a_highincsecurities.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05133)
Exact name of registrant as specified in charter: Putnam High Income Securities Fund
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: August 31, 2016
Date of reporting period: November 30, 2015



Item 1. Schedule of Investments:













Putnam High Income Securities Fund

The fund's portfolio
11/30/15 (Unaudited)
CORPORATE BONDS AND NOTES (41.2%)(a)
Principal amount Value
Basic materials (4.5%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 $190,000 $186,200
ArcelorMittal SA sr. unsec. bonds 10.85s, 2019 (France) 105,000 111,563
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France) 100,000 78,500
ArcelorMittal SA sr. unsec. unsub. notes 8s, 2039 (France) 65,000 49,083
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 125,000 130,313
Blue Cube Spinco, Inc. 144A company guaranty sr. unsec. notes 9 3/4s, 2023 60,000 65,400
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 130,000 134,550
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2023 125,000 128,125
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 140,000 148,400
Cemex SAB de CV 144A company guaranty sr. notes 5 7/8s, 2019 (Mexico) 320,000 319,200
Chemours Co. (The) 144A sr. unsec. notes 7s, 2025 40,000 29,900
Chemours Co. (The) 144A sr. unsec. notes 6 5/8s, 2023 60,000 45,150
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 120,000 116,400
Coveris Holding Corp. 144A company guaranty sr. unsec. notes 10s, 2018 165,000 161,700
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 95,000 94,050
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 15,000 13,819
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 85,000 53,763
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 125,000 80,938
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 160,000 168,800
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 80,000 90,400
HD Supply, Inc. 144A company guaranty sr. notes 5 1/4s, 2021 135,000 140,231
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 230,000 175,950
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 140,000 131,600
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 30,000 27,750
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 55,000 37,367
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 55,000 57,200
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 125,000 130,000
Mercer International, Inc. company guaranty sr. unsec. notes 7s, 2019 (Canada) 60,000 61,800
Momentive Performance Materials, Inc. escrow company guaranty sr. notes 8 7/8s, 2020(F) 5,000 1
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 (Canada) 60,000 55,800
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 45,000 38,306
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) 145,000 144,638
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 240,000 233,400
Pactiv, LLC sr. unsec. unsub. notes 7.95s, 2025 70,000 66,500
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 200,000 201,500
PQ Corp. 144A sr. notes 8 3/4s, 2018 70,000 69,300
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 150,000 126,357
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 80,000 82,400
Sealed Air Corp. 144A sr. unsec. bonds 5 1/2s, 2025 30,000 31,275
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 75,000 83,250
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 100,000 103,500
Sealed Air Corp. 144A sr. unsec. notes 5 1/8s, 2024 40,000 40,900
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022 35,000 35,525
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) 75,000 91,313
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 135,000 136,688
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 25,000 25,875
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 80,000 76,400
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 10,000 9,600
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 20,000 19,450
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 175,000 157,719
Univar, Inc. 144A sr. unsec. notes 6 3/4s, 2023 35,000 33,819
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 20,000 20,950
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 100,000 102,375
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 140,000 130,900
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 175,000 178,063
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 70,000 70,525
5,334,481
Capital goods (3.7%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 325,000 336,375
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 200,000 221,500
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 80,000 78,400
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 165,000 166,856
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada) 95,000 96,900
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 85,000 82,875
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 80,000 74,600
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 55,000 55,550
Berry Plastics Corp. company guaranty unsub. notes 5 1/8s, 2023 35,000 34,038
Berry Plastics Corp. 144A company guaranty notes 6s, 2022 45,000 46,463
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada) 55,000 48,641
Bombardier, Inc. 144A unsec. notes 5 1/2s, 2018 (Canada) 15,000 14,213
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 150,000 163,125
Crown Cork & Seal Co., Inc. sr. unsec. bonds 7 3/8s, 2026 65,000 70,850
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 65,000 67,113
Gates Global, LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 350,000 260,750
Huntington Ingalls Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2021 55,000 56,238
KLX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 205,000 198,209
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 160,000 215,563
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 8 1/2s, 2020 25,000 26,000
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 235,000 245,575
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 115,000 97,175
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 65,000 66,463
Omega US Sub, LLC 144A sr. unsec. notes 8 3/4s, 2023 190,000 175,750
Oshkosh Corp. company guaranty sr. sub. unsec. notes 5 3/8s, 2025 105,000 104,475
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 130,000 131,300
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 155,000 161,588
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) 205,000 205,513
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 95,000 97,375
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 245,000 238,912
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 85,000 89,038
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2024 80,000 78,800
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020 105,000 103,703
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2025 150,000 144,891
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2022 150,000 147,188
4,402,005
Communication services (5.0%)
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) 400,000 372,951
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 140,000 147,700
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 35,000 33,075
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 40,000 41,600
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 110,000 114,675
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 50,000 50,125
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 125,000 123,594
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 6 5/8s, 2022 35,000 36,943
CCOH Safari, LLC 144A sr. unsec. notes 5 3/4s, 2026 60,000 60,300
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 100,000 94,940
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 25,000 24,781
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 185,000 170,894
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 30,000 27,713
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 175,000 181,344
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 55,000 55,963
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024 70,000 59,325
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 50,000 47,125
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 (Jamaica) 200,000 178,500
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 80,000 71,600
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 10,000 8,563
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 30,000 25,050
Frontier Communications Corp. 144A sr. unsec. notes 11s, 2025 110,000 107,800
Frontier Communications Corp. 144A sr. unsec. notes 10 1/2s, 2022 205,000 203,206
Frontier Communications Corp. 144A sr. unsec. notes 8 7/8s, 2020 40,000 40,100
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 50,000 30,250
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 95,000 78,850
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 95,000 35,625
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 180,000 70,200
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 100,000 101,000
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 40,000 41,920
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 90,000 90,608
