a_highincomesecurities.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05133)
Exact name of registrant as specified in charter: Putnam High Income Securities Fund
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: August 31, 2018
Date of reporting period: November 30, 2017



Item 1. Schedule of Investments:













Putnam High Income Securities Fund

The fund's portfolio
11/30/17 (Unaudited)
CORPORATE BONDS AND NOTES (40.6%)(a)
Principal amount Value
Basic materials (6.0%)
A Schulman, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $50,000 $52,375
AK Steel Corp. company guaranty sr. unsec. notes 6.375%, 10/15/25 55,000 53,488
Allegheny Technologies, Inc. sr. unsec. unsub. notes 9.375%, 6/1/19 150,000 165,615
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 20,000 21,800
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 50,000 51,250
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 100,000 115,125
ArcelorMittal SA sr. unsec. unsub. notes 7.50%, 10/15/39 (France) 120,000 150,900
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 150,000 160,125
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 145,000 154,063
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes 9.75%, 10/15/23 120,000 142,950
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 160,000 165,200
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 210,000 221,025
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10.75%, 8/15/23 144,000 162,360
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 175,000 182,438
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 115,000 119,888
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 280,000 290,150
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 400,000 423,520
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 105,000 98,175
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 60,000 62,550
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 80,000 87,500
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 100,000 105,750
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 180,000 177,300
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 60,000 62,100
CSTN Merger Sub, Inc. 144A company guaranty sr. notes 6.75%, 8/15/24 140,000 138,600
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) 295,000 314,175
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 125,000 128,750
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 110,000 120,043
Freeport-McMoRan, Inc. company guaranty sr. unsec. sub. notes 6.75%, 2/1/22 (Indonesia) 55,000 57,063
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9.50%, 2/1/23 195,000 217,181
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 50,000 56,350
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 115,000 130,238
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 60,000 64,650
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 190,000 198,075
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 135,000 143,100
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 115,000 121,469
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 75,000 77,438
New Gold, Inc. 144A sr. unsec. notes 6.375%, 5/15/25 (Canada) 30,000 31,688
Norbord, Inc. 144A company guaranty sr. notes 6.25%, 4/15/23 (Canada) 45,000 49,068
Northwest Acquisitions ULC/Dominion Finco, Inc. 144A notes 7.125%, 11/1/22 45,000 46,463
NOVA Chemicals Corp. 144A sr. unsec. bonds 5.25%, 6/1/27 (Canada) 116,000 117,160
NOVA Chemicals Corp. 144A sr. unsec. notes 4.875%, 6/1/24 (Canada) 64,000 64,800
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 145,000 150,256
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 110,000 115,638
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 15,000 17,100
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 145,000 155,694
Platform Specialty Products Corp. 144A company guaranty sr. unsec. notes 5.875%, 12/1/25 15,000 15,113
Platform Specialty Products Corp. 144A sr. unsec. notes 6.50%, 2/1/22 65,000 67,194
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 125,000 150,938
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 35,000 36,991
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 80,000 85,152
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 65,000 66,970
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 4.125%, 9/15/25 30,000 30,075
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 4.75%, 1/15/22 (Canada) 45,000 47,250
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 40,000 40,400
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8.50%, 6/1/24 (Canada) 15,000 16,931
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 125,000 131,250
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A sr. unsec. notes 5.375%, 9/1/25 (Luxembourg) 70,000 73,063
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 40,000 41,600
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 170,000 182,325
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 100,000 104,750
USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 120,000 125,400
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 75,000 80,250
Venator Finance SARL/Venator Materials Corp. 144A sr. unsec. notes 5.75%, 7/15/25 (Luxembourg) 100,000 105,500
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 150,000 149,250
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 90,000 97,200
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 140,000 156,800
7,545,048
Capital goods (3.4%)
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 220,000 227,150
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 5.00%, 10/1/24 110,000 114,538
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 20,000 20,175
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7.75%, 11/15/19 105,000 114,581
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) 200,000 218,250
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 95,000 99,438
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.25%, 7/15/24 220,000 228,250
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 55,000 56,994
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 35,000 36,663
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 180,000 199,125
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada) 95,000 95,831
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 170,000 187,034
CD&R Waterworks Merger Sub, LLC 144A sr. unsec. notes 6.125%, 8/15/25 15,000 15,305
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 65,000 76,700
FXI Holdings, Inc. 144A sr. notes 7.875%, 11/1/24 110,000 110,171
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 390,000 399,263
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 165,000 173,663
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 90,000 116,245
Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 200,000 227,500
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 205,000 208,075
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 105,000 111,563
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 60,000 60,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes 7.00%, 7/15/24 100,000 107,293
Tennant Co. 144A company guaranty sr. unsec. notes 5.625%, 5/1/25 80,000 83,400
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 120,000 125,400
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/26 50,000 51,000
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 (United Kingdom) 131,000 140,498
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 90,000 91,854
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 75,000 76,125
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 80,000 81,800
Trident Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 11/1/25 95,000 94,288
Wabash National Corp. 144A company guaranty sr. unsec. notes 5.50%, 10/1/25 50,000 50,375
Wrangler Buyer Corp. 144A sr. unsec. notes 6.00%, 10/1/25 125,000 126,875
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.75%, 4/29/25 150,000 159,807
4,285,229
Communication services (4.3%)
Altice SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) 400,000 381,000
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 35,000 37,450
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 175,000 179,102
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 215,000 224,675
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 90,000 93,375
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 125,000 129,375
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 5,000 4,817
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 25,000 25,063
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 240,000 240,149
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 70,000 70,263
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 180,000 192,600
