,000 | 4,725 | |
| Aleris International, Inc. company guaranty 9s, 2014 | |||
| (PIK) | 230,000 | 13,800 | |
| ARCO Chemical Co. debs. 10 1/4s, 2010 | 220,000 | 165,000 | |
| Builders FirstSource, Inc. company guaranty sr. sec. | |||
| notes FRN 6.399s, 2012 | 180,000 | 70,200 | |
| Century Aluminum Co. company guaranty 7 1/2s, 2014 | 265,000 | 152,375 | |
| Clondalkin Acquisition BV 144A company guaranty sr. | |||
| sec. notes FRN 4.819s, 2013 (Netherlands) | 75,000 | 45,000 | |
| Domtar Corp. company guaranty Ser. *, 7 7/8s, 2011 | |||
| (Canada) | 240,000 | 195,600 | |
| Freeport-McMoRan Copper & Gold, Inc. sr. sec. notes | |||
| 6 7/8s, 2014 | 65,000 | 50,863 | |
| Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes | |||
| 8 3/8s, 2017 | 400,000 | 276,000 | |
| Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes | |||
| 8 1/4s, 2015 | 225,000 | 163,125 | |
| Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes | |||
| FRN 7.084s, 2015 | 80,000 | 49,558 | |
| Georgia-Pacific Corp. debs. 9 1/2s, 2011 | 345,000 | 301,875 | |
| Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 | |||
| (Canada) | 270,000 | 251,100 | |
| Hercules, Inc. company guaranty 6 3/4s, 2029 | 315,000 | 329,175 | |
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, | |||
| ULC company guaranty 9 3/4s, 2014 | 95,000 | 49,400 | |
| Huntsman International, LLC company guaranty sr. | |||
| unsec. sub. notes 7 7/8s, 2014 | 175,000 | 115,500 | |
| Huntsman, LLC company guaranty sr. unsub. notes | |||
| 11 5/8s, 2010 | 2,000 | 1,900 | |
| International Paper Co. bonds 7.4s, 2014 | 250,000 | 201,976 | |
| Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012 | 49,000 | 13,720 | |
| Metals USA, Inc. sec. notes 11 1/8s, 2015 | 340,000 | 209,100 | |
| Momentive Performance Materials, Inc. company guaranty | |||
| sr. unsec. notes 9 3/4s, 2014 | 320,000 | 124,000 | |
| Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 5/8s, | |||
| 2016 | 250,000 | 215,000 | |
| NewPage Corp. company guaranty 10s, 2012 | 285,000 | 153,900 | |
| NewPage Holding Corp. sr. notes FRN 10.265s, 2013 (PIK) | 60,741 | 21,259 | |
| Norske Skog Canada, Ltd. company guaranty Ser. D, | |||
| 8 5/8s, 2011 (Canada) | 170,000 | 96,050 | |
| Novelis, Inc. company guaranty 7 1/4s, 2015 | 155,000 | 89,900 | |
| Rockwood Specialties Group, Inc. company guaranty | |||
| 7 5/8s, 2014 | EUR | 245,000 | 211,682 |
| Smurfit Kappa Funding PLC sr. unsec. sub. notes | |||
| 7 3/4s, 2015 (Ireland) | $175,000 | 117,250 | |
| Smurfit-Stone Container Enterprises, Inc. sr. unsec. | |||
| unsub. notes 8s, 2017 | 110,000 | 29,150 | |
| Steel Dynamics, Inc. company guaranty sr. unsec. | |||
| unsub. notes 7 3/8s, 2012 | 30,000 | 22,200 | |
| Steel Dynamics, Inc. company guaranty sr. unsec. | |||
| unsub. notes 6 3/4s, 2015 | 305,000 | 187,575 | |
| Stone Container Corp. sr. notes 8 3/8s, 2012 | 95,000 | 26,600 | |
| Tube City IMS Corp. company guaranty 9 3/4s, 2015 | 160,000 | 80,000 | |
| Verso Paper Holdings, LLC/ Verso Paper, Inc. company | |||
| guaranty 11 3/8s, 2016 | 90,000 | 33,300 | |
| 4,430,121 | |||
|
| |||
| Capital goods (3.1%) | |||
| Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016 | 170,000 | 145,350 | |
| Allied Waste North America, Inc. sec. notes Ser. B, | |||
| 5 3/4s, 2011 | 30,000 | 27,750 | |
| Baldor Electric Co. company guaranty 8 5/8s, 2017 | 80,000 | 59,200 | |
| BBC Holding Corp. sr. notes 8 7/8s, 2014 | 20,000 | 10,600 | |
| BE Aerospace, Inc. sr. unsec. unsub. notes 8 1/2s, 2018 | 155,000 | 127,875 | |
| Berry Plastics Corp. company guaranty sr. sec. notes | |||
| FRN 9.503s, 2015 | 250,000 | 185,000 | |
| Bombardier, Inc. 144A sr. unsec. notes FRN 7.37s, 2013 | |||
| (Canada) | EUR | 65,000 | 63,107 |
| Bombardier, Inc. 144A unsec. notes 6 3/4s, 2012 | |||
| (Canada) | $100,000 | 85,000 | |
| Crown Americas, LLC/Crown Americas Capital Corp. sr. | |||
| notes 7 5/8s, 2013 | 245,000 | 226,625 | |
| General Cable Corp. company guaranty sr. unsec. notes | |||
| FRN 6.258s, 2015 | 270,000 | 153,900 | |
| Hawker Beechcraft Acquisition Co., LLC sr. sub. notes | |||
| 9 3/4s, 2017 | 210,000 | 68,250 | |
| Hawker Beechcraft Acquisition Co., LLC sr. unsec. | |||
| notes 8 1/2s, 2015 | 85,000 | 39,950 | |
| Hexcel Corp. sr. sub. notes 6 3/4s, 2015 | 280,000 | 212,800 | |
| L-3 Communications Corp. company guaranty 7 5/8s, 2012 | 100,000 | 92,500 | |
| L-3 Communications Corp. company guaranty Ser. B, | |||
| 6 3/8s, 2015 | 215,000 | 178,450 | |
| L-3 Communications Corp. company guaranty sr. unsec. | |||
| sub. notes 6 1/8s, 2014 | 110,000 | 92,400 | |
| L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015 | 50,000 | 40,500 | |
| Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) | 325,000 | 317,880 | |
| Owens-Brockway Glass Container, Inc. company guaranty | |||
| 6 3/4s, 2014 | EUR | 50,000 | 45,742 |
| Owens-Illinois, Inc. debs. 7 1/2s, 2010 | $55,000 | 52,800 | |
| RBS Global, Inc. / Rexnord Corp. company guaranty | |||
| 9 1/2s, 2014 | 205,000 | 143,500 | |
| Ryerson Tull, Inc. 144A sec. notes 12 1/4s, 2015 | 165,000 | 102,300 | |
| Sequa Corp. 144A company guaranty sr. unsec. notes | |||
| 11 3/4s, 2015 | 45,000 | 19,800 | |
| Titan International, Inc. company guaranty 8s, 2012 | 355,000 | 276,900 | |
| WCA Waste Corp. company guaranty 9 1/4s, 2014 | 190,000 | 152,000 | |
| 2,920,179 | |||
|
| |||
| Communication services (5.0%) | |||
| Adelphia Communications Corp. escrow zero %, 2009 | 235,000 | 7,050 | |
| Adelphia Communications Corp. escrow bonds zero %, 2010 | 20,000 | 600 | |
| American Tower Corp. 144A sr. notes 7s, 2017 | 215,000 | 184,900 | |
| Atlantic Broadband Finance, LLC company guaranty | |||
| 9 3/8s, 2014 | 225,000 | 160,875 | |
| Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012 | 5,000 | 4,100 | |
| CCH II, LLC sr. unsec. notes 10 1/4s, 2010 | 350,000 | 177,625 | |
| CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010 | 505,000 | 239,875 | |
| Centennial Cellular Operating Co., LLC company | |||
| guaranty 10 1/8s, 2013 | 90,000 | 88,763 | |
| Centennial Cellular Operating Co., LLC sr. unsec. | |||
| notes 8 1/8s, 2014 | 50,000 | 49,500 | |
| Centennial Communications Corp. sr. notes 10s, 2013 | 75,000 | 75,375 | |
| Centennial Communications Corp. sr. unsec. notes FRN | |||
| 9.633s, 2013 | 40,000 | 37,400 | |
