| 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 | ||
| 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: February 28, 2010 | |||
| Date of reporting period: May 31, 2009 | |||
Item 1. Schedule of Investments:
Putnam High Income Securities Fund
The fund's portfolio
5/31/09 (Unaudited)
| CORPORATE BONDS AND NOTES (44.1%)(a) | |||
| Principal amount | Value | ||
|
| |||
| Basic materials (3.6%) | |||
| Airgas, Inc. 144A company guaranty sr. sub. notes | |||
| 7 1/8s, 2018 | $205,000 | $191,163 | |
| AK Steel Corp. company guaranty sr. unsec. notes | |||
| 7 3/4s, 2012 | 50,000 | 47,000 | |
| Aleris International, Inc. company guaranty sr. unsec. | |||
| notes 9s, 2014 (In default) (NON)(PIK) | 230,000 | 863 | |
| Aleris International, Inc. company guaranty sr. unsec. | |||
| sub. notes 10s, 2016 (In default) (NON) | 45,000 | 169 | |
| Builders FirstSource, Inc. company guaranty sr. notes | |||
| FRN 5.133s, 2012 | 180,000 | 79,650 | |
| Clondalkin Acquisition BV 144A company guaranty sr. | |||
| notes FRN 3.32s, 2013 (Netherlands) | 75,000 | 49,500 | |
| Compass Minerals International, Inc. 144A sr. notes | |||
| 8s, 2019 | 115,000 | 113,850 | |
| Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes | |||
| 8 3/8s, 2017 | 380,000 | 379,050 | |
| Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes | |||
| 8 1/4s, 2015 | 160,000 | 160,400 | |
| Georgia-Pacific Corp. sr. unsec. unsub. notes 9 1/2s, | |||
| 2011 | 315,000 | 323,692 | |
| Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 | |||
| (Canada) | 185,000 | 189,625 | |
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, | |||
| ULC company guaranty 9 3/4s, 2014 | 95,000 | 40,850 | |
| Huntsman International, LLC company guaranty sr. | |||
| unsec. sub. notes 7 7/8s, 2014 | 70,000 | 47,950 | |
| Huntsman International, LLC company guaranty sr. | |||
| unsec. sub. notes, Ser. REGS, 6 7/8s, 2013 | EUR | 55,000 | 48,579 |
| International Paper Co. sr. unsec. notes 9 3/8s, 2019 | $65,000 | 64,025 | |
| International Paper Co. sr. unsec. notes 7.4s, 2014 | 175,000 | 172,634 | |
| Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012 | 49,000 | 15,435 | |
| Metals USA, Inc. sec. notes 11 1/8s, 2015 | 240,000 | 180,600 | |
| Momentive Performance Materials, Inc. company guaranty | |||
| sr. unsec. notes 9 3/4s, 2014 | 160,000 | 60,800 | |
| Mosaic Co. (The) 144A sr. unsec. unsub. notes 7 5/8s, | |||
| 2016 | 250,000 | 248,750 | |
| Nalco Co. 144A sr. notes 8 1/4s, 2017 | 5,000 | 5,025 | |
| NewPage Holding Corp. sr. unsec. unsub. notes FRN | |||
| 10.265s, 2013 (PIK) | 63,875 | 7,026 | |
| Norske Skog Canada, Ltd. company guaranty Ser. D, | |||
| 8 5/8s, 2011 (Canada) | 175,000 | 101,938 | |
| Novelis, Inc. company guaranty 7 1/4s, 2015 | 155,000 | 101,913 | |
| Rio Tinto Finance USA LTD company guaranty sr. unsec. | |||
| notes 8.95s, 2014 (United Kingdom) | 45,000 | 48,362 | |
| Rockwood Specialties Group, Inc. company guaranty | |||
| 7 5/8s, 2014 | EUR | 95,000 | 123,514 |
| Smurfit Kappa Funding PLC sr. unsec. sub. notes | |||
| 7 3/4s, 2015 (Ireland) | $190,000 | 129,200 | |
| Steel Dynamics, Inc. company guaranty sr. unsec. | |||
| unsub. notes 7 3/8s, 2012 | 30,000 | 27,600 | |
| Steel Dynamics, Inc. company guaranty sr. unsec. | |||
| unsub. notes 6 3/4s, 2015 | 305,000 | 260,013 | |
| Stone Container Corp. sr. notes 8 3/8s, 2012 | 95,000 | 29,925 | |
| Teck Resources, Ltd. 144A sr. sec. notes 10 3/4s, 2019 | |||
| (Canada) | 105,000 | 108,019 | |
| Teck Resources, Ltd. 144A sr. sec. notes 10 1/4s, 2016 | |||
| (Canada) | 160,000 | 162,000 | |
| Teck Resources, Ltd. 144A sr. sec. notes 9 3/4s, 2014 | |||
| (Canada) | 130,000 | 129,350 | |
| Tube City IMS Corp. company guaranty sr. unsec. sub. | |||
| notes 9 3/4s, 2015 | 160,000 | 91,200 | |
| Verso Paper Holdings, LLC/Verso Paper, Inc. 144A sr. | |||
| sec. notes 11 1/2s, 2014 | 55,000 | 51,150 | |
| Verso Paper Holdings, LLC/Verso Paper, Inc. company | |||
| guaranty 11 3/8s, 2016 | 90,000 | 36,900 | |
| Verso Paper Holdings, LLC/Verso Paper, Inc. company | |||
| guaranty sr. sec. notes FRN Ser. B, 4.778s, 2014 | 70,000 | 37,800 | |
| Verso Paper Holdings, LLC/Verso Paper, Inc. company | |||
| guaranty sr. sub. notes, Ser. B, 9 1/8s, 2014 | 185,000 | 110,075 | |
| 3,975,595 | |||
|
| |||
| Capital goods (2.1%) | |||
| Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016 | 170,000 | 157,675 | |
| Allied Waste North America, Inc. sec. notes Ser. B, | |||
| 5 3/4s, 2011 | 30,000 | 30,150 | |
| Baldor Electric Co. company guaranty 8 5/8s, 2017 | 145,000 | 132,675 | |
| BE Aerospace, Inc. sr. unsec. unsub. notes 8 1/2s, 2018 | 230,000 | 217,350 | |
| Berry Plastics Corp. company guaranty sr. notes FRN | |||
| 5.881s, 2015 | 250,000 | 214,063 | |
| Bombardier, Inc. 144A sr. unsec. notes FRN 4.406s, | |||
| 2013 (Canada) | EUR | 65,000 | 76,472 |
| Crown Americas, LLC/Crown Americas Capital Corp. sr. | |||
| notes 7 5/8s, 2013 | $245,000 | 238,875 | |
| General Cable Corp. company guaranty sr. unsec. notes | |||
| FRN 3.583s, 2015 | 270,000 | 218,700 | |
| Hawker Beechcraft Acquisition Co., LLC sr. sub. notes | |||
| 9 3/4s, 2017 | 190,000 | 58,900 | |
| Hawker Beechcraft Acquisition Co., LLC sr. unsec. | |||
| notes 8 1/2s, 2015 | 85,000 | 35,700 | |
| Hexcel Corp. sr. sub. notes 6 3/4s, 2015 | 100,000 | 90,500 | |
| L-3 Communications Corp. company guaranty Ser. B, | |||
| 6 3/8s, 2015 | 215,000 | 195,650 | |
| L-3 Communications Corp. company guaranty sr. unsec. | |||
| sub. notes 5 7/8s, 2015 | 50,000 | 44,500 | |
| Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) | 325,000 | 279,364 | |
| Owens-Brockway Glass Container, Inc. company guaranty | |||
| 6 3/4s, 2014 | EUR | 50,000 | 65,714 |
| Ryerson Tull, Inc. company guaranty sr. sec. notes | |||
| 12 1/4s, 2015 | $165,000 | 111,375 | |
| Titan International, Inc. company guaranty 8s, 2012 | 185,000 | 159,100 | |
| 2,326,763 | |||
|
| |||
| Communication services (5.5%) | |||
| Adelphia Communications Corp. escrow bonds zero %, 2009 | 235,000 | 3,819 | |
| Adelphia Communications Corp. escrow bonds zero %, | |||
| 2010 | 20,000 | 325 | |
| American Tower Corp. sr. unsec. notes 7s, 2017 | 215,000 | 207,475 | |
| American Tower Corp. 144A sr. unsec. notes 7 1/4s, 2019 | 45,000 | 43,875 | |
| Atlantic Broadband Finance, LLC company guaranty | |||
| 9 3/8s, 2014 | 225,000 | 190,125 | |
| Cablevision Systems Corp. sr. unsec. notes Ser. B, 8s, | |||
| 2012 | 5,000 | 4,913 | |
| CC Holdings GS V, LLC/Crown Castle GS III Corp. 144A | |||