CommScope Technologies, LLC 144A company guaranty sr. unsec. unsub. notes 5.00%, 3/15/27 40,000 40,000
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 245,000 238,798
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 50,000 53,750
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 255,000 287,831
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 200,000 194,000
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 105,000 105,788
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 35,000 26,863
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 95,000 75,288
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 20,000 18,625
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 4,000 4,230
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 250,000 242,500
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7.75%, 6/1/21 (Luxembourg) 3,000 1,770
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 25,000 26,750
SFR Group SA 144A company guaranty sr. notes 7.375%, 5/1/26 (France) 200,000 201,476
SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) 200,000 201,500
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 285,000 292,481
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 60,000 64,200
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 43,000 45,419
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 330,000 355,575
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 265,000 282,225
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/23 140,000 146,300
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 220,000 236,159
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 55,000 58,850
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 30,000 30,825
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 1/15/26 55,000 60,156
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 1/15/22 125,000 129,375
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 195,000 206,700
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 75,000 78,563
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 110,000 74,250
5,358,116
Consumer cyclicals (8.2%)
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. notes 6.125%, 5/15/27 60,000 59,550
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 75,000 73,406
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 40,000 40,700
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 65,000 63,375
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 105,000 110,775
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 175,000 178,938
Beacon Escrow Corp. 144A sr. unsec. notes 4.875%, 11/1/25 120,000 122,400
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8.00%, 6/15/21 100,000 32,000
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 75,000 79,875
Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes 6.375%, 4/1/26 35,000 38,150
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6.50%, 12/15/20 (Canada) 100,000 101,875
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 85,000 88,753
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 55,000 61,119
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 110,000 115,775
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 40,000 40,900
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 65,000 66,138
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 70,000 69,209
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 330,000 334,950
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 260,000 254,800
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 145,000 145,181
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 185,000 200,725
Diamond Resorts International, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 120,000 126,900
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 125,000 134,219
EMI Music Publishing Group North America Holdings, Inc. 144A sr. unsec. notes 7.625%, 6/15/24 115,000 127,075
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 85,000 88,825
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4.875%, 11/1/20 75,000 78,856
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 50,000 53,969
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 80,000 81,200
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 170,000 136,544
GW Honos Security Corp. 144A company guaranty sr. unsec. notes 8.75%, 5/15/25 (Canada) $125,000 133,438
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 70,000 71,313
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 145,000 152,845
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 215,000 220,913
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 130,000 96,525
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 115,000 121,900
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 25,000 25,313
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 230,000 252,713
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 225,000 237,656
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 65,000 69,875
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, 10/15/19(PIK) 80,000 77,600
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.875%, 2/1/22 40,000 40,950
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 60,000 63,375
Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes 5.875%, 11/1/24 110,000 116,050
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 50,000 51,500
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.625%, 3/15/23 175,000 183,146
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) 50,000 52,503
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 75,000 78,671
MGM Resorts International company guaranty sr. unsec. unsub. notes 8.625%, 2/1/19 70,000 74,459
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 65,000 72,231
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 175,000 181,235
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7.125%, 6/1/28 125,000 79,375
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75% (9.50%), 10/15/21(PIK) 73,325 39,596
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 60,000 34,200
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 250,000 255,625
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 60,000 62,400
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 75,000 77,201
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 90,000 94,950
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 45,000 47,250
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 90,000 93,375
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 160,000 164,900
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 60,000 61,050
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 100,000 101,500
PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 40,000 29,200
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 160,000 200,800
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 90,000 97,650
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 4.875%, 6/1/23 55,000 55,413
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 2/1/25 90,000 91,350
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 70,000 72,450
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 195,000 196,463
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 130,000 135,200
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 340,000 374,425
Scientific Games International, Inc. 144A company guaranty sr. notes 7.00%, 1/1/22 155,000 163,525
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 225,000 231,188
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 125,000 132,969
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 110,000 111,238
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 150,000 155,250
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 170,000 172,975
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 65,000 68,250
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 5,000 5,181
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 12/15/24 110,000 116,188
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 175,000 184,188
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 70,000 72,800
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 85,000 80,750
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 45,000 46,913
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 60,000 59,400
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 100,000 107,720
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 85,000 86,700
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 110,000 107,113
Werner FinCo LP/Werner FinCo, Inc. 144A company guarany sr. unsec. notes 8.75%, 7/15/25 175,000 180,250
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 105,000 108,675
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 95,000 94,050
Wyndham Worldwide Corp. sr. unsec. unsub. bonds 4.50%, 4/1/27 70,000 70,860