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 45,000 45,056
Numericable-SFR SAS 144A sr. notes 6s, 2022 (France) 200,000 197,500
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 80,000 80,700
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 75,000 58,365
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 $65,000 69,462
SBA Communications Corp. sr. sub. unsec. notes 4 7/8s, 2022 80,000 79,500
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020 35,000 36,532
Sprint Capital Corp. company guaranty 6 7/8s, 2028 260,000 187,200
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 80,000 79,800
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 60,000 49,650
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 115,000 124,200
Sprint Corp. company guaranty sr. unsec. notes 7 7/8s, 2023 275,000 221,375
Sprint Corp. company guaranty sr. unsec. notes 7 1/4s, 2021 265,000 214,650
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023 25,000 25,625
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021 45,000 46,575
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 140,000 143,500
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 45,000 46,238
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 220,000 218,900
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 165,000 169,125
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 125,000 127,031
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 40,000 40,200
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) 195,000 196,219
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 180,000 163,350
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 215,000 205,863
Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg) 200,000 193,000
Windstream Services, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 200,000 159,500
Windstream Services, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 185,000 137,363
6,042,799
Consumer cyclicals (8.1%)
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 70,000 72,625
AMC Entertainment, Inc. 144A sr. unsec. notes 5 3/4s, 2025 65,000 65,488
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5 3/4s, 2023 35,000 35,481
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 130,000 127,725
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 105,000 114,272
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 106,000 63,600
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 100,000 28,500
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 75,000 78,469
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 145,000 140,650
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 85,000 79,900
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 160,000 161,200
CalAtlantic Group, Inc. company guaranty sr. unsec. notes 5 7/8s, 2024 55,000 57,475
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2021 140,000 150,150
CCM Merger, Inc. 144A company guaranty sr. unsec. notes 9 1/8s, 2019 80,000 84,100
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 30,000 30,450
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 60,000 61,500
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 65,000 65,000
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 65,000 63,700
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 15,000 15,750
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 190,000 184,300
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 330,000 325,875
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 55,000 17,325
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 125,000 127,656
Eldorado Resorts, Inc. 144A sr. unsec. notes 7s, 2023 125,000 125,547
Entercom Radio, LLC company guaranty sr. unsec. sub. notes 10 1/2s, 2019 100,000 104,250
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 3/4s, 2023 45,000 46,688
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 1/4s, 2020 30,000 31,050
FCA US, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 200,000 215,560
Garda World Security Corp. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 (Canada) 35,000 31,150
General Motors Co. sr. unsec. unsub. notes 5.2s, 2045 20,000 19,058
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 80,000 68,000
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 140,000 143,500
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 40,000 41,050
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 185,000 191,938
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) CAD 170,000 128,571
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 $220,000 224,950
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 130,000 94,250
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 95,000 99,038
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 60,000 57,300
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020 20,000 17,200
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 80,000 55,200
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 165,000 136,950
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 95,000 106,519
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 50,000 53,188
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 75,000 78,563
Lamar Media Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 45,000 46,238
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 125,000 124,688
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 125,000 128,438
LIN Television Corp. company guaranty sr. unsec. notes 6 3/8s, 2021 40,000 41,900
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 210,000 215,513
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 110,000 114,950
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 160,000 155,600
Media General Financing Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2022 50,000 50,125
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 110,000 114,916
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 125,000 125,313
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 70,000 79,589
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 65,000 67,925
Navistar International Corp. sr. notes 8 1/4s, 2021 139,000 98,690
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 140,000 134,750
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 175,000 155,750
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 60,000 53,550
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 190,000 193,325
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 125,000 129,375
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 7/8s, 2025 90,000 92,588
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 5/8s, 2024 55,000 56,788
Owens Corning company guaranty sr. unsec. notes 9s, 2019 38,000 44,388
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 140,000 139,300
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 160,000 165,200
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 90,000 91,125
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 100,000 115,000
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2025 45,000 43,650
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 70,000 70,175
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 70,000 71,050
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 54,000 56,565
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 135,000 142,425
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 130,000 130,000
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 35,000 27,825
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022 340,000 261,800
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 35,000 20,563
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 95,000 91,675
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 80,000 82,800
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 45,000 45,225
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 45,000 43,988
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 130,000 134,388
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 205,000 214,738
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 220,000 225,214
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022 5,000 5,350
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 10,000 10,700
Spectrum Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 65,000 67,031
Spectrum Brands, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2024 110,000 114,675
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 180,000 169,200
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 45,000 43,369
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 75,000 75,188
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2023 15,000 14,906
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 60,000 62,250
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 15,000 15,600
TEGNA, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 30,000 30,150
Townsquare Media, Inc. 144A sr. unsec. notes 6 1/2s, 2023 35,000 32,988
Tribune Media Co. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 160,000 160,000
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 30,000 30,675
Univision Communications, Inc. 144A company guaranty sr. notes 5 1/8s, 2025 30,000 28,988
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 180,000 187,200