| sr. sec. notes 7 3/4s, 2017 | 45,000 | 44,325 | |
| CCH II, LLC sr. unsec. notes 10 1/4s, 2010 | |||
| (In default) (NON) | 85,000 | 84,150 | |
| CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010 | |||
| (In default) (NON) | 325,000 | 318,500 | |
| CCO Holdings LLC/CCO Holdings Capital Corp. sr. unsec. | |||
| notes 8 3/4s, 2013 (In default) (NON) | 90,000 | 82,350 | |
| Centennial Cellular Operating Co., LLC company | |||
| guaranty 10 1/8s, 2013 | 90,000 | 92,700 | |
| Centennial Cellular Operating Co., LLC sr. unsec. | |||
| notes 8 1/8s, 2014 | 50,000 | 51,313 | |
| Centennial Communications Corp. sr. unsec. notes FRN | |||
| 6.958s, 2013 | 40,000 | 39,900 | |
| Citizens Communications Co. notes 9 1/4s, 2011 | 160,000 | 165,800 | |
| Cricket Communications, Inc. company guaranty 9 3/8s, | |||
| 2014 | 315,000 | 313,425 | |
| Cricket Communications, Inc. 144A sr. sec. notes | |||
| 7 3/4s, 2016 | 85,000 | 82,450 | |
| Crown Castle International Corp. sr. unsec. notes 9s, | |||
| 2015 | 55,000 | 55,275 | |
| CSC Holdings, Inc. sr. notes 6 3/4s, 2012 | 205,000 | 197,825 | |
| CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011 | 20,000 | 19,950 | |
| CSC Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2014 | 35,000 | 34,825 | |
| Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015 | |||
| (Jamaica) | 160,000 | 128,000 | |
| Digicel, Ltd. 144A sr. unsec. unsub. notes 9 1/4s, | |||
| 2012 (Jamaica) | 65,000 | 62,075 | |
| Frontier Communications Corp. sr. unsec. notes 8 1/4s, | |||
| 2014 | 155,000 | 151,513 | |
| Inmarsat Finance PLC company guaranty 10 3/8s, 2012 | |||
| (United Kingdom) | 245,000 | 252,963 | |
| Intelsat Bermuda, Ltd. company guaranty sr. unsec. | |||
| notes 11 1/4s, 2016 (Bermuda) | 430,000 | 441,825 | |
| Intelsat Intermediate Holding Co., Ltd. company | |||
| guaranty sr. unsec. notes stepped-coupon zero % | |||
| (9 1/4s, 2/1/10), 2015 (Bermuda) (STP) | 70,000 | 63,175 | |
| iPCS, Inc. company guaranty sr. sec. notes FRN 3.153s, | |||
| 2013 | 75,000 | 62,063 | |
| Level 3 Financing, Inc. company guaranty 9 1/4s, 2014 | 200,000 | 156,250 | |
| Level 3 Financing, Inc. company guaranty 8 3/4s, 2017 | 135,000 | 95,006 | |
| MetroPCS Wireless, Inc. company guaranty sr. unsec. | |||
| notes 9 1/4s, 2014 | 370,000 | 371,388 | |
| Nextel Communications, Inc. company guaranty sr. | |||
| unsec. notes Ser. D, 7 3/8s, 2015 | 255,000 | 202,088 | |
| PAETEC Holding Corp. company guaranty sr. unsec. | |||
| unsub. notes 9 1/2s, 2015 | 275,000 | 248,875 | |
| Qwest Communications International, Inc. company | |||
| guaranty 7 1/2s, 2014 | 75,000 | 69,000 | |
| Qwest Corp. sr. unsec. notes 7 1/2s, 2014 | 90,000 | 85,950 | |
| Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012 | 225,000 | 226,688 | |
| Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 | 65,000 | 49,400 | |
| Qwest Corp. 144A sr. unsec. notes 8 3/8s, 2016 | 35,000 | 34,388 | |
| Rainbow National Services, LLC 144A sr. notes 8 3/4s, | |||
| 2012 | 180,000 | 182,025 | |
| Sprint Capital Corp. company guaranty 7 5/8s, 2011 | 40,000 | 39,500 | |
| Sprint Capital Corp. company guaranty 6 7/8s, 2028 | 325,000 | 227,500 | |
| Time Warner Telecom, Inc. company guaranty 9 1/4s, 2014 | 105,000 | 105,263 | |
| Valor Telecommunications Enterprises LLC/Finance Corp. | |||
| company guaranty sr. unsec. unsub. notes 7 3/4s, 2015 | 20,000 | 19,700 | |
| West Corp. company guaranty 9 1/2s, 2014 | 270,000 | 243,000 | |
| Windstream Corp. company guaranty 8 5/8s, 2016 | 255,000 | 250,538 | |
| Windstream Corp. company guaranty 8 1/8s, 2013 | 225,000 | 221,344 | |
| 6,022,837 | |||
|
| |||
| Consumer cyclicals (9.0%) | |||
| Affinion Group, Inc. company guaranty 11 1/2s, 2015 | 100,000 | 86,250 | |
| Affinion Group, Inc. company guaranty 10 1/8s, 2013 | 190,000 | 178,600 | |
| Affinity Group, Inc. sr. sub. notes 9s, 2012 | 170,000 | 95,625 | |
| AMC Entertainment, Inc. company guaranty 11s, 2016 | 77,000 | 77,385 | |
| American Media Operations, Inc. 144A sr. sub. notes | |||
| 14s, 2013 (PIK) | 196,209 | 77,503 | |
| American Media Operations, Inc. 144A sr. unsec. notes | ||
| 9s, 2013 (PIK) | 16,545 | 8,190 |
| Aramark Corp. company guaranty 8 1/2s, 2015 | 275,000 | 262,281 |
| Associated Materials, Inc. company guaranty 9 3/4s, | ||
| 2012 | 310,000 | 261,950 |
| Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s, | ||
| 2014 | 140,000 | 67,200 |
| Boyd Gaming Corp. sr. sub. notes 7 1/8s, 2016 | 125,000 | 88,750 |
| Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014 | 135,000 | 105,300 |
| Burlington Coat Factory Warehouse Corp. company | ||
| guaranty sr. unsec. notes 11 1/8s, 2014 | 155,000 | 112,375 |
| Clear Channel Communications, Inc. sr. unsec. notes | ||
| 7.65s, 2010 | 55,000 | 24,200 |
| Corrections Corporation of America company guaranty | ||
| sr. notes 7 3/4s, 2017 | 150,000 | 146,625 |
| D.R. Horton, Inc. company guaranty sr. unsec. unsub. | ||
| notes Ser. MTN, 6s, 2011 | 60,000 | 57,750 |
| DIRECTV Holdings, LLC company guaranty sr. unsec. | ||
| notes 7 5/8s, 2016 | 55,000 | 53,213 |
| DIRECTV Holdings, LLC company guaranty sr. unsec. | ||
| notes 6 3/8s, 2015 | 315,000 | 286,650 |
| Dollar General Corp. company guaranty sr. unsec. notes | ||
| 10 5/8s, 2015 | 180,000 | 190,350 |
| Echostar DBS Corp. company guaranty 6 5/8s, 2014 | 30,000 | 27,225 |
| Echostar DBS Corp. sr. notes 6 3/8s, 2011 | 315,000 | 304,369 |
| FelCor Lodging LP company guaranty 9s, 2011 (R) | 100,000 | 85,500 |
| Fleetwood Enterprises, Inc. company guaranty sr. sec. | ||
| sub. notes 14s, 2011 (In default) (F)(NON) | 1,442,000 | 865,200 |
| Ford Motor Credit Co., LLC notes 7 7/8s, 2010 | 470,000 | 447,361 |
| Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011 | 105,000 | 96,075 |
| Ford Motor Credit Co., LLC sr. unsec. notes 9 3/4s, | ||
| 2010 | 179,000 | 170,945 |
| Ford Motor Credit Co., LLC unsec. notes 7 3/8s, 2009 | 105,000 | 102,410 |
| Ford Motor Credit Corp. sr. notes 7 1/4s, 2011 | 20,000 | 17,259 |
| Goodyear Tire & Rubber Co. (The) sr. unsec. notes | ||
| 10 1/2s, 2016 | 65,000 | 64,675 |
| Hanesbrands, Inc. company guaranty sr. unsec. notes | ||
| FRN Ser. B, 5.698s, 2014 | 250,000 | 201,250 |
| Harrah's Operating Co., Inc. company guaranty sr. sec. | ||
| notes Ser. A144, 10s, 2018 | 387,000 | 258,323 |
| Harrahs Operating Escrow, LLC/Harrahs Escrow Corp. | ||
| 144A sr. sec. notes 11 1/4s, 2017 | 55,000 | 53,350 |
| Harry & David Operations Corp. company guaranty sr. | ||
| unsec. notes 9s, 2013 | 115,000 | 40,394 |