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 90,000 91,743
10,292,692
Consumer staples (2.4%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 120,000 122,850
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 45,000 46,013
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 85,000 85,128
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 40,000 41,600
Ashtead Capital, Inc. 144A company guaranty notes 5.625%, 10/1/24 200,000 212,000
BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A company guaranty sub. notes 9.25%, 3/15/24 210,000 227,325
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 220,000 233,266
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 180,000 171,900
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 275,000 289,438
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 90,000 89,325
Diamond (BC) BV 144A sr. unsec. notes 5.625%, 8/15/25 EUR 100,000 120,852
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 $80,000 45,200
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 165,000 171,600
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 230,000 234,888
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 90,000 95,175
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 90,000 94,275
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 60,000 61,404
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 130,000 136,825
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 25,000 25,844
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 100,000 100,750
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 4/15/28 85,000 84,044
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5.75%, 3/15/25 55,000 57,723
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 6.25%, 8/1/24 215,000 130,075
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5.75%, 2/15/21 100,000 79,375
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 95,000 87,875
3,044,750
Energy (5.1%)
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. company guaranty sr. unsec. notes 7.875%, 12/15/24 190,000 209,475
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 30,000 31,275
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 90,000 92,250
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 30,000 30,750
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 60,000 65,250
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 6/1/21 (Canada) 40,000 38,100
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7.50%, 12/1/20 60,000 59,100
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 55,000 40,700
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 75,000 88,594
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 250,000 270,938
Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr. bonds 5.125%, 6/30/27 90,000 92,813
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 75,000 69,000
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 191,000 203,893
Chesapeake Energy Corp. 144A company guaranty sr. unsec. bonds 8.00%, 6/15/27 35,000 33,523
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 80,000 79,600
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 145,000 137,750
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 100,000 98,500
Continental Resources, Inc. company guaranty sr. unsec. sub. notes 5.00%, 9/15/22 20,000 20,375
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 80,000 81,600
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 105,000 109,725
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 5.625%, 10/15/25 100,000 100,500
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 65,000 45,825
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 77,000 74,113
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 155,000 159,989
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 11/1/24 45,000 45,506
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 115,000 116,294
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 8.125%, 9/15/23 140,000 150,500
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 5.50%, 1/30/26 45,000 45,563
Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity 240,000 236,700
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 140,000 103,600
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 8.00%, 2/15/25 65,000 42,738
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 30,000 30,000
FTS International, Inc. 144A company guaranty sr. sub. FRN BBA LIBOR USD 3 Month + 7.50%, 8.82%, 6/15/20 25,000 25,500
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 100,000 102,625
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 155,000 161,975
Jonah Energy, LLC/Jonah Energy Finance Corp. 144A company guaranty sr. unsec. notes 7.25%, 10/15/25 185,000 186,850
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 45,000 40,500
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 35,000 32,069
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 35,000 34,300
Murray Energy Corp. 144A notes 11.25%, 4/15/21 110,000 61,050
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 170,000 182,113
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 55,000 58,575
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 110,000 95,150
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6.50%, 11/1/21 25,000 25,375
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 10,000 10,150
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 145,000 147,719
Precision Drilling Corp. company guaranty sr. unsec. notes 7.75%, 12/15/23 (Canada) 95,000 98,800
Precision Drilling Corp. company guaranty sr. unsec. notes 5.25%, 11/15/24 (Canada) 5,000 4,688
QEP Resources, Inc. sr. unsec. notes 5.625%, 3/1/26 85,000 86,265
Range Resources Corp. company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 190,000 196,650
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 55,000 58,901
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 80,000 82,995
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 50,000 48,625
SemGroup Corp. 144A company guaranty sr. unsec. notes 6.375%, 3/15/25 95,000 94,288
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 40,000 40,850
SESI, LLC 144A company guaranty sr. unsec. notes 7.75%, 9/15/24 40,000 41,200
Seven Generations Energy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 9/30/25 (Canada) 75,000 75,000
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6.75%, 5/1/23 (Canada) 120,000 127,200
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 105,000 11
Seventy Seven Operating, LLC escrow company guaranty sr. unsec. unsub. notes 6.625%, 11/15/19(F) 115,000 12
Shelf Drilling Holdings, Ltd. 144A company guaranty notes 9.50%, 11/2/20 80,000 81,200
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 85,000 85,638
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 50,000 47,875
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 60,000 60,675
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 35,000 35,613
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 50,000 50,625
Stone Energy Corp. company guaranty notes 7.50%, 5/31/22 171,065 171,065
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. bonds 5.50%, 1/15/28 40,000 41,200
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.375%, 2/1/27 65,000 66,625
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.125%, 2/1/25 30,000 30,675
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. unsub. bonds 5.00%, 1/15/28 200,000 198,500
Weatherford International, Ltd. company guaranty sr. unsec. sub. notes 9.875%, 2/15/24 70,000 73,413
Weatherford International, Ltd. company guaranty sr. unsec. unsub. notes 8.25%, 6/15/23 25,000 24,938
Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32 45,000 58,950
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 30,000 33,863
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 88,000 95,480
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 115,000 118,450
6,398,760
Financials (3.8%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 105,000 106,575
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 120,000 125,700
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 220,000 291,225
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 3/15/20 60,000 66,900
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 12/1/17 90,000 90,000
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 120,000 131,549
Ally Financial, Inc. unsec. sub. notes 8.00%, 12/31/18 65,000 68,413
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 100,000 137,000
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 55,000 60,981
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 50,000 56,880
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 50,000 54,937
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 3/15/23 75,000 77,074
CIT Group, Inc. sr. unsec. notes 3.875%, 2/19/19 45,000 45,702