| Citizens Communications Co. notes 9 1/4s, 2011 | 160,000 | 137,200 | |
| Cricket Communications, Inc. company guaranty 9 3/8s, | |||
| 2014 | 335,000 | 265,906 | |
| CSC Holdings, Inc. debs. Ser. B, 8 1/8s, 2009 | 3,000 | 2,880 | |
| CSC Holdings, Inc. sr. notes 6 3/4s, 2012 | 205,000 | 171,688 | |
| CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011 | 20,000 | 17,700 | |
| Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015 | |||
| (Jamaica) | 160,000 | 82,400 | |
| Digicel, Ltd. 144A sr. unsec. unsub. notes 9 1/4s, | |||
| 2012 (Jamaica) | 165,000 | 122,100 | |
| Inmarsat Finance PLC company guaranty 10 3/8s, 2012 | |||
| (United Kingdom) | 245,000 | 214,988 | |
| Intelsat Bermuda, Ltd. company guaranty sr. unsec. | |||
| notes 11 1/4s, 2016 (Bermuda) | 430,000 | 344,000 | |
| Intelsat Intermediate Holding Co., Ltd. company | |||
| guaranty stepped-coupon zero % (9 1/4s, 2/1/10), 2015 | |||
| (Bermuda) (STP) | 70,000 | 47,250 | |
| iPCS, Inc. company guaranty sr. sec. notes FRN 5.318s, | |||
| 2013 | 75,000 | 52,500 | |
| Level 3 Financing, Inc. company guaranty 9 1/4s, 2014 | 200,000 | 105,000 | |
| Level 3 Financing, Inc. company guaranty 8 3/4s, 2017 | 115,000 | 55,488 | |
| MetroPCS Wireless, Inc. company guaranty sr. unsec. | |||
| notes 9 1/4s, 2014 | 370,000 | 303,400 | |
| Nextel Communications, Inc. company guaranty sr. | |||
| unsec. notes Ser. D, 7 3/8s, 2015 | 255,000 | 102,000 | |
| Nextel Communications, Inc. sr. notes Ser. E, 6 7/8s, | |||
| 2013 | 50,000 | 20,324 | |
| PAETEC Holding Corp. company guaranty sr. unsec. | |||
| unsub. notes 9 1/2s, 2015 | 275,000 | 153,313 | |
| Qwest Communications International, Inc. company | |||
| guaranty 7 1/2s, 2014 | 110,000 | 71,500 | |
| Qwest Corp. sr. unsec. notes 7 1/2s, 2014 | 90,000 | 69,300 | |
| Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012 | 225,000 | 185,625 | |
| Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 | 65,000 | 41,600 | |
| Rainbow National Services, LLC 144A sr. notes 8 3/4s, | |||
| 2012 | 180,000 | 158,400 | |
| Sprint Capital Corp. company guaranty 6 7/8s, 2028 | 325,000 | 159,250 | |
| Syniverse Technologies, Inc. sr. sub. notes Ser. B, | |||
| 7 3/4s, 2013 | 280,000 | 162,400 | |
| Time Warner Telecom, Inc. company guaranty 9 1/4s, 2014 | 105,000 | 82,950 | |
| Valor Telecommunications Enterprises LLC/Finance Corp. | |||
| company guaranty sr. unsec. unsub. notes 7 3/4s, 2015 | 20,000 | 17,000 | |
| West Corp. company guaranty 9 1/2s, 2014 | 265,000 | 140,450 | |
| Windstream Corp. company guaranty 8 5/8s, 2016 | 245,000 | 191,100 | |
| Windstream Corp. company guaranty 8 1/8s, 2013 | 210,000 | 173,250 | |
| 4,677,025 | |||
|
| |||
| Consumer cyclicals (8.5%) | |||
| Affinion Group, Inc. company guaranty 11 1/2s, 2015 | 100,000 | 58,500 | |
| Affinion Group, Inc. company guaranty 10 1/8s, 2013 | 190,000 | 130,150 | |
| Affinity Group, Inc. sr. sub. notes 9s, 2012 | 190,000 | 123,500 | |
| Allison Transmission 144A company guaranty 11s, 2015 | 160,000 | 78,400 | |
| AMC Entertainment, Inc. company guaranty 11s, 2016 | 112,000 | 79,520 | |
| American Media, Inc. sr. unsec. sub. notes company | |||
| guaranty 8 7/8s, 2011 | 40,000 | 16,000 | |
| American Media, Inc. sr. unsec. sub. notes company | |||
| guaranty Ser. B, 10 1/4s, 2009 | 295,000 | 125,375 | |
| American Media, Inc. 144A company guaranty sr. unsec. | |||
| sub. notes 10 1/4s, 2009 | 10,726 | 4,559 | |
| American Media, Inc. 144A company guaranty sr. unsec. | |||
| sub. notes 8 7/8s, 2011 | 1,454 | 582 | |
| Aramark Corp. company guaranty 8 1/2s, 2015 | 245,000 | 203,350 | |
| Asbury Automotive Group, Inc. sr. sub. notes 8s, 2014 | 105,000 | 43,050 | |
| Associated Materials, Inc. company guaranty 9 3/4s, | ||
| 2012 | 310,000 | 265,050 |
| Autonation, Inc. company guaranty sr. unsec. notes FRN | ||
| 6.753s, 2013 | 60,000 | 38,100 |
| Avis Budget Car Rental, LLC company guaranty 7 3/4s, | ||
| 2016 | 150,000 | 38,250 |
| Avis Budget Car Rental, LLC company guaranty 7 5/8s, | ||
| 2014 | 100,000 | 24,500 |
| Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s, | ||
| 2014 | 140,000 | 21,000 |
| Boyd Gaming Corp. sr. sub. notes 7 1/8s, 2016 | 125,000 | 70,625 |
| Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014 | 135,000 | 81,000 |
| Burlington Coat Factory Warehouse Corp. company | ||
| guaranty sr. unsec. notes 11 1/8s, 2014 | 155,000 | 38,750 |
| Cinemark, Inc. sr. disc. notes stepped-coupon zero % | ||
| (9 3/4s, 3/15/09), 2014 (STP) | 90,000 | 73,800 |
| Clear Channel Communications, Inc. sr. unsec. notes | ||
| 7.65s, 2010 | 145,000 | 88,450 |
| D.R. Horton, Inc. company guaranty 8s, 2009 | 15,000 | 14,700 |
| D.R. Horton, Inc. company guaranty sr. unsub. notes | ||
| 5s, 2009 | 110,000 | 107,388 |
| Dex Media, Inc. sr. unsec. disc. notes 9s, 2013 | 40,000 | 5,200 |
| DirecTV Holdings, LLC company guaranty 6 3/8s, 2015 | 410,000 | 333,125 |
| DirecTV Holdings, LLC company guaranty sr. unsec. | ||
| notes 7 5/8s, 2016 | 55,000 | 46,888 |
| Echostar DBS Corp. company guaranty 6 5/8s, 2014 | 30,000 | 21,450 |
| Echostar DBS Corp. sr. notes 6 3/8s, 2011 | 230,000 | 195,500 |
| FelCor Lodging LP company guaranty 8 1/2s, 2011 (R) | 100,000 | 69,250 |
| Ford Motor Credit Co., LLC notes 7 7/8s, 2010 | 470,000 | 239,576 |
| Ford Motor Credit Co., LLC sr. unsec. notes 9 3/4s, | ||
| 2010 | 179,000 | 93,080 |
| Ford Motor Credit Co., LLC unsec. notes 7 3/8s, 2009 | 105,000 | 64,109 |
| Hanesbrands, Inc. company guaranty sr. unsec. notes | ||
| FRN Ser. B, 6.508s, 2014 | 250,000 | 161,250 |
| Harrah's Operating Co., Inc. 144A company guaranty sr. | ||
| notes 10 3/4s, 2016 | 735,000 | 163,538 |
| Harry & David Holdings, Inc. company guaranty 9s, 2013 | 115,000 | 48,300 |
| Harry & David Holdings, Inc. company guaranty sr. | ||
| unsec. notes FRN 7.81s, 2012 | 40,000 | 16,000 |
| Hertz Corp. company guaranty 8 7/8s, 2014 | 375,000 | 193,594 |
| Host Marriott LP sr. notes 7 1/8s, 2013 (R) | 120,000 | 87,300 |
| Host Marriott LP sr. notes Ser. M, 7s, 2012 (R) | 130,000 | 97,500 |
| Idearc, Inc. company guaranty 8s, 2016 | 535,000 | 44,138 |
| Jostens IH Corp. company guaranty 7 5/8s, 2012 | 415,000 | 332,000 |
| K. Hovnanian Enterprises, Inc. company guaranty sr. | ||
| sec. notes 11 1/2s, 2013 | 105,000 | 80,325 |
| Lamar Media Corp. company guaranty 7 1/4s, 2013 | 175,000 | 138,688 |