| Harry & David Operations Corp. company guaranty sr. | ||
| unsec. notes FRN 6.261s, 2012 | 40,000 | 14,150 |
| Host Marriott LP sr. notes 7 1/8s, 2013 (R) | 120,000 | 111,600 |
| Host Marriott LP sr. notes Ser. M, 7s, 2012 (R) | 130,000 | 124,800 |
| Jostens IH Corp. company guaranty 7 5/8s, 2012 | 200,000 | 197,000 |
| Lamar Media Corp. company guaranty 7 1/4s, 2013 | 100,000 | 91,500 |
| Lamar Media Corp. 144A sr. notes 9 3/4s, 2014 | 70,000 | 72,100 |
| Lender Processing Services, Inc. company guaranty sr. | ||
| unsec. unsub. notes 8 1/8s, 2016 | 235,000 | 231,475 |
| Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016 | 80,000 | 75,200 |
| Levi Strauss & Co. sr. unsec. unsub. notes 9 3/4s, 2015 | 218,000 | 210,370 |
| Marquee Holdings, Inc. sr. disc. notes 12s, 2014 | 145,000 | 117,450 |
| Masco Corp. sr. unsec. unsub. notes 6 1/8s, 2016 | 100,000 | 81,673 |
| Mashantucket Western Pequot Tribe 144A bonds 8 1/2s, | ||
| 2015 | 295,000 | 115,050 |
| Meritage Homes Corp. company guaranty 6 1/4s, 2015 | 130,000 | 97,825 |
| Meritage Homes Corp. sr. notes 7s, 2014 | 35,000 | 27,300 |
| MGM Mirage, Inc. company guaranty 6 3/4s, 2013 | 30,000 | 19,950 |
| MGM Mirage, Inc. company guaranty sr. unsec. notes | ||
| 7 5/8s, 2017 | 70,000 | 44,800 |
| MGM Mirage, Inc. sr. notes 6 3/4s, 2012 | 2,000 | 1,375 |
| MGM Mirage, Inc. 144A sr. sec. notes 10 3/8s, 2014 | 20,000 | 20,600 |
| Michaels Stores, Inc. company guaranty 11 3/8s, 2016 | 225,000 | 122,625 |
| Michaels Stores, Inc. company guaranty 10s, 2014 | 70,000 | 50,400 |
| Neiman-Marcus Group, Inc. company guaranty sr. unsec. | ||
| notes 9s, 2015 (PIK) | 486,578 | 260,319 |
| Nielsen Finance LLC/Nielsen Finance Co. company | ||
| guaranty 10s, 2014 | 175,000 | 166,688 |
| Nielsen Finance LLC/Nielsen Finance Co. company | ||
| guaranty sr. unsec. sub. disc. notes stepped-coupon | ||
| zero % (12 1/2s, 8/1/11), 2016 (STP) | 190,000 | 121,600 |
| NTK Holdings, Inc. sr. unsec. disc. notes | ||
| stepped-coupon zero % (10 3/4s, 9/1/09), 2014 (STP) | 225,000 | 22,219 |
| Owens Corning, Inc. company guaranty sr. unsec. notes | ||
| 6 1/2s, 2016 | 140,000 | 121,809 |
| Oxford Industries, Inc. sr. notes 8 7/8s, 2011 | 20,000 | 17,800 |
| Penn National Gaming, Inc. company guaranty sr. notes | ||
| 6 7/8s, 2011 | 155,000 | 150,350 |
| Pinnacle Entertainment, Inc. company guaranty sr. | ||
| unsec. sub. notes 7 1/2s, 2015 | 110,000 | 91,850 |
| Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, | ||
| 2012 | 245,000 | 238,875 |
| Reader's Digest Association, Inc. (The) company | ||
| guaranty sr. unsec. sub. notes 9s, 2017 | 355,000 | 14,200 |
| Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014 | 25,000 | 19,750 |
| Sealy Mattress Co. 144A sr. sec. notes 10 7/8s, 2016 | 115,000 | 117,875 |
| Seminole Hard Rock Entertainment, Inc. 144A sr. | ||
| notes FRN 3.82s, 2014 | 315,000 | 214,200 |
| Staples, Inc. sr. unsec. notes 9 3/4s, 2014 | 150,000 | 165,750 |
| Station Casinos, Inc. sr. notes 6s, 2012 | ||
| (In default) (NON) | 189,000 | 68,040 |
| Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, | ||
| 2013 | 178,000 | 164,650 |
| Tenneco, Inc. sr. unsec. notes company guaranty | ||
| 8 1/8s, 2015 | 50,000 | 36,750 |
| Texas Industries, Inc. 144A company guaranty sr. | |||
| unsec. notes 7 1/4s, 2013 | 90,000 | 77,400 | |
| THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sec. | |||
| notes 10s, 2013 | 35,000 | 22,663 | |
| THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. | |||
| notes 8 1/2s, 2014 | 185,000 | 49,025 | |
| Travelport LLC company guaranty 11 7/8s, 2016 | 65,000 | 33,800 | |
| Travelport LLC company guaranty 9 7/8s, 2014 | 390,000 | 245,700 | |
| Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, | |||
| 2015 (In default) (NON) | 355,000 | 42,600 | |
| TRW Automotive, Inc. company guaranty sr. unsec. | |||
| unsub. notes Ser. REGS, 6 3/8s, 2014 | EUR | 60,000 | 43,244 |
| TRW Automotive, Inc. 144A company guaranty sr. notes | |||
| 7 1/4s, 2017 | $240,000 | 168,000 | |
| United Auto Group, Inc. company guaranty 7 3/4s, 2016 | 95,000 | 73,150 | |
| Universal City Development Partners, Ltd. sr. unsec. | |||
| unsub. notes 11 3/4s, 2010 | 80,000 | 76,800 | |
| Vertis, Inc. company guaranty sr. notes 13 1/2s, 2014 | |||
| (PIK) | 151,568 | 743 | |
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st | |||
| mtge. 6 5/8s, 2014 | 90,000 | 77,063 | |
| Yankee Acquisition Corp. company guaranty Ser. B, | |||
| 8 1/2s, 2015 | 325,000 | 245,375 | |
| 9,890,064 | |||
|
| |||
| Consumer staples (2.9%) | |||
| Avis Budget Car Rental, LLC company guaranty sr. | |||
| unsec. unsub. notes 7 3/4s, 2016 | 150,000 | 107,250 | |
| Avis Budget Car Rental, LLC company guaranty sr. | |||
| unsec. unsub. notes 7 5/8s, 2014 | 100,000 | 71,500 | |
| Chiquita Brands International, Inc. sr. notes 7 1/2s, | |||
| 2014 | 380,000 | 315,400 | |
| Chiquita Brands International, Inc. sr. unsec. unsub. | |||
| notes 8 7/8s, 2015 | 30,000 | 25,500 | |
| Constellation Brands, Inc. company guaranty sr. unsec. | |||
| unsub. notes 7 1/4s, 2016 | 245,000 | 228,463 | |
| Del Monte Corp. sr. sub. notes 8 5/8s, 2012 | 375,000 | 376,875 | |
| Dole Food Co. 144A sr. unsec. notes 13 7/8s, 2014 | 215,000 | 230,050 | |
| Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014 | 155,000 | 130,200 | |
| Hertz Corp. company guaranty 8 7/8s, 2014 | 340,000 | 309,400 | |
| Jarden Corp. company guaranty 7 1/2s, 2017 | 280,000 | 242,200 | |
| Jarden Corp. sr. unsec. 8s, 2016 | 50,000 | 48,375 | |
| Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012 | 187,000 | 183,260 | |
| Rite Aid Corp. company guaranty 9 1/2s, 2017 | 210,000 | 136,500 | |
| Rite Aid Corp. sec. notes 7 1/2s, 2017 | 65,000 | 51,025 | |
| Smithfield Foods, Inc. sr. unsec. notes Ser. B, | |||
| 7 3/4s, 2013 | 85,000 | 64,175 | |
| Spectrum Brands, Inc. company guaranty 7 3/8s, 2015 | |||
| (In default) (NON) | 215,000 | 109,113 | |
| Spectrum Brands, Inc. company guaranty sr. unsec. sub. | |||
| notes stepped-coupon 12 1/2s (12 3/4s, 10/2/09), 2013 | |||
| (STP) (In default) (NON)(PIK) | 150,000 | 72,750 | |
| Supervalu, Inc. sr. unsec. notes 8s, 2016 | 85,000 | 83,300 | |
| Tyson Foods, Inc. 144A sr. unsec. notes 10 1/2s, 2014 | 305,000 | 323,300 | |
| United Rentals North America, Inc. company guaranty sr. unsec. | |||
| notes 6 1/2s, 2012 | 55,000 | 51,425 | |
| 3,160,061 | |||
|
| |||
| Energy (6.5%) | |||
| Arch Western Finance, LLC company guaranty sr. notes | |||
| 6 3/4s, 2013 | 445,000 | 404,950 | |