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 75,000 80,625
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 100,000 106,875
CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19 62,000 64,430
CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 125,000 118,750
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 155,000 164,300
Credit Acceptance Corp. company guaranty sr. unsec. notes 7.375%, 3/15/23 50,000 52,375
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 55,000 55,756
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 110,000 144,995
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 60,000 61,050
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 115,000 119,600
goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 70,000 72,888
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8.125%, 7/15/19(PIK) 70,000 70,088
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 155,000 161,200
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 65,000 68,250
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 60,000 62,400
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 65,000 66,950
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 95,000 97,138
Intelsat Connect Finance SA 144A company guaranty sr. unsec. sub. notes 12.50%, 4/1/22 (Luxembourg) 9,000 7,785
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 60,000 67,050
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 40,000 41,450
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 40,000 40,450
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37 45,000 57,150
Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 249,000 281,993
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 140,000 144,025
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 5.625%, 5/1/24(R) 45,000 48,150
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 144A sr. unsec. bonds 4.50%, 1/15/28(R) 35,000 34,781
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 130,000 131,950
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6.75%, 12/15/19 55,000 56,788
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7.25%, 12/15/21 65,000 67,275
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 120,000 125,976
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%, perpetual maturity (United Kingdom) 170,000 218,663
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 8.25%, 12/15/20 40,000 44,250
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.125%, 5/15/22 95,000 98,563
Starwood Property Trust, Inc. 144A sr. unsec. notes 4.75%, 3/15/25(R) 105,000 104,606
Stearns Holdings, Inc. 144A company guaranty sr. notes 9.375%, 8/15/20 90,000 94,050
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8.50%, 9/15/18 170,000 156,400
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 95,000 96,188
VICI Properties 1, LLC/VICI FC, Inc. company guaranty notes 8.00%, 10/15/23 3,552 3,952
4,802,101
Health care (3.2%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 135,000 131,288
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7.875%, 9/1/23 155,000 151,900
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 140,000 136,850
BioScrip, Inc. company guaranty sr. unsec. notes 8.875%, 2/15/21 55,000 49,225
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 110,000 117,700
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 25,000 25,645
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 110,000 114,181
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 115,000 107,525
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 275,000 165,688
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 7.125%, 7/15/20 85,000 66,300
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) (In default)(NON) 175,000 16,625
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 210,000 164,850
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 160,000 124,800
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 10/15/22 15,000 15,638
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 100,000 106,188
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 200,000 214,500
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 185,000 187,313
HCA, Inc. company guaranty sr. sub. notes 3.75%, 3/15/19 65,000 65,813
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 30,000 33,825
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 135,000 139,050
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 80,000 89,200
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 125,000 105,781
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 75,000 78,375
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 20,000 20,000
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 165,000 163,350
Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22 110,000 112,888
Service Corp. International/US sr. unsec. unsub. notes 5.375%, 5/15/24 255,000 268,388
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 110,000 115,500
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 140,000 147,000
Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 60,000 59,400
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 30,000 30,378
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 175,000 150,063
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 225,000 196,830
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 10,000 9,300
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.50%, 3/1/23 55,000 47,094
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.375%, 3/15/20 35,000 34,650
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 160,000 171,400
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 35,000 36,750
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 50,000 52,938
4,024,189
Technology (2.5%)
Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 (In default)(NON) 300,000 230,250
Avaya, Inc. 144A escrow notes zero %, 5/15/25 61,000 61,000
CDK Global, Inc. 144A sr. unsec. bonds 4.875%, 6/1/27 45,000 46,350
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 375,000 407,644
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 130,000 140,215
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. unsec. notes 5.875%, 6/15/21 20,000 20,800
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 120,000 127,200
First Data Corp. 144A notes 5.75%, 1/15/24 175,000 181,563
First Data Corp. 144A sr. notes 5.375%, 8/15/23 105,000 108,938
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 265,000 284,213
Infor Software Parent, LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 225,000 230,625
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 155,000 159,650
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 60,000 61,706
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 165,000 168,713
Micron Technology, Inc. 144A sr. unsec. unsub. notes 5.25%, 1/15/24 170,000 177,225
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 170,000 177,013
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 255,000 286,875
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 135,000 135,844
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 120,000 123,150
3,128,974
Transportation (0.1%)
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 155,000 160,425
160,425
Utilities and power (1.6%)
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 270,000 284,850
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 45,000 46,013
AES Corp./Virginia (The) sr. unsec. unsub. bonds 5.125%, 9/1/27 45,000 46,463
AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21 145,000 163,488
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 175,000 168,438
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 85,000 85,956
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 25,000 25,781
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 95,000 104,437
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 130,000 138,938
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 180,000 195,975
Dynegy, Inc. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 55,000 61,050
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 135,000 144,788
Energy Transfer Equity LP sr. sub. notes 5.50%, 6/1/27 45,000 46,913
GenOn Americas Generation, LLC sr. unsec. notes 9.125%, 5/1/31 (In default)(NON) 100,000 93,750
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 (In default)(NON) 95,000 67,450
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 90,000 99,000
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 120,000 129,300
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/28 40,000 40,000
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 105,000 108,806
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 60,000 300
2,051,696
Total corporate bonds and notes (cost $50,381,127) $51,091,980