9,666,086
Consumer staples (2.7%)
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 200,000 204,000
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 45,000 45,900
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 40,000 39,300
BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) 45,000 45,450
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) 230,000 238,625
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 180,000 163,350
CEC Entertainment, Inc. company guaranty sr. unsec. notes 8s, 2022 180,000 172,800
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 195,000 153,075
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 95,000 95,594
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 105,000 108,938
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 115,000 127,650
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 205,000 194,494
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 25,000 24,313
Dean Foods Co. 144A sr. unsec. notes 6 1/2s, 2023 90,000 93,038
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 175,000 119,875
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil) 40,000 41,900
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 135,000 140,400
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 35,000 36,400
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 35,000 35,656
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 220,000 233,475
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 55,000 54,175
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 90,000 86,963
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 165,000 163,350
Rite Aid Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2023 80,000 84,800
RSC Equipment Rental, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 16,000 16,780
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 30,000 32,250
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 20,000 20,212
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 1/2s, 2025 85,000 84,894
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 125,000 130,313
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 115,000 85,675
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 130,000 138,288
3,211,933
Energy (3.5%)
Antero Resources Corp. company guaranty sr. unsec. notes 5 1/8s, 2022 85,000 77,350
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 65,000 60,288
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 90,000 82,800
Archrock Partners, LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2022 160,000 136,000
Archrock Partners, LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2021 70,000 60,550
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) 85,000 69,488
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) 15,000 12,488
California Resources Corp. company guaranty sr. unsec. notes 6s, 2024 265,000 159,000
California Resources Corp. company guaranty sr. unsec. notes 5s, 2020 70,000 44,625
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 125,000 30,000
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 90,000 43,200
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 195,000 82,875
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 60,000 25,388
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield Finance, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2019 115,000 48,300
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 120,000 122,100
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 140,000 135,800
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 50,000 48,500
CONSOL Energy, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 140,000 91,700
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 65,000 41,275
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 35,000 21,700
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 75,000 22,125
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 60,000 48,600
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 30,000 24,300
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 70,000 63,700
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 40,000 12,600
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 235,000 71,675
Halcon Resources Corp. 144A company guaranty notes 8 5/8s, 2020 60,000 46,200
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 90,000 92,700
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 30,000 28,725
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 45,000 40,472
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 135,000 39,150
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 85,000 82,875
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 115,000 29,900
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 25,000 4,735
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 26,000 6,208
Linn Energy, LLC/Linn Energy Finance Corp. 144A company guaranty notes 12s, 2020 134,000 82,410
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada)(F) 45,000 2
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) 120,000 36,600
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 210,000 204,750
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 65,000 59,313
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 50,000 42,750
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 225,000 192,938
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 55,000 15,400
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 115,000 20,988
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 185,000 33,763
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. notes 5 5/8s, 2022 55,000 46,200
Rose Rock Midstream LP/Rose Rock Finance Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 65,000 53,625
Sabine Pass Liquefaction, LLC company guaranty sr. notes 5 5/8s, 2023 230,000 212,175
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 130,000 132,600
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 45,000 44,775
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 (In default)(NON) 245,000 613
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 130,000 49,400
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6 3/4s, 2023 (Canada) 65,000 57,363
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 120,000 115,500
Seventy Seven Energy, Inc. sr. unsec. notes 6 1/2s, 2022 105,000 16,931
SM Energy Co. sr. unsec. notes 6 1/2s, 2021 50,000 48,625
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 20,000 19,200
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 30,000 13,838
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 55,000 23,100
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 150,000 117,000
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 230,000 212,750
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 71,000 72,016
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 35,000 34,912
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 240,000 211,200
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 65,000 55,088
4,233,217
Financials (5.4%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 185,000 183,150
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 90,000 94,950
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 175,000 208,688
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2020 60,000 69,672
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 50,000 57,500
Ally Financial, Inc. sub. unsec. notes 5 3/4s, 2025 60,000 60,413
Ally Financial, Inc. unsec. sub. notes 8s, 2018 65,000 72,391
American International Group, Inc. jr. sub. FRB 8.175s, 2058 100,000 131,625
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.1s, perpetual maturity 55,000 55,275
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6 1/2s, perpetual maturity 50,000 52,813
BBVA International Preferred SAU company guaranty jr. unsec. sub. FRB 5.919s, perpetual maturity (Spain) 105,000 107,363
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 50,000 50,927
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 75,000 75,513
CIT Group, Inc. sr. unsec. notes 5s, 2023 65,000 65,975
CIT Group, Inc. sr. unsec. notes 5s, 2022 100,000 102,125
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 80,000 84,400
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 45,000 45,056
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 135,000 143,944
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 185,000 193,788
Citigroup, Inc. jr. unsec. sub. FRN Ser. Q, 5.95s, perpetual maturity 25,000 24,791
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 125,000 56,250
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025 90,000 91,575
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 65,000 66,300
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 75,000 15,750
Credit Acceptance Corp. company guaranty sr. unsec. bonds 6 1/8s, 2021 110,000 108,075
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2023 50,000 50,500
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 160,000 104,800
Dresdner Funding Trust I 144A bonds 8.151s, 2031 110,000 135,163
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 90,000 95,175
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 105,000 107,625