| Lamar Media Corp. sr. unsec. sub. notes Ser. C, | ||
| 6 5/8s, 2015 | 80,000 | 58,000 |
| Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016 | 145,000 | 81,200 |
| Levi Strauss & Co. sr. unsec. unsub. notes 9 3/4s, 2015 | 303,000 | 181,800 |
| Marquee Holdings, Inc. sr. disc. notes 12s, 2014 | 185,000 | 104,525 |
| Mashantucket Western Pequot Tribe 144A bonds 8 1/2s, | ||
| 2015 | 295,000 | 112,100 |
| Meritage Homes Corp. company guaranty 6 1/4s, 2015 | 130,000 | 65,000 |
| Meritage Homes Corp. sr. notes 7s, 2014 | 35,000 | 21,000 |
| MGM Mirage, Inc. company guaranty 8 1/2s, 2010 | 95,000 | 53,913 |
| MGM Mirage, Inc. company guaranty 6s, 2009 | 280,000 | 226,800 |
| MGM Mirage, Inc. sr. notes 6 3/4s, 2012 | 2,000 | 1,080 |
| Michaels Stores, Inc. company guaranty 11 3/8s, 2016 | 315,000 | 69,300 |
| Michaels Stores, Inc. company guaranty 10s, 2014 | 70,000 | 22,050 |
| Neiman Marcus Group, Inc. (The) company guaranty sr. | ||
| unsec. notes 9s, 2015 (PIK) | 475,000 | 201,875 |
| Nielsen Finance LLC/Nielsen Finance Co. company | ||
| guaranty 10s, 2014 | 250,000 | 180,000 |
| Nielsen Finance LLC/Nielsen Finance Co. company | ||
| guaranty stepped-coupon zero % (12 1/2s, 8/1/11), 2016 | ||
| (STP) | 190,000 | 70,300 |
| NTK Holdings, Inc. sr. disc. notes stepped-coupon zero | ||
| % (10 3/4s, 9/1/09), 2014 (STP) | 225,000 | 51,750 |
| Owens Corning, Inc. company guaranty sr. unsec. notes | ||
| 6 1/2s, 2016 | 140,000 | 104,266 |
| Oxford Industries, Inc. sr. notes 8 7/8s, 2011 | 100,000 | 71,000 |
| Penn National Gaming, Inc. company guaranty sr. notes | ||
| 6 7/8s, 2011 | 155,000 | 139,500 |
| Pinnacle Entertainment, Inc. company guaranty sr. | ||
| unsec. sub. notes 7 1/2s, 2015 | 150,000 | 82,500 |
| Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, | ||
| 2012 | 245,000 | 178,850 |
| Quebecor Media, Inc. sr. unsec. notes Ser. *, 7 3/4s, | ||
| 2016 (Canada) | 70,000 | 46,900 |
| R.H. Donnelley Corp. sr. unsec. notes 6 7/8s, 2013 | 1,000 | 130 |
| R.H. Donnelley Corp. sr. unsec. unsub. notes 8 7/8s, | ||
| 2017 | 1,000 | 130 |
| R.H. Donnelley, Inc. 144A company guaranty sr. unsec. | ||
| notes 11 3/4s, 2015 | 206,000 | 54,590 |
| Reader's Digest Association, Inc. (The) company | ||
| guaranty sr. unsec. sub. notes 9s, 2017 | 355,000 | 87,863 |
| Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014 | 25,000 | 13,625 |
| Seminole Hard Rock Entertainment, Inc. 144A sr. sec. | ||
| notes FRN 5.319s, 2014 | 315,000 | 182,700 |
| Sirius Satellite Radio, Inc. sr. unsec. notes 9 5/8s, | ||
| 2013 | 180,000 | 44,100 |
| Station Casinos, Inc. sr. notes 6s, 2012 | 189,000 | 58,590 |
| Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014 | 90,000 | 33,300 |
| Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, | ||
| 2013 | 93,000 | 59,520 |
| Tenneco, Inc. sr. unsec. notes company guaranty | ||
| 8 1/8s, 2015 | 35,000 | 15,050 |
| Texas Industries, Inc. 144A company guaranty sr. | ||
| unsec. notes 7 1/4s, 2013 | 90,000 | 68,400 |
| THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sec. | ||
| notes 10s, 2013 | 35,000 | 24,500 |
| THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. | ||
| notes 8 1/2s, 2014 | 185,000 | 56,425 |
| Toll Brothers, Inc. company guaranty sr. unsec. sub. | ||
| notes 8 1/4s, 2011 | 90,000 | 74,700 |
| Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, | ||
| 2015 | 355,000 | 51,475 |
| TRW Automotive, Inc. 144A company guaranty sr. notes | ||
| 7 1/4s, 2017 | 395,000 | 181,700 |
| UCI Holdco, Inc. sr. unsec. notes FRN 10.319s, 2013 | ||
| (PIK) | 123,874 | 39,640 |
| Universal City Florida Holding Co. sr. notes 8 3/8s, | ||
| 2010 | 290,000 | 133,400 |
| Universal City Florida Holding Co. sr. unsec. notes | ||
| FRN 7.943s, 2010 | 107,000 | 49,220 |
| Vertis, Inc. company guaranty sr. notes 13 1/2s, 2014 | ||
| (F)(PIK) | 142,787 | 11,423 |
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st | ||
| mtge. 6 5/8s, 2014 | 380,000 | 268,850 |
| Yankee Acquisition Corp. company guaranty Ser. B, | ||
| 8 1/2s, 2015 | 325,000 | 151,125 |
| 7,939,575 | ||
|
| ||
| Consumer staples (2.2%) | ||
| Buffets, Inc. company guaranty 12 1/2s, 2014 (In | ||
| default) | 110,000 | 275 |
| Chiquita Brands International, Inc. sr. notes 7 1/2s, | ||
| 2014 | 380,000 | 258,400 |
| Chiquita Brands International, Inc. sr. unsec. unsub. | ||
| notes 8 7/8s, 2015 | 30,000 | 21,300 |
| Church & Dwight Co., Inc. company guaranty 6s, 2012 | 130,000 | 119,925 |
| Constellation Brands, Inc. company guaranty sr. unsec. | ||
| unsub. notes 7 1/4s, 2016 | 245,000 | 203,350 |
| Dean Foods Co. company guaranty 7s, 2016 | 125,000 | 97,188 |
| Del Monte Corp. sr. sub. notes 8 5/8s, 2012 | 375,000 | 339,375 |
| Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014 | 155,000 | 105,400 |
| Jarden Corp. company guaranty 7 1/2s, 2017 | 280,000 | 182,000 |
| Pinnacle Foods Finance LLC sr. sub. notes 10 5/8s, 2017 | 100,000 | 56,000 |
| Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012 | 212,000 | 193,450 |
| Rite Aid Corp. company guaranty 9 1/2s, 2017 | 150,000 | 44,250 |
| Rite Aid Corp. sec. notes 7 1/2s, 2017 | 65,000 | 37,050 |
| Spectrum Brands, Inc. company guaranty 7 3/8s, 2015 | 215,000 | 43,000 |
| Spectrum Brands, Inc. sr. unsec. sub. notes company | ||
| guaranty stepped-coupon 12 1/2s (12 3/4s, 4/2/09), | ||
| 2013 (STP) (PIK) | 150,000 | 40,500 |
| Tyson Foods, Inc. sr. unsec. notes 8 1/4s, 2011 | 300,000 | 249,780 |
| United Rentals NA, Inc. company guaranty 6 1/2s, 2012 | 55,000 | 38,500 |
| 2,029,743 | ||
|
| ||
| Energy (6.3%) | ||
| Arch Western Finance, LLC sr. notes 6 3/4s, 2013 | 445,000 | 358,225 |
| Chaparral Energy, Inc. company guaranty sr. unsec. | ||
| notes 8 7/8s, 2017 | 380,000 | 140,600 |
| Chesapeake Energy Corp. sr. notes 7 1/2s, 2013 | 245,000 | 194,775 |
| Chesapeake Energy Corp. sr. notes 7s, 2014 | 110,000 | 83,600 |
| Complete Production Services, Inc. company guaranty | ||
| 8s, 2016 | 295,000 | 185,850 |
| Compton Petroleum Corp. company guaranty 7 5/8s, 2013 | ||
| (Canada) | 395,000 | 161,950 |
| Comstock Resources, Inc. sr. notes 6 7/8s, 2012 | 120,000 | 90,000 |
| Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s, | ||
| 2015 (Canada) | 300,000 | 156,000 |
| Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015 | 345,000 | 236,325 |
| Dresser-Rand Group, Inc. company guaranty 7 3/8s, 2014 | 14,000 | 10,780 |