CONVERTIBLE BONDS AND NOTES (38.8%)(a)
Principal amount Value
Basic materials (0.4%)
Cemex SAB de CV cv. unsec. sub. notes 3.72%, 3/15/20 (Mexico) $455,000 $472,631
472,631
Capital goods (2.4%)
Aerojet Rocketdyne Holdings, Inc. 144A cv. sr. unsec. sub. notes 2.25%, 12/15/23 491,000 677,887
Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21 535,000 689,481
Greenbrier Cos., Inc. (The) 144A cv. sr. unsec. notes 2.875%, 2/1/24 470,000 542,556
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 385,000 366,472
II-VI, Inc. 144A cv. sr. unsec. notes 0.25%, 9/1/22 303,000 363,032
Kaman Corp. 144A cv. sr. unsec. notes 3.25%, 5/1/24 324,000 362,273
3,001,701
Communication services (2.2%)
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A cv. company guaranty sr. unsec. notes 8.25%, 12/1/40 199,000 199,418
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 2,295,000 2,557,491
Powerwave Technologies, Inc. cv. unsec. sub. notes 3.875%, 10/1/27 (In default)(NON)(F) 1,160,000 116
2,757,025
Communications equipment (0.7%)
Ciena Corp. cv. sr. unsec. notes 4.00%, 12/15/20 618,000 816,146
816,146
Components (0.3%)
Finisar Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/15/36 427,000 393,908
393,908
Computers (1.7%)
Avid Technology, Inc. cv. sr. unsec. notes 2.00%, 6/15/20 274,000 234,955
Citrix Systems, Inc. cv. sr. unsec. notes 0.50%, 4/15/19 435,000 559,247
HubSpot, Inc. 144A cv. sr. unsec. notes 0.25%, 6/1/22 501,000 547,656
RealPage, Inc. 144A cv. sr. unsec. notes 1.50%, 11/15/22 587,000 740,354
2,082,212
Consumer cyclicals (6.4%)
CalAtlantic Group, Inc. cv. company guaranty sr. unsec. unsub. notes 1.625%, 5/15/18 480,000 857,100
Euronet Worldwide, Inc. cv. sr. unsec. bonds 1.50%, 10/1/44 535,000 694,831
Liberty Interactive, LLC cv. sr. unsec. notes 3.50%, 1/15/31 890,000 507,856
Liberty Interactive, LLC 144A cv. sr. unsec. bonds 1.75%, 9/30/46 710,000 797,863
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 510,000 600,321
Liberty Media Corp. cv. sr. unsec. unsub. bonds 2.25%, 9/30/46 404,000 420,918
Macquarie Infrastructure Corp. cv. sr. unsec. unsub. notes 2.00%, 10/1/23 812,000 779,520
Navistar International Corp. cv. sr. unsec. sub. bonds 4.75%, 4/15/19 444,000 479,798
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 1.00%, 3/15/18 535,000 981,725
Square, Inc. 144A cv. sr. unsec. notes 0.375%, 3/1/22 372,000 668,438
Tesla, Inc. cv. sr. unsec. sub. notes 1.25%, 3/1/21 1,150,000 1,233,375
8,021,745
Consumer staples (2.0%)
IAC FinanceCo, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 10/1/22 615,000 658,434
Liberty Expedia Holdings, Inc. cv. sr. unsec. unsub. bonds 1.00%, 6/30/47 617,000 620,856
Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20 695,000 796,644
Wayfair, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 9/1/22 447,000 433,590
2,509,524
Electronics (7.5%)
Intel Corp. cv. jr. unsec. sub. notes 3.25%, 8/1/39 370,000 798,275
Microchip Technology, Inc. 144A cv. sr. unsec. sub. notes 1.625%, 2/15/27 2,731,000 3,179,855
Micron Technology, Inc. cv. sr. unsec. bonds 3.00%, 11/15/43 890,000 1,319,981
Micron Technology, Inc. cv. sr. unsec. bonds Ser. E, 1.625%, 2/15/33 565,000 2,186,197
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.00%, 12/1/20 685,000 846,831
OSI Systems, Inc. 144A cv. sr. unsec. unsub. notes 1.25%, 9/1/22 551,000 579,583
TTM Technologies, Inc. cv. sr. unsec. notes 1.75%, 12/15/20 323,000 572,719
9,483,441
Energy (2.0%)
Chesapeake Energy Corp. 144A cv. sr. unsec. bonds 5.50%, 9/15/26 1,175,000 1,077,328
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 276,000 314,985
SEACOR Holdings, Inc. cv. sr. unsec. bonds 3.00%, 11/15/28 621,000 582,576
Whiting Petroleum Corp. cv. company guaranty sr. unsec. unsub. notes 1.25%, 4/1/20 640,000 576,000
2,550,889
Financials (3.5%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. unsub. notes 5.25%, 12/1/18(R) 631,000 743,003
Colony Starwood Homes 144A cv. sr. unsec. notes 3.50%, 1/15/22(R) 604,000 691,958
Encore Capital Group, Inc. cv. company guaranty sr. unsec. bonds 3.00%, 7/1/20 205,000 239,978
Hercules Capital, Inc. 144A cv. sr. unsec. notes 4.375%, 2/1/22 311,000 317,998
Heritage Insurance Holdings, Inc. 144A cv. company guaranty sr. unsec. bonds 5.875%, 8/1/37 275,000 365,750
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4.00%, 1/15/19(R) 1,051,000 1,156,757
TCP Capital Corp. cv. sr. unsec. bonds 5.25%, 12/15/19 827,000 865,766
4,381,210
Health care (3.7%)
Brookdale Senior Living, Inc. cv. sr. unsec. unsub. notes 2.75%, 6/15/18 655,000 651,725
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4.00%, 8/15/18 (China) (In default)(NON)(F) 763,000 48,832
China Medical Technologies, Inc. 144A cv. sr. unsec. notes 6.25%, 12/17/18 (China) (In default)(NON)(F) 445,000 24,920
Impax Laboratories, Inc. cv. sr. unsec. notes 2.00%, 6/15/22 365,000 357,016
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1.875%, 8/15/21 (Ireland) 951,000 964,671
Medicines Co. (The) cv. sr. unsec. unsub. notes 2.75%, 7/15/23 415,000 388,025
Neurocrine Biosciences, Inc. 144A cv. sr. unsec. notes 2.25%, 5/15/24 410,000 502,763
Pacira Pharmaceuticals, Inc. (Delaware) 144A cv. sr. unsec. sub. notes 2.375%, 4/1/22 614,000 642,014
Sucampo Pharmaceuticals, Inc. cv. sr. unsec. notes 3.25%, 12/15/21 645,000 691,359
Teladoc, Inc. 144A cv. sr. unsec. notes 3.00%, 12/15/22 370,000 423,650
4,694,975
Semiconductor (2.7%)
Cypress Semiconductor Corp. cv. sr. unsec. notes 4.50%, 1/15/22 395,000 533,497
Integrated Device Technology, Inc. cv. sr. unsec. unsub. notes 0.875%, 11/15/22 465,000 523,997
Jazz US Holdings, Inc. cv. company guaranty sr. unsec. notes 8.00%, 12/31/18 125,000 443,438
Novellus Systems, Inc. cv. company guaranty sr. unsec. notes 2.625%, 5/15/41 228,000 1,307,295
Teradyne, Inc. 144A cv. sr. unsec. notes 1.25%, 12/15/23 450,000 625,219
3,433,446
Software (1.3%)
Everbridge, Inc. cv. sr. unsec. unsub. notes 1.50%, 11/1/22 375,000 388,594
Safeguard Scientifics, Inc. cv. sr. unsec. bonds 5.25%, 5/15/18 718,000 734,155
Workday, Inc. 144A cv. sr. unsec. notes 0.25%, 10/1/22 517,000 509,891
1,632,640
Technology services (1.3%)
Carbonite, Inc. 144A cv. sr. unsec. unsub. notes 2.50%, 4/1/22 255,000 303,928
J2 Cloud Services, LLC cv. sr. unsec. notes 3.25%, 6/15/29 495,000 618,750
Proofpoint, Inc. cv. sr. unsec. unsub. notes 0.75%, 6/15/20 285,000 359,634
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 405,000 374,372
1,656,684
Transportation (0.7%)
Air Transport Services Group, Inc. 144A cv. sr. unsec. notes 1.125%, 10/15/24 479,000 498,160
Scorpio Tankers, Inc. 144A cv. sr. unsec. sub. notes 2.375%, 7/1/19 462,000 408,870
907,030
Total convertible bonds and notes (cost $44,219,004) $48,795,207