| Chaparral Energy, Inc. company guaranty sr. unsec. | |||
| notes 8 7/8s, 2017 | 155,000 | 89,319 | |
| Chesapeake Energy Corp. company guaranty sr. unsec. | |||
| notes 9 1/2s, 2015 | 35,000 | 34,563 | |
| Chesapeake Energy Corp. sr. notes 7 1/2s, 2013 | 245,000 | 229,075 | |
| Chesapeake Energy Corp. sr. notes 7s, 2014 | 110,000 | 99,825 | |
| Complete Production Services, Inc. company guaranty | |||
| 8s, 2016 | 130,000 | 105,300 | |
| Compton Petroleum Corp. company guaranty 7 5/8s, 2013 | |||
| (Canada) | 395,000 | 197,500 | |
| Comstock Resources, Inc. sr. notes 6 7/8s, 2012 | 120,000 | 111,600 | |
| Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s, | |||
| 2015 (Canada) | 300,000 | 190,500 | |
| Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015 | 345,000 | 326,025 | |
| Encore Acquisition Co. company guaranty sr. unsec. | |||
| sub. bond 7 1/4s, 2017 | 5,000 | 4,188 | |
| Encore Acquisition Co. sr. sub. notes 6s, 2015 | 213,000 | 175,725 | |
| Ferrellgas LP/Finance sr. notes 8 3/4s, 2012 | 280,000 | 257,600 | |
| Ferrellgas LP/Finance sr. notes 6 3/4s, 2014 | 155,000 | 141,050 | |
| Ferrellgas LP/Finance 144A sr. notes 6 3/4s, 2014 | 15,000 | 13,650 | |
| Forest Oil Corp. sr. notes 8s, 2011 | 185,000 | 184,075 | |
| Harvest Operations Corp. sr. notes 7 7/8s, 2011 | 365,000 | 306,600 | |
| Helix Energy Solutions Group, Inc. 144A sr. unsec. | |||
| notes 9 1/2s, 2016 | 345,000 | 284,625 | |
| Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. | |||
| unsec. notes 7 3/4s, 2015 | 320,000 | 275,200 | |
| Key Energy Services, Inc. company guaranty sr. unsec. | |||
| unsub. notes 8 3/8s, 2014 | 330,000 | 290,400 | |
| Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s, | |||
| 2018 | 90,000 | 80,775 | |
| Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, | |||
| 2014 | 210,000 | 193,200 | |
| OPTI Canada, Inc. company guaranty sr. sec. notes | |||
| 8 1/4s, 2014 (Canada) | 50,000 | 34,500 | |
| OPTI Canada, Inc. company guaranty sr. sec. notes | |||
| 7 7/8s, 2014 (Canada) | 120,000 | 81,000 | |
| Pacific Energy Partners/Pacific Energy Finance Corp. | |||
| sr. notes 7 1/8s, 2014 | 95,000 | 95,060 |
| Peabody Energy Corp. company guaranty 7 3/8s, 2016 | 275,000 | 261,938 |
| PetroHawk Energy Corp. company guaranty 9 1/8s, 2013 | 85,000 | 83,513 |
| PetroHawk Energy Corp. 144A sr. notes 10 1/2s, 2014 | 135,000 | 138,375 |
| Petroleum Development Corp. company guaranty sr. | ||
| unsec. notes 12s, 2018 | 265,000 | 197,425 |
| Petroplus Finance, Ltd. company guaranty 6 3/4s, 2014 | ||
| (Bermuda) | 80,000 | 66,800 |
| Petroplus Finance, Ltd. 144A company guaranty 7s, 2017 | ||
| (Bermuda) | 240,000 | 195,600 |
| Plains Exploration & Production Co. company guaranty | ||
| 7 3/4s, 2015 | 75,000 | 69,938 |
| Plains Exploration & Production Co. company guaranty | ||
| 7s, 2017 | 375,000 | 326,250 |
| Pride International, Inc. sr. unsec. notes 7 3/8s, 2014 | 265,000 | 264,006 |
| Quicksilver Resources, Inc. company guaranty sr. | ||
| unsec. notes 8 1/4s, 2015 | 50,000 | 41,750 |
| Range Resources Corp. company guaranty sr. unsec. sub. | ||
| notes 7 1/2s, 2017 | 35,000 | 33,250 |
| Sabine Pass LNG LP sec. notes 7 1/2s, 2016 | 285,000 | 230,850 |
| SandRidge Energy, Inc. company guaranty sr. unsec. | ||
| unsub. FRN 4.833s, 2014 | 75,000 | 59,273 |
| SandRidge Energy, Inc. 144A company guaranty sr. | ||
| unsec. unsub. notes 8s, 2018 | 230,000 | 194,350 |
| Stallion Oilfield Services/Stallion Oilfield Finance | ||
| Corp. 144A sr. unsec. notes 9 3/4s, 2015 | 120,000 | 28,800 |
| Targa Resources, Inc. company guaranty sr. unsec. | ||
| notes 8 1/2s, 2013 | 410,000 | 293,150 |
| Weatherford International, Ltd. company guaranty sr. | ||
| unsec. notes 9 5/8s, 2019 | 50,000 | 56,429 |
| Whiting Petroleum Corp. company guaranty 7s, 2014 | 220,000 | 196,900 |
| Williams Cos., Inc. (The) sr. unsec. notes 8 1/8s, 2012 | 35,000 | 35,793 |
| Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 | 155,000 | 150,350 |
| 7,131,045 | ||
|
| ||
| Financials (1.6%) | ||
| GMAC, LLC sr. unsec. unsub. notes 7 3/4s, 2010 | 45,000 | 43,129 |
| GMAC, LLC sr. unsec. unsub. notes 7 1/4s, 2011 | 40,000 | 35,707 |
| GMAC, LLC 144A company guaranty sr. unsec. unsub. | ||
| notes 7 3/4s, 2010 | 156,000 | 148,980 |
| GMAC, LLC 144A company guaranty sr. unsec. unsub. | ||
| notes 7s, 2012 | 522,000 | 456,750 |
| GMAC, LLC 144A company guaranty sr. unsec. unsub. | ||
| notes 6 3/4s, 2014 | 153,000 | 127,755 |
| GMAC, LLC 144A company guaranty sr. unsec. unsub. | ||
| notes 6 5/8s, 2012 | 88,000 | 76,120 |
| GMAC, LLC 144A company guaranty sr. unsec. unsub. | ||
| notes FRN 2.868s, 2014 | 15,000 | 11,250 |
| HUB International Holdings, Inc. 144A sr. sub. notes | ||
| 10 1/4s, 2015 | 180,000 | 111,600 |
| HUB International Holdings, Inc. 144A sr. unsec. | ||
| unsub. notes 9s, 2014 | 165,000 | 123,750 |
| iStar Financial, Inc. sr. unsec. unsub. notes 8 5/8s, | ||
| 2013 (R) | 45,000 | 22,500 |
| iStar Financial, Inc. sr. unsec. unsub. notes 5.65s, | ||
| 2011 (R) | 110,000 | 61,600 |
| Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015 | 115,000 | 102,063 |
| Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 | 174,000 | 134,198 |
| Liberty Mutual Group 144A company guaranty jr. sub. | ||
| notes FRB 10 3/4s, 2058 | 75,000 | 47,013 |
| Universal City Florida Holding Co. sr. notes 8 3/8s, | ||
| 2010 | 290,000 | 207,350 |
| Universal City Florida Holding Co. sr. unsec. notes | ||
| FRN 5.778s, 2010 | 107,000 | 76,505 |
| USI Holdings Corp. 144A company guaranty sr. unsec. | ||
| notes FRN 4.758s, 2014 | 35,000 | 19,163 |
| 1,805,433 | ||
|
| ||
| Health care (6.4%) | ||
| AMR Holding Co., Inc./EmCare Holding Co., Inc. sr. | ||
| sub. notes 10s, 2015 | 320,000 | 323,200 |
| Biomet, Inc. company guaranty sr. unsec. bond 10s, 2017 | 220,000 | 224,950 |
| Community Health Systems, Inc. company guaranty | ||
| 8 7/8s, 2015 | 250,000 | 247,188 |
| Coventry Health Care, Inc. sr. unsec. notes 6.3s, 2014 | 165,000 | 139,075 |
| Coventry Health Care, Inc. sr. unsec. notes 5.95s, 2017 | 75,000 | 57,002 |
| DaVita, Inc. company guaranty 6 5/8s, 2013 | 290,000 | 271,875 |
| Elan Finance PLC/Elan Finance Corp. company guaranty | ||
| 7 3/4s, 2011 (Ireland) | 280,000 | 256,200 |
| Fresenius US Finance II, Inc. 144A sr. unsec. notes | ||
| 9s, 2015 | 205,000 | 212,175 |
| HCA, Inc. company guaranty sr. notes 9 5/8s, 2016 (PIK) | 140,000 | 134,050 |
| HCA, Inc. sr. notes 6.95s, 2012 | 70,000 | 64,400 |