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB 6.15s, 2066 50,000 19,000
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019(PIK) 70,000 67,200
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 155,000 148,800
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020 215,000 221,181
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 95,000 96,485
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 80,000 86,200
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022 60,000 64,950
iStar, Inc. sr. unsec. notes 5s, 2019(R) 5,000 4,850
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 75,000 87,750
Lloyds Bank PLC jr. unsec. sub. FRN Ser. EMTN, 13s, perpetual maturity (United Kingdom) GBP 100,000 261,308
Lloyds Banking Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom) $249,000 267,924
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 50,000 52,125
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 125,000 129,844
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 100,000 97,000
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 85,000 76,925
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 110,000 114,928
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2019 105,000 94,500
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 135,000 141,413
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 90,000 92,025
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 30,000 30,225
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 140,000 126,700
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 155,000 149,188
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN Ser. U, 7.64s, perpetual maturity (United Kingdom) 100,000 104,750
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648s, perpetual maturity (United Kingdom) 265,000 329,925
Springleaf Finance Corp. sr. unsec. notes 5 1/4s, 2019 45,000 44,208
Springleaf Finance Corp. sr. unsec. unsub. notes 7 3/4s, 2021 30,000 31,800
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 125,000 124,298
Stearns Holdings, Inc. 144A company guaranty sr. notes 9 3/8s, 2020 90,000 89,100
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 170,000 130,900
Tri Pointe Holdings, Inc. sr. unsec. notes 5 7/8s, 2024 175,000 173,688
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 125,000 122,500
Walter Investment Management Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2021 90,000 71,100
Wayne Merger Sub, LLC 144A sr. unsec. notes 8 1/4s, 2023 120,000 117,876
6,482,238
Health care (3.8%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 155,000 159,650
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 75,000 73,500
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 210,000 174,825
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) 20,000 20,125
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 110,000 107,388
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 150,000 151,500
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 40,000 40,800
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 25,000 24,188
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada) 175,000 151,375
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 165,000 134,888
DPx Holdings BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 135,000 136,350
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 165,000 157,575
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2023 100,000 95,000
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 125,000 126,406
HCA, Inc. company guaranty sr. notes 3 3/4s, 2019 65,000 65,650
HCA, Inc. company guaranty sr. unsec. bonds 5 3/8s, 2025 35,000 34,388
HCA, Inc. sr. notes 6 1/2s, 2020 275,000 303,875
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 30,000 33,638
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023 135,000 129,600
JLL/Delta Dutch Pledgeco BV 144A sr. unsec. notes 8 3/4s, 2020 (Netherlands)(PIK) 85,000 84,894
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 165,000 160,050
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg) 125,000 106,875
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 75,000 75,375
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024(R) 85,000 85,923
Service Corporation International sr. unsec. notes 7s, 2017 65,000 69,225
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2024 255,000 267,113
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 125,000 130,781
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023 110,000 110,138
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 40,000 39,500
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 60,000 58,950
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 225,000 237,938
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 140,000 148,750
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 25,000 25,250
Tenet Healthcare Corp. 144A company guaranty sr. FRN 3.837s, 2020 110,000 108,488
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 7s, 2020 20,000 18,600
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 150,000 137,438
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 10,000 8,725
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 55,000 47,163
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 6 1/8s, 2025 100,000 86,500
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 7/8s, 2023 110,000 95,150
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 3/8s, 2020 110,000 98,450
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 210,000 218,314
4,540,311
Technology (1.8%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 75,000 78,188
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 300,000 99,000
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 285,000 224,438
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025 75,000 71,813
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 195,000 203,775
First Data Corp. 144A company guaranty sr. unsec. notes 7s, 2023 165,000 166,444
First Data Corp. 144A notes 5 3/4s, 2024 120,000 120,000
First Data Corp. 144A sr. notes 5 3/8s, 2023 105,000 107,035
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 5s, 2021 60,000 62,025
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 70,000 74,689
Infor US, Inc. 144A sr. notes 5 3/4s, 2020 60,000 60,150
Infor US, Inc. 144A sr. unsec. notes 6 1/2s, 2022 195,000 173,063
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023(R) 105,000 110,185
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6s, 2020(R) 45,000 47,205
Micron Technology, Inc. sr. unsec. bonds 5 7/8s, 2022 105,000 105,602
Micron Technology, Inc. 144A sr. unsec. notes 5 1/4s, 2023 90,000 84,600
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 170,000 172,975
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 140,000 86,800
Zebra Technologies Corp. sr. unsec. unsub. bonds 7 1/4s, 2022 145,000 155,150
2,203,137
Transportation (0.3%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 135,000 121,838
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 235,000 233,825
355,663
Utilities and power (2.4%)
AES Corp./Virginia (The) sr. unsec. notes 8s, 2020 85,000 94,138
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 270,000 241,650
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 145,000 149,350
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 45,000 40,388
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 225,000 210,656
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 30,000 31,200
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 25,000 25,750
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037 95,000 89,680
DPL, Inc. sr. unsec. notes 6 1/2s, 2016 28,000 28,490
Dynegy, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 10,000 9,639
Dynegy, Inc. company guaranty sr. unsec. notes 6 3/4s, 2019 180,000 175,838
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 80,000 76,000
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 40,000 46,594
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 107,000 111,815
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 6 3/8s, 2023 50,000 38,250
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 65,000 51,025
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 225,000 191,250
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 100,000 77,500
GenOn Americas Generation, LLC sr. unsec. notes 8 1/2s, 2021 145,000 123,250
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 125,000 105,625
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 25,000 22,125
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 325,000 324,188
NRG Energy, Inc. company guaranty sr. unsec. notes 6 1/4s, 2022 30,000 27,750
NRG Yield Operating, LLC company guaranty sr. unsec. notes 5 3/8s, 2024 90,000 81,857
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 140,000 140,748
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 75,000 71,203
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 55,000 52,600
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 80,000 72,454
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 130,000 124,150
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) 60,000 20,850
2,856,013
Total corporate bonds and notes (cost $53,536,484) $49,327,883