CONVERTIBLE PREFERRED STOCKS (16.3%)(a)
Shares Value
Basic materials (—%)
Smurfit-Stone Container Corp. escrow zero % cv. pfd.(F) 65,720 $657
657
Capital goods (1.0%)
Belden, Inc. $6.75 cv. pfd. 5,761 653,009
Rexnord Corp. Ser. A, $2.875 cv. pfd. 9,862 556,278
1,209,287
Communication services (3.7%)
American Tower Corp. $5.50 cv. pfd.(R) 10,620 1,341,440
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 21,872 1,118,888
Crown Castle International Corp. Ser. A, 6.875% cv. pfd. 984 1,119,300
T-Mobile US, Inc. Ser. A, $2.75 cv. pfd. 10,534 1,036,019
4,615,647
Consumer cyclicals (0.5%)
Stanley Black & Decker, Inc. $5.375 cv. pfd. 5,519 675,526
675,526
Energy (0.6%)
Hess Corp. $4.00 cv. pfd. 13,160 744,198
Nine Point Energy 6.75% cv. pfd. 24 24,843
769,041
Financials (5.6%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd.(R) 14,245 525,284
AMG Capital Trust II $2.575 cv. pfd. 14,140 897,006
Bank of America Corp. Ser. L, 7.25% cv. pfd. 993 1,310,139
EPR Properties Ser. C, $1.438 cv. pfd.(R) 37,670 1,047,109
iStar, Inc. Ser. J, $2.25 cv. pfd.(R) 7,445 363,986
RLJ Lodging Trust Ser. A, $0.488 cv. pfd. 37,550 1,028,119
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 890 1,191,488
Welltower, Inc. Ser. I, $3.25 cv. pfd.(R) 12,177 757,638
7,120,769
Health care (2.4%)
Allergan PLC Ser. A, 5.50% cv. pfd. 1,770 1,098,506
Anthem, Inc. $2.63 cv. pfd. 12,115 700,489
Becton Dickinson and Co. Ser. A, $3.063 cv. pfd. 20,150 1,219,075
3,018,070
Technology (0.9%)
Mandatory Exchangeable Trust 144A $5.75 cv. pfd. 4,456 890,086
NCR Corp. Ser. A, 5.50% (5.50%) cv. pfd.(PIK) 164 212,495
1,102,581
Utilities and power (1.6%)
DTE Energy Co. $3.25 cv. pfd. 16,040 903,854
Dynegy, Inc. $7.00 cv. pfd. 3,046 250,077
NextEra Energy, Inc. $3.06 cv. pfd. 15,700 890,975
2,044,906
Total convertible preferred stocks (cost $18,158,665) $20,556,484