| El Paso Natural Gas Co. debs. 8 5/8s, 2022 | 40,000 | 34,708 |
| Encore Acquisition Co. sr. sub. notes 6 1/4s, 2014 | 60,000 | 41,400 |
| Encore Acquisition Co. sr. sub. notes 6s, 2015 | 213,000 | 140,580 |
| Ferrellgas LP/Finance sr. notes 8 3/4s, 2012 | 280,000 | 200,200 |
| Ferrellgas LP/Finance sr. notes 6 3/4s, 2014 | 155,000 | 108,500 |
| Ferrellgas LP/Finance 144A sr. notes 6 3/4s, 2014 | 50,000 | 35,000 |
| Forest Oil Corp. sr. notes 8s, 2011 | 150,000 | 131,250 |
| Harvest Operations Corp. sr. notes 7 7/8s, 2011 | ||
| (Canada) | 365,000 | 244,550 |
| Helix Energy Solutions Group, Inc. 144A sr. unsec. | ||
| notes 9 1/2s, 2016 | 345,000 | 181,125 |
| Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. | ||
| unsec. notes 7 3/4s, 2015 | 320,000 | 228,800 |
| Inergy LP/Inergy Finance Corp. sr. unsec. notes | ||
| 6 7/8s, 2014 | 285,000 | 207,338 |
| Key Energy Services, Inc. company guaranty sr. unsec. | ||
| unsub. notes 8 3/8s, 2014 | 295,000 | 205,763 |
| Newfield Exploration Co. sr. sub. notes 7 1/8s, 2018 | 90,000 | 64,350 |
| Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014 | 210,000 | 160,650 |
| Pacific Energy Partners/Pacific Energy Finance Corp. | ||
| sr. notes 7 1/8s, 2014 | 95,000 | 87,993 |
| Peabody Energy Corp. company guaranty 7 3/8s, 2016 | 275,000 | 236,500 |
| PetroHawk Energy Corp. company guaranty 9 1/8s, 2013 | 85,000 | 65,025 |
| PetroHawk Energy Corp. 144A sr. unsec. unsub. notes | ||
| 7 7/8s, 2015 | 70,000 | 49,350 |
| Petroleum Development Corp. company guaranty sr. | ||
| unsec. notes 12s, 2018 | 255,000 | 174,675 |
| Petroplus Finance, Ltd. company guaranty 6 3/4s, 2014 | ||
| (Bermuda) | 80,000 | 51,600 |
| Petroplus Finance, Ltd. 144A company guaranty 7s, 2017 | ||
| (Bermuda) | 240,000 | 148,800 |
| Plains Exploration & Production Co. company guaranty | ||
| 7 3/4s, 2015 | 75,000 | 54,375 |
| Plains Exploration & Production Co. company guaranty | ||
| 7s, 2017 | 375,000 | 251,250 |
| Pride International, Inc. sr. unsec. notes 7 3/8s, 2014 | 265,000 | 225,913 |
| Quicksilver Resources, Inc. company guaranty sr. | ||
| unsec. notes 8 1/4s, 2015 | 50,000 | 32,250 |
| Sabine Pass LNG LP sec. notes 7 1/2s, 2016 | 100,000 | 69,000 |
| SandRidge Energy, Inc. company guaranty sr. unsec. | ||
| unsub. FRN 7.508s, 2014 | 75,000 | 50,072 |
| SandRidge Energy, Inc. company guaranty sr. unsec. | ||
| unsub. notes 8 5/8s, 2015 (PIK) | 210,000 | 133,350 |
| SandRidge Energy, Inc. sr. notes 8s, 2018 | 20,000 | 12,800 |
| Stallion Oilfield Services/Stallion Oilfield Finance | ||
| Corp. 144A sr. unsec. notes 9 3/4s, 2015 | 350,000 | 130,375 |
| Targa Resources, Inc. company guaranty sr. unsec. | ||
| notes 8 1/2s, 2013 | 410,000 | 225,500 |
| Whiting Petroleum Corp. company guaranty 7s, 2014 | 365,000 | 246,375 |
| Williams Cos., Inc. (The) sr. unsec. notes 8 1/8s, 2012 | 35,000 | 30,275 |
| 5,877,797 | ||
|
| ||
| Financials (1.2%) | ||
| E*Trade Financial Corp. sr. unsec. notes 8s, 2011 | 105,000 | 61,425 |
| GMAC, LLC sr. unsec. unsub. notes 7 3/4s, 2010 | 240,000 | 127,265 |
| GMAC, LLC sr. unsec. unsub. notes 7s, 2012 | 75,000 | 26,250 |
| GMAC, LLC sr. unsec. unsub. notes 6 3/4s, 2014 | 250,000 | 81,232 |
| GMAC, LLC sr. unsec. unsub. notes 6 5/8s, 2012 | 140,000 | 49,000 |
| GMAC, LLC sr. unsec. unsub. notes FRN 5.011s, 2014 | 25,000 | 6,750 |
| HUB International Holdings, Inc. 144A sr. sub. notes | ||
| 10 1/4s, 2015 | 180,000 | 99,000 |
| HUB International Holdings, Inc. 144A sr. unsec. | ||
| unsub. notes 9s, 2014 | 165,000 | 109,106 |
| Lender Processing Services, Inc. company guaranty sr. | ||
| unsec. unsub. notes 8 1/8s, 2016 | 235,000 | 197,400 |
| Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015 | 115,000 | 99,763 |
| Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 | 174,000 | 143,985 |
| Liberty Mutual Group 144A company guaranty FRB | ||
| 10 3/4s, 2058 | 75,000 | 38,310 |
| Nuveen Investments, Inc. 144A sr. notes 10 1/2s, 2015 | 170,000 | 52,063 |
| Rouse Co., LP (The) / TRC Property Holdings, Inc. 144A | ||
| sr. unsec. unsub. notes 6 3/4s, 2013 (R) | 20,000 | 4,400 |
| USI Holdings Corp. 144A sr. unsec. notes FRN 6.024s, | ||
| 2014 | 35,000 | 14,394 |
| 1,110,343 | ||
|
| ||
| Health care (5.8%) | ||
| AMR Holding Co., Inc./EmCare Holding Co., Inc. sr. | ||
| sub. notes 10s, 2015 | 320,000 | 304,000 |
| Biomet, Inc. company guaranty sr. unsec. bond 10s, 2017 | 220,000 | 198,000 |
| Community Health Systems, Inc. company guaranty | ||
| 8 7/8s, 2015 | 435,000 | 349,088 |
| DaVita, Inc. company guaranty 6 5/8s, 2013 | 290,000 | 256,650 |
| Elan Finance PLC/Elan Finance Corp. company guaranty | ||
| 7 3/4s, 2011 (Ireland) | 280,000 | 159,600 |
| HCA, Inc. company guaranty sr. sec. notes 9 5/8s, 2016 | ||
| (PIK) | 140,000 | 100,800 |
| HCA, Inc. sr. notes 6.95s, 2012 | 70,000 | 53,900 |
| HCA, Inc. sr. sec. notes 9 1/4s, 2016 | 600,000 | 487,500 |
| HCA, Inc. sr. sec. notes 9 1/8s, 2014 | 145,000 | 117,813 |
| HCA, Inc. sr. unsec. notes 6 3/8s, 2015 | 65,000 | 37,375 |
| Health Management Associates, Inc. sr. notes 6 1/8s, | ||
| 2016 | 360,000 | 215,100 |
| IASIS Healthcare/IASIS Capital Corp. sr. sub. notes | ||
| 8 3/4s, 2014 | 355,000 | 269,800 |
| Omnicare, Inc. company guaranty 6 3/4s, 2013 | 10,000 | 8,350 |
| Omnicare, Inc. sr. sub. notes 6 1/8s, 2013 | 220,000 | 176,000 |
| Psychiatric Solutions, Inc. company guaranty 7 3/4s, | ||
| 2015 | 375,000 | 271,875 |
| Select Medical Corp. company guaranty 7 5/8s, 2015 | 395,000 | 233,050 |
| Service Corporation International sr. notes 7s, 2017 | 65,000 | 46,800 |
| Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013 | 340,000 | 278,800 |
| Sun Healthcare Group, Inc. company guaranty sr. unsec. | ||
| unsub. notes 9 1/8s, 2015 | 330,000 | 273,900 |
| Surgical Care Affiliates, Inc. 144A sr. sub. notes | ||
| 10s, 2017 | 80,000 | 42,400 |
| Surgical Care Affiliates, Inc. 144A sr. unsec. notes | ||
| 8 7/8s, 2015 (PIK) | 265,000 | 159,000 |
| Tenet Healthcare Corp. sr. unsec. notes 7 3/8s, 2013 | 275,000 | 189,750 |
| Tenet Healthcare Corp. sr. unsec. unsub. notes 6 3/8s, | ||
| 2011 | 305,000 | 231,800 |
| United Surgical Partners International, Inc. company | ||
| guaranty sr. unsec. sub. notes 8 7/8s, 2017 | 70,000 | 45,850 |
| US Oncology Holdings, Inc. sr. unsec. notes FRN | ||