CONVERTIBLE BONDS AND NOTES (33.7%)(a)
Principal amount Value
Basic materials (0.3%)
Cemex SAB de CV cv. unsec. sub. notes 3 3/4s, 2018 (Mexico) $355,000 $347,900
347,900
Capital goods (0.4%)
General Cable Corp. cv. unsec. sub. notes stepped-coupon 4 1/2s (2 1/4s, 11/15/19) 2029(STP) 740,000 498,113
498,113
Communication services (1.1%)
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A cv. company guaranty sr. unsec. notes 8 1/4s, 2040 199,000 201,239
Powerwave Technologies, Inc. cv. unsec. sub. notes 3 7/8s, 2027 (In default)(F)(NON) 1,160,000 116
TeleCommunication Systems, Inc. cv. sr. unsec. notes 7 3/4s, 2018 1,075,000 1,097,844
1,299,199
Consumer cyclicals (6.7%)
CalAtantic Group, Inc. cv. company guaranty sr. unsec. unsub. notes 1 5/8s, 2018 480,000 682,800
CalAtlantic Group, Inc. cv. company guaranty sr. unsec. unsub. notes 1 1/4s, 2032 365,000 429,559
Jarden Corp. cv. sr. unsec. bonds company guaranty 1 1/8s, 2034 710,000 805,850
Lennar Corp. 144A cv. sr. notes 2 3/4s, 2020 344,000 793,995
Liberty Interactive, LLC cv. sr. unsec. unsub. bonds 3/4s, 2043 833,000 1,277,093
Liberty Interactive, LLC cv. sr. unsec. unsub. notes 3 1/2s, 2031 890,000 466,138
Macquarie Infrastructure Corp. cv. sr. unsec. sub. notes 2 7/8s, 2019 815,000 934,703
Navistar International Corp. cv. sr. unsec. sub. bonds 4 3/4s, 2019 644,000 467,303
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 1s, 2018 510,000 718,781
Tesla Motors, Inc. cv. sr. unsec. notes 1 1/4s, 2021 1,570,000 1,425,756
8,001,978
Consumer staples (0.8%)
Vector Group, Ltd. cv. sr. unsec. FRN 2 1/2s, 2019 585,000 947,852
947,852
Energy (2.9%)
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 2 1/4s, 2038 2,310,000 1,039,500
Cobalt International Energy, Inc. cv. sr. unsec. unsub. notes 2 5/8s, 2019 1,195,000 861,894
Energy XXI, Ltd. cv. sr. unsec. bonds 3s, 2018 (acquired various dates from 11/19/13 to 1/24/14, cost $446,469)(RES) 451,000 54,120
Hornbeck Offshore Services, Inc. cv. company guaranty sr. unsec. notes 1 1/2s, 2019 377,000 278,509
SEACOR Holdings, Inc. cv. sr. unsec. bonds 3s, 2028 621,000 491,754
Stone Energy Corp. cv. company guaranty sr. unsec. notes 1 3/4s, 2017 840,000 759,150
Trico Marine Services, Inc. cv. sr. unsec. debs. 3s, 2027 (In default)(F)(NON) 500,000 13,750
3,498,677
Financials (4.7%)
Ares Capital Corp. cv. sr. unsec. notes 5 3/4s, 2016 627,000 629,351
Blackstone Mortgage Trust, Inc. cv. sr. unsec. unsub. notes 5 1/4s, 2018(R) 511,000 541,021
Forest City Enterprises, Inc. cv. sr. unsec. notes 4 1/4s, 2018 656,000 763,420
Hercules Technology Growth Capital, Inc. cv. sr. unsec. notes 6s, 2016 453,000 460,644
iStar, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) 330,000 387,956
Prospect Capital Corp. cv. sr. unsec. bonds 5 7/8s, 2019 595,000 585,331
Radian Group, Inc. cv. sr. unsec. unsub. notes 3s, 2017 430,000 566,256
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4s, 2019(R) 631,000 647,958