COMMON STOCKS (2.2%)(a)
Shares Value
ACC Claims Holdings, LLC Class A (Units)(F) 199,505 $1,197
Ally Financial, Inc. 5,535 148,670
Banc of California, Inc. 36,547 824,135
Bank of America Corp. 8,630 243,107
Berry Plastics Group, Inc.(NON) 1,460 87,264
Caesars Entertainment Corp.(NON) 944 12,508
Charter Communications, Inc. Class A(NON) 245 79,921
CIT Group, Inc. 1,606 80,043
Eldorado Resorts, Inc.(NON) 2,180 66,708
Gaming and Leisure Properties, Inc.(R) 2,520 91,526
Halcon Resources Corp.(NON) 5,898 41,817
Keane Group, Inc.(NON) 5,621 84,090
Live Nation Entertainment, Inc.(NON) 900 40,842
Milagro Oil & Gas, Inc. (Units)(F) 39 3,159
Nine Point Energy 985 13,554
NVIDIA Corp. 510 102,362
salesforce.com, Inc.(NON) 6,150 641,568
SandRidge Energy, Inc.(NON) 2,270 42,245
Seven Generations Energy, Ltd. Class A (Canada)(NON) 2,990 40,882
Stone Energy Corp.(NON) 3,230 81,848
Tervita Corp. Class A (Canada) 127 960
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 1,028 617
Total common stocks (cost $2,157,095) $2,729,023