| HCA, Inc. sr. sec. notes 9 1/4s, 2016 | 600,000 | 589,500 |
| HCA, Inc. sr. sec. notes 9 1/8s, 2014 | 145,000 | 142,463 |
| HCA, Inc. 144A sr. sec. notes 9 7/8s, 2017 | 45,000 | 45,000 |
| HCA, Inc. 144A sr. sec. notes 8 1/2s, 2019 | 135,000 | 131,963 |
| Health Management Associates, Inc. sr. notes 6 1/8s, | ||
| 2016 | 360,000 | 306,000 |
| IASIS Healthcare/IASIS Capital Corp. sr. sub. notes | ||
| 8 3/4s, 2014 | 355,000 | 347,013 |
| Omnicare, Inc. company guaranty 6 3/4s, 2013 | 10,000 | 9,075 |
| Omnicare, Inc. sr. sub. notes 6 1/8s, 2013 | 220,000 | 199,650 |
| Psychiatric Solutions, Inc. company guaranty 7 3/4s, | ||
| 2015 | 375,000 | 337,500 |
| Psychiatric Solutions, Inc. 144A sr. sub. notes | ||
| 7 3/4s, 2015 | 40,000 | 36,000 |
| Select Medical Corp. company guaranty 7 5/8s, 2015 | 395,000 | 312,050 |
| Service Corporation International sr. notes 7s, 2017 | 65,000 | 59,313 |
| Service Corporation International sr. unsec. 7 3/8s, | ||
| 2014 | 125,000 | 120,313 |
| Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013 | 340,000 | 307,700 |
| Sun Healthcare Group, Inc. company guaranty sr. unsec. | ||
| unsub. notes 9 1/8s, 2015 | 330,000 | 325,463 |
| Surgical Care Affiliates, Inc. 144A sr. sub. notes | ||
| 10s, 2017 | 80,000 | 64,000 |
| Surgical Care Affiliates, Inc. 144A sr. unsec. notes | ||
| 8 7/8s, 2015 (PIK) | 265,000 | 212,000 |
| Tenet Healthcare Corp. 144A company guaranty sr. sec. | ||
| notes 10s, 2018 | 190,000 | 198,550 |
| Tenet Healthcare Corp. 144A company guaranty sr. sec. | ||
| notes 9s, 2015 | 165,000 | 168,300 |
| United Surgical Partners International, Inc. company | ||
| guaranty sr. unsec. sub. notes 8 7/8s, 2017 | 265,000 | 225,913 |
| US Oncology Holdings, Inc. sr. unsec. notes FRN | ||
| 6.904s, 2012 (PIK) | 98,000 | 65,660 |
| US Oncology, Inc. company guaranty 9s, 2012 | 250,000 | 250,000 |
| Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, | ||
| 2014 | 325,000 | 318,500 |
| Ventas Realty LP/Capital Corp. company guaranty 9s, | ||
| 2012 (R) | 280,000 | 288,400 |
| Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, | ||
| 2014 (R) | 50,000 | 46,875 |
| Ventas Realty LP/Capital Corp. sr. notes 6 1/2s, 2016 | ||
| (R) | 80,000 | 73,000 |
| 7,110,316 | ||
|
| ||
| Technology (2.4%) | ||
| Activant Solutions, Inc. company guaranty 9 1/2s, 2016 | 345,000 | 252,713 |
| Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012 | 103,000 | 68,495 |
| Amkor Technologies, Inc. sr. notes 7 3/4s, 2013 | 119,000 | 106,505 |
| Avago Technologies Finance company guaranty sr. unsec. | ||
| sub. notes 11 7/8s, 2015 (Singapore) | 115,000 | 105,598 |
| Avago Technologies Finance company guaranty sr. unsec. | ||
| notes 10 1/8s, 2013 (Singapore) | 130,000 | 124,963 |
| Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada) | 155,000 | 151,125 |
| Compucom Systems, Inc. sr. sub. notes 12 1/2s, 2015 | 205,000 | 157,850 |
| First Data Corp. company guaranty sr. unsec. notes | ||
| 9 7/8s, 2015 | 445,000 | 302,600 |
| Freescale Semiconductor, Inc. company guaranty sr. | ||
| unsec. sub. notes 10 1/8s, 2016 | 24,000 | 6,360 |
| Iron Mountain, Inc. company guaranty 8 3/4s, 2018 | 70,000 | 68,075 |
| Iron Mountain, Inc. company guaranty 8 5/8s, 2013 | 100,000 | 100,250 |
| Iron Mountain, Inc. company guaranty sr. unsec. sub. | ||
| notes 8s, 2020 | 70,000 | 64,750 |
| Lucent Technologies, Inc. unsec. debs. 6.45s, 2029 | 25,000 | 14,250 |
| New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011 | ||
| (Cayman Islands) (In default) (NON) | 90,000 | 338 |
| Seagate Technology International 144A company guaranty | ||
| sr. sec. notes 10s, 2014 (Cayman Islands) | 190,000 | 191,900 |
| SunGard Data Systems, Inc. company guaranty 10 1/4s, | ||
| 2015 | 236,000 | 214,170 |
| SunGard Data Systems, Inc. company guaranty 9 1/8s, | ||
| 2013 | 228,000 | 219,450 |
| Syniverse Technologies, Inc. sr. sub. notes Ser. B, | ||
| 7 3/4s, 2013 | 280,000 | 240,100 |
| Xerox Capital Trust I company guaranty 8s, 2027 | 285,000 | 220,875 |
| 2,610,367 | ||
|
| ||
| Utilities and power (4.1%) | ||
| AES Corp. (The) sr. unsec. notes 8s, 2020 | 55,000 | 48,400 |
| AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 | 85,000 | 79,050 |
| AES Corp. (The) 144A sec. notes 8 3/4s, 2013 | 218,000 | 221,270 |
| Allegheny Energy Supply 144A sr. unsec. bond 8 1/4s, | ||
| 2012 | 175,000 | 181,923 |
| Ameren Corp. sr. unsec. notes 8 7/8s, 2014 | 110,000 | 112,836 |
| CMS Energy Corp. sr. notes 8 1/2s, 2011 | 70,000 | 70,701 |
| CMS Energy Corp. sr. notes 7 3/4s, 2010 | 40,000 | 40,436 |
| Colorado Interstate Gas Co. debs. 6.85s, 2037 (Canada) | 95,000 | 79,812 |
| Dynegy-Roseton Danskamme company guaranty Ser. B, | ||
| 7.67s, 2016 | 125,000 | 105,000 |
| Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 | 75,000 | 58,125 |
| Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 | 20,000 | 16,850 |
| Edison Mission Energy sr. unsec. notes 7.2s, 2019 | 155,000 | 104,819 |
| Edison Mission Energy sr. unsec. notes 7s, 2017 | 40,000 | 29,000 |
| El Paso Corp. sr. notes Ser. MTN, 7.8s, 2031 | 100,000 | 78,500 |
| El Paso Corp. sr. unsec. notes 12s, 2013 | 35,000 | 38,500 |
| El Paso Natural Gas Co. debs. 8 5/8s, 2022 | 40,000 | 41,773 |
| Inergy LP/Inergy Finance Corp. sr. unsec. notes | ||
| 6 7/8s, 2014 | 295,000 | 269,925 |
| Ipalco Enterprises, Inc. sr. sec. notes 8 5/8s, 2011 | 75,000 | 75,375 |
| Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s, | ||
| 2016 | 25,000 | 24,000 |
| Mirant Americas Generation, Inc. sr. unsec. notes | ||
| 8.3s, 2011 | 170,000 | 169,575 |
| Mirant North America, LLC company guaranty 7 3/8s, 2013 | 235,000 | 225,013 |
| NiSource Finance Corp. company guaranty sr. unsec. | ||
| notes 10 3/4s, 2016 | 45,000 | 49,031 |
| NiSource Finance Corp. company guaranty sr. unsec. | ||
| unsub. notes 6.8s, 2019 | 115,000 | 103,035 |
| NiSource Finance Corp. company guaranty sr. unsec. | ||
| unsub. notes 5.4s, 2014 | 100,000 | 88,727 |
| NRG Energy, Inc. company guaranty 7 3/8s, 2017 | 100,000 | 94,250 |
| NRG Energy, Inc. company guaranty 7 1/4s, 2014 | 80,000 | 76,600 |
| NRG Energy, Inc. sr. notes 7 3/8s, 2016 | 730,000 | 687,113 |
| Oncor Electric Delivery Co. sec. bonds 5.95s, 2013 | 175,000 | 178,404 |
| Orion Power Holdings, Inc. sr. unsec. notes 12s, 2010 | 245,000 | 252,963 |
| Public Service Co. of New Mexico sr. unsec. notes | ||
| 7.95s, 2018 | 80,000 | 79,909 |
| Sierra Pacific Power Co. general ref. mtge. 6 1/4s, | ||
| 2012 | 35,000 | 35,612 |
| Sierra Pacific Resources sr. unsec. notes 8 5/8s, 2014 | 200,000 | 197,000 |