| 8.334s, 2012 (PIK) | 95,000 | 61,750 |
| US Oncology, Inc. company guaranty 9s, 2012 | 250,000 | 208,125 |
| Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, | ||
| 2014 | 325,000 | 260,000 |
| Ventas Realty LP/Capital Corp. company guaranty 9s, | ||
| 2012 (R) | 280,000 | 256,200 |
| Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 | ||
| (R) | 50,000 | 41,000 |
| Ventas Realty LP/Capital Corp. sr. notes 6 1/2s, 2016 | ||
| (R) | 80,000 | 62,600 |
| 5,396,876 | ||
|
| ||
| Technology (2.4%) | ||
| Activant Solutions, Inc. company guaranty 9 1/2s, 2016 | 345,000 | 200,100 |
| Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012 | 103,000 | 63,860 |
| Amkor Technologies, Inc. sr. notes 7 3/4s, 2013 | 119,000 | 71,400 |
| Avago Technologies Finance company guaranty 11 7/8s, | ||
| 2015 (Singapore) | 115,000 | 89,700 |
| Avago Technologies Finance company guaranty 10 1/8s, | ||
| 2013 (Singapore) | 130,000 | 105,463 |
| Celestica, Inc. sr. sub. notes 7 7/8s, 2011 (Canada) | 85,000 | 72,250 |
| Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada) | 155,000 | 114,700 |
| Compucom Systems, Inc. sr. sub. notes 12 1/2s, 2015 | 205,000 | 148,113 |
| Freescale Semiconductor, Inc. company guaranty sr. | ||
| unsec. notes 8 7/8s, 2014 | 315,000 | 107,100 |
| Freescale Semiconductor, Inc. company guaranty sr. | ||
| unsec. sub. notes 10 1/8s, 2016 | 120,000 | 30,000 |
| Iron Mountain, Inc. company guaranty 8 3/4s, 2018 | 70,000 | 59,500 |
| Iron Mountain, Inc. company guaranty 8 5/8s, 2013 | 140,000 | 126,700 |
| Iron Mountain, Inc. company guaranty sr. unsec. sub. | ||
| notes 8s, 2020 | 70,000 | 54,250 |
| Lucent Technologies, Inc. unsec. debs. 6.45s, 2029 | 130,000 | 52,000 |
| New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011 | ||
| (Cayman Islands) | 90,000 | 36,000 |
| Nortel Networks, Ltd. company guaranty sr. unsec. | ||
| notes 10 3/4s, 2016 (Canada) | 165,000 | 47,850 |
| Nortel Networks, Ltd. company guaranty sr. unsec. | ||
| notes FRN 9.003s, 2011 (Canada) | 180,000 | 58,500 |
| NXP BV/NXP Funding, LLC company guaranty sr. sec. | ||
| notes FRN 7.503s, 2013 (Netherlands) | 170,000 | 42,075 |
| Open Solutions, Inc. 144A sr. sub. notes 9 3/4s, 2015 | 330,000 | 100,650 |
| SunGard Data Systems, Inc. company guaranty 10 1/4s, | ||
| 2015 | 62,000 | 35,960 |
| SunGard Data Systems, Inc. company guaranty 9 1/8s, | ||
| 2013 | 342,000 | 265,050 |
| SunGard Data Systems, Inc. 144A sr. unsec. notes | ||
| 10 5/8s, 2015 | 86,000 | 66,220 |
| Travelport LLC company guaranty 11 7/8s, 2016 | 65,000 | 15,600 |
| Travelport LLC company guaranty 9 7/8s, 2014 | 190,000 | 66,500 |
| Xerox Capital Trust I company guaranty 8s, 2027 | 285,000 | 209,186 |
| 2,238,727 | ||
|
| ||
| Utilities and power (4.1%) | ||
| AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 | 85,000 | 58,650 |
| AES Corp. (The) 144A sec. notes 8 3/4s, 2013 | 123,000 | 107,318 |
| AES Corp. (The) 144A sr. notes 8s, 2020 | 55,000 | 35,200 |
| Allegheny Energy Supply 144A sr. unsec. bond 8 1/4s, | ||
| 2012 | 120,000 | 112,800 |
| CMS Energy Corp. sr. notes 8 1/2s, 2011 | 70,000 | 66,697 |
| CMS Energy Corp. sr. notes 7 3/4s, 2010 | 40,000 | 38,185 |
| Colorado Interstate Gas Co. debs. 6.85s, 2037 | 95,000 | 63,734 |
| Dynegy-Roseton Danskamme company guaranty Ser. B, | ||
| 7.67s, 2016 | 125,000 | 95,000 |
| Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 | 75,000 | 58,688 |
| Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 | 90,000 | 73,350 |
| Edison Mission Energy sr. unsec. notes 7.2s, 2019 | 155,000 | 113,150 |
| Edison Mission Energy sr. unsec. notes 7s, 2017 | 110,000 | 82,500 |
| El Paso Corp. sr. notes Ser. MTN, 7.8s, 2031 | 100,000 | 63,250 |
| Ipalco Enterprises, Inc. sr. sec. notes 8 5/8s, 2011 | 75,000 | 64,125 |
| Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s, | ||
| 2016 | 25,000 | 19,000 |
| Mirant Americas Generation, Inc. sr. unsec. notes | ||
| 8.3s, 2011 | 170,000 | 157,250 |
| Mirant North America, LLC company guaranty 7 3/8s, 2013 | 235,000 | 203,275 |
| NRG Energy, Inc. company guaranty 7 3/8s, 2017 | 100,000 | 80,750 |
| NRG Energy, Inc. company guaranty 7 1/4s, 2014 | 80,000 | 65,200 |
| NRG Energy, Inc. sr. notes 7 3/8s, 2016 | 730,000 | 593,125 |
| Oncor Electric Delivery Co. 144A 1st mtge. sec. bond | ||
| 5.95s, 2013 | 175,000 | 160,059 |
| Orion Power Holdings, Inc. sr. unsec. notes 12s, 2010 | 245,000 | 237,650 |
| PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015 | 205,000 | 160,925 |
| PP&L Electric Utilities Corp. 1st mtge. sr. sec. bond | ||
| 7 1/8s, 2013 | 140,000 | 146,466 |
| Public Service Co. of New Mexico sr. unsec. notes | ||
| 7.95s, 2018 | 80,000 | 69,614 |
| Sierra Pacific Power Co. general ref. mtge. 6 1/4s, | ||
| 2012 | 35,000 | 34,682 |
| Sierra Pacific Resources sr. unsec. notes 8 5/8s, 2014 | 270,000 | 250,282 |
| Teco Finance, Inc. company guaranty sr. unsec. unsub. | ||
| notes 7.2s, 2011 | 35,000 | 32,616 |
| Teco Finance, Inc. company guaranty sr. unsec. unsub. | ||
| notes 7s, 2012 | 60,000 | 55,869 |
| Teco Finance, Inc. company guaranty sr. unsec. unsub. | ||
| notes 6 3/4s, 2015 | 10,000 | 8,716 |
| Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. | ||
| 7 1/2s, 2017 | 40,000 | 34,099 |
| Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s, | ||
| 2028 | 15,000 | 10,745 |
| Texas Competitive Electric Holdings Co., LLC company | ||
| guaranty 10 1/2s, 2015 | 430,000 | 275,200 |
| Transcontinental Gas Pipeline Corp. sr. unsec. debs. | ||
| 7 1/4s, 2026 | 150,000 | 130,362 |
| Utilicorp United, Inc. sr. unsec. notes 7.95s, 2011 | 5,000 | 4,664 |
| Williams Partners LP/ Williams Partners Finance Corp. | ||
| sr. unsec. notes 7 1/4s, 2017 | 75,000 | 58,875 |
| 3,822,071 | ||
|
| ||
| Total corporate bonds and notes (cost $61,833,172) | $40,442,457 | |
| CONVERTIBLE BONDS AND NOTES (33.8%)(a) | ||
| Principal | ||
| amount | Value | |
|
| ||
| Capital goods (1.1%) | ||
| Alliant Techsystems, Inc. cv. sr. sub. notes 2 3/4s, | ||
| 2024 | $115,000 | $123,338 |
| Trinity Industries, Inc. cv. sub. notes 3 7/8s, 2036 | 135,000 | 66,656 |
| WESCO International, Inc. cv. sr. unsec. company | ||
| guaranty debs. 1 3/4s, 2026 | 1,633,000 | 861,408 |
| 1,051,402 | ||
|
| ||
| Communication services (2.6%) | ||
| Level 3 Communications, Inc. cv. sr. notes 3 1/2s, 2012 | 1,700,000 | 648,125 |