TCP Capital Corp. cv. sr. unsec. bonds 5 1/4s, 2019 (acquired 6/11/14, cost $827,000)(RES) 827,000 819,764
Walter Investment Management Corp. cv. sr. unsec. sub. notes 4 1/2s, 2019 312,000 212,745
5,614,446
Health care (5.4%)
Accuray, Inc. cv. sr. unsec. notes 3 3/4s, 2016 694,000 705,711
Aegerion Pharmaceuticals, Inc. cv. sr. unsec. bonds 2s, 2019 566,000 383,465
Brookdale Senior Living, Inc. cv. sr. unsec. unsub. notes 2 3/4s, 2018 720,000 775,800
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4s, 2016 (China) (In default)(F)(NON) 763,000 61,040
China Medical Technologies, Inc. 144A cv. sr. unsec. notes 6 1/4s, 2016 (China) (In default)(F)(NON) 445,000 31,150
Gilead Sciences, Inc. cv. sr. unsec. notes 1 5/8s, 2016 225,000 1,052,719
HealthSouth Corp. cv. sr. unsec. sub. notes 2s, 2043 709,000 772,810
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2s (zero %, 3/1/18) 2042(STP) 880,000 1,222,650
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1 7/8s, 2021 (Ireland) 951,000 1,027,080
Medidata Solutions, Inc. cv. sr. unsec. notes 1s, 2018 370,000 396,363
6,428,788
Technology (10.2%)
Avid Technology, Inc. 144A cv. sr. unsec. notes 2s, 2020 274,000 176,730
Brocade Communications Systems, Inc. cv. sr. unsec. notes 1 3/8s, 2020 365,000 353,822
Ciena Corp. cv. sr. unsec. notes 4s, 2020 618,000 898,031
j2 Global, Inc. cv. sr. unsec. notes 3 1/4s, 2029 570,000 739,931
Jazz Technologies, Inc. cv. company guaranty sr. unsec. bonds 8s, 2018 223,000 376,034
Microchip Technology, Inc. 144A cv. sr. unsec. sub. notes Ser. G, 1 5/8s, 2025 560,000 577,850
Micron Technology, Inc. cv. sr. unsec. bonds Ser. E, 1 5/8s, 2033 765,000 1,190,053
Micron Technology, Inc. cv. sr. unsec. unsub. bonds 3s, 2043 890,000 811,013
Novatel Wireless, Inc. 144A cv. sr. unsec. unsub. notes 5 1/2s, 2020 169,000 124,215
Novellus Systems, Inc. cv. company guaranty sr. unsec. notes 2 5/8s, 2041 370,000 852,388
NVIDIA Corp. cv. sr. unsec. bonds 1s, 2018 750,000 1,203,281
ON Semiconductor Corp. cv. company guaranty sr. unsec. sub. notes Ser. B, 2 5/8s, 2026 442,000 521,008
Safeguard Scientifics, Inc. cv. sr. unsec. bonds 5 1/4s, 2018 970,000 1,112,469
Salesforce.com, Inc. cv. sr. unsec. unsub. notes 1/4s, 2018 650,000 847,844
SanDisk Corp. cv. sr. unsec. bonds 1/2s, 2020 315,000 325,434
SanDisk Corp. cv. sr. unsec. notes 1 1/2s, 2017 209,000 319,639
TTM Technologies, Inc. cv. sr. unsec. notes 1 3/4s, 2020 435,000 433,641
Twitter, Inc. cv. sr. unsec. unsub. bonds 1s, 2021 405,000 345,769
Yahoo!, Inc. cv. sr. unsec. bonds zero %, 2018 1,130,000 1,125,763
12,334,915
Transportation (1.2%)
Atlas Air Worldwide Holdings, Inc. cv. sr. unsec. notes 2 1/4s, 2022 348,000 294,060
Echo Global Logistics, Inc. cv. sr. unsec. notes 2 1/2s, 2020 385,000 357,809
Scorpio Tankers, Inc. 144A cv. sr. unsec. notes 2 3/8s, 2019 747,000 734,394
1,386,263
Total convertible bonds and notes (cost $42,457,543) $40,358,131