| Teco Finance, Inc. company guaranty sr. unsec. unsub. | ||
| notes 7.2s, 2011 | 35,000 | 35,819 |
| Teco Finance, Inc. company guaranty sr. unsec. unsub. | ||
| notes 7s, 2012 | 60,000 | 60,263 |
| Teco Finance, Inc. company guaranty sr. unsec. unsub. | ||
| notes 6 3/4s, 2015 | 10,000 | 9,434 |
| Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. | ||
| 7 1/2s, 2017 | 40,000 | 40,543 |
| Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s, | ||
| 2028 | 15,000 | 13,158 |
| Texas Competitive Electric Holdings Co., LLC company | ||
| guaranty sr. unsec. notes Ser. A, 10 1/4s, 2015 | ||
| (United Kingdom) | 430,000 | 254,775 |
| Texas-New Mexico Power Co. 144A 1st mtge. sec. 9 1/2s, | ||
| 2019 | 110,000 | 112,951 |
| Transcontinental Gas Pipeline Corp. sr. unsec. debs. | ||
| 7 1/4s, 2026 | 150,000 | 139,741 |
| Utilicorp United, Inc. sr. unsec. notes 7.95s, 2011 | 5,000 | 5,125 |
| 4,585,336 | ||
|
| ||
| Total corporate bonds and notes (cost $56,223,066) | $48,617,817 | |
| CONVERTIBLE BONDS AND NOTES (35.6%)(a) | ||
| Principal amount | Value | |
|
| ||
| Basic materials (0.6%) | ||
| ArcelorMittal cv. sr. unsec. unsub. notes 5s, 2014 | ||
| (Luxembourg) | $165,000 | $209,138 |
| United States Steel Corp. cv. sr. unsec. notes 4s, 2014 | 375,000 | 463,125 |
| 672,263 | ||
|
| ||
| Capital goods (2.6%) | ||
| Alliant Techsystems, Inc. cv. sr. sub. notes 2 3/4s, | ||
| 2024 | 65,000 | 72,475 |
| General Cable Corp. cv. company guaranty 7/8s, 2013 | 800,000 | 745,000 |
| L-1 Identity Solutions, Inc. cv. sr. unsec. notes | ||
| 3 3/4s, 2027 | 1,500,000 | 1,164,375 |
| Trinity Industries, Inc. cv. sub. notes 3 7/8s, 2036 | 135,000 | 75,769 |
| WESCO International, Inc. cv. sr. unsec. company | ||
| guaranty debs. 1 3/4s, 2026 | 1,033,000 | 848,351 |
| 2,905,970 | ||
|
| ||
| Communication services (3.0%) | ||
| Level 3 Communications, Inc. cv. sr. notes 3 1/2s, 2012 | 1,700,000 | 1,000,875 |
| NII Holdings, Inc. cv. unsec. notes 3 1/8s, 2012 | 1,700,000 | 1,270,750 |
| Qwest Communications International, Inc. cv. sr. | ||
| unsec. notes 3 1/2s, 2025 | 1,050,000 | 1,056,563 |
| 3,328,188 | ||
|
| ||
| Conglomerates (0.4%) | ||
| Textron, Inc. cv. sr. unsec. notes Ser. TXT, 4 1/2s, | ||
| 2013 | 370,000 | 409,294 |
| 409,294 | ||
|
| ||
| Consumer cyclicals (5.8%) | ||
| Alliance Data Systems Corp. 144A cv. sr. notes 1 3/4s, | ||
| 2013 | 650,000 | 472,063 |
| BorgWarner, Inc. cv. sr. unsec. notes 3 1/2s, 2012 | 180,000 | 222,075 |
| Iconix Brand Group, Inc. cv. sr. sub. notes 1 7/8s, | ||
| 2012 | 380,000 | 334,400 |
| International Game Technology 144A cv. sr. unsec. | ||
| notes 3 1/4s, 2014 | 690,000 | 774,732 |
| Interpublic Group of Companies, Inc. (The) cv. sr. | ||
| unsec. notes 4 1/4s, 2023 | 790,000 | 696,188 |
| Lamar Advertising Co. cv. sr. unsec. unsub. notes | ||
| Ser. B, 2 7/8s, 2010 | 820,000 | 754,400 |
| Regal Entertainment Group 144A cv. sr. unsec. notes | ||
| 6 1/4s, 2011 | 292,000 | 278,130 |
| Scientific Games Corp. cv. company guaranty sr. unsec. | ||
| sub notes stepped-coupon 3/4s (1/2s, 6/1/10), 2024 | ||
| (STP) | 415,000 | 399,956 |
| Sinclair Broadcast Group, Inc. cv. bonds 6s, 2012 | 1,525,000 | 503,250 |
| Sirius Satellite Radio, Inc. cv. sr. unsec. notes | ||
| 3 1/4s, 2011 | 578,000 | 323,680 |
| United Auto Group, Inc. cv. company guaranty sub. | ||
| notes 3 1/2s, 2026 | 500,000 | 430,625 |
| Virgin Media, Inc. 144A cv. sr. unsec. notes 6 1/2s, | ||
| 2016 | 1,380,000 | 1,067,775 |
| XM Satellite Radio Holdings, Inc. 144A cv. sr. unsec. | ||
| sub. notes 7s, 2014 | 247,000 | 93,243 |
| 6,350,517 | ||
|
| ||
| Consumer staples (3.0%) | ||
| Chiquita Brands International cv. sr. unsec. notes | ||
| 4 1/4s, 2016 | 1,090,000 | 787,525 |
| Newell Rubbermaid, Inc. cv. sr. unsec. bonds 5 1/2s, | ||
| 2014 | 178,000 | 271,005 |
| Pantry, Inc. (The) cv. sr. sub. notes 3s, 2012 | 1,650,000 | 1,313,813 |
| Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015 | 470,000 | 329,000 |
| Stewart Enterprises, Inc. cv. sr. unsec. notes 3 3/8s, | ||
| 2016 | 950,000 | 640,063 |
| 3,341,406 | ||
|
| ||
| Energy (2.9%) | ||
| Carrizo Oil & Gas, Inc. cv. sr. unsec. unsub. notes | ||
| 4 3/8s, 2028 | 735,000 | 515,419 |
| Peabody Energy Corp. cv. jr. unsec. sub. debs. 4 3/4s, | ||
| 2041 | 375,000 | 286,406 |
| Penn Virginia Corp. cv. sr. unsec. sub. notes 4 1/2s, | ||
| 2012 | 870,000 | 693,819 |
| St. Mary Land & Exploration Co. cv. sr. notes 3 1/2s, | ||
| 2027 | 865,000 | 721,194 |
| Transocean, Inc. cv. sr. unsec. notes Ser. C, 1 1/2s, | ||
| 2037 (Switzerland) | 1,120,000 | 982,800 |
| 3,199,638 | ||
|
| ||
| Financials (2.4%) | ||
| Digital Realty Trust LP 144A cv. sr. unsec. notes | ||
| 5 1/2s, 2029 (R) | 545,000 | 532,302 |
| General Growth Properties, Inc. 144A cv. sr. notes | ||
| 3.98s, 2027 (In default) (NON)(R) | 1,800,000 | 621,000 |
| KKR Financial Holdings, LLC cv. sr. notes 7s, 2012 | 697,000 | 284,899 |
| MGIC Investment Corp. 144A cv. jr. unsec. sub. debs. | ||
| 9s, 2063 | 770,000 | 310,888 |
| Prudential Financial, Inc. cv. sr. unsec. notes FRN | ||
| 0.366s, 2037 | 940,000 | 938,120 |
| 2,687,209 | ||
|
| ||
| Health care (5.3%) | ||
| AMERIGROUP Corp. cv. sr. unsec. notes 2s, 2012 | 300,000 | 273,000 |
| Amylin Pharmaceuticals, Inc. cv. sr. unsec. notes 3s, | ||
| 2014 | 310,000 | 186,775 |
| China Medical Technologies, Inc. cv. sr. unsec. bonds | ||
| Ser. CMT, 4s, 2013 (China) | 560,000 | 325,500 |
| Conmed Corp. cv. sr. sub. notes 2 1/2s, 2024 | 530,000 | 455,138 |
| Hologic, Inc. cv. sr. unsec. unsub. notes | ||
| stepped-coupon 2s (zero %, 12/15/13), 2037 (STP) | 1,600,000 | 1,112,000 |
| Invitrogen Corp. cv. sr. unsec. unsub. notes Ser. *, | ||
| 1 1/2s, 2024 | 570,000 | 545,063 |
| King Pharmaceuticals, Inc. cv. company guaranty sr. | ||
| unsub. notes 1 1/4s, 2026 | 780,000 | 605,475 |
| LifePoint Hospitals, Inc. cv. sr. unsec. sub. notes | ||
| 3 1/4s, 2025 | 900,000 | 745,875 |
| Lincare Holdings, Inc. cv. sr. unsec. unsub. notes | ||
| 2 3/4s, 2037 | 500,000 | 403,125 |
| Omnicare, Inc. cv. debs. Ser. OCR, 3 1/4s, 2035 | 1,663,000 | 1,162,021 |
| 5,813,972 | ||
|
| ||
| Technology (9.6%) | ||
| Acquicor Technology, Inc. 144A cv. notes 8s, 2011 | 532,000 | 154,280 |
| ADC Telecommunications, Inc. cv. unsec. sub notes FRN | ||
| 2.698s, 2013 | 781,000 | 562,320 |
| Advanced Micro Devices, Inc. cv. sr. unsec. notes | ||
| 5 3/4s, 2012 | 1,900,000 | 1,180,375 |
| ARRIS Group, Inc. cv. sr. unsec. notes 2s, 2026 | 1,470,000 | 1,371,951 |