| NII Holdings, Inc. cv. unsec. notes 3 1/8s, 2012 | 1,700,000 | 941,375 |
| Qwest Communications International, Inc. cv. sr. | ||
| unsec. notes 3 1/2s, 2025 | 1,050,000 | 847,875 |
| 2,437,375 | ||
|
| ||
| Communications equipment (1.2%) | ||
| ARRIS Group, Inc. cv. sr. unsec. notes 2s, 2026 | 1,470,000 | 878,766 |
| Nortel Networks Corp. cv. sr. unsec. notes company | ||
| guaranty 2 1/8s, 2014 (Canada) | 2,000,000 | 280,000 |
| 1,158,766 | ||
|
| ||
| Computers (1.1%) | ||
| Cray, Inc. cv. sr. sub. notes 3s, 2024 | 1,300,000 | 1,074,125 |
| 1,074,125 | ||
|
| ||
| Consumer cyclicals (5.0%) | ||
| Fleetwood Enterprises, Inc. cv. sr. sub. notes 5s, 2023 | 1,400,000 | 1,018,500 |
| Lamar Advertising Co. cv. sr. unsec. unsub. notes Ser. | ||
| B, 2 7/8s, 2010 | 820,000 | 620,125 |
| Pier 1 Imports, Inc. cv. sr. unsec. notes company | ||
| guaranty 6 3/8s, 2036 | 130,000 | 69,875 |
| Pier 1 Imports, Inc. 144A cv. sr. unsec. notes company | ||
| guaranty stepped-coupon 6 3/8s (6 1/8s, 2/15/11) 2036 | ||
| (STP) | 1,541,000 | 828,288 |
| Sinclair Broadcast Group, Inc. cv. bonds 6s, 2012 | 1,745,000 | 874,681 |
| United Auto Group, Inc. cv. company guaranty sub. | ||
| notes 3 1/2s, 2026 | 1,300,000 | 658,125 |
| Virgin Media, Inc. 144A cv. sr. unsec. notes 6 1/2s, | ||
| 2016 | 1,380,000 | 626,244 |
| 4,695,838 | ||
|
| ||
| Consumer staples (2.4%) | ||
| Chiquita Brands International cv. sr. unsec. notes | ||
| 4 1/4s, 2016 | 1,290,000 | 887,649 |
| Pantry, Inc. (The) cv. sr. sub. notes 3s, 2012 | 2,100,000 | 1,191,750 |
| Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015 | 470,000 | 136,300 |
| 2,215,699 | ||
|
| ||
| Electronics (1.5%) | ||
| L-1 Identity Solutions, Inc. cv. sr. unsec. notes | ||
| 3 3/4s, 2027 | 1,500,000 | 770,625 |
| SanDisk Corp. cv. sr. unsec. unsub. notes 1s, 2013 | 1,460,000 | 622,325 |
| 1,392,950 | ||
|
| ||
| Energy (2.3%) | ||
| International Coal Group, Inc. 144A cv. company | ||
| guaranty 9s, 2012 | 845,000 | 485,875 |
| Penn Virginia Corp. cv. sr. unsec. sub. notes 4 1/2s, | ||
| 2012 | 1,100,000 | 800,800 |
| St. Mary Land & Exploration Co. cv. sr. notes 3 1/2s, | ||
| 2027 | 1,300,000 | 832,000 |
| 2,118,675 | ||
|
| ||
| Financials (5.5%) | ||
| Boston Private Financial Holdings, Inc. cv. sr. unsec. | ||
| notes 3s, 2027 | 1,700,000 | 1,591,602 |
| Charming Shoppes cv. sr. unsec. notes 1 1/8s, 2014 | 2,060,000 | 736,450 |
| General Growth Properties, Inc. 144A cv. sr. notes | ||
| 3.98s, 2027 (R) | 1,975,000 | 153,063 |
| KKR Financial Holdings, LLC cv. sr. sec. notes 7s, 2012 | 1,157,000 | 462,800 |
| MGIC Investment Corp. 144A cv. jr. unsec. sub. debs. | ||
| 9s, 2063 | 1,420,000 | 426,000 |
| Prudential Financial, Inc. cv. sr. unsec. notes FRN | ||
| 1.189s, 2037 | 940,000 | 827,012 |
| Sunstone Hotel Partnership, LLC 144A cv. company | ||
| guaranty 4.6s, 2027 (R) | 1,600,000 | 922,080 |
| 5,119,007 | ||
|
| ||
| Health care (4.0%) | ||
| CV Therapeutics, Inc. cv. sub. notes 3 1/4s, 2013 | 1,650,000 | 1,047,750 |
| EPIX Medical, Inc. cv. sr. notes 3s, 2024 | 1,470,000 | 856,275 |
| Hologic, Inc. cv. bonds stepped-coupon 2s (zero %, | ||
| 12/15/13) 2037 (STP) | 1,600,000 | 913,920 |
| Omnicare, Inc. cv. debs. Ser. OCR, 3 1/4s, 2035 | 1,663,000 | 866,839 |
| 3,684,784 | ||
|
| ||
| Semiconductor (0.9%) | ||
| Kulicke & Soffa Industries, Inc. cv. bonds 7/8s, 2012 | 1,800,000 | 798,480 |
| 798,480 | ||
|
| ||
| Software (3.0%) | ||
| Borland Software Corp. 144A cv. sr. notes 2 3/4s, 2012 | 1,310,000 | 828,575 |
| Macrovision Corp. cv. sr. notes 2 5/8s, 2011 | 423,000 | 295,043 |
| Safeguard Scientifics, Inc. cv. sr. notes 2 5/8s, 2024 | 200,000 | 156,250 |
| Safeguard Scientifics, Inc. 144A cv. sr. notes 2 5/8s, | ||
| 2024 | 1,900,000 | 1,484,375 |
| 2,764,243 | ||
|
| ||
| Technology (3.2%) | ||
| Acquicor Technology, Inc. 144A cv. notes 8s, 2011 | 532,000 | 186,200 |
| Advanced Micro Devices, Inc. cv. sr. unsec. notes | ||
| 5 3/4s, 2012 | 1,900,000 | 707,750 |
| Mentor Graphics Corp. cv. sub. notes FRN 4.356s, 2023 | 1,400,000 | 1,372,000 |
| ON Semiconductor Corp. cv. company guaranty sub. notes | ||
| 2 5/8s, 2026 | 1,400,000 | 694,750 |
| 2,960,700 | ||
|
| ||
| Total convertible bonds and notes (cost $47,573,581) | $31,472,044 | |
| CONVERTIBLE PREFERRED SECURITIES (19.3%)(a) | ||
| Shares | Value | |
|
| ||
| Basic materials (1.8%) | ||
| Freeport-McMoRan Copper & Gold, Inc. $6.75 cv. pfd. | 14,087 | $583,540 |
| Smurfit-Stone Container Corp. Ser. A, $1.75 cum. cv. | ||
| pfd. | 65,720 | 273,395 |
| Vale Capital, Ltd. Ser. RIO, $2.75 cv. pfd. (Cayman | ||
| Islands) | 24,600 | 596,550 |
| Vale Capital, Ltd. Ser. RIO P, $2.75 cv. pfd. (Cayman | ||
| Islands) | 7,890 | 204,154 |
| 1,657,639 | ||
|
| ||
| Communication services (2.1%) | ||
| Cincinnati Bell, Inc. Ser. B, $3.375 cum. cv. pfd. | 30,900 | 811,125 |
| Crown Castle International Corp. $3.125 cum. cv. pfd. | 34,800 | 1,157,100 |
| 1,968,225 | ||
|
| ||
| Consumer cyclicals (2.9%) | ||
| Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd. | 27,759 | 124,916 |
| Ford Motor Co. Capital Trust II $3.25 cum. cv. pfd. | 61,900 | 487,463 |
| General Motors Corp. $1.563 cum. cv. pfd. | 81,900 | 332,719 |
| Retail Ventures, Inc. $3.313 cv. pfd. | 27,400 | 578,825 |
| Six Flags, Inc. $1.813 cum. cv. pfd. | 63,200 | 75,050 |
| Stanley Works (The) 3.774% units cv. ARP | 1,882,000 | 1,088,267 |
| 2,687,240 | ||
|
| ||
| Consumer staples (2.3%) | ||
| Bunge, Ltd. 5.125% cum. cv. pfd. | 1,740 | 785,888 |
| Newell Financial Trust I $2.625 cum. cv. pfd. | 28,800 | 748,800 |
| Universal Corp. 6.75% cv. pfd. | 870 | 638,363 |
| 2,173,051 | ||
|
| ||
| Energy (2.0%) | ||
| Chesapeake Energy Corp. $4.50 cum. cv. pfd. | 18,400 | 1,168,400 |
| Edge Petroleum Ser. A, $2.875 cum. cv. pfd. | 27,750 | 213,953 |
| McMoRan Exploration Co. $6.75 cum. cv. pfd. | 5,900 | 450,866 |
| 1,833,219 | ||
|
| ||
| Financials (4.9%) | ||
| Alleghany Corp. 5.75% cv. pfd. | 3,100 | 696,196 |
| Ambac Financial Group, Inc. $4.75 cv. pfd. | 2,147 | 25,764 |
| Bank of America Corp. Ser. L, 7.25% cv. pfd. | 787 | 493,614 |
| Citigroup, Inc. Ser. T, $3.25 cv. pfd. | 33,800 | 848,786 |
| Fannie Mae Ser. 04-1, 5.375% cv. pfd. | 16 | 56,000 |
| FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. | ||
| pfd. (R) | 88,700 | 443,500 |
| Legg Mason, Inc. $3.50 cv. pfd. | 14,200 | 267,627 |
| Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd. | ||
| (In default) | 850 | 714 |
| Nationwide Health Properties, Inc. Ser. B, $7.75 cv. | ||
| pfd. | 9,400 | 963,782 |
| Webster Financial Corp. Ser. A, 8.50% cv. pfd. | 1,270 | 739,775 |
| 4,535,758 | ||
|
| ||
| Health care (1.3%) | ||
| Mylan, Inc. 6.50% cv. pfd. | 980 | 569,625 |
| Schering-Plough Corp. 6.00% cum. cv. pfd. | 4,200 | 649,688 |
| 1,219,313 | ||
|
| ||
| Utilities and power (2.0%) | ||
| AES Trust III $3.375 cv. pfd. | 27,800 | 953,888 |
| Entergy Corp. $3.813 cv. pfd. | 18,500 | 915,750 |
| 1,869,638 | ||||
|
| ||||
| Total convertible preferred securities (cost $40,459,696) | $17,944,083 | |||
| UNITS (1.8%)(a) | ||||
| Units | Value | |||
|
| ||||
| Elf Special Financing, Ltd. 144A cv. units FRN Ser. B, | ||||
| 3.169s, 2009 (Cayman Islands) | 9 | $765,000 | ||
| Hercules, Inc. cv. jr. unsec. sub. debs. units 6 1/2s, | ||||
| 2009 | 1,540,000 | 924,000 | ||
|
| ||||
| Total units (cost $2,139,075) | $1,689,000 | |||
| COMMON STOCKS (0.4%)(a) | ||||
| Shares | Value | |||
|
| ||||
| AboveNet, Inc. (NON) | 54 | $1,971 | ||
| Adelphia Recovery Trust (Ser. ACC-1) (NON) | 248,982 | 9,959 | ||
| Bohai Bay Litigation, LLC (Units) (F) | 406 | 18,890 | ||
| Cinemark Holdings, Inc. | 2,640 | 19,879 | ||
| El Paso Corp. | 4,940 | 36,507 | ||
| Elizabeth Arden, Inc. (NON) | 2,645 | 37,295 | ||
| Jarden Corp. (NON) | 3,570 | 44,554 | ||
| Northrop Grumman Corp. | 1 | 41 | ||
| Pinnacle Entertainment , Inc. (NON) | 4,700 | 26,790 | ||
| Qwest Communications International, Inc. | 13,125 | 42,000 | ||
| Service Corporation International | 9,975 | 58,055 | ||
| Time Warner Cable, Inc. Class A | 50 | 1,015 | ||
| Titan Europe PLC (United Kingdom) | 9,520 | 1,723 | ||
| Titan International, Inc. | 1,106 | 10,551 | ||
| Veritis Holdings, Inc. (F)(NON) | 7,497 | 8 | ||
| Williams Cos., Inc. (The) | 2,765 | 44,848 | ||
|
| ||||
| Total common stocks (cost $781,448) | $354,086 | |||
| FOREIGN GOVERNMENT BONDS AND NOTES (0.1%)(a) | ||||
| Principal | ||||
| amount | Value | |||
|
| ||||
| Argentina (Republic of) FRB 3s, 2013 | $225,000 | $62,775 | ||
|
| ||||
| Total foreign government bonds and notes (cost $114,750) | $62,775 | |||
| SENIOR LOANS (--%)(a)(c) | ||||
| Principal | ||||
| amount | Value | |||
|
| ||||
| GateHouse Media, Inc. bank term loan FRN Ser. B, 4.2s, | ||||
| 2014 | $91,033 | $20,938 | ||
| GateHouse Media, Inc. bank term loan FRN Ser. DD, | ||||
| 9.076s, 2014 | 33,967 | 7,813 | ||
|
| ||||
| Total senior loans (cost $116,428) | $28,751 | |||
| WARRANTS (--%)(a)(NON) | ||||
| Expiration | Strike | |||
| date | Price | Warrants | Value | |
|
| ||||
| AboveNet, Inc. | 9/8/10 | $24.00 | 20 | $200 |
| Dayton Superior Corp. 144A (F) | 6/15/09 | 0.01 | 270 | 105 |
| New ASAT Finance, Ltd. (Cayman Islands) (F) | 2/1/11 | 0.01 | 23,400 | 1 |
| Smurfit Kappa Group PLC 144A (Ireland) | 10/1/13 | EUR 0.001 | 119 | 1,426 |
| Vertis Holdings, Inc. (F) | 10/18/15 | $0.01 | 309 | 1 |
|
| ||||
| Total warrants (cost $10,328) | $1,733 | |||
| SHORT-TERM INVESTMENTS (0.6%)(a) | ||||
| Shares | Value | |||
|
| ||||
| Federated Prime Obligations Fund | 570,235 | $570,235 | ||
|
| ||||
| Total short-term investments (cost $570,235) | $570,235 | |||
| TOTAL INVESTMENTS | ||||
|
| ||||
| Total investments (cost $153,598,713) (b) | $92,565,164 | |||
FORWARD CURRENCY CONTRACTS TO BUY at 11/30/08 (aggregate face value $181,453) (Unaudited)
| Aggregate | Delivery | Unrealized | |||
| Value | face value | date | depreciation | ||
|
| |||||
| Euro | $165,265 | $181,453 | 12/17/08 | $(16,188) | |
|
| |||||
FORWARD CURRENCY CONTRACTS TO SELL at 11/30/08 (aggregate face value $605,975) (Unaudited)
| Aggregate | Delivery | Unrealized | |||
| Value | face value | date | appreciation | ||
|
| |||||
| Euro | $533,778 | $605,975 | 12/17/08 | $72,197 | |
|
| |||||
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 11/30/08 (Unaudited)
| Upfront | Payments | Payments | Unrealized | ||||
| Swap counterparty / | premium | Termination | made by | received by | appreciation/ | ||
| Notional amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | ||
|
| |||||||
| Goldman Sachs International | |||||||
| $36,000 | $223 | 11/18/18 | 4.10% | 3 month USD-LIBOR-BBA | $(2,828) | ||
|
| |||||||
| 3,067,000 | (11,175) | 11/18/13 | 3 month USD-LIBOR-BBA | 3.45% | 87,681 | ||
|
| |||||||
| 2,114,000 | (582) | 11/18/10 | 3 month USD-LIBOR-BBA | 2.35% | 9,789 | ||
|
| |||||||
| Total | $94,642 | ||||||
CREDIT DEFAULT CONTRACTS OUTSTANDING at 11/30/08 (Unaudited)
| Upfront | Fixed payments | |||||||
| premium | Termi- | received | Unrealized | |||||
| Swap counterparty / | received | Notional | nation | (paid) by fund | appreciation/ | |||
| Referenced debt* | Rating*** | (paid)** | amount | date | per annum | (depreciation) | ||
|
| ||||||||
| Bank of America, N.A. | ||||||||
| Abitibibowater Inc., 6 1/2%, 6/15/13 | Caa2 | $-- | $45,000 | 12/20/08 | 550 bp | $(411) | ||
|
| ||||||||
| Nalco Co., 7.75%, 11/15/11 | B1 | -- | 45,000 | 9/20/12 | 350 bp | (4,063) | ||
|
| ||||||||
| Citibank, N.A. | ||||||||
| Abitibibowater Inc., 6 1/2%, 6/15/13 | Caa2 | -- | 45,000 | 12/20/08 | 725 bp | (205) | ||
|
| ||||||||
| Abitibibowater Inc., 6 1/2%, 6/15/13 | Caa2 | -- | 45,000 | 12/20/08 | 800 bp | (116) | ||
|
| ||||||||
| Abitibibowater Inc., 6 1/2%, 6/15/13 | Caa2 | -- | 45,000 | 12/20/08 | 825 bp | (87) | ||
|
| ||||||||
| Credit Suisse International | ||||||||
| Advanced Micro Devices, Inc., 7 3/4%, 11/1/12 | B3 | -- | 60,000 | 6/20/09 | 165 bp | (7,697) | ||
|
| ||||||||
| DJ CDX NA HY Series 10 | B+ | 1,050 | 10,000 | 6/20/13 | 500 bp | (1,062) | ||
|
| ||||||||
| Deutsche Bank AG | ||||||||
| Nalco Co., 7.75%, 11/15/11 | B1 | -- | 35,000 | 12/20/12 | 363 bp | (3,253) | ||
|
| ||||||||
| Sungard Data Systems, Inc., 9 1/8%, 8/15/13 | B3 | -- | 100,000 | 12/20/13 | 585 bp | (9,395) | ||
|
| ||||||||
| Goldman Sachs International | ||||||||
| Nalco Co., 7.75%, 11/15/11 | B1 | -- | 90,000 | 9/20/13 | 405 bp | (6,494) | ||
|
| ||||||||
| JPMorgan Chase Bank, N.A. | ||||||||
| Domtar Corp., 7 1/8%, 8/15/15 | - | -- | 240,000 | 12/20/11 | (500 bp) | 8,740 | ||
|
| ||||||||
| Jefferson Smurfit Corp., 7.5%, 6/1/13 | B3 | -- | 15,000 | 3/20/13 | 685 bp | (8,905) | ||
|
| ||||||||
| Morgan Stanley Capital Services, Inc. | ||||||||