CONVERTIBLE PREFERRED STOCKS (21.1%)(a)
Shares Value
Basic materials (1.2%)
Alcoa, Inc. Ser. 1, $2.688 cv. pfd. 20,158 $652,615
Smurfit-Stone Container Corp. escrow zero % cv. pfd.(F) 65,720 657
Weyerhaeuser Co. Ser. A, $3.188 cv. pfd.(R) 15,650 831,406
1,484,678
Capital goods (0.3%)
Stericycle, Inc. $5.25 cv. pfd.(NON) 3,866 353,159
353,159
Communication services (4.5%)
American Tower Corp. $5.50 cv. pfd.(R) 13,085 1,346,119
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 21,872 1,083,346
Crown Castle International Corp. Ser. A, $4.50 cv. pfd.(R) 7,164 763,897
Frontier Communications Corp. Ser. A, $11.125 cum. cv. pfd. 7,485 722,303
Iridium Communications, Inc. Ser. B, 6.75% cv. pfd. 1,405 424,310
T-Mobile US, Inc. Ser. A, $2.75 cv. pfd. 17,339 1,076,405
5,416,380
Consumer cyclicals (3.2%)
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) 37,550 939,336
Fiat Chrysler Automobiles NV Ser. FCAU, $7.875 cv. pfd. (United Kingdom)(NON) 15,943 1,884,303
Stanley Black & Decker, Inc. $6.25 cv. pfd. 8,385 1,008,799
3,832,438
Consumer staples (0.9%)
Tyson Foods, Inc. $2.375 cv. pfd. 18,767 1,077,226
1,077,226
Energy (0.6%)
Chesapeake Energy Corp. 144A 5.75% cv. pfd. 1,338 314,992
Halcon Resources Corp. Ser. A, 5.75% cv. pfd. 610 68,625
Southwestern Energy Co. Ser. B, $3.125 cv. pfd. 11,845 284,872
668,489
Financials (6.4%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd.(R) 22,100 616,382
AMG Capital Trust II $2.575 cv. pfd. 21,285 1,250,494
Banc of California, Inc. $4.00 cv. pfd. 8,217 567,466
Bank of America Corp. Ser. L, 7.25% cv. pfd. 1,718 1,915,570
EPR Properties Ser. C, $1.438 cv. pfd.(R) 37,670 872,885
Maiden Holdings, Ltd. Ser. B, $3.625 cv. pfd. (Bermuda) 12,175 649,536
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 960 1,120,800
Welltower, Inc. Ser. I, $3.25 cv. pfd.(R) 12,177 717,682
7,710,815
Health care (2.5%)
Alere, Inc. Ser. B, 3.00% cv. pfd. 1,410 421,943
Allergan PLC Ser. A, 5.50% cv. pfd. 1,995 2,089,403
Anthem, Inc. $2.63 cv. pfd. 12,115 531,122
3,042,468
Utilities and power (1.5%)
Dominion Resources, Inc./VA $3.188 cv. pfd. 14,543 704,463
Dynegy, Inc. Ser. A, $5.375 cv. pfd. 3,886 240,271
El Paso Energy Capital Trust I $2.375 cv. pfd. 1,069 48,940
Exelon Corp. $3.25 cv. pfd. 18,828 752,367
1,746,041
Total convertible preferred stocks (cost $26,270,350) $25,331,694