| Kulicke & Soffa Industries, Inc. cv. unsec. unsub. | ||
| notes 7/8s, 2012 | 1,800,000 | 1,210,500 |
| Macrovision Corp. cv. sr. notes 2 5/8s, 2011 | 523,000 | 519,731 |
| Maxtor Corp. cv. sr. debs. 2 3/8s, 2012 | 605,000 | 490,806 |
| Mentor Graphics Corp. cv. sub. unsec. notes FRN | ||
| 2.657s, 2023 | 1,400,000 | 1,260,700 |
| ON Semiconductor Corp. cv. company guaranty sub. notes | ||
| 2 5/8s, 2026 | 1,400,000 | 1,260,000 |
| Safeguard Scientifics, Inc. cv. sr. notes 2 5/8s, 2024 | 200,000 | 156,750 |
| Safeguard Scientifics, Inc. 144A cv. sr. notes 2 5/8s, | ||
| 2024 | 1,900,000 | 1,489,125 |
| SanDisk Corp. cv. sr. unsec. unsub. notes 1s, 2013 | 460,000 | 299,000 |
| Tech Data Corp. cv. sr. unsec. unsub. debs 2 3/4s, 2026 | 650,000 | 606,125 |
| 10,561,663 | ||
|
| ||
| Total convertible bonds and notes (cost $41,278,992) | $39,270,120 | |
| CONVERTIBLE PREFERRED SECURITIES (15.2%)(a) | ||
| Shares | Value | |
|
| ||
| Basic materials (2.3%) | ||
| Freeport-McMoRan Copper & Gold, Inc. $6.75 cv. pfd. | 14,087 | $1,190,352 |
| Smurfit-Stone Container Corp. Ser. A, $1.75 cum. cv. | ||
| pfd. (In default) (NON) | 65,720 | 26,288 |
| Vale Capital, Ltd. Ser. RIO, $2.75 cv. pfd. (Cayman | ||
| Islands) | 24,600 | 947,100 |
| Vale Capital, Ltd. Ser. RIO P, $2.75 cv. pfd. (Cayman | ||
| Islands) | 7,890 | 303,765 |
| 2,467,505 | ||
|
| ||
| Communication services (2.3%) | ||
| Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. | 30,900 | 872,925 |
| Crown Castle International Corp. $3.125 cum. cv. pfd. | 34,800 | 1,689,975 |
| 2,562,900 | ||
|
| ||
| Consumer cyclicals (1.7%) | ||
| Emmis Communications Corp. Ser. A, $3.125 cum. cv. | ||
| pfd. (acquired various dates from 10/5/04 to 4/10/07, | ||
| cost $1,227,587) (RES) | 27,759 | 48,578 |
| Retail Ventures, Inc. $3.312 cv. pfd. | 27,400 | 639,790 |
| Six Flags, Inc. $1.813 cum. cv. pfd. (acquired | ||
| 3/16/04, cost $1,526,280) (RES) | 63,200 | 57,272 |
| Stanley Works (The) 5.125% units cv. ARP | 1,882,000 | 1,129,200 |
| 1,874,840 | ||
|
| ||
| Consumer staples (2.3%) | ||
| Bunge, Ltd. 5.125% cum. cv. pfd. | 1,740 | 1,026,861 |
| Newell Financial Trust I $2.625 cum. cv. pfd. | 28,800 | 784,800 |
| Universal Corp. 6.75% cv. pfd. | 870 | 763,425 |
| 2,575,086 | ||
|
| ||
| Energy (0.9%) | ||
| Chesapeake Energy Corp. $4.50 cum. cv. pfd. | 9,200 | 637,100 |
| Edge Petroleum Ser. A, $2.875 cum. cv. pfd. (acquired | ||
| various dates from 1/25/07 to 4/17/07, cost | ||
| $1,468,168) (RES) | 27,750 | 43,568 |
| McMoRan Exploration Co. $6.75 cum. cv. pfd. | 5,900 | 337,244 |
| 1,017,912 | ||
|
| ||
| Financials (3.4%) | ||
| Alleghany Corp. 5.75% cv. pfd. | 3,100 | 772,070 |
| Bank of America Corp. Ser. L, 7.25% cv. pfd. | 562 | 427,823 |
| Fannie Mae Ser. 04-1, 5.375% cv. pfd. | 16 | 23,200 |
| FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. | ||
| pfd. (R) | 88,700 | 498,938 |
| Legg Mason, Inc. $5.60 cv. pfd. | 14,200 | 310,554 |
| Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd. | ||
| (In default) (NON) | 850 | 2,338 |
| Nationwide Health Properties, Inc. Ser. B, $7.75 cv. | ||
| pfd. | 9,400 | 1,123,300 |
| Wells Fargo & Co. Ser. L, 7.50% cv. pfd. | 750 | 558,750 |
| 3,716,973 | ||
|
| ||
| Health care (0.8%) | ||
| Schering-Plough Corp. 6.00% cum. cv. pfd. | 4,200 | 918,750 |
| 918,750 | ||
|
| ||
| Utilities and power (1.5%) | ||
| AES Trust III $3.375 cv. pfd. | 27,800 | 1,073,775 |
| Great Plains Energy, Inc. $6.00 cv. pfd. | 10,301 | 562,023 |
| 1,635,798 | ||
|
| ||
| Total convertible preferred securities (cost $31,340,767) | $16,769,764 | |
| COMMON STOCKS (1.2%)(a) | ||
| Shares | Value | |
|
| ||
| Epix Medical, Inc. Contingent Value (Rights) (F) | 1,470 | $1 |
| AboveNet, Inc. (NON) | 54 | 3,888 |
| Adelphia Recovery Trust (Ser. ACC-1) (NON) | 248,982 | 4,980 |
| American Media, Inc. 144A (F) | 3,597 | 1 |
| Bohai Bay Litigation, LLC (Units) (F) | 406 | 18,890 |
| El Paso Corp. | 4,940 | 48,165 |
| Elizabeth Arden, Inc. (NON) | 2,645 | 18,647 |
| Entergy Corp. | 12,206 | 910,812 |
| Epix Pharmaceuticals, Inc. (F)(NON) | 498,330 | 90,447 |
| Fleetwood Enterprises, Inc. (NON) | 196,000 | 3,920 |
| Qwest Communications International, Inc. | 13,125 | 57,225 |
| Service Corporation International | 9,975 | 53,366 |
| Sun Healthcare Group, Inc. (NON) | 5,970 | 55,342 |
| Tenneco Automotive, Inc. (NON) | 4,238 | 25,937 |
| Time Warner Cable, Inc. | 24 | 739 |
| Titan International, Inc. | 1,106 | 9,998 |
| Vertis Holdings, Inc. (F) (NON) | 7,497 | 8 |
| Williams Cos., Inc. (The) | 2,765 | 46,397 |
|
| ||
| Total common stocks (cost $2,334,007) | $1,348,763 | |
| UNITS (0.6%)(a) | ||
| Units | Value | |
|
| ||
| Hercules, Inc. cv. jr. unsec. sub. debs. units 6 1/2s, | ||
| 2009 (F) | 1,540,000 | $693,000 |
|
| ||
| Total units (cost $1,243,244) | $693,000 | |
| FOREIGN GOVERNMENT BONDS AND NOTES (0.1%)(a) | ||
| Principal amount | Value | |
|
| ||
| Argentina (Republic of) bonds FRB 1.597s, 2013 | $225,000 | $57,150 |
|
| ||
| Total foreign government bonds and notes (cost $86,625) | $57,150 | |
| SENIOR LOANS (--%)(a)(c) | ||
| Principal amount | Value | |||
|
| ||||
| Freescale Semiconductor, Inc. bank term loan FRN | ||||
| 12.5s, 2014 | $27,135 | $19,876 | ||
| GateHouse Media, Inc. bank term loan FRN Ser. B, | ||||
| 2.32s, 2014 | 91,033 | 18,727 | ||
| GateHouse Media, Inc. bank term loan FRN Ser. DD, | ||||
| 2.384s, 2014 | 33,967 | 6,988 | ||
|
| ||||
| Total senior loans (cost $195,610) | $45,591 | |||
| PREFERRED STOCKS (--%)(a) | ||||
| Shares | Value | |||
|
| ||||
| Preferred Blocker, Inc. (GMAC) 144A 7.00% pfd. | 96 | $40,491 | ||
|
| ||||
| Total preferred stocks (cost $32,579) | $40,491 | |||
| WARRANTS (--%)(a)(NON) | ||||
| Expiration date | Strike Price | Warrants | Value | |
|
| ||||
| AboveNet, Inc. | 9/8/10 | $0.01 | 20 | $960 |
| Dayton Superior Corp. 144A (F) | 6/15/09 | 0.01 | 270 | 33 |
| 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 | 3,489 |
| Vertis Holdings, Inc. (F) | 10/18/15 | $0.01 | 309 | 1 |
|
| ||||
| Total warrants (cost $10,330) | $4,484 | |||
| SHORT-TERM INVESTMENTS (3.0%)(a) | ||||
| Shares | Value | |||
|
| ||||
| Putnam Money Market Liquidity Fund (e) | 3,265,355 | $3,265,355 | ||
|
| ||||
| Total short-term investments (cost $3,265,355) | $3,265,355 | |||
| TOTAL INVESTMENTS | ||||
|
| ||||
| Total investments (cost $136,010,575) (b) | $110,112,535 | |||
| FORWARD CURRENCY CONTRACTS TO BUY at 5/31/09 (aggregate face value $130,956) (Unaudited) | |||||
| Aggregate | Delivery | Unrealized | |||