| Nalco Co., 7.75%, 11/15/11 | B1 | -- | 45,000 | 9/20/12 | 330 bp | (3,539) | ||
|
| ||||||||
| Nalco Co., 7.75%, 11/15/11 | B1 | -- | 55,000 | 3/20/13 | 460 bp | (2,695) | ||
|
| ||||||||
| UBS, AG | ||||||||
| Meritage Homes Corp., 7%, 5/1/14 | - | -- | 120,000 | 9/20/13 | (760 bp) | 13,771 | ||
|
| ||||||||
| Total | $(25,411) | |||||||
* Payments related to the reference debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represents the average of the ratings of all the securities included in that index. The Moody's or Standard & Poor's ratings are believed to be the most recent ratings available at November 30, 2008.
| EUR | Euro |
| USD / $ | United States Dollar |
NOTES
(a) Percentages indicated are based on net assets of $93,136,206.
(b) The aggregate identified cost on a tax basis is $153,921,624, resulting in gross unrealized appreciation and depreciation of $284,732 and $61,641,192, respectively, or net unrealized depreciation of $61,356,460.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(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 November 30, 2008. 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) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for FASB 157 disclosures based on the securities valuation inputs. On November 30, 2008, fair value pricing was also used for certain foreign securities in the portfolio.
(R) Real Estate Investment Trust.
At November 30, 2008, liquid assets totaling $683,218 have been designated as collateral for open swap contracts and forward contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The rates shown on Adjustable Rate Preferred Stock (ARP), Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at November 30, 2008.
The dates shown on debt obligations are the original maturity dates.
Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. 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 approved by the Trustees or dealers selected by Putnam Investment Management, LLC (“Putnam Management”), the fund’s manager, a wholly-owned subsidiary of Putnam Investments, LLC. 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 equity 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.
At November 30, 2008, fair value pricing was used for certain foreign securities in the portfolio.
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 which Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted securities and derivatives, are also valued at fair value following procedures approved by the Trustees. 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 at a given point in time and does not reflect an actual market price, which may be different by a material amount.
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), or for other investment purposes. 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.
Interest rate swap contracts The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to interest rates. An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Interest rate swap contracts are marked-to-market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform.
Credit default contracts The fund may enter into credit default contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single
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 or 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 the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities.. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk is mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract.
The fund invested in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Prime Money Market Fund were valued at its closing net asset value each business day. Management fees paid by the fund were reduced by an amount equal to the management 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 $2,298 for the period ended November 30, 2008. During the period ended November 30, 2008, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $1,629,911 and $5,791,432, respectively.
On September 17, 2008, the Trustees of the Putnam Prime Money Market Fund voted to close that fund effective September 17, 2008. On September 24, 2008, the fund received shares of Federated Prime Obligations Fund, an unaffiliated management investment company registered under the Investment Company Act of 1940, in liquidation of its shares of Putnam Prime Money Market Fund.
In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157). SFAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. While the adoption of SFAS 157 does not have a material effect on the fund’s net asset value, it does require additional disclosures about fair value measurements. The Standard 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 November 30, 2008:
| Valuation Inputs | Investments in Securities | Other Financial Instruments* | ||||
|
| ||||||
| Level 1 | $893,941 | $-- | ||||
|
| ||||||
| Level 2 | 91,640,795 | 125,240 | ||||
|
| ||||||
| Level 3 | 30,428 | -- | ||||
|
| ||||||
| Total | $92,565,164 | $125,240 | ||||
|
| ||||||
* Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts which are valued at the unrealized appreciation/(depreciation) on the instrument.
The following is a reconciliation of Level 3 assets as of November 30, 2008:
| Investment in Securities | Other Financial Instruments* | |||||
|
| ||||||
| Balance as of August 31, 2008 | $6,818 | $-- | ||||
| Accrued discounts/premiums | 676 | -- | ||||
| Realized Gain / Loss | -- | -- | ||||
| Change in net unrealized appreciation (depreciation) | 13,314 | -- | ||||
| Net Purchases / Sales | 9,620 | -- | ||||
| Net Transfers in and/or out of Level 3 | -- | -- | ||||
|
| ||||||
| Balance as of November 30, 2008 | $30,428 | $-- | ||||
|
| ||||||
* Other financial instruments include futures, written options, TBA sale commitments, swaps and forward contracts which are valued at the unrealized appreciation/ (depreciation) on the instrument.
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com
Item 2. Controls and Procedures:
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.
(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Putnam High Income Securities Fund
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: January 28, 2009
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 28, 2009
By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: January 28, 2009