SENIOR LOANS (—%)(a)(c)
Principal amount Value
VICI Properties 1, LLC bank term loan FRN BBA LIBOR USD 3 Month + 3.50%, 4.75%, 10/15/22 $46,439 $46,420
Total senior loans (cost $46,439) $46,420

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Halcon Resources Corp. 9/9/20 $14.04 1,601 $912
Total warrants (cost $—) $912

SHORT-TERM INVESTMENTS (2.0%)(a)
Shares Value
Putnam Short Term Investment Fund 1.23%(AFF) 2,557,426 $2,557,426
Total short-term investments (cost $2,557,426) $2,557,426

TOTAL INVESTMENTS
Total investments (cost $117,519,756) $125,777,452













FORWARD CURRENCY CONTRACTS at 11/30/17 (aggregate face value $309,102) (Unaudited)


Counterparty Currency Contract type* Delivery date Value Aggregate face value Unrealized appreciation/
(depreciation)
Bank of America N.A.
Euro Sell 12/20/17 $120,940 $121,175 $235
Citibank, N.A.
Canadian Dollar Sell 1/17/18 20,245 20,908 663
State Street Bank and Trust Co.
Canadian Dollar Sell 1/17/18 161,729 167,019 5,290
Unrealized appreciation 6,188
Unrealized (depreciation) —
Total $6,188

* The exchange currency for all contracts listed is the United States Dollar.












Key to holding's currency abbreviations
CAD Canadian Dollar
EUR Euro
USD / $ United States Dollar
Key to holding's abbreviations
DAC Designated Activity Company
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from September 1, 2017 through November 30, 2017 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosuresand references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $125,895,021.
(NON) This security is non-income-producing.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:

Name of affiliate Fair value as of 8/31/17 Purchase cost Sale proceeds Investment income Shares outstanding and fair value as of 11/30/17
Short-term investments
Putnam Short Term Investment Fund** $2,900,362 $5,072,470 $5,415,406 $7,345 $2,557,426
Total Short-term investments $2,900,362 $5,072,470 $5,415,406 $7,345 $2,557,426
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.

(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $165,000 to cover the settlement of certain securities.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, is presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund did not have a net liability position on open derivative contracts subject to the Master Agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Capital goods $171,354 $— $—
    Communication services 79,921 — 1,197
    Consumer cyclicals 120,058 — —
    Energy 206,792 960 16,713
    Financials 1,387,481 — —
    Technology 743,930 — —
    Utilities and power — 617 —
Total common stocks 2,709,536 1,577 17,910
Convertible bonds and notes — 48,721,339 73,868
Convertible preferred stocks 1,028,119 19,527,708 657
Corporate bonds and notes — 51,091,957 23
Senior loans — 46,420 —
Warrants 912 — —
Short-term investments 2,557,426 — —
Totals by level $6,295,993 $119,389,001 $92,458



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $6,188 $—
Totals by level $— $6,188 $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.

During the reporting period, transfers within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above), did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Foreign exchange contracts $6,188 $—
Equity contracts 912 —
Total $7,100 $—

The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Forward currency contracts (contract amount)$340,000
Warrants (number of warrants)1,601

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 25, 2018

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: January 25, 2018

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: January 25, 2018