| Value | face value | date | appreciation | ||
|
| |||||
| Euro | $138,335 | $130,956 | 6/17/09 | $7,379 | |
|
| |||||
| Total | $7,379 | ||||
| FORWARD CURRENCY CONTRACTS TO SELL at 5/31/09 (aggregate face value $606,956) (Unaudited) | |||||
| Aggregate | Delivery | Unrealized | |||
| Value | face value | date | depreciation | ||
|
| |||||
| Euro | $640,522 | $606,956 | 6/17/09 | $(33,566) | |
|
| |||||
| Total | $(33,566) | ||||
| CREDIT DEFAULT CONTRACTS OUTSTANDING at 5/31/09 (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. | |||||||
| Nalco Co., 7.75%, | |||||||
| 11/15/11 | Ba2 | $-- | $45,000 | 9/20/12 | 350 bp | $(1,016) | |
|
| |||||||
| Credit Suisse International | |||||||
| Advanced Micro Devices, | |||||||
| Inc., 7 3/4%, 11/1/12 | Caa1 | -- | 60,000 | 6/20/09 | 165 bp | (549) | |
|
| |||||||
| Deutsche Bank AG | |||||||
| Nalco Co., 7.75%, | |||||||
| 11/15/11 | Ba2 | -- | 35,000 | 12/20/12 | 363 bp | (1,134) | |
|
| |||||||
| Goldman Sachs International | |||||||
| Nalco Co., 7.75%, | |||||||
| 11/15/11 | Ba2 | -- | 90,000 | 9/20/13 | 405 bp | (1,193) | |
|
| |||||||
| Morgan Stanley Capital Services, Inc. | |||||||
| Nalco Co., 7.75%, | |||||||
| 11/15/11 | Ba2 | -- | 45,000 | 9/20/12 | 330 bp | (1,414) | |
|
| |||||||
| Nalco Co., 7.75%, | |||||||
| 11/15/11 | Ba2 | -- | 55,000 | 3/20/13 | 460 bp | 301 | |
|
| |||||||
| UBS AG | |||||||
| Meritage Homes Corp., | |||||||
| 7%, 5/1/14 | -- | -- | 120,000 | 9/20/13 | (760 bp) | (2,135) | |
|
| |||||||
| Total | $(7,140) | ||||||
* 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 represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at May 31, 2009. Securities rated by Fitch are indicated by "/F."
Key to holding's currency abbreviations
| EUR | Euro |
| USD / $ | United States Dollar |
| Key to other fixed-income security abbreviations | |
| ARP | Adjustable Rate Preferred Stock |
| FRB | Floating Rate Bonds |
| FRN | Floating Rate Notes |
| MTN | Medium Term Notes |
NOTES
(a) Percentages indicated are based on net assets of $110,288,087.
(b) The aggregate identified cost on a tax basis is $136,333,486, resulting in gross unrealized appreciation and depreciation of $4,984,404 and $31,205,355, respectively, or net unrealized depreciation of $26,220,951.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at May 31, 2009 was $149,418, or 0.1% of net assets.
(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 May 31, 2009. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(e) The fund invested in Putnam 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 Investments, LLC. 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 May 31, 2009. During the period ended May 31, 2009, 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 April 2009, the fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $563 for the period ended May 31, 2009. During the period ended May 31, 2009, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $8,985,195 and $5,719,840, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for SFAS 157 disclosures based on the securities valuation inputs.
(R) Real Estate Investment Trust.
At May 31, 2009, liquid assets totaling $356,188 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 ARP, FRB, and FRN are the current interest rates at May 31, 2009.
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, an indirect 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.
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 and illiquid 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.
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 issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. 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 an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
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. 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 may be 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.
Master agreements: The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (“Master Agreements”) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio; collateral pledged by the fund is segregated by the fund’s custodian and identified in The fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At May 31, 2009, the fund had net unrealized losses of $40,157 on derivative contracts subject to the Master Agreements.
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. SFAS 157 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 May 31, 2009:
| Valuation inputs | Investments in securities | Other financial instruments | |
|
| |||
| Level 1 | $4,500,751 | $-- | |
|
| |||
| Level 2 | 103,944,202 | (33,327) | |
|
| |||
| Level 3 | 1,667,582 | -- | |
|
| |||
| Total | |||
| $110,112,535 | $(33,327) | ||
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 May 31, 2009:
| Investments in securities | Other financial instruments | ||
|
| |||
| Balance as of August 31, 2008 | $6,818 | $-- | |
| Accrued discounts/premiums | -- | -- | |
| Realized gain/(loss) | -- | -- | |
| Change in net unrealized appreciation/(depreciation) | (773,659) | -- | |
| Net purchases/sales | 876,223 | -- | |
| Net transfers in and/or out of Level 3 | 1,558,200 | -- | |
|
| |||
| Balance as of May 31, 2009 | $1,667,582 | $-- | |
|
| |||
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.
In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (“SFAS 161”) - an amendment of FASB Statement No. 133, was issued and is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about how and why an entity uses derivative instruments and how derivative instruments affect an entity's financial position.
Market Values of Derivative Instruments as of May 31, 2009
| Asset derivatives | Liability derivatives | ||
|
| |||
| Derivatives not accounted for as hedging instruments under Statement 133 | Market value | Market value | |
|
| |||
| Credit contracts | $301 | $7,441 | |
|
| |||
| Foreign exchange contracts | 7,379 | 33,566 | |
|
| |||
| Equity contracts | -- | -- | |
|
| |||
| Interest rate contracts | -- | -- | |
|
| |||
| Total | $7,680 | $41,007 | |
|
| |||
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com
Item 2. Controls and Procedures:
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.
(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Putnam High Income Securities Fund
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: July 29, 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: July 29, 2009
By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: July 29, 2009