COMMON STOCKS (0.7%)(a)
Shares Value
Ally Financial, Inc.(NON) 5,565 $111,077
Berry Plastics Group, Inc.(NON) 2,600 94,536
CIT Group, Inc. 1,606 68,994
Connacher Oil and Gas, Ltd. (Canada)(NON) 2,338 555
DISH Network Corp. Class A(NON) 1,525 95,633
Eldorado Resorts, Inc.(NON) 4,445 43,072
EP Energy Corp. Class A(NON) 5,301 30,004
General Motors Co. 1,650 59,730
Hilton Worldwide Holdings, Inc. 2,130 49,459
Live Nation Entertainment, Inc.(NON) 3,145 79,852
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) 5,612 56
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) 5,612 56
Penn National Gaming, Inc.(NON) 6,025 96,099
Seventy Seven Energy, Inc.(NON) 2,750 3,053
Spectrum Brands Holdings, Inc. 655 62,035
Total common stocks (cost $951,464) $794,211

SENIOR LOANS (0.2%)(a)(c)
Principal amount Value
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11s, 2017 $203,234 $182,699
Jeld-Wen, Inc. bank term loan FRN Ser. B, 4 3/4s, 2022 45,000 44,817
Total senior loans (cost $242,372) $227,516

PREFERRED STOCKS (0.1%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 88 $88,440
M/I Homes, Inc. Ser. A, $2.438 pfd. 2,305 58,294
Total preferred stocks (cost $130,926) $146,734

SHORT-TERM INVESTMENTS (3.1%)(a)
Shares Value
Putnam Short Term Investment Fund 0.16%(AFF) 3,761,630 $3,761,630
Total short-term investments (cost $3,761,630) $3,761,630

TOTAL INVESTMENTS
Total investments (cost $127,350,769)(b) $119,947,799













FORWARD CURRENCY CONTRACTS at 11/30/15 (aggregate face value $408,818) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
JPMorgan Chase Bank N.A.
British Pound Sell 12/16/15 $225,014 $228,724 $3,710
State Street Bank and Trust Co.
Canadian Dollar Sell 1/20/16 128,195 129,341 1,146
WestPac Banking Corp.
Canadian Dollar Sell 1/20/16 50,320 50,753 433
Total $5,289












Key to holding's currency abbreviations
CAD Canadian Dollar
GBP British Pound
USD / $ United States Dollar
Key to holding's abbreviations
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from September 1, 2015 through November 30, 2015 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $119,860,771.
(b) The aggregate identified cost on a tax basis is $127,861,422, resulting in gross unrealized appreciation and depreciation of $6,747,448 and $14,661,071, respectively, or net unrealized depreciation of $7,913,623.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $873,884, or 0.7% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Short Term Investment Fund* $3,016,424 $4,385,575 $3,640,369 $1,051 $3,761,630
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations 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. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 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, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, is presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund 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 $94,536 $— $—
    Communication services 95,633 — —
    Consumer cyclicals 328,212 — —
    Consumer staples 62,035 — —
    Energy 33,612 — 112
    Financials 180,071 — —
Total common stocks 794,099 — 112
Convertible bonds and notes — 40,252,075 106,056
Convertible preferred stocks 815,994 24,515,043 657
Corporate bonds and notes — 49,327,880 3
Preferred stocks — 146,734 —
Senior loans — 227,516 —
Short-term investments 3,761,630 — —
Totals by level $5,371,723 $114,469,248 $106,828



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $5,289 $—
Totals by level $— $5,289 $—


* 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 $5,289 $—
Total $5,289 $—


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)$440,000
   
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
JPMorgan Chase Bank N.A. State Street Bank and Trust Co. WestPac Banking Corp. Total
Assets:
Forward currency contracts#  $3,710  $1,146  $433  $5,289
Total Assets  $3,710  $1,146  $433  $5,289
Liabilities:
Forward currency contracts#  $—  $—  $—  $—
Total Liabilities $— $— $— $—
Total Financial and Derivative Net Assets  $3,710  $1,146  $433  $5,289
Total collateral received (pledged)##† $— $— $—
Net amount  $3,710  $1,146  $433
†  Additional collateral may be required from certain brokers based on individual agreements.
# Covered by master netting agreement.
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.

For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com



Item 2. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam High Income Securities Fund
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: January 27, 2016

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: January 27, 2016

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: January 27, 2016